chore: import upstream snapshot with attribution
This commit is contained in:
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 System.Linq;
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using Moq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data.UniverseSelection;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm.Framework.Execution
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{
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[TestFixture]
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public class SpreadExecutionModelTests
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{
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void OrdersAreNotSubmittedWhenNoTargetsToExecute(Language language)
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{
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var actualOrdersSubmitted = new List<SubmitOrderRequest>();
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var orderProcessor = new Mock<IOrderProcessor>();
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orderProcessor.Setup(m => m.Process(It.IsAny<SubmitOrderRequest>()))
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.Returns((OrderTicket)null)
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.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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model.Execute(algorithm, new IPortfolioTarget[0]);
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Assert.AreEqual(0, actualOrdersSubmitted.Count);
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}
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[TestCase(Language.CSharp, 240, 1, 10)]
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[TestCase(Language.CSharp, 250, 0, 0)]
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[TestCase(Language.Python, 240, 1, 10)]
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[TestCase(Language.Python, 250, 0, 0)]
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public void OrdersAreSubmittedWhenRequiredForTargetsToExecute(
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Language language,
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decimal currentPrice,
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int expectedOrdersSubmitted,
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decimal expectedTotalQuantity)
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{
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var time = new DateTime(2018, 8, 2, 14, 0, 0);
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.SetDateTime(time.AddMinutes(5));
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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// pushing the ask higher will cause the spread the widen and no trade to happen
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var ask = expectedOrdersSubmitted == 0 ? currentPrice * 1.1m : currentPrice;
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security.SetMarketPrice(new QuoteBar
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{
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Time = time,
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Symbol = Symbols.AAPL,
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Ask = new Bar(ask, ask, ask, ask),
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Bid = new Bar(currentPrice, currentPrice, currentPrice, currentPrice)
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});
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = ImmediateExecutionModelTests.GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
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model.Execute(algorithm, targets);
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orderProcessor.ProcessSynchronousEvents();
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var orders = orderProcessor.GetOrders().ToList();
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Assert.AreEqual(expectedOrdersSubmitted, orders.Count);
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Assert.AreEqual(expectedTotalQuantity, orders.Sum(x => x.Quantity));
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if (expectedOrdersSubmitted == 1)
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{
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var order = orders[0];
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Assert.AreEqual(expectedTotalQuantity, order.Quantity);
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Assert.AreEqual(algorithm.UtcTime, order.Time);
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}
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[TestCase(Language.CSharp, 1, 10, true)]
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[TestCase(Language.Python, 1, 10, true)]
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[TestCase(Language.CSharp, 0, 0, false)]
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[TestCase(Language.Python, 0, 0, false)]
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public void FillsOnTradesOnlyRespectingExchangeOpen(Language language, int expectedOrdersSubmitted, decimal expectedTotalQuantity, bool exchangeOpen)
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{
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var time = new DateTime(2018, 8, 2, 0, 0, 0);
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if (exchangeOpen)
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{
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time = time.AddHours(14);
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}
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.SetDateTime(time.AddMinutes(5));
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = ImmediateExecutionModelTests.GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
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model.Execute(algorithm, targets);
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orderProcessor.ProcessSynchronousEvents();
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var orders = orderProcessor.GetOrders().ToList();
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Assert.AreEqual(expectedOrdersSubmitted, orders.Count);
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Assert.AreEqual(expectedTotalQuantity, orders.Sum(x => x.Quantity));
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if (expectedOrdersSubmitted == 1)
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{
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var order = orders[0];
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Assert.AreEqual(expectedTotalQuantity, order.Quantity);
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Assert.AreEqual(algorithm.UtcTime, order.Time);
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}
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[TestCase(Language.CSharp, MarketDataType.TradeBar)]
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[TestCase(Language.Python, MarketDataType.TradeBar)]
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[TestCase(Language.CSharp, MarketDataType.QuoteBar)]
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[TestCase(Language.Python, MarketDataType.QuoteBar)]
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public void OnSecuritiesChangeDoesNotThrow(
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Language language,
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MarketDataType marketDataType)
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{
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var time = new DateTime(2018, 8, 2, 16, 0, 0);
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Func<double, int, BaseData> func = (x, i) =>
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{
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var price = Convert.ToDecimal(x);
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switch (marketDataType)
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{
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case MarketDataType.TradeBar:
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return new TradeBar(time.AddMinutes(i), Symbols.AAPL, price, price, price, price, 100m);
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case MarketDataType.QuoteBar:
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var bar = new Bar(price, price, price, price);
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return new QuoteBar(time.AddMinutes(i), Symbols.AAPL, bar, 10m, bar, 10m);
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default:
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throw new ArgumentException($"Invalid MarketDataType: {marketDataType}");
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}
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};
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var algorithm = new QCAlgorithm();
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algorithm.SetPandasConverter();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.SetDateTime(time.AddMinutes(5));
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
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Assert.DoesNotThrow(() => model.OnSecuritiesChanged(algorithm, changes));
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}
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private static IExecutionModel GetExecutionModel(Language language)
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{
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const decimal acceptingSpreadPercent = 0.005m;
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if (language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(SpreadExecutionModel);
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var instance = Py.Import(name).GetAttr(name).Invoke(acceptingSpreadPercent.ToPython());
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return new ExecutionModelPythonWrapper(instance);
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}
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}
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return new SpreadExecutionModel(acceptingSpreadPercent);
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}
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}
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}
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