# 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.

from clr import AddReference

AddReference("System")

AddReference("QuantConnect.Common")

AddReference("QuantConnect.Algorithm")

AddReference("QuantConnect.Algorithm.Framework")

from System import *

from QuantConnect import *

from QuantConnect.Orders import *

from QuantConnect.Algorithm import *

from QuantConnect.Algorithm.Framework import *

from QuantConnect.Algorithm.Framework.Execution import *

from QuantConnect.Algorithm.Framework.Portfolio import *

class ImmediateExecutionModel(ExecutionModel):

'''Provides an implementation of IExecutionModel that immediately submits market orders to achieve the desired portfolio targets'''

def __init__(self):

'''Initializes a new instance of the ImmediateExecutionModel class'''

self.targetsCollection = PortfolioTargetCollection()

def Execute(self, algorithm, targets):

'''Immediately submits orders for the specified portfolio targets.

Args:

algorithm: The algorithm instance

targets: The portfolio targets to be ordered'''

# for performance we check count value, OrderByMarginImpact and ClearFulfilled are expensive to call

self.targetsCollection.AddRange(targets)

if self.targetsCollection.Count > 0:

for target in self.targetsCollection.OrderByMarginImpact(algorithm):

# calculate remaining quantity to be ordered

quantity = OrderSizing.GetUnorderedQuantity(algorithm, target)

if quantity != 0:

algorithm.MarketOrder(target.Symbol, quantity)

self.targetsCollection.ClearFulfilled(algorithm)