wehub-resource-sync
517 lines
22 KiB
C#
517 lines
22 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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using System;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm
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{
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/// <summary>
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/// Test mixed call order combinations of SetSecurityInitializer, SetBrokerageModel and AddSecurity
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/// </summary>
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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class AlgorithmInitializeTests
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{
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private const string Ticker = "EURUSD";
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private const Resolution Resolution = QuantConnect.Resolution.Second;
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private const string Market = QuantConnect.Market.FXCM;
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private const BrokerageName BrokerageName = QuantConnect.Brokerages.BrokerageName.FxcmBrokerage;
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private const int RoundingPrecision = 20;
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private readonly MarketOrder _order = new MarketOrder { Quantity = 1000 };
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[TestCase(true)]
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[TestCase(false)]
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public void Validates_SetEndTime(bool explicitSet)
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{
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var algorithm = GetAlgorithm();
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// We initialize the algorithm with `now` in the algorithm default time zone
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var end = DateTime.UtcNow.ConvertFromUtc(algorithm.TimeZone);
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if (explicitSet)
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{
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algorithm.SetEndDate(end);
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}
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var excepted = end.RoundDown(TimeSpan.FromDays(1)).AddTicks(-1);
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Assert.AreEqual(algorithm.EndDate, excepted);
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}
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[Test]
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public void Validates_SetBrokerageModel_AddForex()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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// Leverage and FeeModel from BrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_IB_AddForex()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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// Leverage and FeeModel from BrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForex_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetBrokerageModel(BrokerageName);
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// Leverage and FeeModel from BrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_AddForexWithLeverage()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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// Leverage passed to AddForex always takes precedence
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// Leverage from AddForex, FeeModel from BrokerageModel
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForexWithLeverage_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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algorithm.SetBrokerageModel(BrokerageName);
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// Leverage passed to AddForex always takes precedence
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// Leverage from AddForex, FeeModel from BrokerageModel
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_AddForex()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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// Leverage and FeeModel from SecurityInitializer
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Assert.AreEqual(100, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForex_SetSecurityInitializer()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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// SetSecurityInitializer does not apply to securities added before the call
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// Leverage and FeeModel from DefaultBrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(ConstantFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_AddForexWithLeverage()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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// Leverage passed to AddForex always takes precedence
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// Leverage from AddForex, FeeModel from SecurityInitializer
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForexWithLeverage_SetSecurityInitializer()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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// Leverage passed to AddForex always takes precedence
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// SetSecurityInitializer does not apply to securities added before the call
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// Leverage from AddForex, FeeModel from DefaultBrokerageModel
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(ConstantFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_AddForex_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetBrokerageModel(BrokerageName);
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// SetSecurityInitializer overrides the brokerage model
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// Leverage and FeeModel from SecurityInitializer
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Assert.AreEqual(100, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_SetBrokerageModel_AddForex()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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// SetSecurityInitializer overrides the brokerage model
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// Leverage and FeeModel from SecurityInitializer
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Assert.AreEqual(100, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_SetSecurityInitializer_AddForex()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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// SetSecurityInitializer overrides the brokerage model
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// Leverage and FeeModel from SecurityInitializer
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Assert.AreEqual(100, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_AddForex_SetSecurityInitializer()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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// SetSecurityInitializer does not apply to securities added before the call
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// Leverage and FeeModel from BrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForex_SetSecurityInitializer_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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algorithm.SetBrokerageModel(BrokerageName);
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// SetSecurityInitializer does not apply to securities added before the call
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// Leverage and FeeModel from DefaultBrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(ConstantFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForex_SetBrokerageModel_SetSecurityInitializer()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market);
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algorithm.SetBrokerageModel(BrokerageName);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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// SetSecurityInitializer does not apply to securities added before the call
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// Leverage and FeeModel from BrokerageModel
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Assert.AreEqual(50, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_AddForexWithLeverage_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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algorithm.SetBrokerageModel(BrokerageName);
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// Leverage passed to AddForex always takes precedence
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// Leverage from AddForex, FeeModel from Initializer
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetSecurityInitializer_SetBrokerageModel_AddForexWithLeverage()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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// Leverage passed to AddForex always takes precedence
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// SetSecurityInitializer overrides the brokerage model
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// Leverage from AddForex, FeeModel from SecurityInitializer
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_SetSecurityInitializer_AddForexWithLeverage()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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// Leverage passed to AddForex always takes precedence
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// SetSecurityInitializer overrides the brokerage model
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// Leverage from AddForex, FeeModel from SecurityInitializer
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(InteractiveBrokersFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(2, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_SetBrokerageModel_AddForexWithLeverage_SetSecurityInitializer()
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{
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var algorithm = GetAlgorithm();
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algorithm.SetBrokerageModel(BrokerageName);
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
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});
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// Leverage passed to AddForex always takes precedence
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// Leverage from AddForex, FeeModel from BrokerageModel
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Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
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Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
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var fee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, _order));
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Assert.AreEqual(0.04, fee.Value.Amount);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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}
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[Test]
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public void Validates_AddForexWithLeverage_SetSecurityInitializer_SetBrokerageModel()
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{
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var algorithm = GetAlgorithm();
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var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
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algorithm.SetSecurityInitializer(x =>
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{
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x.SetLeverage(100);
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x.FeeModel = new InteractiveBrokersFeeModel();
|
|
});
|
|
algorithm.SetBrokerageModel(BrokerageName);
|
|
|
|
// Leverage passed to AddForex always takes precedence
|
|
// Leverage from AddForex, FeeModel from DefaultBrokerageModel
|
|
Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
|
|
Assert.IsInstanceOf(typeof(ConstantFeeModel), security.FeeModel);
|
|
var fee = security.FeeModel.GetOrderFee(
|
|
new OrderFeeParameters(security, _order));
|
|
Assert.AreEqual(0, fee.Value.Amount);
|
|
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
|
|
}
|
|
|
|
[Test]
|
|
public void Validates_AddForexWithLeverage_SetBrokerageModel_SetSecurityInitializer()
|
|
{
|
|
var algorithm = GetAlgorithm();
|
|
|
|
var security = algorithm.AddForex(Ticker, Resolution, Market, true, 25);
|
|
algorithm.SetBrokerageModel(BrokerageName);
|
|
algorithm.SetSecurityInitializer(x =>
|
|
{
|
|
x.SetLeverage(100);
|
|
x.FeeModel = new InteractiveBrokersFeeModel();
|
|
});
|
|
|
|
// Leverage passed to AddForex always takes precedence
|
|
// Leverage from AddForex, FeeModel from BrokerageModel
|
|
Assert.AreEqual(25, Math.Round(security.Leverage, RoundingPrecision));
|
|
Assert.IsInstanceOf(typeof(FxcmFeeModel), security.FeeModel);
|
|
var fee = security.FeeModel.GetOrderFee(
|
|
new OrderFeeParameters(security, _order));
|
|
Assert.AreEqual(0.04, fee.Value.Amount);
|
|
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
|
|
}
|
|
|
|
private QCAlgorithm GetAlgorithm()
|
|
{
|
|
var algorithm = new QCAlgorithm();
|
|
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
|
|
return algorithm;
|
|
}
|
|
}
|
|
}
|