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.Collections.Generic;
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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.Brokerages.Backtesting;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.Setup;
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using QuantConnect.Orders;
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using QuantConnect.Packets;
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using QuantConnect.Python;
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using QuantConnect.Statistics;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Engine
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{
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[TestFixture]
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public class CustomBrokerageMessageHandlerTests
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{
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[Test]
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public void PythonCustomBrokerageMessageHandlerCallsBase()
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{
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using (Py.GIL())
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{
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dynamic CustomBrokerageMessageHandler = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageMessageHandler(DefaultBrokerageMessageHandler):
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def __init__(self, algorithm):
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super().__init__(algorithm)
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self._algorithm = algorithm
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def handle_order(self, event_args):
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order = event_args.order
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if order.tag is None or not order.tag.isdigit():
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raise Exception(""Expected all new brokerage-side orders to have a valid tag"")
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# We will only process orders with even tags
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return int(order.tag) % 2 == 0
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").GetAttr("CustomBrokerageMessageHandler");
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var algorithm = new AlgorithmStub();
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var model = new BrokerageMessageHandlerPythonWrapper(CustomBrokerageMessageHandler(algorithm));
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Assert.DoesNotThrow(() => model.HandleMessage(new BrokerageMessageEvent(BrokerageMessageType.Warning, 1, "Event!")));
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}
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}
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[Test]
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public void RunPartialCustomBrokerageMessageHandlerRegressionAlgorithm([Values(Language.Python)] Language language)
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{
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// We expect only half of the orders to be processed
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var expectedOrdersCount = (CustomBacktestingBrokerage.MaxOrderCount / 2) + 1;
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var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("CustomBrokerageSideOrderHandlingRegressionPartialAlgorithm",
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new Dictionary<string, string> {
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{PerformanceMetrics.TotalOrders, expectedOrdersCount.ToStringInvariant()},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-11.597%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "0"},
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{"Net Profit", "-0.157%"},
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{"Sharpe Ratio", "-5.199"},
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{"Sortino Ratio", "-6.546"},
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{"Probabilistic Sharpe Ratio", "22.824%"},
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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", "0.058"},
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{"Beta", "-0.07"},
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{"Annual Standard Deviation", "0.016"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-8.635"},
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{"Tracking Error", "0.238"},
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{"Treynor Ratio", "1.157"},
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{"Total Fees", "$49.00"},
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{"Estimated Strategy Capacity", "$26000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "1.42%"}
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},
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language,
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AlgorithmStatus.Completed);
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AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
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parameter.Statistics,
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parameter.Language,
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parameter.ExpectedFinalStatus,
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setupHandler: nameof(CustomBacktestingSetupHandler));
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}
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[Test]
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public void RunCustomBrokerageMessageHandlerRegressionAlgorithm([Values(Language.CSharp, Language.Python)] Language language)
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{
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// We expect only half of the orders to be processed
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var expectedOrdersCount = (CustomBacktestingBrokerage.MaxOrderCount / 2) + 1;
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var parameter = new RegressionTests.AlgorithmStatisticsTestParameters("CustomBrokerageSideOrderHandlingRegressionAlgorithm",
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new Dictionary<string, string> {
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{PerformanceMetrics.TotalOrders, expectedOrdersCount.ToStringInvariant()},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-11.597%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "0"},
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{"Net Profit", "-0.157%"},
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{"Sharpe Ratio", "-5.199"},
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{"Sortino Ratio", "-6.546"},
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{"Probabilistic Sharpe Ratio", "22.824%"},
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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", "0.058"},
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{"Beta", "-0.07"},
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{"Annual Standard Deviation", "0.016"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-8.635"},
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{"Tracking Error", "0.238"},
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{"Treynor Ratio", "1.157"},
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{"Total Fees", "$49.00"},
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{"Estimated Strategy Capacity", "$26000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "1.42%"}
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},
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language,
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AlgorithmStatus.Completed);
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AlgorithmRunner.RunLocalBacktest(parameter.Algorithm,
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parameter.Statistics,
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parameter.Language,
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parameter.ExpectedFinalStatus,
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setupHandler: nameof(CustomBacktestingSetupHandler));
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}
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public class CustomBacktestingBrokerage : BacktestingBrokerage
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{
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public static readonly int MaxOrderCount = 100;
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private OrderDirection _direction = OrderDirection.Buy;
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private int _orderCount;
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public CustomBacktestingBrokerage(IAlgorithm algorithm) : base(algorithm)
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{
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}
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public override void Scan()
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{
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if (_orderCount <= MaxOrderCount)
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{
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var quantity = 0m;
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// Only orders with even numbers in the tags will be processed
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if (_orderCount % 2 == 0)
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{
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quantity = _direction == OrderDirection.Buy ? 1 : -1;
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// Switch direction
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_direction = OrderDirection.Sell;
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}
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var marketOrder = new MarketOrder(Symbols.SPY, quantity, Algorithm.UtcTime, tag: _orderCount.ToStringInvariant());
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marketOrder.Status = OrderStatus.New;
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OnNewBrokerageOrderNotification(new NewBrokerageOrderNotificationEventArgs(marketOrder));
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_orderCount++;
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}
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base.Scan();
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}
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}
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public class CustomBacktestingSetupHandler : BacktestingSetupHandler
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{
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public override IBrokerage CreateBrokerage(AlgorithmNodePacket algorithmNodePacket, IAlgorithm uninitializedAlgorithm, out IBrokerageFactory factory)
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{
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factory = new BacktestingBrokerageFactory();
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var brokerage = new CustomBacktestingBrokerage(uninitializedAlgorithm);
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brokerage.NewBrokerageOrderNotification += (sender, e) =>
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{
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if (uninitializedAlgorithm.BrokerageMessageHandler.HandleOrder(e) &&
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uninitializedAlgorithm.GetOrAddUnrequestedSecurity(e.Order.Symbol, out _))
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{
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brokerage.PlaceOrder(e.Order);
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}
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};
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return brokerage;
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}
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}
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}
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}
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