chore: import upstream snapshot with attribution
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wehub-resource-sync
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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities.CurrencyConversion;
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using QuantConnect.Securities.Equity;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Algorithm asserting that the unsettled cash book is updated correctly when the quote currency is not the account currency.
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/// Reproduces GH issue #6859.
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/// </summary>
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public class UnsettledCashWhenQuoteCurrencyIsNotAccountCurrencyAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Symbol _spy;
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private decimal _lastUnsettledCash;
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private DateTime _lastUnsettledCashUpdatedDate;
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private DateTime _lastTradeDate;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 07);
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SetEndDate(2013, 10, 08);
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SetAccountCurrency("EUR");
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SetCash(100000);
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SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage, AccountType.Cash);
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_spy = AddEquity("SPY", Resolution.Minute).Symbol;
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}
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public override void OnData(Slice slice)
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{
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if (Time - _lastTradeDate < TimeSpan.FromHours(1))
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{
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return;
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}
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_lastTradeDate = Time;
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if (!Portfolio.Invested)
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{
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SetHoldings(_spy, 0.1);
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}
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else
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{
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Liquidate();
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status == OrderStatus.Filled && orderEvent.Direction == OrderDirection.Sell)
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{
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Debug($"OrderEvent: {orderEvent}");
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Debug($"CashBook:\n{Portfolio.CashBook}\n");
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Debug($"UnsettledCashBook:\n{Portfolio.UnsettledCashBook}\n");
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if (!Portfolio.UnsettledCashBook.TryGetValue(orderEvent.FillPriceCurrency, out var unsettledCash))
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{
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throw new RegressionTestException($"Unsettled cash entry for {orderEvent.FillPriceCurrency} not found");
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}
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// Clear _lastUnsettledCash if the settlement period has elapsed
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if (orderEvent.UtcTime.Date >= _lastUnsettledCashUpdatedDate.AddDays(Equity.DefaultSettlementDays).Date)
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{
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_lastUnsettledCash = 0;
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}
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var expectedUnsettledCash = Math.Abs(orderEvent.FillPrice * orderEvent.FillQuantity);
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var actualUnsettledCash = unsettledCash.Amount - _lastUnsettledCash;
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if (actualUnsettledCash != expectedUnsettledCash)
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{
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throw new RegressionTestException($"Expected unsettled cash to be {expectedUnsettledCash} but was {actualUnsettledCash}");
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}
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_lastUnsettledCash = unsettledCash.Amount;
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_lastUnsettledCashUpdatedDate = orderEvent.UtcTime;
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}
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}
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public override void OnEndOfAlgorithm()
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{
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foreach (var kvp in Portfolio.CashBook)
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{
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var symbol = kvp.Key;
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var cash = kvp.Value;
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var unsettledCash = Portfolio.UnsettledCashBook[symbol];
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if (unsettledCash.ConversionRate != cash.ConversionRate)
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{
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throw new RegressionTestException($@"Unsettled cash conversion rate for {symbol} is {unsettledCash.ConversionRate} but should be {cash.ConversionRate}");
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}
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var accountCurrency = Portfolio.CashBook.AccountCurrency;
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if (unsettledCash.Symbol == accountCurrency)
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{
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if (unsettledCash.ConversionRate != 1)
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{
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throw new RegressionTestException($@"Conversion rate for {unsettledCash.Symbol} (the account currency) in the UnsettledCashBook should be 1 but was {unsettledCash.ConversionRate}.");
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}
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if (unsettledCash.CurrencyConversion.GetType() != typeof(ConstantCurrencyConversion) ||
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unsettledCash.CurrencyConversion.SourceCurrency != accountCurrency ||
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unsettledCash.CurrencyConversion.DestinationCurrency != accountCurrency)
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{
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throw new RegressionTestException($@"Currency conversion for {unsettledCash.Symbol} (the account currency) in the UnsettledCashBook should be an identity conversion of type {nameof(ConstantCurrencyConversion)}");
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}
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}
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else
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{
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if (unsettledCash.CurrencyConversion.GetType() != typeof(SecurityCurrencyConversion))
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{
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throw new RegressionTestException($@"Currency conversion for {unsettledCash.Symbol} in the UnsettledCashBook should be of type {nameof(SecurityCurrencyConversion)}");
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}
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var sourceCurrency = unsettledCash.CurrencyConversion.SourceCurrency;
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var destinationCurrency = unsettledCash.CurrencyConversion.DestinationCurrency;
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if (!(
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(sourceCurrency == accountCurrency && destinationCurrency == unsettledCash.Symbol) ||
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(sourceCurrency == unsettledCash.Symbol && destinationCurrency == accountCurrency)
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))
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{
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throw new RegressionTestException($@"Currency conversion for {unsettledCash.Symbol} in UnsettledCashBook is not correct. Source and destination currency should have been {accountCurrency} and {unsettledCash.Symbol} or vice versa but were {sourceCurrency} and {destinationCurrency}.");
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}
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}
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 1561;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 50;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "14"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "99981.05"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "€10.32"},
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{"Estimated Strategy Capacity", "€7700000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "69.61%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "ee7f00badd1a38ca21e51f610ba88044"}
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};
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}
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}
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