Merge pull request #1925 from QuantConnect/refactor-reality-model-sni…

…ppets-wrapping

Refactor Method/Class Wrapping of Reality Modeling Snippets

03 Writing Algorithms/24 Reality Modeling/02 Trade Fills/01 Key Concepts/02 Set Models.php

@@ -1,11 +1,17 @@
 <p>The brokerage model of your algorithm automatically sets the fill model for each security, but you can override it. To manually set the fill model of a security, call the <code class="csharp">SetFillModel</code><code class="python">set_fill_model</code> method on the Security object.</p>
 <div class="section-example-container">
-    <pre class="csharp">// In Initialize
-var security = AddEquity("SPY");
-security.SetFillModel(new ImmediateFillModel());</pre>
-    <pre class="python"># In Initialize
-security = self.add_equity("SPY")
-security.set_fill_model(ImmediateFillModel())</pre>
+    <pre class="csharp">public override void Initialize()
+{
+    var security = AddEquity("SPY");
+    // Set the fill model for the requested security to backtest with the most realistic scenario
+    // ImmediateFillModel provide no delay from network issue or brokerage rules
+    security.SetFillModel(new ImmediateFillModel());
+}</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    security = self.add_equity("SPY")
+    # Set the fill model for the requested security to backtest with the most realistic scenario
+    # ImmediateFillModel provide no delay from network issue or brokerage rules
+    security.set_fill_model(ImmediateFillModel())</pre>
 </div>
 
 <p>You can also set the fill model in a <a href='/docs/v2/writing-algorithms/initialization#07-Set-Security-Initializer'>security initializer</a>. If your algorithm has a dynamic universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call <code class="csharp">SetSecurityInitializer</code><code class="python">set_security_initializer</code> before you create the subscriptions.</p><p>

03 Writing Algorithms/24 Reality Modeling/02 Trade Fills/01 Key Concepts/04 Model Structure.html

@@ -1,9 +1,16 @@
 <p>Fill Models should extend the <code>FillModel</code> class. To implement your own fill model, override the methods in the <code>FillModel</code> class you wish to change.
 	The class has a dedicated method for each order type. Most of the methods receive a <code>Security</code> and <code>Order</code> object and return an <code>OrderEvent</code> object that contains information about the order status, fill quantity, and errors. <br></p>
 <div class="section-example-container">
-<pre class="csharp">// In the Initialize method, set the custom fill model
-security.SetFillModel(new MyFillModel());
-
+<pre class="csharp">public class CustomFillModelExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        // In the Initialize method, set the custom fill model for an added security to use the custom model
+        var security = AddEquity("SPY");
+        security.SetFillModel(new MyFillModel());
+    }
+}
+
 // Define the custom fill model outside of the algorithm
 public class MyFillModel : FillModel {
 
@@ -52,8 +59,11 @@
     }
 }
 </pre>
-<pre class="python"># In the Initialize method, set the custom fill model
-security.set_fill_model(MyFillModel())
+<pre class="python">class CustomFillModelExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        # In the Initialize method, set the custom fill model for an added security to use the custom model
+        security = self.add_equity("SPY")
+        security.set_fill_model(MyFillModel())
 
 # Define the custom fill model outside of the algorithm
 class MyFillModel(FillModel):

03 Writing Algorithms/24 Reality Modeling/03 Slippage/01 Key Concepts/03 Set Models.php

@@ -1,12 +1,20 @@
 <p>The brokerage model of your algorithm automatically sets the slippage model for each security, but you can override it. To manually set the slippage model of a security, call the <code class="csharp">SetSlippageModel</code><code class="python">set_slippage_model</code> method on the <code>Security</code> object.</p>
 
 <div class="section-example-container">
-    <pre class="csharp">// In Initialize
-var security = AddEquity("SPY");
-security.SetSlippageModel(new VolumeShareSlippageModel());</pre>
-    <pre class="python"># In Initialize
-security = self.add_equity("SPY")
-security.set_slippage_model(VolumeShareSlippageModel())</pre>
+    <pre class="csharp">public override void Initialize()
+{
+    var security = AddEquity("SPY");
+    // Set the slippage model for the requested security to backtest with the most realistic scenario
+    // VolumeShareSlippageModel has slippage size affected by the volume of the order compared to the actual filled volume of the bar
+    // It is only valid for the security with a volume property, while being more accurate with denser resolution
+    security.SetSlippageModel(new VolumeShareSlippageModel());
+}</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    security = self.add_equity("SPY")
+    # Set the slippage model for the requested security to backtest with the most realistic scenario
+    # VolumeShareSlippageModel has slippage size affected by the volume of the order compared to the actual filled volume of the bar
+    # It is only valid for the security with a volume property, while being more accurate with denser resolution
+    security.set_slippage_model(VolumeShareSlippageModel())</pre>
 </div>
 
 <p>You can also set the slippage model in a <a href='/docs/v2/writing-algorithms/initialization#07-Set-Security-Initializer'>security initializer</a>. If your algorithm has a dynamic universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call <code class="csharp">SetSecurityInitializer</code><code class="python">set_security_initializer</code> before you create the subscriptions.</p>

03 Writing Algorithms/24 Reality Modeling/03 Slippage/01 Key Concepts/05 Model Structure.html

@@ -1,8 +1,15 @@
 <p>Slippage models should implement the <code>ISlippageModel</code> interface. Extensions of the <code>ISlippageModel</code> interface must implement the <code class="csharp">GetSlippageApproximation</code><code class="python">get_slippage_approximation</code> method, which calculates the slippage quantity.</p>
 
 <div class="section-example-container">
-<pre class="csharp">// In the Initialize method, set the slippage model
-security.SetSlippageModel(new MySlippageModel());
+<pre class="csharp">public class CustomSlippageModelExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        // In the Initialize method, set the custom slippage model for an added security to use the custom model
+        var security = AddEquity("SPY");
+        security.SetSlippageModel(new MySlippageModel());
+    }
+}
 
 // Define the custom slippage model
 public class MySlippageModel : ISlippageModel 
@@ -13,8 +20,11 @@
     }
 }
 </pre>
-<pre class="python"># In the Initialize method, set the slippage model
-security.set_slippage_model(MySlippageModel())
+<pre class="python">class CustomSlippageModelExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        # In the Initialize method, set the custom slippage model for an added security to use the custom model
+        security = self.add_equity("SPY")
+        security.set_slippage_model(MySlippageModel())
 
 # Define the custom slippage model
 class MySlippageModel:

03 Writing Algorithms/24 Reality Modeling/04 Transaction Fees/01 Key Concepts/02 Set Models.php

@@ -5,10 +5,14 @@
     <pre class="csharp">public override Initialize()
 {
     var security = AddEquity("SPY");
+    // Set the fee model for the requested security to backtest with the most realistic scenario
+    // Constant fee model of 0 dollar is accurate for the commission-free brokerage
     security.SetFeeModel(new ConstantFeeModel(0));
 }</pre>
     <pre class="python">def initialize(self):
     security = self.add_equity("SPY")
+    # Set the fee model for the requested security to backtest with the most realistic scenario
+    # Constant fee model of 0 dollar is accurate for the commission-free brokerage
     security.set_fee_model(ConstantFeeModel(0))</pre>
 </div>
 

03 Writing Algorithms/24 Reality Modeling/04 Transaction Fees/01 Key Concepts/04 Model Structure.html

@@ -1,8 +1,15 @@
 <p>Fee models should extend the <code>FeeModel</code> class. Extensions of the <code>FeeModel</code> class must implement the <code class="csharp">GetOrderFee</code><code class="python">get_order_fee</code> method, which receives <code>OrderFeeParameters</code> and returns an <code>OrderFee</code> that represents a cash amount in a currency.</p>
 
 <div class="section-example-container">
-<pre class="csharp">// In the Initialize method, set the fee model
-security.SetFeeModel(new MyFeeModel());
+<pre class="csharp">public class CustomFeeModelExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        // In the Initialize method, set the custom fee model for an added security to use the custom model
+        var security = AddEquity("SPY");
+        security.SetFeeModel(new MyFeeModel());
+    }
+}
 
 // Define the custom fee model
 public class MyFeeModel : FeeModel 
@@ -12,8 +19,11 @@
         return new OrderFee(new CashAmount(0.5m, "USD"));
     }
 }</pre>
-<pre class="python"># In the Initialize method, set the fee model
-security.set_fee_model(MyFeeModel())
+<pre class="python">class CustomFeeModelExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        # In the Initialize method, set the custom fee model for an added security to use the custom model
+        security = self.add_equity("SPY")
+        security.set_fee_model(MyFeeModel())
 
 # Define the custom fee model
 class MyFeeModel(FeeModel):

03 Writing Algorithms/24 Reality Modeling/05 Brokerages/01 Key Concepts/02 Set Models.html

@@ -1,11 +1,16 @@
 <p>To set a brokerage model, in the <code class="csharp">Initialize</code><code class="python">initialize</code> method, call the <code class="csharp">SetBrokerageModel</code><code class="python">set_brokerage_model</code> method with a <code>BrokerageName</code> and an <code>AccountType</code>. If you set a brokerage model, it overrides any security level models you manually set in your algorithm.</p>
 
 <div class="section-example-container">
-	<pre class="csharp">SetBrokerageModel(BrokerageName.OandaBrokerage); // Defaults to margin account
-SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin); // Overrides the default account type
-</pre>
-<pre class="python">self.set_brokerage_model(BrokerageName.OANDA_BROKERAGE) # Defaults to margin account
-self.set_brokerage_model(BrokerageName.BITFINEX, AccountType.MARGIN) # Overrides the default account type
+	<pre class="csharp">public override void Initialize()
+{
+	// Set the brokerage model to backtest with the most realistic scenario to handle the order validity, margin rate and transaction fee
+	SetBrokerageModel(BrokerageName.OandaBrokerage); // Defaults to margin account
+	SetBrokerageModel(BrokerageName.Bitfinex, AccountType.Margin); // Overrides the default account type, which is AccountType.Cash
+}</pre>
+<pre class="python">def initialize(self) -&gt; None:
+	# Set the brokerage model to backtest with the most realistic scenario to handle the order validity, margin rate and transaction fee
+	self.set_brokerage_model(BrokerageName.OANDA_BROKERAGE) # Defaults to margin account
+	self.set_brokerage_model(BrokerageName.BITFINEX, AccountType.MARGIN) # Overrides the default account type, which is AccountType.Cash
 </pre></div>
 
 <p>In live trading, LEAN doesn't ignore your <code class="csharp">SetBrokerageModel</code><code class="python">set_brokerage_model</code> method calls. LEAN uses some of the brokerage model rules to catch invalid orders before they reach your real brokerage.</p>

03 Writing Algorithms/24 Reality Modeling/05 Brokerages/01 Key Concepts/06 Model Structure.html

@@ -1,8 +1,14 @@
 <p>Brokerage models should extend the <code>DefaultBrokerageModel</code> class. Extensions of the <code>DefaultBrokerageModel</code> class should implement the following methods:</p>
 
 <div class="section-example-container">
-<pre class="csharp">// In the Initialize method, set the custom brokerage model
-SetBrokerageModel(new MyBrokerageModel());
+<pre class="csharp">public class CustomBrokerageModelExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        // In the Initialize method, set the custom brokerage model
+        SetBrokerageModel(new MyBrokerageModel());
+    }
+}
 
 // Define the custom brokerage model outside of the algorithm
 class MyBrokerageModel : DefaultBrokerageModel
@@ -88,8 +94,10 @@
     }
 }
 </pre>
-<pre class="python"># In the Initialize method, set the custom brokerage model
-self.set_brokerage_model(MyBrokerageModel())
+<pre class="python">class CustomBrokerageModelExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        # In the Initialize method, set the custom brokerage model
+        self.set_brokerage_model(MyBrokerageModel())
 
 # Define the custom brokerage model outside of the algorithm
 class MyBrokerageModel(DefaultBrokerageModel):

03 Writing Algorithms/24 Reality Modeling/06 Brokerage Message Handler/02 Set Models.html

@@ -1,6 +1,14 @@
 <p>To set a brokerage message handler, in the <code class="csharp">Initialize</code><code class="python">initialize</code> method, call the <code class="csharp">SetBrokerageMessageHandler</code><code class="python">set_brokerage_message_handler</code> method.</p>
 
 <div class="section-example-container">
-	<pre class="csharp">SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));</pre>
-    <pre class="python">self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))</pre>
+	<pre class="csharp">public override void Initialize()
+{
+    // Set a custom brokerage message handler for the algorithm in Initialize method
+    // It handles different type of returned message from the broker, helping you filter or abstract for the ones you care about
+    SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));
+}</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    # Set a custom brokerage message handler for the algorithm in Initialize method
+    # It handles different type of returned message from the broker, helping you filter or abstract for the ones you care about
+    self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))</pre>
 </div>

03 Writing Algorithms/24 Reality Modeling/06 Brokerage Message Handler/06 Model Structure.html

@@ -8,8 +8,14 @@
 <p>The <code class="csharp">HandleOrder</code><code class="python">handle_order</code> method defines whether the transaction handler should process a new order you placed directly through the brokerage's website or third-party software.</p>
 
 <div class="section-example-container">
-    <pre class="csharp">// In the Initialize method, set the brokerage message handler
-SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));
+    <pre class="csharp">public class CustomBrokerageMessageHandlerExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        // In the Initialize method, set the brokerage message handler
+        SetBrokerageMessageHandler(new MyBrokerageMessageHandler(this));
+    }
+}
 
 // Define the custom brokerage message handler
 public class MyBrokerageMessageHandler : DefaultBrokerageMessageHandler
@@ -31,8 +37,10 @@
         return false;
     }
 }</pre>
-    <pre class="python"># In the Initialize method, set the brokerage message handler
-self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))
+    <pre class="python">class CustomBrokerageMessageHandlerExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        # In the Initialize method, set the brokerage message handler
+        self.set_brokerage_message_handler(MyBrokerageMessageHandler(self))
 
 # Define the custom brokerage message handler
 class MyBrokerageMessageHandler(DefaultBrokerageMessageHandler):

03 Writing Algorithms/24 Reality Modeling/07 Buying Power/06 Set Models.php

@@ -1,12 +1,16 @@
 <p>The brokerage model of your algorithm automatically sets the buying power model for each security, but you can override it. To manually set the buying power model of a security, call the <code class="csharp">SetBuyingPowerModel</code><code class="python">set_buying_power_model</code> method on the <code>Security</code> object.</p>
 
 <div class="section-example-container">
-    <pre class="csharp">// In Initialize
-var security = AddEquity("SPY");
-security.SetBuyingPowerModel(new SecurityMarginModel(3m));</pre>
-    <pre class="python"># In Initialize
-security = self.add_equity("SPY")
-security.set_buying_power_model(SecurityMarginModel(3))</pre>
+    <pre class="csharp">public override void Initialize()
+{
+    var security = AddEquity("SPY");
+    // Use 3x leverage on the selected security, which mimic the actual buying power of your broker
+    security.SetBuyingPowerModel(new SecurityMarginModel(3m));
+}</pre>
+    <pre class="python">def initialize(self) -&gt; None:
+    security = self.add_equity("SPY")
+    # Use 3x leverage on the selected security, which mimic the actual buying power of your broker
+    security.set_buying_power_model(SecurityMarginModel(3))</pre>
 </div>
 
 <p>You can also set the buying power model in a <a href='/docs/v2/writing-algorithms/initialization#07-Set-Security-Initializer'>security initializer</a>. If your algorithm has a universe, use the security initializer technique. In order to initialize single security subscriptions with the security initializer, call <code class="csharp">SetSecurityInitializer</code><code class="python">set_security_initializer</code> before you create the subscriptions.</p>

03 Writing Algorithms/24 Reality Modeling/07 Buying Power/09 Model Structure.html

@@ -2,8 +2,15 @@
 Extensions of the <code>BuyingPowerModel</code> class should implement the following methods: </p>
 
 <div class="section-example-container">
-<pre class="csharp">// In the Initialize method, set the buying power model
-security.SetBuyingPowerModel(new MyBuyingPowerModel());
+<pre class="csharp">public class CustomBuyingPowerModelExampleAlgorithm : QCAlgorithm
+{
+    public override void Initialize()
+    {
+        var security = AddEquity("SPY");
+        // Set the custom buying power model of the selected security to mimic its actual buying power in your used broker
+        security.SetBuyingPowerModel(new MyBuyingPowerModel());
+    }
+}
 
 // Define the custom buying power model
 class MyBuyingPowerModel : BuyingPowerModel
@@ -77,8 +84,11 @@
         return base.GetBuyingPower(parameters);
     }
 }</pre>
-<pre class="python"># In the Initialize method, set the buying power model
-security.set_buying_power_model(MyBuyingPowerModel())
+<pre class="python">class CustomBuyingPowerModelExampleAlgorithm(QCAlgorithm):
+    def initialize(self) -&gt; None:
+        security = self.add_equity("SPY")
+        # Set the custom buying power model of the selected security to mimic its actual buying power in your used broker
+        security.set_buying_power_model(MyBuyingPowerModel())
 
 # Define the custom buying power model
 class MyBuyingPowerModel(BuyingPowerModel):