Execution model that submits orders while the current market price is more favorable that the current volume weighted average price. More...

Inheritance diagram for QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel:

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Classes
class	SymbolData
	Symbol data for this Execution Model More...

Public Member Functions
override void	Execute (QCAlgorithm algorithm, IPortfolioTarget[] targets)
	Submit orders for the specified portfolio targets. This model is free to delay or spread out these orders as it sees fit More...

override void	OnSecuritiesChanged (QCAlgorithm algorithm, SecurityChanges changes)
	Event fired each time the we add/remove securities from the data feed More...

Protected Member Functions
virtual bool	IsSafeToRemove (QCAlgorithm algorithm, Symbol symbol)
	Determines if it's safe to remove the associated symbol data More...

virtual bool	PriceIsFavorable (SymbolData data, decimal unorderedQuantity)
	Determines if the current price is better than VWAP More...

Properties
decimal	MaximumOrderQuantityPercentVolume = 0.01m `[get, set]`
	Gets or sets the maximum order quantity as a percentage of the current bar's volume. This defaults to 0.01m = 1%. For example, if the current bar's volume is 100, then the maximum order size would equal 1 share. More...

Detailed Description

Execution model that submits orders while the current market price is more favorable that the current volume weighted average price.

Definition at line 32 of file VolumeWeightedAveragePriceExecutionModel.cs.

Member Function Documentation

◆ Execute()

override void QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel.Execute	(	QCAlgorithm	algorithm,
		IPortfolioTarget[]	targets
	)

virtual

Submit orders for the specified portfolio targets. This model is free to delay or spread out these orders as it sees fit

Parameters

algorithm	The algorithm instance
targets	The portfolio targets to be ordered

Reimplemented from QuantConnect.Algorithm.Framework.Execution.ExecutionModel.

Definition at line 50 of file VolumeWeightedAveragePriceExecutionModel.cs.

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◆ OnSecuritiesChanged()

override void QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel.OnSecuritiesChanged	(	QCAlgorithm	algorithm,
		SecurityChanges	changes
	)

virtual

Event fired each time the we add/remove securities from the data feed

Parameters

algorithm	The algorithm instance that experienced the change in securities
changes	The security additions and removals from the algorithm

Reimplemented from QuantConnect.Algorithm.Framework.Execution.ExecutionModel.

Definition at line 95 of file VolumeWeightedAveragePriceExecutionModel.cs.

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◆ IsSafeToRemove()

virtual bool QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel.IsSafeToRemove	(	QCAlgorithm	algorithm,
		Symbol	symbol
	)

protectedvirtual

Determines if it's safe to remove the associated symbol data

Definition at line 123 of file VolumeWeightedAveragePriceExecutionModel.cs.

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◆ PriceIsFavorable()

virtual bool QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel.PriceIsFavorable	(	SymbolData	data,
		decimal	unorderedQuantity
	)

protectedvirtual

Determines if the current price is better than VWAP

Definition at line 132 of file VolumeWeightedAveragePriceExecutionModel.cs.

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Property Documentation

◆ MaximumOrderQuantityPercentVolume

decimal QuantConnect.Algorithm.Framework.Execution.VolumeWeightedAveragePriceExecutionModel.MaximumOrderQuantityPercentVolume = 0.01m

getset

Gets or sets the maximum order quantity as a percentage of the current bar's volume. This defaults to 0.01m = 1%. For example, if the current bar's volume is 100, then the maximum order size would equal 1 share.

Definition at line 42 of file VolumeWeightedAveragePriceExecutionModel.cs.

The documentation for this class was generated from the following file:

Algorithm.Framework/Execution/VolumeWeightedAveragePriceExecutionModel.cs

Classes

Public Member Functions

Protected Member Functions

Properties