/*

* 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 System;

using System.Collections.Generic;

using QuantConnect.Data.Market;

using QuantConnect.Orders;

using QuantConnect.Orders.Fees;

using QuantConnect.Orders.Fills;

using QuantConnect.Orders.Slippage;

using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// This algorithm shows how you can define your own custom models.

/// </summary>

public class CustomModelsAlgorithm : QCAlgorithm

{

private Security _security;

private Symbol _spy = QuantConnect.Symbol.Create("SPY", SecurityType.Equity, Market.USA);

public override void Initialize()

{

SetStartDate(2012, 01, 01);

SetEndDate(2012, 02, 01);

AddSecurity(SecurityType.Equity, "SPY", Resolution.Hour);

// set our models

_security = Securities[_spy];

_security.FeeModel = new CustomFeeModel(this);

_security.FillModel = new CustomFillModel(this);

_security.SlippageModel = new CustomSlippageModel(this);

}

public void OnData(TradeBars data)

{

var openOrders = Transactions.GetOpenOrders(_spy);

if (openOrders.Count != 0) return;

if (Time.Day > 10 && _security.Holdings.Quantity <= 0)

{

var quantity = CalculateOrderQuantity(_spy, .5m);

Log("MarketOrder: " + quantity);

MarketOrder(_spy, quantity, asynchronous: true); // async needed for partial fill market orders

}

else if (Time.Day > 20 && _security.Holdings.Quantity >= 0)

{

var quantity = CalculateOrderQuantity(_spy, -.5m);

Log("MarketOrder: " + quantity);

MarketOrder(_spy, quantity, asynchronous: true); // async needed for partial fill market orders

}

}

public class CustomFillModel : ImmediateFillModel

{

private readonly QCAlgorithm _algorithm;

private readonly Random _random = new Random(387510346); // seed it for reproducibility

private readonly Dictionary<long, decimal> _absoluteRemainingByOrderId = new Dictionary<long, decimal>();

public CustomFillModel(QCAlgorithm algorithm)

{

_algorithm = algorithm;

}

public override OrderEvent MarketFill(Security asset, MarketOrder order)

{

// this model randomly fills market orders

decimal absoluteRemaining;

if (!_absoluteRemainingByOrderId.TryGetValue(order.Id, out absoluteRemaining))

{

absoluteRemaining = order.AbsoluteQuantity;

_absoluteRemainingByOrderId.Add(order.Id, order.AbsoluteQuantity);

}

var fill = base.MarketFill(asset, order);

var absoluteFillQuantity = (int) (Math.Min(absoluteRemaining, _random.Next(0, 2*(int)order.AbsoluteQuantity)));

fill.FillQuantity = Math.Sign(order.Quantity) * absoluteFillQuantity;

if (absoluteRemaining == absoluteFillQuantity)

{

fill.Status = OrderStatus.Filled;

_absoluteRemainingByOrderId.Remove(order.Id);

}

else

{

absoluteRemaining = absoluteRemaining - absoluteFillQuantity;

_absoluteRemainingByOrderId[order.Id] = absoluteRemaining;

fill.Status = OrderStatus.PartiallyFilled;

}

_algorithm.Log("CustomFillModel: " + fill);

return fill;

}

}

public class CustomFeeModel : IFeeModel

{

private readonly QCAlgorithm _algorithm;

public CustomFeeModel(QCAlgorithm algorithm)

{

_algorithm = algorithm;

}

public decimal GetOrderFee(Security security, Order order)

{

// custom fee math

var fee = Math.Max(1m, security.Price*order.AbsoluteQuantity*0.00001m);

_algorithm.Log("CustomFeeModel: " + fee);

return fee;

}

}

public class CustomSlippageModel : ISlippageModel

{

private readonly QCAlgorithm _algorithm;

public CustomSlippageModel(QCAlgorithm algorithm)

{

_algorithm = algorithm;

}

public decimal GetSlippageApproximation(Security asset, Order order)

{

// custom slippage math

var slippage = asset.Price*0.0001m*(decimal) Math.Log10(2*(double) order.AbsoluteQuantity);

_algorithm.Log("CustomSlippageModel: " + slippage);

return slippage;

}

}

}

}