wehub-resource-sync
258 lines
11 KiB
C#
258 lines
11 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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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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[TestFixture, Parallelizable(ParallelScope.Fixtures)]
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public class AlgorithmSetHoldingsTests
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{
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// Test class to enable calling protected methods
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public class TestSecurityMarginModel : SecurityMarginModel
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{
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public TestSecurityMarginModel(decimal leverage) : base(leverage) { }
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public new decimal GetInitialMarginRequiredForOrder(
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InitialMarginRequiredForOrderParameters parameters)
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{
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return base.GetInitialMarginRequiredForOrder(parameters).Value;
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}
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public new decimal GetMarginRemaining(SecurityPortfolioManager portfolio, Security security, OrderDirection direction)
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{
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return base.GetMarginRemaining(portfolio, security, direction);
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}
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}
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public enum Position { Zero = 0, Long = 1, Short = -1 }
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public enum FeeType { None, Small, Large, InteractiveBrokers }
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public enum PriceMovement { Static, RisingSmall, FallingSmall, RisingLarge, FallingLarge }
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private readonly Dictionary<FeeType, IFeeModel> _feeModels = new Dictionary<FeeType, IFeeModel>
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{
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{ FeeType.None, new ConstantFeeModel(0) },
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{ FeeType.Small, new ConstantFeeModel(1) },
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{ FeeType.Large, new ConstantFeeModel(100) },
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{ FeeType.InteractiveBrokers, new InteractiveBrokersFeeModel() }
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};
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private readonly Symbol _symbol = Symbols.SPY;
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private const decimal Cash = 100000m;
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private const decimal VeryLowPrice = 155m;
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private const decimal LowPrice = 159m;
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private const decimal BasePrice = 160m;
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private const decimal HighPrice = 161m;
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private const decimal VeryHighPrice = 165m;
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public class Permuter<T>
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{
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private static void Permute(T[] row, int index, IReadOnlyList<List<T>> data, ICollection<T[]> result)
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{
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foreach (var dataRow in data[index])
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{
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row[index] = dataRow;
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if (index >= data.Count - 1)
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{
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var rowCopy = new T[row.Length];
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row.CopyTo(rowCopy, 0);
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result.Add(rowCopy);
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}
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else
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{
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Permute(row, index + 1, data, result);
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}
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}
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}
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public static void Permute(List<List<T>> data, List<T[]> result)
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{
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if (data.Count == 0)
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return;
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Permute(new T[data.Count], 0, data, result);
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}
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}
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private static IEnumerable<object[]> TestParameters
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{
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get
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{
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var initialPositions = Enum.GetValues(typeof(Position)).Cast<Position>().ToList();
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var finalPositions = Enum.GetValues(typeof(Position)).Cast<Position>().ToList();
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var feeTypes = Enum.GetValues(typeof(FeeType)).Cast<FeeType>().ToList();
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var priceMovements = Enum.GetValues(typeof(PriceMovement)).Cast<PriceMovement>().ToList();
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var leverages = new List<int> { 1, 100 };
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var data = new List<List<object>>
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{
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initialPositions.Cast<object>().ToList(),
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finalPositions.Cast<object>().ToList(),
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feeTypes.Cast<object>().ToList(),
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priceMovements.Cast<object>().ToList(),
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leverages.Cast<object>().ToList()
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};
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var permutations = new List<object[]>();
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Permuter<object>.Permute(data, permutations);
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var ret = permutations
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.Where(row => (Position)row[0] != (Position)row[1]); // initialPosition != finalPosition
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return ret;
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}
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void Run(object[] parameters)
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{
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Position initialPosition = (Position)parameters[0];
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Position finalPosition = (Position)parameters[1];
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FeeType feeType = (FeeType)parameters[2];
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PriceMovement priceMovement = (PriceMovement)parameters[3];
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int leverage = (int)parameters[4];
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//Console.WriteLine("----------");
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//Console.WriteLine("PARAMETERS");
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//Console.WriteLine("Initial position: " + initialPosition);
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//Console.WriteLine("Final position: " + finalPosition);
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//Console.WriteLine("Fee type: " + feeType);
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//Console.WriteLine("Price movement: " + priceMovement);
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//Console.WriteLine("Leverage: " + leverage);
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//Console.WriteLine("----------");
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//Console.WriteLine();
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddSecurity(_symbol.ID.SecurityType, _symbol.ID.Symbol);
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security.FeeModel = _feeModels[feeType];
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security.SetLeverage(leverage);
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var buyingPowerModel = new TestSecurityMarginModel(leverage);
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security.BuyingPowerModel = buyingPowerModel;
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algorithm.SetCash(Cash);
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Update(security, BasePrice);
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decimal targetPercentage;
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OrderDirection orderDirection;
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MarketOrder order;
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OrderFee orderFee;
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OrderEvent fill;
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decimal orderQuantity;
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decimal freeMargin;
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decimal requiredMargin;
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if (initialPosition != Position.Zero)
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{
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targetPercentage = (decimal)initialPosition;
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orderDirection = initialPosition == Position.Long ? OrderDirection.Buy : OrderDirection.Sell;
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orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
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order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
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freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
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requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(
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new IdentityCurrencyConverter(algorithm.Portfolio.CashBook.AccountCurrency), security, order));
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//Console.WriteLine("Current price: " + security.Price);
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//Console.WriteLine("Target percentage: " + targetPercentage);
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//Console.WriteLine("Order direction: " + orderDirection);
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//Console.WriteLine("Order quantity: " + orderQuantity);
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//Console.WriteLine("Free margin: " + freeMargin);
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//Console.WriteLine("Required margin: " + requiredMargin);
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//Console.WriteLine();
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Assert.That(Math.Abs(requiredMargin) <= freeMargin);
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orderFee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, order));
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fill = new OrderEvent(order, DateTime.UtcNow, orderFee) { FillPrice = security.Price, FillQuantity = orderQuantity };
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algorithm.Portfolio.ProcessFills(new List<OrderEvent> { fill });
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//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
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//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
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//Console.WriteLine();
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if (priceMovement == PriceMovement.RisingSmall)
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{
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Update(security, HighPrice);
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}
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else if (priceMovement == PriceMovement.FallingSmall)
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{
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Update(security, LowPrice);
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}
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else if (priceMovement == PriceMovement.RisingLarge)
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{
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Update(security, VeryHighPrice);
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}
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else if (priceMovement == PriceMovement.FallingLarge)
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{
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Update(security, VeryLowPrice);
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}
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}
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targetPercentage = (decimal)finalPosition;
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orderDirection = finalPosition == Position.Long || (finalPosition == Position.Zero && initialPosition == Position.Short) ? OrderDirection.Buy : OrderDirection.Sell;
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orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
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order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
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freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
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requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(
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new InitialMarginRequiredForOrderParameters(
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new IdentityCurrencyConverter(algorithm.Portfolio.CashBook.AccountCurrency), security, order));
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//Console.WriteLine("Current price: " + security.Price);
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//Console.WriteLine("Target percentage: " + targetPercentage);
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//Console.WriteLine("Order direction: " + orderDirection);
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//Console.WriteLine("Order quantity: " + orderQuantity);
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//Console.WriteLine("Free margin: " + freeMargin);
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//Console.WriteLine("Required margin: " + requiredMargin);
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//Console.WriteLine();
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Assert.That(Math.Abs(requiredMargin) <= freeMargin);
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orderFee = security.FeeModel.GetOrderFee(
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new OrderFeeParameters(security, order));
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fill = new OrderEvent(order, DateTime.UtcNow, orderFee) { FillPrice = security.Price, FillQuantity = orderQuantity };
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algorithm.Portfolio.ProcessFills(new List<OrderEvent> { fill });
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//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
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//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
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//Console.WriteLine();
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}
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private static void Update(Security security, decimal price)
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{
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security.SetMarketPrice(new TradeBar
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{
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Time = DateTime.Now,
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Symbol = security.Symbol,
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Open = price,
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High = price,
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Low = price,
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Close = price
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});
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}
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}
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}
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