chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,199 @@
|
||||
/*
|
||||
* 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.
|
||||
*/
|
||||
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using QuantConnect.Data;
|
||||
using QuantConnect.Interfaces;
|
||||
using QuantConnect.Orders;
|
||||
|
||||
namespace QuantConnect.Algorithm.CSharp
|
||||
{
|
||||
/// <summary>
|
||||
/// This algorithm tests order updates with margin constraints to ensure that orders become invalid when exceeding margin requirements.
|
||||
/// </summary>
|
||||
public class InsufficientMarginOrderUpdateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
|
||||
{
|
||||
private OrderTicket _stopOrderTicket;
|
||||
private OrderTicket _limitOrderTicket;
|
||||
private OrderTicket _trailingStopOrderTicket;
|
||||
private bool _updatesReady;
|
||||
private bool _updatesInProgress;
|
||||
private int _updateEventsCount;
|
||||
|
||||
public override void Initialize()
|
||||
{
|
||||
SetStartDate(2018, 4, 3);
|
||||
SetEndDate(2018, 4, 4);
|
||||
AddForex("EURUSD", Resolution.Minute);
|
||||
_updatesInProgress = true;
|
||||
_updateEventsCount = 0;
|
||||
}
|
||||
|
||||
public override void OnData(Slice data)
|
||||
{
|
||||
|
||||
if (!Portfolio.Invested)
|
||||
{
|
||||
var qty = CalculateOrderQuantity("EURUSD", 50m);
|
||||
|
||||
MarketOrder("EURUSD", qty);
|
||||
|
||||
// Place stop market, limit, and trailing stop orders with half the quantity
|
||||
_stopOrderTicket = StopMarketOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
|
||||
_limitOrderTicket = LimitOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
|
||||
_trailingStopOrderTicket = TrailingStopOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m, 0.01m, true);
|
||||
|
||||
// Update the stop order
|
||||
var updateStopOrderSettings = new UpdateOrderFields
|
||||
{
|
||||
// Attempt to increase the order quantity significantly
|
||||
Quantity = -qty * 100,
|
||||
StopPrice = Securities["EURUSD"].Price - 0.003m
|
||||
};
|
||||
_stopOrderTicket.Update(updateStopOrderSettings);
|
||||
|
||||
// Update limit order
|
||||
var updateLimitOrderSettings = new UpdateOrderFields
|
||||
{
|
||||
// Attempt to increase the order quantity significantly
|
||||
Quantity = -qty * 100,
|
||||
LimitPrice = Securities["EURUSD"].Price - 0.003m
|
||||
};
|
||||
_limitOrderTicket.Update(updateLimitOrderSettings);
|
||||
|
||||
// Update trailing stop order
|
||||
var updateTrailingStopOrderSettings = new UpdateOrderFields
|
||||
{
|
||||
// Attempt to increase the order quantity significantly
|
||||
Quantity = -qty * 100,
|
||||
StopPrice = Securities["EURUSD"].Price - 0.003m,
|
||||
TrailingAmount = 0.01m,
|
||||
};
|
||||
_trailingStopOrderTicket.Update(updateTrailingStopOrderSettings);
|
||||
_updatesReady = true;
|
||||
}
|
||||
}
|
||||
|
||||
public override void OnOrderEvent(OrderEvent orderEvent)
|
||||
{
|
||||
if (_updatesReady && _updatesInProgress)
|
||||
{
|
||||
if (orderEvent.Status != OrderStatus.Submitted)
|
||||
{
|
||||
throw new RegressionTestException($"Unexpected order event status {orderEvent.Status} received. Expected Submitted.");
|
||||
}
|
||||
// All updates have been enqueued and should be rejected one by one
|
||||
if (orderEvent.OrderId == _stopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
|
||||
{
|
||||
throw new RegressionTestException($"The stop order update should have been rejected due to insufficient margin");
|
||||
}
|
||||
|
||||
if (orderEvent.Id == _limitOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
|
||||
{
|
||||
throw new RegressionTestException($"The limit order update should have been rejected due to insufficient margin");
|
||||
}
|
||||
|
||||
if (orderEvent.Id == _trailingStopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
|
||||
{
|
||||
throw new RegressionTestException($"The trailing stop order update should have been rejected due to insufficient margin");
|
||||
}
|
||||
_updateEventsCount++;
|
||||
}
|
||||
if (_updateEventsCount >= 3)
|
||||
{
|
||||
_updatesInProgress = false;
|
||||
}
|
||||
|
||||
}
|
||||
|
||||
public override void OnEndOfAlgorithm()
|
||||
{
|
||||
// Updates were rejected, so all orders should be in Filled status
|
||||
var orders = Transactions.GetOrders().ToList();
|
||||
foreach (var order in orders)
|
||||
{
|
||||
if (order.Status != OrderStatus.Filled)
|
||||
{
|
||||
throw new RegressionTestException($"Order {order.Id} with symbol {order.Symbol} should have been filled, but its current status is {order.Status}.");
|
||||
}
|
||||
}
|
||||
if (!_updatesReady)
|
||||
{
|
||||
throw new RegressionTestException("Update Orders should be ready!");
|
||||
}
|
||||
}
|
||||
|
||||
/// <summary>
|
||||
/// Final status of the algorithm
|
||||
/// </summary>
|
||||
public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
|
||||
/// </summary>
|
||||
public bool CanRunLocally { get; } = true;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate which languages this algorithm is written in.
|
||||
/// </summary>
|
||||
public virtual List<Language> Languages { get; } = new() { Language.CSharp };
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of all timeslices of algorithm
|
||||
/// </summary>
|
||||
public long DataPoints => 2893;
|
||||
|
||||
/// <summary>
|
||||
/// Data Points count of the algorithm history
|
||||
/// </summary>
|
||||
public int AlgorithmHistoryDataPoints => 5;
|
||||
|
||||
/// <summary>
|
||||
/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
|
||||
/// </summary>
|
||||
public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
|
||||
{
|
||||
{"Total Orders", "4"},
|
||||
{"Average Win", "0%"},
|
||||
{"Average Loss", "0%"},
|
||||
{"Compounding Annual Return", "0%"},
|
||||
{"Drawdown", "0%"},
|
||||
{"Expectancy", "0"},
|
||||
{"Start Equity", "100000.00"},
|
||||
{"End Equity", "90809.64"},
|
||||
{"Net Profit", "0%"},
|
||||
{"Sharpe Ratio", "0"},
|
||||
{"Sortino Ratio", "0"},
|
||||
{"Probabilistic Sharpe Ratio", "0%"},
|
||||
{"Loss Rate", "0%"},
|
||||
{"Win Rate", "0%"},
|
||||
{"Profit-Loss Ratio", "0"},
|
||||
{"Alpha", "0"},
|
||||
{"Beta", "0"},
|
||||
{"Annual Standard Deviation", "0"},
|
||||
{"Annual Variance", "0"},
|
||||
{"Information Ratio", "0"},
|
||||
{"Tracking Error", "0"},
|
||||
{"Treynor Ratio", "0"},
|
||||
{"Total Fees", "$0.00"},
|
||||
{"Estimated Strategy Capacity", "$99000.00"},
|
||||
{"Lowest Capacity Asset", "EURUSD 8G"},
|
||||
{"Portfolio Turnover", "6777.62%"},
|
||||
{"Drawdown Recovery", "0"},
|
||||
{"OrderListHash", "505feaf1ae70ead2d7ab78ea257d7342"}
|
||||
};
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user