# 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 AlgorithmImports import *

### <summary>
### Regression algorithm demonstrating how to get order events in custom execution models
### and asserting that they match the algorithm's order events.
### </summary>
class ExecutionModelOrderEventsRegressionAlgorithm(QCAlgorithm):
 def initialize(self):
 self._order_events = []
 self.universe_settings.resolution = Resolution.MINUTE

 self.set_start_date(2013, 10, 7)
 self.set_end_date(2013, 10, 11)
 self.set_cash(100000)

 self.set_universe_selection(ManualUniverseSelectionModel(Symbol.create("SPY", SecurityType.EQUITY, Market.USA)))
 self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes=20), 0.025, None))
 self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.DAILY))

 self._execution_model = CustomImmediateExecutionModel()
 self.set_execution(self._execution_model)
 self.set_risk_management(MaximumDrawdownPercentPerSecurity(0.01))

 def on_order_event(self, order_event):
 self._order_events.append(order_event)

 def on_end_of_algorithm(self):
 if len(self._execution_model.order_events) != len(self._order_events):
 raise Exception(f"Order events count mismatch. Execution model: {len(self._execution_model.order_events)}, Algorithm: {len(self._order_events)}")

 for i, (model_event, algo_event) in enumerate(zip(self._execution_model.order_events, self._order_events)):
 if (model_event.id != algo_event.id or
 model_event.order_id != algo_event.order_id or
 model_event.status != algo_event.status):
 raise Exception(f"Order event mismatch at index {i}. Execution model: {model_event}, Algorithm: {algo_event}")

class CustomImmediateExecutionModel(ExecutionModel):
 def __init__(self):
 self._targets_collection = PortfolioTargetCollection()
 self._order_tickets = {}
 self.order_events = []

 def execute(self, algorithm, targets):
 self._targets_collection.add_range(targets)
 if not self._targets_collection.is_empty:
 for target in self._targets_collection.order_by_margin_impact(algorithm):
 security = algorithm.securities[target.symbol]

 # calculate remaining quantity to be ordered
 quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)

 if (quantity != 0 and
 BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(security.buying_power_model,
 security, quantity, algorithm.portfolio, algorithm.settings.minimum_order_margin_portfolio_percentage)):
 ticket = algorithm.market_order(security.symbol, quantity, asynchronous=True, tag=target.tag)
 self._order_tickets[ticket.order_id] = ticket

 self._targets_collection.clear_fulfilled(algorithm)

 def on_order_event(self, algorithm, order_event):
 algorithm.log(f"{algorithm.time} - Order event received: {order_event}")

 # This method will get events for all orders, but if we save the tickets in Execute we can filter
 # to process events for orders placed by this model
 if order_event.order_id in self._order_tickets:
 ticket = self._order_tickets[order_event.order_id]
 if order_event.status.is_fill():
 algorithm.debug(f"Purchased Stock: {order_event.symbol}")
 if order_event.status.is_closed():
 del self._order_tickets[order_event.order_id]

 self.order_events.append(order_event)