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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*/
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Brokerages;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Securities;
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using QuantConnect.Benchmarks;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders.Slippage;
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namespace QuantConnect.Tests.Algorithm
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{
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/// <summary>
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/// Test class for
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/// - SetBrokerageModel() in QCAlgorithm
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/// - Default market for new securities
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/// </summary>
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[TestFixture]
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public class AlgorithmSetBrokerageTests
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{
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private QCAlgorithm _algo;
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private const string ForexSym = "EURUSD";
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private const string Sym = "SPY";
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/// <summary>
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/// Instatiate a new algorithm before each test.
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/// Clear the <see cref="SymbolCache"/> so that no symbols and associated brokerage models are cached between test
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/// </summary>
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[SetUp]
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public void Setup()
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{
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_algo = new QCAlgorithm();
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_algo.SubscriptionManager.SetDataManager(new DataManagerStub(_algo));
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SymbolCache.TryRemove(ForexSym);
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SymbolCache.TryRemove(Sym);
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}
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/// <summary>
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/// The default market for FOREX should be Oanda
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/// </summary>
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[Test]
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public void DefaultBrokerageModel_IsOanda_ForForex()
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{
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var forex = _algo.AddForex(ForexSym);
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Assert.IsTrue(forex.Symbol.ID.Market == Market.Oanda);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
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}
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[Test]
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public void PythonCallPureCSharpSetBrokerageModel()
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{
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using (Py.GIL())
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{
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var model = new AlphaStreamsBrokerageModel().ToPython();
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_algo.SetBrokerageModel(model);
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Assert.DoesNotThrow(() => _algo.BrokerageModel.ApplySplit(new List<OrderTicket>(), new Split()));
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}
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}
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[Test]
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public void PythonCallSetBrokerageModel()
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{
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using (Py.GIL())
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{
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var model = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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class Test(AlphaStreamsBrokerageModel):
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def GetLeverage(self, security):
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return 12").GetAttr("Test");
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_algo.SetBrokerageModel(model.Invoke());
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var equity = _algo.AddEquity(Sym);
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Assert.DoesNotThrow(() => _algo.BrokerageModel.ApplySplit(new List<OrderTicket>(), new Split()));
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Assert.AreEqual(12m, _algo.BrokerageModel.GetLeverage(equity));
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}
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}
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/// <summary>
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/// The default market for equities should be USA
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/// </summary>
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[Test]
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public void DefaultBrokerageModel_IsUSA_ForEquity()
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{
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var equity = _algo.AddEquity(Sym);
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Assert.IsTrue(equity.Symbol.ID.Market == Market.USA);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
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}
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/// <summary>
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/// The default market for options should be USA
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/// </summary>
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[Test]
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public void DefaultBrokerageModel_IsUSA_ForOption()
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{
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var option = _algo.AddOption(Sym);
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Assert.IsTrue(option.Symbol.ID.Market == Market.USA);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
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}
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/// <summary>
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/// Brokerage model for an algorithm can be changed using <see cref="QCAlgorithm.SetBrokerageModel(IBrokerageModel)"/>
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/// This changes the brokerage models used when forex currency pairs are added via AddForex and no brokerage is specified.
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/// </summary>
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[Test]
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public void BrokerageModel_CanBeSpecifiedWith_SetBrokerageModel()
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{
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_algo.SetBrokerageModel(BrokerageName.OandaBrokerage);
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var forex = _algo.AddForex(ForexSym);
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string brokerage = GetDefaultBrokerageForSecurityType(SecurityType.Forex);
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Assert.IsTrue(forex.Symbol.ID.Market == Market.Oanda);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(OandaBrokerageModel));
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Assert.IsTrue(brokerage == Market.Oanda);
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}
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/// <summary>
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/// Specifying the market in <see cref="QCAlgorithm.AddForex"/> will change the market of the security created.
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/// </summary>
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[Test]
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public void BrokerageModel_CanBeSpecifiedWith_AddForex()
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{
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var forex = _algo.AddForex(ForexSym, Resolution.Minute, Market.FXCM);
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string brokerage = GetDefaultBrokerageForSecurityType(SecurityType.Forex);
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Assert.IsTrue(forex.Symbol.ID.Market == Market.FXCM);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
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Assert.IsTrue(brokerage == Market.Oanda); // Doesn't change brokerage defined in BrokerageModel.DefaultMarkets
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}
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/// <summary>
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/// The method <see cref="QCAlgorithm.AddSecurity(SecurityType, string, Resolution, bool, bool)"/> should use the default brokerage for the sepcific security.
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/// Setting the brokerage with <see cref="QCAlgorithm.SetBrokerageModel(IBrokerageModel)"/> will affect the market of securities added with <see cref="QCAlgorithm.AddSecurity(SecurityType, string, Resolution, bool, bool)"/>
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/// </summary>
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[Test]
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public void AddSecurity_Follows_SetBrokerageModel()
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{
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// No brokerage set
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var equity = _algo.AddSecurity(SecurityType.Equity, Sym);
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string equityBrokerage = GetDefaultBrokerageForSecurityType(SecurityType.Equity);
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Assert.IsTrue(equity.Symbol.ID.Market == Market.USA);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(DefaultBrokerageModel));
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Assert.IsTrue(equityBrokerage == Market.USA);
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// Set Brokerage
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_algo.SetBrokerageModel(BrokerageName.OandaBrokerage);
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var sec = _algo.AddSecurity(SecurityType.Forex, ForexSym, Resolution.Daily, false, 1, false);
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string forexBrokerage = GetDefaultBrokerageForSecurityType(SecurityType.Forex);
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Assert.IsTrue(sec.Symbol.ID.Market == Market.Oanda);
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Assert.IsTrue(_algo.BrokerageModel.GetType() == typeof(OandaBrokerageModel));
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Assert.IsTrue(forexBrokerage == Market.Oanda);
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}
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[Test]
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public void AddSecurityCanAddWithSameTickerAndDifferentMarket()
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{
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var fxcmSecurity = _algo.AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute, Market.FXCM, true, 1m, true);
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var oandaSecurity = _algo.AddSecurity(SecurityType.Forex, "EURUSD", Resolution.Minute, Market.Oanda, true, 1m, true);
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Assert.AreEqual(2, _algo.Securities.Count);
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Assert.IsNotNull(_algo.Securities.Single(pair => pair.Key.ID.Market == Market.FXCM));
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Assert.IsNotNull(_algo.Securities.Single(pair => pair.Key.ID.Market == Market.Oanda));
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Assert.AreEqual(Market.FXCM, fxcmSecurity.Symbol.ID.Market);
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Assert.AreEqual(Market.Oanda, oandaSecurity.Symbol.ID.Market);
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}
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[Test]
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public void AddForexCanAddWithSameTickerAndDifferentMarket()
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{
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var fxcmSecurity = _algo.AddForex("EURUSD", Resolution.Minute, Market.FXCM);
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var oandaSecurity = _algo.AddForex("EURUSD", Resolution.Minute, Market.Oanda);
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Assert.AreEqual(2, _algo.Securities.Count);
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Assert.IsNotNull(_algo.Securities.Single(pair => pair.Key.ID.Market == Market.FXCM));
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Assert.IsNotNull(_algo.Securities.Single(pair => pair.Key.ID.Market == Market.Oanda));
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Assert.AreEqual(Market.FXCM, fxcmSecurity.Symbol.ID.Market);
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Assert.AreEqual(Market.Oanda, oandaSecurity.Symbol.ID.Market);
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void BrokerageNameFollowsSetBrokerageModel(Language language)
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{
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if (language == Language.CSharp)
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{
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Assert.AreEqual(BrokerageName.Default, _algo.BrokerageName);
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_algo.SetBrokerageModel(BrokerageName.OandaBrokerage);
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Assert.AreEqual(BrokerageName.OandaBrokerage, _algo.BrokerageName);
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_algo.SetBrokerageModel(new InteractiveBrokersBrokerageModel());
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Assert.AreEqual(BrokerageName.InteractiveBrokersBrokerage, _algo.BrokerageName);
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_algo.SetBrokerageModel(new CustomBrokerageModel());
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Assert.AreEqual(BrokerageName.Default, _algo.BrokerageName);
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}
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else
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{
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using (Py.GIL())
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{
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var testModule = PyModule.FromString("testModule",
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@"
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from AlgorithmImports import *
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def getAlgorithm():
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return QCAlgorithm()
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def setBrokerageModel(algorithm, brokerageModel):
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algorithm.SetBrokerageModel(brokerageModel)
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def getBrokerageName(algorithm):
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return algorithm.BrokerageName
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");
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var getAlgorithm = testModule.GetAttr("getAlgorithm");
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var algorithm = getAlgorithm.Invoke();
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var setBrokerageModel = testModule.GetAttr("setBrokerageModel");
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var getBrokerageName = testModule.GetAttr("getBrokerageName");
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Assert.AreEqual(BrokerageName.Default, getBrokerageName.Invoke(algorithm).AsManagedObject(typeof(BrokerageName)));
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setBrokerageModel.Invoke(algorithm, BrokerageName.OandaBrokerage.ToPython());
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Assert.AreEqual(BrokerageName.OandaBrokerage, getBrokerageName.Invoke(algorithm).AsManagedObject(typeof(BrokerageName)));
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setBrokerageModel.Invoke(algorithm, new InteractiveBrokersBrokerageModel().ToPython());
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Assert.AreEqual(BrokerageName.InteractiveBrokersBrokerage, getBrokerageName.Invoke(algorithm).AsManagedObject(typeof(BrokerageName)));
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setBrokerageModel.Invoke(algorithm, new CustomBrokerageModel().ToPython());
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Assert.AreEqual(BrokerageName.Default, getBrokerageName.Invoke(algorithm).AsManagedObject(typeof(BrokerageName)));
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}
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}
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}
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/// <summary>
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/// Returns the default market for a security type
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/// </summary>
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/// <param name="secType">The type of security</param>
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/// <returns>A string representing the default market of a security</returns>
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private string GetDefaultBrokerageForSecurityType(SecurityType secType)
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{
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string brokerage;
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_algo.BrokerageModel.DefaultMarkets.TryGetValue(secType, out brokerage);
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return brokerage;
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}
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private class CustomBrokerageModel : IBrokerageModel
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{
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public AccountType AccountType => throw new System.NotImplementedException();
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public decimal RequiredFreeBuyingPowerPercent => throw new System.NotImplementedException();
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public IReadOnlyDictionary<SecurityType, string> DefaultMarkets => throw new System.NotImplementedException();
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public void ApplySplit(List<OrderTicket> tickets, Split split)
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{
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throw new System.NotImplementedException();
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}
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public bool CanExecuteOrder(Security security, Order order)
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{
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throw new System.NotImplementedException();
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}
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public bool CanSubmitOrder(Security security, Order order, out BrokerageMessageEvent message)
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{
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throw new System.NotImplementedException();
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}
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public bool CanUpdateOrder(Security security, Order order, UpdateOrderRequest request, out BrokerageMessageEvent message)
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{
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throw new System.NotImplementedException();
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}
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public IBenchmark GetBenchmark(SecurityManager securities)
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{
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throw new System.NotImplementedException();
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}
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public IBuyingPowerModel GetBuyingPowerModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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public IBuyingPowerModel GetBuyingPowerModel(Security security, AccountType accountType)
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{
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throw new System.NotImplementedException();
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}
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public IFeeModel GetFeeModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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public IFillModel GetFillModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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public decimal GetLeverage(Security security)
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{
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throw new System.NotImplementedException();
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}
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public IMarginInterestRateModel GetMarginInterestRateModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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public ISettlementModel GetSettlementModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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public ISettlementModel GetSettlementModel(Security security, AccountType accountType)
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{
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throw new System.NotImplementedException();
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}
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public IShortableProvider GetShortableProvider(Security security)
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{
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throw new System.NotImplementedException();
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}
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public ISlippageModel GetSlippageModel(Security security)
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{
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throw new System.NotImplementedException();
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}
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}
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}
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}
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