/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
}
/********************************************************
* CLASS CONSTRUCTOR
*********************************************************/
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager();
Securities = new SecurityManager();
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
}
public void BrokerageModelSecurityInitializer_SetLeverageForBuyingPowerModel_Successfully()
{
var brokerageModel = new DefaultBrokerageModel(AccountType.Cash);
var localBrokerageInitializer = new BrokerageModelSecurityInitializer(brokerageModel,
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
Assert.AreEqual(1.0, _tradeBarSecurity.Leverage);
localBrokerageInitializer.Initialize(_tradeBarSecurity);
Assert.AreEqual(1.0, _tradeBarSecurity.Leverage);
Assert.AreEqual(1.0, _tradeBarSecurity.BuyingPowerModel.GetLeverage(_tradeBarSecurity));
}
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
// AlgorithmManager will flip this when we're caught up with realtime
IsWarmingUp = true;
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
UniverseSettings = new SubscriptionSettings(Resolution.Minute, 2m, true, false);
// initialize our scheduler, this acts as a liason to the real time handler
Schedule = new ScheduleManager(Securities, TimeZone);
// initialize the trade builder
TradeBuilder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
}
/// <summary>
/// Sets the brokerage to emulate in backtesting or paper trading.
/// This can be used for brokerages that have been implemented in LEAN
/// </summary>
/// <param name="brokerage">The brokerage to emulate</param>
public void SetBrokerageModel(BrokerageName brokerage)
{
switch (brokerage)
{
case BrokerageName.Default:
BrokerageModel = new DefaultBrokerageModel();
break;
case BrokerageName.InteractiveBrokersBrokerage:
BrokerageModel = new InteractiveBrokersBrokerageModel();
break;
case BrokerageName.TradierBrokerage:
BrokerageModel = new TradierBrokerageModel();
break;
default:
throw new ArgumentOutOfRangeException("brokerage", brokerage, null);
}
}
