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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using QuantConnect.Brokerages;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;
namespace QuantConnect.Algorithm.CSharp
{
/// <summary>
/// Demonstrate the usage of the BrokerageModel property to help improve backtesting
/// accuracy through simulation of a specific brokerage's rules around restrictions
/// on submitting orders as well as fee structure.
/// </summary>
/// <meta name="tag" content="trading and orders" />
/// <meta name="tag" content="brokerage models" />
public class BrokerageModelAlgorithm : QCAlgorithm
{
/// <summary>
/// Initialize the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must be initialized.
/// </summary>
public override void Initialize()
{
SetStartDate(2013, 10, 07); //Set Start Date
SetEndDate(2013, 10, 11); //Set End Date
SetCash(100000); //Set Strategy Cash
// Find more symbols here: http://quantconnect.com/data
AddSecurity(SecurityType.Equity, "SPY", Resolution.Second);
// there's two ways to set your brokerage model. The easiest would be to call
// SetBrokerageModel( BrokerageName ); // BrokerageName is an enum
//SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
//SetBrokerageModel(BrokerageName.Default);
// the other way is to call SetBrokerageModel( IBrokerageModel ) with your
// own custom model. I've defined a simple extension to the default brokerage
// model to take into account a requirement to maintain 500 cash in the account
// at all times
SetBrokerageModel(new MinimumAccountBalanceBrokerageModel(this, 500.00m));
}
private decimal _last = 1.0m;
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">TradeBars IDictionary object with your stock data</param>
public void OnData(TradeBars data)
{
if (!Portfolio.Invested)
{
//fails first several times, we'll keep decrementing until it succeeds
SetHoldings("SPY", _last);
if (Portfolio["SPY"].Quantity == 0)
{
// each time we fail to purchase we'll decrease our set holdings percentage
Debug(Time + " - Failed to purchase stock");
_last *= 0.95m;
}
else
{
Debug(Time + " - Purchased Stock @ SetHoldings( " + _last + " )");
}
}
}
/// <summary>
/// Custom brokerage model that requires clients to maintain a minimum cash balance
/// </summary>
class MinimumAccountBalanceBrokerageModel : DefaultBrokerageModel
{
private readonly QCAlgorithm _algorithm;
private readonly decimal _minimumAccountBalance;
public MinimumAccountBalanceBrokerageModel(QCAlgorithm algorithm, decimal minimumAccountBalance)
{
_algorithm = algorithm;
_minimumAccountBalance = minimumAccountBalance;
}
/// <summary>
/// Prevent orders which would bring the account below a minimum cash balance
/// </summary>
public override bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
{
message = null;
// we want to model brokerage requirement of _minimumAccountBalance cash value in account
var orderCost = order.GetValue(security);
var cash = _algorithm.Portfolio.Cash;
var cashAfterOrder = cash - orderCost;
if (cashAfterOrder < _minimumAccountBalance)
{
// return a message describing why we're not allowing this order
message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InsufficientRemainingCapital",
$"Account must maintain a minimum of ${_minimumAccountBalance.ToStringInvariant()} USD at all times. " +
$"Order ID: {order.Id.ToStringInvariant()}"
);
return false;
}
return true;
}
}
}
}