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Hello,
When trying to set a FeeTransactionModel in a QCFrameworkAlgorithm, I get this error.
Runtime Error: NameError : name 'ConstantFeeTransactionModel' is not defined
at OnSecuritiesChanged in main.py:line 44
NameError : name 'ConstantFeeTransactionModel' is not defined
I am unable to attach a backtest... I guess I cannot attach backtests with runtime errors? Here's the code:
from Alphas.ConstantAlphaModel import ConstantAlphaModel
from Portfolio.EqualWeightingPortfolioConstructionModel import EqualWeightingPortfolioConstructionModel
from Risk.NullRiskManagementModel import NullRiskManagementModel
class BasicTemplateFrameworkAlgorithm(QCAlgorithmFramework):
def Initialize(self):
# Set requested data resolution
self.UniverseSettings.Resolution = Resolution.Minute
self.SetStartDate(2018, 11, 26) #Set Start Date
self.SetEndDate(2018, 11, 27) #Set End Date
self.SetCash(100000) #Set Strategy Cash
self.SetUniverseSelection(ScheduledUniverseSelectionModel(
self.DateRules.Every(DayOfWeek.Monday, DayOfWeek.Tuesday, DayOfWeek.Wednesday, DayOfWeek.Thursday, DayOfWeek.Friday),
self.TimeRules.At(4, 0),
self.SelectSymbols))
self.SetAlpha(ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, None))
self.SetPortfolioConstruction(EqualWeightingPortfolioConstructionModel())
self.SetExecution(NullExecutionModel())
self.SetRiskManagement(NullRiskManagementModel())
def SelectSymbols(self, dateTime):
symbols = []
symbols.append(Symbol.Create('SPY', SecurityType.Equity, Market.USA))
return symbols
def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
# self.Debug("Purchased Stock: {0}".format(orderEvent.Symbol))
pass
def OnSecuritiesChanged(self, changes):
for instrument in changes.AddedSecurities:
self.Securities[instrument].FeeModel = ConstantFeeTransactionModel(0)
#self.Securities[instrument].SlippageModel = ConstantSlippageModel(0)
#self.Securities[instrument].SetDataNormalizationMode(DataNormalizationMode.Raw)
Douglas Stridsberg
I don't think that class exists anymore. You should probably use ConstantFeeModel instead (
).
KILLC
Solved the problem! Thanks Douglas
Alexandre Catarino
Hi KILLC, the code you provided is not formatted.
Please share an algorithm (use the attach backtest button below) that shows the issue you are experiencing.
This procedure helps us, the community, to answer your questions quickly and effectively.
KILLC
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