wehub-resource-sync
227 lines
8.9 KiB
C#
227 lines
8.9 KiB
C#
/*
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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;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities;
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using QuantConnect.Data.Shortable;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Tests that orders are denied if they exceed the max shortable quantity.
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/// </summary>
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public class ShortableProviderOrdersRejectedRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _spy;
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private Security _aig;
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private readonly List<OrderTicket> _ordersAllowed = new List<OrderTicket>();
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private readonly List<OrderTicket> _ordersDenied = new List<OrderTicket>();
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private bool _initialize;
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private OrderEvent _lastOrderEvent;
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private bool _invalidatedAllowedOrder;
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private bool _invalidatedNewOrderWithPortfolioHoldings;
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public override void Initialize()
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{
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SetStartDate(2013, 10, 4);
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SetEndDate(2013, 10, 11);
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SetCash(10000000);
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_spy = AddEquity("SPY", Resolution.Minute);
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_aig = AddEquity("AIG", Resolution.Minute);
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_spy.SetShortableProvider(new RegressionTestShortableProvider());
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_aig.SetShortableProvider(new RegressionTestShortableProvider());
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}
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public override void OnData(Slice slice)
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{
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if (!_initialize)
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{
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HandleOrder(LimitOrder(_spy.Symbol, -1001, 10000m)); // Should be canceled, exceeds the max shortable quantity
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var orderTicket = LimitOrder(_spy.Symbol, -1000, 10000m);
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HandleOrder(orderTicket); // Allowed, orders at or below 1000 should be accepted
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HandleOrder(LimitOrder(_spy.Symbol, -10, 0.01m)); // Should be canceled, the total quantity we would be short would exceed the max shortable quantity.
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var response = orderTicket.UpdateQuantity(-999); // should be allowed, we are reducing the quantity we want to short
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if(!response.IsSuccess)
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{
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throw new RegressionTestException("Order update should of succeeded!");
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}
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_initialize = true;
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return;
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}
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if (!_invalidatedAllowedOrder)
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{
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if (_ordersAllowed.Count != 1)
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{
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throw new RegressionTestException($"Expected 1 successful order, found: {_ordersAllowed.Count}");
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}
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if (_ordersDenied.Count != 2)
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{
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throw new RegressionTestException($"Expected 2 failed orders, found: {_ordersDenied.Count}");
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}
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var allowedOrder = _ordersAllowed[0];
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var orderUpdate = new UpdateOrderFields()
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{
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LimitPrice = 0.01m,
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Quantity = -1001,
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Tag = "Testing updating and exceeding maximum quantity"
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};
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var response = allowedOrder.Update(orderUpdate);
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if (response.ErrorCode != OrderResponseErrorCode.ExceedsShortableQuantity)
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{
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throw new RegressionTestException($"Expected order to fail due to exceeded shortable quantity, found: {response.ErrorCode.ToString()}");
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}
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var cancelResponse = allowedOrder.Cancel();
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if (cancelResponse.IsError)
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{
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throw new RegressionTestException("Expected to be able to cancel open order after bad qty update");
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}
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_invalidatedAllowedOrder = true;
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_ordersDenied.Clear();
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_ordersAllowed.Clear();
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return;
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}
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if (!_invalidatedNewOrderWithPortfolioHoldings)
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{
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HandleOrder(MarketOrder(_spy.Symbol, -1000)); // Should succeed, no holdings and no open orders to stop this
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var spyShares = Portfolio[_spy.Symbol].Quantity;
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if (spyShares != -1000m)
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{
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throw new RegressionTestException($"Expected -1000 shares in portfolio, found: {spyShares}");
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}
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HandleOrder(LimitOrder(_spy.Symbol, -1, 0.01m)); // Should fail, portfolio holdings are at the max shortable quantity.
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if (_ordersDenied.Count != 1)
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{
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throw new RegressionTestException($"Expected limit order to fail due to existing holdings, but found {_ordersDenied.Count} failures");
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}
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_ordersAllowed.Clear();
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_ordersDenied.Clear();
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HandleOrder(MarketOrder(_aig.Symbol, -1001));
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if (_ordersAllowed.Count != 1)
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{
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throw new RegressionTestException($"Expected market order of -1001 BAC to not fail");
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}
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_invalidatedNewOrderWithPortfolioHoldings = true;
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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_lastOrderEvent = orderEvent;
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}
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private void HandleOrder(OrderTicket orderTicket)
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{
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if (orderTicket.SubmitRequest.Status == OrderRequestStatus.Error)
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{
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if (_lastOrderEvent == null || _lastOrderEvent.Status != OrderStatus.Invalid)
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{
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throw new RegressionTestException($"Expected order event with invalid status for ticket {orderTicket}");
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}
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_lastOrderEvent = null;
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_ordersDenied.Add(orderTicket);
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return;
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}
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_ordersAllowed.Add(orderTicket);
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}
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private class RegressionTestShortableProvider : LocalDiskShortableProvider
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{
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public RegressionTestShortableProvider() : base("testbrokerage")
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{
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 9410;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "-1.623%"},
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{"Drawdown", "0.100%"},
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{"Expectancy", "0"},
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{"Start Equity", "10000000"},
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{"End Equity", "9996563.97"},
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{"Net Profit", "-0.034%"},
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{"Sharpe Ratio", "-3.52"},
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{"Sortino Ratio", "-3.476"},
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{"Probabilistic Sharpe Ratio", "21.410%"},
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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", "-0.006"},
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{"Beta", "-0.022"},
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{"Annual Standard Deviation", "0.004"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-2.082"},
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{"Tracking Error", "0.179"},
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{"Treynor Ratio", "0.616"},
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{"Total Fees", "$10.01"},
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{"Estimated Strategy Capacity", "$99000000.00"},
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{"Lowest Capacity Asset", "AIG R735QTJ8XC9X"},
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{"Portfolio Turnover", "0.23%"},
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{"Drawdown Recovery", "3"},
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{"OrderListHash", "6d92f0811c31864dfaaccd9eb2edac52"}
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};
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}
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}
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