chore: import upstream snapshot with attribution
This commit is contained in:
wehub-resource-sync
@@ -0,0 +1,458 @@
|
||||
/*
|
||||
* 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;
|
||||
using System.Collections.Concurrent;
|
||||
using System.Collections.Generic;
|
||||
using System.Linq;
|
||||
using System.Threading;
|
||||
using Moq;
|
||||
using NUnit.Framework;
|
||||
using QuantConnect.Brokerages;
|
||||
using QuantConnect.Brokerages.Backtesting;
|
||||
using QuantConnect.Brokerages.Paper;
|
||||
using QuantConnect.Data.Market;
|
||||
using QuantConnect.Lean.Engine.Results;
|
||||
using QuantConnect.Lean.Engine.TransactionHandlers;
|
||||
using QuantConnect.Logging;
|
||||
using QuantConnect.Orders;
|
||||
using QuantConnect.Orders.Fees;
|
||||
using QuantConnect.Orders.Fills;
|
||||
using QuantConnect.Securities;
|
||||
using QuantConnect.Tests.Engine.DataFeeds;
|
||||
|
||||
namespace QuantConnect.Tests.Engine.BrokerageTransactionHandlerTests
|
||||
{
|
||||
[TestFixture]
|
||||
public class BacktestingTransactionHandlerTests
|
||||
{
|
||||
private const string Ticker = "EURUSD";
|
||||
private BrokerageTransactionHandlerTests.TestAlgorithm _algorithm;
|
||||
|
||||
[SetUp]
|
||||
public void Initialize()
|
||||
{
|
||||
_algorithm = new BrokerageTransactionHandlerTests.TestAlgorithm
|
||||
{
|
||||
HistoryProvider = new BrokerageTransactionHandlerTests.EmptyHistoryProvider()
|
||||
};
|
||||
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
|
||||
_algorithm.SetBrokerageModel(BrokerageName.FxcmBrokerage);
|
||||
_algorithm.SetCash(100000);
|
||||
_algorithm.AddSecurity(SecurityType.Forex, Ticker);
|
||||
_algorithm.SetFinishedWarmingUp();
|
||||
TestPartialFilledModel.FilledOrders = new Dictionary<int, Order>();
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void InvalidOrderRequestWontSetTicketAsProcessed()
|
||||
{
|
||||
//Initializes the transaction handler
|
||||
var transactionHandler = new BacktestingTransactionHandler();
|
||||
using var backtestingBrokerage = new BacktestingBrokerage(_algorithm);
|
||||
transactionHandler.Initialize(_algorithm, backtestingBrokerage, new BacktestingResultHandler());
|
||||
|
||||
try
|
||||
{
|
||||
// Creates the order
|
||||
var security = _algorithm.Securities[Ticker];
|
||||
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 600, 0, 0, 0, DateTime.Now, "");
|
||||
|
||||
// Mock the the order processor
|
||||
var orderProcessorMock = new Mock<IOrderProcessor>();
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
|
||||
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
|
||||
|
||||
var ticket = transactionHandler.AddOrder(orderRequest);
|
||||
|
||||
var ticket2 = transactionHandler.AddOrder(orderRequest);
|
||||
|
||||
// 600 after round off becomes 0 -> order is not placed
|
||||
Assert.IsTrue(orderRequest.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest.Response.IsError);
|
||||
Assert.IsTrue(orderRequest.Response.ErrorMessage
|
||||
.Contains("Cannot process submit request because order with id {0} already exists"));
|
||||
}
|
||||
finally
|
||||
{
|
||||
transactionHandler.Exit();
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void SendingNewOrderFromOnOrderEvent()
|
||||
{
|
||||
//Initializes the transaction handler
|
||||
var transactionHandler = new BacktestingTransactionHandler();
|
||||
using var brokerage = new BacktestingBrokerage(_algorithm);
|
||||
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
|
||||
|
||||
try
|
||||
{
|
||||
// Creates a market order
|
||||
var security = _algorithm.Securities[Ticker];
|
||||
var price = 1.12m;
|
||||
// Use a recent price so the data is not stale relative to the order submission time, otherwise the
|
||||
// market orders would wait for fresh data instead of filling.
|
||||
var reference = new DateTime(2026, 06, 26, 12, 0, 0);
|
||||
security.SetMarketPrice(new Tick(reference.AddMinutes(-1), security.Symbol, price, price, price));
|
||||
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, "");
|
||||
var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, reference, "");
|
||||
orderRequest.SetOrderId(1);
|
||||
orderRequest2.SetOrderId(2);
|
||||
|
||||
// Mock the the order processor
|
||||
var orderProcessorMock = new Mock<IOrderProcessor>();
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2));
|
||||
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
|
||||
|
||||
var orderEventCalls = 0;
|
||||
brokerage.OrdersStatusChanged += (sender, orderEvents) =>
|
||||
{
|
||||
orderEventCalls++;
|
||||
var orderEvent = orderEvents[0];
|
||||
switch (orderEventCalls)
|
||||
{
|
||||
case 1:
|
||||
Assert.AreEqual(1, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
|
||||
|
||||
// we send a new order request
|
||||
var ticket2 = transactionHandler.Process(orderRequest2);
|
||||
break;
|
||||
case 2:
|
||||
Assert.AreEqual(2, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
|
||||
break;
|
||||
case 3:
|
||||
Assert.AreEqual(1, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
|
||||
break;
|
||||
case 4:
|
||||
Assert.AreEqual(2, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
|
||||
break;
|
||||
}
|
||||
Log.Trace($"{orderEvent}");
|
||||
};
|
||||
|
||||
var ticket = transactionHandler.Process(orderRequest);
|
||||
|
||||
Assert.IsTrue(orderRequest.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status);
|
||||
Assert.IsTrue(orderRequest2.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest2.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status);
|
||||
|
||||
var order1 = transactionHandler.GetOrderById(1);
|
||||
Assert.AreEqual(OrderStatus.Filled, order1.Status);
|
||||
var order2 = transactionHandler.GetOrderById(2);
|
||||
Assert.AreEqual(OrderStatus.Filled, order2.Status);
|
||||
|
||||
// 2 submitted and 2 filled
|
||||
Assert.AreEqual(4, orderEventCalls);
|
||||
}
|
||||
finally
|
||||
{
|
||||
transactionHandler.Exit();
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void SendingNewOrderFromPartiallyFilledOnOrderEvent()
|
||||
{
|
||||
//Initializes the transaction handler
|
||||
var transactionHandler = new BacktestingTransactionHandler();
|
||||
using var brokerage = new BacktestingBrokerage(_algorithm);
|
||||
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
|
||||
|
||||
try
|
||||
{
|
||||
// Creates a market order
|
||||
var security = _algorithm.Securities[Ticker];
|
||||
security.FillModel = new TestPartialFilledModel();
|
||||
|
||||
var price = 1.12m;
|
||||
security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price));
|
||||
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 2000, 0, 0, 9, DateTime.UtcNow, "");
|
||||
var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -2000, 0, 0, 9, DateTime.UtcNow, "");
|
||||
orderRequest.SetOrderId(1);
|
||||
orderRequest2.SetOrderId(2);
|
||||
|
||||
// Mock the the order processor
|
||||
var orderProcessorMock = new Mock<IOrderProcessor>();
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2));
|
||||
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
|
||||
|
||||
var orderEventCalls = 0;
|
||||
brokerage.OrdersStatusChanged += (sender, orderEvents) =>
|
||||
{
|
||||
orderEventCalls++;
|
||||
var orderEvent = orderEvents[0];
|
||||
switch (orderEventCalls)
|
||||
{
|
||||
case 1:
|
||||
Assert.AreEqual(1, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
|
||||
|
||||
// we send a new order request
|
||||
var ticket2 = transactionHandler.Process(orderRequest2);
|
||||
break;
|
||||
case 2:
|
||||
Assert.AreEqual(2, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Submitted, orderEvent.Status);
|
||||
break;
|
||||
case 3:
|
||||
Assert.AreEqual(1, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status);
|
||||
break;
|
||||
case 4:
|
||||
Assert.AreEqual(2, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.PartiallyFilled, orderEvent.Status);
|
||||
break;
|
||||
case 5:
|
||||
Assert.AreEqual(1, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
|
||||
break;
|
||||
case 6:
|
||||
Assert.AreEqual(2, orderEvent.OrderId);
|
||||
Assert.AreEqual(OrderStatus.Filled, orderEvent.Status);
|
||||
break;
|
||||
}
|
||||
Log.Trace($"{orderEvent}");
|
||||
};
|
||||
|
||||
var ticket = transactionHandler.Process(orderRequest);
|
||||
|
||||
Assert.IsTrue(orderRequest.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status);
|
||||
Assert.IsTrue(orderRequest2.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest2.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status);
|
||||
|
||||
var order1 = transactionHandler.GetOrderById(1);
|
||||
Assert.AreEqual(OrderStatus.Filled, order1.Status);
|
||||
var order2 = transactionHandler.GetOrderById(2);
|
||||
Assert.AreEqual(OrderStatus.Filled, order2.Status);
|
||||
|
||||
// 2 submitted and 2 PartiallyFilled and 2 Filled
|
||||
Assert.AreEqual(6, orderEventCalls);
|
||||
}
|
||||
finally
|
||||
{
|
||||
transactionHandler.Exit();
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void ProcessesOrdersInLivePaperTrading()
|
||||
{
|
||||
//Initializes the transaction handler
|
||||
var transactionHandler = new BacktestingTransactionHandler();
|
||||
using var brokerage = new PaperBrokerage(_algorithm, null);
|
||||
_algorithm.SetLiveMode(true);
|
||||
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
|
||||
|
||||
try
|
||||
{
|
||||
// Creates a market order
|
||||
var security = _algorithm.Securities[Ticker];
|
||||
var price = 1.12m;
|
||||
security.SetMarketPrice(new Tick(DateTime.UtcNow.AddDays(-1), security.Symbol, price, price, price));
|
||||
var reference = new DateTime(2025, 07, 03, 10, 0, 0);
|
||||
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, "");
|
||||
var orderRequest2 = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1000, 0, 0, 0, reference.AddSeconds(1), "");
|
||||
orderRequest.SetOrderId(1);
|
||||
orderRequest2.SetOrderId(2);
|
||||
|
||||
// Mock the the order processor
|
||||
var orderProcessorMock = new Mock<IOrderProcessor>();
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 1))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
|
||||
orderProcessorMock.Setup(m => m.GetOrderTicket(It.Is<int>(i => i == 2))).Returns(new OrderTicket(_algorithm.Transactions, orderRequest2));
|
||||
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
|
||||
|
||||
var allOrderEvents = new List<OrderEvent>();
|
||||
using var eventsReceived = new AutoResetEvent(false);
|
||||
|
||||
brokerage.OrdersStatusChanged += (sender, orderEvents) =>
|
||||
{
|
||||
var orderEvent = orderEvents[0];
|
||||
lock (allOrderEvents)
|
||||
{
|
||||
allOrderEvents.Add(orderEvent);
|
||||
if (allOrderEvents.Count == 4)
|
||||
{
|
||||
eventsReceived.Set();
|
||||
}
|
||||
}
|
||||
|
||||
// Let's place another order before this one is filled
|
||||
if (orderEvent.OrderId == 1 && orderEvent.Status == OrderStatus.Submitted)
|
||||
{
|
||||
var ticket2 = transactionHandler.Process(orderRequest2);
|
||||
}
|
||||
|
||||
Log.Debug($"{orderEvent}");
|
||||
};
|
||||
|
||||
var ticket = transactionHandler.Process(orderRequest);
|
||||
|
||||
if (!eventsReceived.WaitOne(10000))
|
||||
{
|
||||
Assert.Fail($"Did not receive all order events, received {allOrderEvents.Count} order events: {string.Join(", ", allOrderEvents)}");
|
||||
}
|
||||
|
||||
Assert.IsTrue(orderRequest.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest.Status);
|
||||
|
||||
Assert.IsTrue(orderRequest2.Response.IsProcessed);
|
||||
Assert.IsTrue(orderRequest2.Response.IsSuccess);
|
||||
Assert.AreEqual(OrderRequestStatus.Processed, orderRequest2.Status);
|
||||
|
||||
var order1 = transactionHandler.GetOrderById(1);
|
||||
Assert.AreEqual(OrderStatus.Filled, order1.Status);
|
||||
|
||||
var order2 = transactionHandler.GetOrderById(2);
|
||||
Assert.AreEqual(OrderStatus.Filled, order2.Status);
|
||||
|
||||
// 2 submitted and 2 filled
|
||||
Assert.AreEqual(4, allOrderEvents.Count);
|
||||
|
||||
var firstOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Submitted);
|
||||
Assert.IsNotNull(firstOrderSubmittedEvent);
|
||||
var firstOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 1 && x.Status == OrderStatus.Filled);
|
||||
Assert.IsNotNull(firstOrderFilledEvent);
|
||||
|
||||
var secondOrderSubmittedEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Submitted);
|
||||
Assert.IsNotNull(secondOrderSubmittedEvent);
|
||||
var secondOrderFilledEvent = allOrderEvents.FirstOrDefault(x => x.OrderId == 2 && x.Status == OrderStatus.Filled);
|
||||
Assert.IsNotNull(secondOrderFilledEvent);
|
||||
}
|
||||
finally
|
||||
{
|
||||
transactionHandler.Exit();
|
||||
}
|
||||
}
|
||||
|
||||
[Test]
|
||||
public void ProcessesOrdersConcurrentlyInLivePaperTrading()
|
||||
{
|
||||
_algorithm.SetLiveMode(true);
|
||||
using var brokerage = new PaperBrokerage(_algorithm, null);
|
||||
|
||||
const int expectedOrdersCount = 20;
|
||||
using var finishedEvent = new ManualResetEventSlim(false);
|
||||
var transactionHandler = new TestablePaperBrokerageTransactionHandler(expectedOrdersCount, finishedEvent);
|
||||
transactionHandler.Initialize(_algorithm, brokerage, new BacktestingResultHandler());
|
||||
|
||||
try
|
||||
{
|
||||
_algorithm.Transactions.SetOrderProcessor(transactionHandler);
|
||||
|
||||
var security = (Security)_algorithm.AddEquity("SPY");
|
||||
_algorithm.SetFinishedWarmingUp();
|
||||
|
||||
// Set up security
|
||||
var reference = new DateTime(2025, 07, 03, 10, 0, 0);
|
||||
security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300));
|
||||
|
||||
// Creates the order
|
||||
var orderRequests = Enumerable.Range(0, expectedOrdersCount)
|
||||
.Select(_ => new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1000, 0, 0, 0, reference, ""))
|
||||
.ToList();
|
||||
|
||||
// Act
|
||||
for (var i = 0; i < orderRequests.Count; i++)
|
||||
{
|
||||
var orderRequest = orderRequests[i];
|
||||
orderRequest.SetOrderId(i + 1);
|
||||
transactionHandler.Process(orderRequest);
|
||||
}
|
||||
|
||||
// Wait for all orders to be processed
|
||||
Assert.IsTrue(finishedEvent.Wait(10000));
|
||||
Assert.Greater(transactionHandler.ProcessingThreadNames.Count, 1);
|
||||
CollectionAssert.AreEquivalent(orderRequests.Select(x => x.ToString()), transactionHandler.ProcessedRequests.Select(x => x.ToString()));
|
||||
}
|
||||
finally
|
||||
{
|
||||
transactionHandler.Exit();
|
||||
}
|
||||
}
|
||||
|
||||
private class TestablePaperBrokerageTransactionHandler : BacktestingTransactionHandler
|
||||
{
|
||||
private readonly int _expectedOrdersCount;
|
||||
private readonly ManualResetEventSlim _finishedEvent;
|
||||
private int _currentOrdersCount;
|
||||
|
||||
public HashSet<string> ProcessingThreadNames = new();
|
||||
|
||||
public ConcurrentBag<OrderRequest> ProcessedRequests = new();
|
||||
|
||||
public TestablePaperBrokerageTransactionHandler(int expectedOrdersCount, ManualResetEventSlim finishedEvent)
|
||||
{
|
||||
_expectedOrdersCount = expectedOrdersCount;
|
||||
_finishedEvent = finishedEvent;
|
||||
}
|
||||
|
||||
public override void HandleOrderRequest(OrderRequest request)
|
||||
{
|
||||
base.HandleOrderRequest(request);
|
||||
|
||||
// Capture the thread name for debugging purposes
|
||||
lock (ProcessingThreadNames)
|
||||
{
|
||||
ProcessingThreadNames.Add(Thread.CurrentThread.Name ?? Environment.CurrentManagedThreadId.ToStringInvariant());
|
||||
}
|
||||
|
||||
ProcessedRequests.Add(request);
|
||||
|
||||
if (Interlocked.Increment(ref _currentOrdersCount) >= _expectedOrdersCount)
|
||||
{
|
||||
// Signal that we have processed the expected number of orders
|
||||
_finishedEvent.Set();
|
||||
}
|
||||
}
|
||||
}
|
||||
|
||||
internal class TestPartialFilledModel : IFillModel
|
||||
{
|
||||
public static Dictionary<int, Order> FilledOrders;
|
||||
|
||||
public Fill Fill(FillModelParameters parameters)
|
||||
{
|
||||
var order = parameters.Order;
|
||||
var status = OrderStatus.PartiallyFilled;
|
||||
if (FilledOrders.ContainsKey(order.Id))
|
||||
{
|
||||
status = OrderStatus.Filled;
|
||||
}
|
||||
FilledOrders[order.Id] = order;
|
||||
return new Fill(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero)
|
||||
{
|
||||
FillPrice = parameters.Security.Price,
|
||||
FillQuantity = order.Quantity / 2,
|
||||
Status = status
|
||||
});
|
||||
}
|
||||
}
|
||||
}
|
||||
}
|
||||
Reference in New Issue
Block a user