StandardDeviationExecutionModel.cs

/*
 * 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 System.Linq;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Data.Consolidators;
using QuantConnect.Data.UniverseSelection;
using QuantConnect.Indicators;
using QuantConnect.Securities;
using QuantConnect.Orders;
 
namespace QuantConnect.Algorithm.Framework.Execution
{
    /// <summary>
    /// Execution model that submits orders while the current market prices is at least the configured number of standard
    /// deviations away from the mean in the favorable direction (below/above for buy/sell respectively)
    /// </summary>
    public class StandardDeviationExecutionModel : ExecutionModel
    {
        private readonly int _period;
        private readonly decimal _deviations;
        private readonly Resolution _resolution;
        private readonly PortfolioTargetCollection _targetsCollection;
        private readonly Dictionary<Symbol, SymbolData> _symbolData;
 
        /// <summary>
        /// Gets or sets the maximum order value in units of the account currency.
        /// This defaults to $20,000. For example, if purchasing a stock with a price
        /// of $100, then the maximum order size would be 200 shares.
        /// </summary>
        public decimal MaximumOrderValue { get; set; } = 20 * 1000;
 
        /// <summary>
        /// Initializes a new instance of the <see cref="StandardDeviationExecutionModel"/> class
        /// </summary>
        /// <param name="period">Period of the standard deviation indicator</param>
        /// <param name="deviations">The number of deviations away from the mean before submitting an order</param>
        /// <param name="resolution">The resolution of the STD and SMA indicators</param>
        public StandardDeviationExecutionModel(
            int period = 60,
            decimal deviations = 2m,
            Resolution resolution = Resolution.Minute
            )
        {
            _period = period;
            _deviations = deviations;
            _resolution = resolution;
            _targetsCollection = new PortfolioTargetCollection();
            _symbolData = new Dictionary<Symbol, SymbolData>();
        }
 
        /// <summary>
        /// Executes market orders if the standard deviation of price is more than the configured number of deviations
        /// in the favorable direction.
        /// </summary>
        /// <param name="algorithm">The algorithm instance</param>
        /// <param name="targets">The portfolio targets</param>
        public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
        {
            _targetsCollection.AddRange(targets);
 
            // for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call
            if (!_targetsCollection.IsEmpty)
            {
                foreach (var target in _targetsCollection.OrderByMarginImpact(algorithm))
                {
                    var symbol = target.Symbol;
 
                    // calculate remaining quantity to be ordered
                    var unorderedQuantity = OrderSizing.GetUnorderedQuantity(algorithm, target);
 
                    // fetch our symbol data containing our STD/SMA indicators
                    SymbolData data;
                    if (!_symbolData.TryGetValue(symbol, out data))
                    {
                        continue;
                    }
 
                    // check order entry conditions
                    if (data.STD.IsReady && PriceIsFavorable(data, unorderedQuantity))
                    {
                        // Adjust order size to respect the maximum total order value
                        var orderSize = OrderSizing.GetOrderSizeForMaximumValue(data.Security, MaximumOrderValue, unorderedQuantity);
 
                        if (orderSize != 0)
                        {
                            algorithm.MarketOrder(symbol, orderSize);
                        }
                    }
                }
 
                _targetsCollection.ClearFulfilled(algorithm);
            }
        }
 
        /// <summary>
        /// Event fired each time the we add/remove securities from the data feed
        /// </summary>
        /// <param name="algorithm">The algorithm instance that experienced the change in securities</param>
        /// <param name="changes">The security additions and removals from the algorithm</param>
        public override void OnSecuritiesChanged(QCAlgorithm algorithm, SecurityChanges changes)
        {
            foreach (var added in changes.AddedSecurities)
            {
                // initialize new securities
                if (!_symbolData.ContainsKey(added.Symbol))
                {
                    _symbolData[added.Symbol] = new SymbolData(algorithm, added, _period, _resolution);
                }
            }
 
            foreach (var removed in changes.RemovedSecurities)
            {
                // clean up data from removed securities
                SymbolData data;
                if (_symbolData.TryGetValue(removed.Symbol, out data))
                {
                    if (IsSafeToRemove(algorithm, removed.Symbol))
                    {
                        _symbolData.Remove(removed.Symbol);
                        algorithm.SubscriptionManager.RemoveConsolidator(removed.Symbol, data.Consolidator);
                    }
                }
            }
        }
 
        /// <summary>
        /// Determines if the current price is more than the configured number of standard deviations
        /// away from the mean in the favorable direction.
        /// </summary>
        protected virtual bool PriceIsFavorable(SymbolData data, decimal unorderedQuantity)
        {
            var deviations = _deviations * data.STD;
            return unorderedQuantity > 0
                ? data.Security.BidPrice < data.SMA - deviations
                : data.Security.AskPrice > data.SMA + deviations;
        }
 
        /// <summary>
        /// Determines if it's safe to remove the associated symbol data
        /// </summary>
        protected virtual bool IsSafeToRemove(QCAlgorithm algorithm, Symbol symbol)
        {
            // confirm the security isn't currently a member of any universe
            return !algorithm.UniverseManager.Any(kvp => kvp.Value.ContainsMember(symbol));
        }
 
        /// <summary>
        /// Symbol Data for this Execution Model
        /// </summary>
        protected class SymbolData
        {
            /// <summary>
            /// Security
            /// </summary>
            public Security Security { get; }
 
            /// <summary>
            /// Standard Deviation
            /// </summary>
            public StandardDeviation STD { get; }
            
            /// <summary>
            /// Simple Moving Average
            /// </summary>
            public SimpleMovingAverage SMA { get; }
 
            /// <summary>
            /// Data Consolidator
            /// </summary>
            public IDataConsolidator Consolidator { get; }
 
            /// <summary>
            /// Initialize an instance of <see cref="SymbolData"/>
            /// </summary>
            /// <param name="algorithm">Algorithm for this security</param>
            /// <param name="security">The security we are using</param>
            /// <param name="period">Period of the SMA and STD</param>
            /// <param name="resolution">Resolution for this symbol</param>
            public SymbolData(QCAlgorithm algorithm, Security security, int period, Resolution resolution)
            {
                Security = security;
                Consolidator = algorithm.ResolveConsolidator(security.Symbol, resolution);
 
                var smaName = algorithm.CreateIndicatorName(security.Symbol, "SMA" + period, resolution);
                SMA = new SimpleMovingAverage(smaName, period);
                algorithm.RegisterIndicator(security.Symbol, SMA, Consolidator);
 
                var stdName = algorithm.CreateIndicatorName(security.Symbol, "STD" + period, resolution);
                STD = new StandardDeviation(stdName, period);
                algorithm.RegisterIndicator(security.Symbol, STD, Consolidator);
 
                // warmup our indicators by pushing history through the indicators
                foreach (var bar in algorithm.History(Security.Symbol, period, resolution))
                {
                    SMA.Update(bar.EndTime, bar.Value);
                    STD.Update(bar.EndTime, bar.Value);
                }
            }
        }
    }
}