chore: import upstream snapshot with attribution

2026-07-13 13:02:50 +08:00
commit 0fc60fdcb1
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+/*
+ * 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 NUnit.Framework;
+using QuantConnect.Lean.Engine.DataFeeds;
+using QuantConnect.Orders;
+using QuantConnect.Report;
+using QuantConnect.Securities;
+using QuantConnect.Brokerages;
+using System;
+using System.Collections.Generic;
+using System.Linq;
+
+namespace QuantConnect.Tests.Report
+{
+    [TestFixture]
+    public class PortfolioLooperAlgorithmTests
+    {
+        private PortfolioLooperAlgorithm CreateAlgorithm(IEnumerable<Order> orders, AlgorithmConfiguration algorithmConfiguration = null)
+        {
+            var algorithm = new PortfolioLooperAlgorithm(100000m, orders, algorithmConfiguration);
+
+            // Create MHDB and Symbol properties DB instances for the DataManager
+            var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
+            var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
+            var dataPermissionManager = new DataPermissionManager();
+            var dataManager = new DataManager(new QuantConnect.Report.MockDataFeed(),
+                new UniverseSelection(
+                    algorithm,
+                    new SecurityService(algorithm.Portfolio.CashBook,
+                        marketHoursDatabase,
+                        symbolPropertiesDataBase,
+                        algorithm,
+                        RegisteredSecurityDataTypesProvider.Null,
+                        new SecurityCacheProvider(algorithm.Portfolio),
+                        algorithm: algorithm),
+                    dataPermissionManager,
+                    TestGlobals.DataProvider),
+                algorithm,
+                algorithm.TimeKeeper,
+                marketHoursDatabase,
+                false,
+                RegisteredSecurityDataTypesProvider.Null,
+                dataPermissionManager);
+
+            var securityService = new SecurityService(algorithm.Portfolio.CashBook,
+                marketHoursDatabase,
+                symbolPropertiesDataBase,
+                algorithm,
+                RegisteredSecurityDataTypesProvider.Null,
+                new SecurityCacheProvider(algorithm.Portfolio),
+                algorithm: algorithm);
+
+            // Initialize security services and other properties so that we
+            // don't get null reference exceptions during our re-calculation
+            algorithm.Securities.SetSecurityService(securityService);
+            algorithm.SubscriptionManager.SetDataManager(dataManager);
+
+            return algorithm;
+        }
+
+        [Test]
+        public void Algorithm_CanSetLeverageOnAllSecurityTypes()
+        {
+            var orders = new Symbol[]
+            {
+                Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
+                Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 120m, new DateTime(2020, 5, 21)),
+                Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
+                Symbol.Create("XAUUSD", SecurityType.Cfd, Market.Oanda),
+                Symbol.CreateFuture(Futures.Energy.CrudeOilWTI, Market.NYMEX, new DateTime(2020, 5, 21)),
+                Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Coinbase)
+            }.Select(s => new MarketOrder(s, 1m, new DateTime(2020, 1, 1))).ToList();
+
+            var algorithm = CreateAlgorithm(orders);
+            Assert.DoesNotThrow(() => algorithm.FromOrders(orders));
+        }
+
+        [Test]
+        public void Algorithm_UsesExpectedLeverageOnAllSecurityTypes()
+        {
+            var orders = new Symbol[]
+            {
+                Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
+                Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 120m, new DateTime(2020, 5, 21)),
+                Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
+                Symbol.Create("XAUUSD", SecurityType.Cfd, Market.Oanda),
+                Symbol.CreateFuture(Futures.Energy.CrudeOilWTI, Market.NYMEX, new DateTime(2020, 5, 21)),
+                Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Coinbase)
+            }.Select(s => new MarketOrder(s, 1m, new DateTime(2020, 1, 1)));
+
+            var algorithm = CreateAlgorithm(orders);
+
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Equity).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Option).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 1m));
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Forex).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Cfd).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Future).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 1m));
+            Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Crypto).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
+        }
+
+        [TestCase("BTC", BrokerageName.Binance, AccountType.Cash)]
+        [TestCase("USDT", BrokerageName.Coinbase, AccountType.Cash)]
+        [TestCase("EUR", BrokerageName.Bitfinex, AccountType.Margin)]
+        public void SetsTheRightAlgorithmConfiguration(string currency, BrokerageName brokerageName, AccountType accountType)
+        {
+            var algorithm = CreateAlgorithm(new List<Order>(),
+                new AlgorithmConfiguration("AlgorightmName", new HashSet<string>(), currency, brokerageName, accountType,
+                    new Dictionary<string, string>(), DateTime.MinValue, DateTime.MinValue, null));
+            algorithm.Initialize();
+
+            Assert.AreEqual(currency, algorithm.AccountCurrency);
+            Assert.AreEqual(brokerageName, BrokerageModel.GetBrokerageName(algorithm.BrokerageModel));
+            Assert.AreEqual(accountType, algorithm.BrokerageModel.AccountType);
+        }
+    }
+}