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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.

* 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 QuantConnect.Brokerages;

using QuantConnect.Data.Market;

using QuantConnect.Orders;

using QuantConnect.Securities;

namespace QuantConnect.Algorithm.Examples

{

/// <summary>

/// Quick demo algorithm showing usage of the BrokerageModel property. The BrokerageModel helps to

/// improve backtesting fidelity through simulation of a specific brokerage's rules around restrictions

/// on submitting orders as well as fee structure.

/// </summary>

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.TradierBrokerage);

//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",

string.Format("Account must maintain a minimum of ${0} USD at all times. Order ID: {1}", _minimumAccountBalance, order.Id)

);

return false;

}

return true;

}

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