wehub-resource-sync
929 lines
46 KiB
C#
929 lines
46 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 NodaTime;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Orders;
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using QuantConnect.Brokerages;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using Moq;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Interfaces;
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using System.Collections.Generic;
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using QuantConnect.Benchmarks;
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using QuantConnect.Data;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Slippage;
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using QuantConnect.Data.Shortable;
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using QuantConnect.Data.Market;
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namespace QuantConnect.Tests.Common.Brokerages
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{
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[TestFixture]
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public class BrokerageModelTests
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{
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[TestCaseSource(nameof(GetBrokerageNameTestCases))]
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public void GetsCorrectBrokerageNameFromBrokerageInstance(IBrokerageModel brokerage, BrokerageName brokerageName)
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{
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Assert.AreEqual(brokerageName, BrokerageModel.GetBrokerageName(brokerage));
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}
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[TestCaseSource(nameof(GetCustomBrokerageNameTestCases))]
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public void GetsCorrectCustomBrokerageNameFromBrokerageInstance_CSharp(IBrokerageModel brokerage, BrokerageName brokerageName)
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{
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Assert.AreEqual(brokerageName, BrokerageModel.GetBrokerageName(brokerage));
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}
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[TestCaseSource(nameof(GetBrokerageNameTestCases))]
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public void GetsCorrectCustomBrokerageNameFromBrokerageInstance_Python(IBrokerageModel brokerage, BrokerageName brokerageName)
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel({brokerage.GetType().Name}):
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pass
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").GetAttr("CustomBrokerageModel");
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Assert.AreEqual(brokerageName, BrokerageModel.GetBrokerageName(new BrokerageModelPythonWrapper(PyCustomBrokerageModel())));
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}
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}
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[Test]
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public void CustomPythonBrokerageCanSubmitOrderMethodFailsWhenNoTupleIsReturned()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def CanSubmitOrder(self, security: SecurityType, order: Order, message: BrokerageMessageEvent):
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return True
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "");
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Assert.Throws<ArgumentException>(() => model.CanSubmitOrder(security, _order.Object, out message));
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}
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}
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[Test]
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public void CustomPythonBrokerageCanSubmitOrderMethodDoesNotFailWhenTupleIsReturned()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def CanSubmitOrder(self, security: SecurityType, order: Order, message: BrokerageMessageEvent):
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message = None
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return True, message
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "");
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var result = false;
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Assert.DoesNotThrow(() => result = model.CanSubmitOrder(security, _order.Object, out message));
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Assert.IsTrue(result);
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Assert.IsNull(message);
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}
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}
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[Test]
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public void CustomPythonBrokerageCanUpdateOrderMethodFailsWhenNoTupleIsReturned()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def CanUpdateOrder(self, security: SecurityType, order: Order, request: UpdateOrderRequest, message: BrokerageMessageEvent):
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return False
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var updateRequest = new UpdateOrderRequest(DateTime.Now, 1, new UpdateOrderFields());
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "");
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Assert.Throws<ArgumentException>(() => model.CanUpdateOrder(security, _order.Object, updateRequest, out message));
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}
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}
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[Test]
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public void CustomPythonBrokerageCanUpdateOrderMethodDoesNotFailWhenTupleReturned()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def CanUpdateOrder(self, security: SecurityType, order: Order, request: UpdateOrderRequest, message: BrokerageMessageEvent):
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message = BrokerageMessageEvent(BrokerageMessageType.Information, """", ""Order can not be updated"")
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return False, message
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var updateRequest = new UpdateOrderRequest(DateTime.Now, 1, new UpdateOrderFields());
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var result = true;
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "");
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Assert.DoesNotThrow(() => result = model.CanUpdateOrder(security, _order.Object, updateRequest, out message));
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Assert.IsFalse(result);
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Assert.AreEqual("Order can not be updated", message.Message);
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}
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}
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[TestCaseSource(nameof(GetBrokerageNameTestCases))]
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public void CustomPythonBrokerageCanSubmitOrderMethodDoesNotFailWhenIsNotOverriden(IBrokerageModel brokerage, BrokerageName brokerageName)
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel({brokerage.GetType().Name}):
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pass
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "Initial Message");
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Assert.DoesNotThrow(() => model.CanSubmitOrder(security, _order.Object, out message));
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if (message != null)
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{
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Assert.AreNotEqual("Initial Message", message.Message);
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}
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}
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}
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[TestCaseSource(nameof(GetBrokerageNameTestCases))]
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public void CustomPythonBrokerageCanUpdateOrderMethodDoesNotFailWhenIsNotOverriden(IBrokerageModel brokerage, BrokerageName brokerageName)
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel({brokerage.GetType().Name}):
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pass
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var updateRequest = new UpdateOrderRequest(DateTime.Now, 1, new UpdateOrderFields());
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var message = new BrokerageMessageEvent(BrokerageMessageType.Information, "", "Initial Message");
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Assert.DoesNotThrow(() => model.CanUpdateOrder(security, _order.Object, updateRequest, out message));
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if (message != null)
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{
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Assert.AreNotEqual("Initial Message", message.Message);
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}
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}
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}
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[TestCaseSource(nameof(GetBrokerageBuyingPowerModel))]
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public void GetsCorrectBuyingPowerModelForSecurityAndAccountType(IBrokerageModel brokerage, AccountType accountType, SecurityType securityType, Type type)
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{
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var security = securityType == SecurityType.Equity
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? GetSecurity(Symbols.SPY)
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: GetSecurity(Symbols.EURUSD);
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var buyingPowerModel = brokerage?.GetBuyingPowerModel(security);
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Assert.AreEqual(buyingPowerModel.GetType(), type);
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCustomPythonFillModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomFillModel(ImmediateFillModel):
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def __init__(self):
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super().__init__()
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def MarketFill(self, asset, order):
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raise ValueError(""Pepe"")
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetFillModel(self, security):
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return CustomFillModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var fillModel = model.GetFillModel(security);
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Assert.AreEqual(typeof(FillModelPythonWrapper), fillModel.GetType());
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var ex = Assert.Throws<PythonException>(() => ((dynamic)fillModel).MarketFill(security, new Mock<MarketOrder>().Object));
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe", ex.Message);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCSharpFillModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetFillModel(self, security):
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return ImmediateFillModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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security.SetLocalTimeKeeper(new LocalTimeKeeper(DateTime.Now, DateTimeZone.Utc));
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var fillModel = model.GetFillModel(security);
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Assert.AreEqual(typeof(ImmediateFillModel), fillModel.GetType());
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var order = new Mock<MarketOrder>();
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var subscriptionDataConfigProvider = new Mock<ISubscriptionDataConfigProvider>();
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var securitiesForOrders = new Dictionary<Order, Security>() { { order.Object, security } };
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var fillModelParameters = new FillModelParameters(security, order.Object, subscriptionDataConfigProvider.Object, TimeSpan.Zero, securitiesForOrders);
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var result = fillModel.Fill(fillModelParameters);
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foreach (var entry in result)
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{
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Assert.AreEqual(OrderStatus.Filled, entry.Status);
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}
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCustomBenchmark()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBenchmarkModel:
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def Evaluate(self, time):
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raise ValueError(""Pepe"")
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetBenchmark(self, securities):
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return CustomBenchmarkModel()
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").GetAttr("CustomBrokerageModel");
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var timeKeeper = new TimeKeeper(DateTime.Now);
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var securityManager = new SecurityManager(timeKeeper);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var benchmarkModel = model.GetBenchmark(securityManager);
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Assert.AreEqual(typeof(BenchmarkPythonWrapper), benchmarkModel.GetType());
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var ex = Assert.Throws<PythonException>(() => ((dynamic)benchmarkModel).Evaluate(DateTime.Now));
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe", ex.Message);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCsharpBenchmark()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetBenchmark(self, securities):
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return super().GetBenchmark(securities)
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").GetAttr("CustomBrokerageModel");
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var timeKeeper = new TimeKeeper(DateTime.Now);
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var subscriptionManager = new SubscriptionManager(timeKeeper);
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var dataManager = new DataManagerStub();
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subscriptionManager.SetDataManager(dataManager);
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var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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var securityService = dataManager.SecurityService;
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var securityManager = new SecurityManager(timeKeeper);
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securityManager.SetSecurityService((SecurityService)securityService);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var benchmarkModel = model.GetBenchmark(securityManager);
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Assert.AreEqual(typeof(SecurityBenchmark), benchmarkModel.GetType());
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var result = ((dynamic)benchmarkModel).Evaluate(DateTime.Now);
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Assert.AreEqual(0m, result);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCustomFeeModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomFeeModel:
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def GetOrderFee(self, security, order):
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raise ValueError(""Pepe"")
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetFeeModel(self, securities):
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return CustomFeeModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var feeModel = model.GetFeeModel(security);
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Assert.AreEqual(typeof(FeeModelPythonWrapper), feeModel.GetType());
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var order = new Mock<Order>();
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var orderParameters = new Mock<OrderFeeParameters>(security, order.Object);
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var ex = Assert.Throws<PythonException>(() => ((dynamic)feeModel).GetOrderFee(orderParameters.Object));
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe", ex.Message);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCsharpFeeModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetFeeModel(self, securities):
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return FeeModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var feeModel = model.GetFeeModel(security);
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Assert.AreEqual(typeof(FeeModel), feeModel.GetType());
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var order = new Mock<Order>();
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var orderParameters = new Mock<OrderFeeParameters>(security, order.Object);
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var result = ((FeeModel)feeModel).GetOrderFee(orderParameters.Object);
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Assert.AreEqual(Currencies.USD, result.Value.Currency);
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Assert.AreEqual(0m, result.Value.Amount);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCustomSettlementModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomSettlementModel:
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def ApplyFunds(self, parameters):
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raise ValueError(""Pepe"")
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def Scan(self, parameters):
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raise ValueError(""Pepe2"")
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def GetUnsettledCash(self):
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raise ValueError(""Pepe3"")
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetSettlementModel(self, securities):
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return CustomSettlementModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var settlementModel = model.GetSettlementModel(security);
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Assert.AreEqual(typeof(SettlementModelPythonWrapper), settlementModel.GetType());
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(DateTime.Now);
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var portfolio = algorithm.Portfolio;
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var appyFundsParameters = new ApplyFundsSettlementModelParameters(portfolio, security, DateTime.Now, new CashAmount(1000, Currencies.USD), null);
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var ex = Assert.Throws<PythonException>(() => ((dynamic)settlementModel).ApplyFunds(appyFundsParameters));
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe", ex.Message);
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var scanParameters = new ScanSettlementModelParameters(portfolio, security, DateTime.UtcNow);
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ex = Assert.Throws<PythonException>(() => ((dynamic)settlementModel).Scan(scanParameters));
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe2", ex.Message);
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ex = Assert.Throws<PythonException>(() => ((dynamic)settlementModel).GetUnsettledCash());
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Assert.AreEqual("ValueError", ex.Type.Name);
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Assert.AreEqual("Pepe3", ex.Message);
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCsharpSettlementModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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class CustomBrokerageModel(DefaultBrokerageModel):
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def GetSettlementModel(self, security):
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return ImmediateSettlementModel()
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").GetAttr("CustomBrokerageModel");
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var security = GetSecurity(Symbols.SPY);
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var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
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var settlementModel = model.GetSettlementModel(security);
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Assert.AreEqual(typeof(ImmediateSettlementModel), settlementModel.GetType());
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(DateTime.Now);
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var portfolio = algorithm.Portfolio;
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var appyFundsParameters = new ApplyFundsSettlementModelParameters(portfolio, security, DateTime.Now, new CashAmount(1000, Currencies.USD), null);
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Assert.DoesNotThrow(() => ((dynamic)settlementModel).ApplyFunds(appyFundsParameters));
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var scanParameters = new ScanSettlementModelParameters(portfolio, security, DateTime.UtcNow);
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Assert.DoesNotThrow(() => ((dynamic)settlementModel).Scan(scanParameters));
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}
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}
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[Test]
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public void BrokerageModelPythonWrapperWorksWithCustomSlippageModel()
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{
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using (Py.GIL())
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{
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dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
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@$"
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from AlgorithmImports import *
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|
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class CustomSlippageModel:
|
|
def GetSlippageApproximation(self, asset, order):
|
|
raise ValueError(""Pepe"")
|
|
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetSlippageModel(self, security):
|
|
return CustomSlippageModel()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var slippageModel = model.GetSlippageModel(security);
|
|
Assert.AreEqual(typeof(SlippageModelPythonWrapper), slippageModel.GetType());
|
|
var order = new Mock<Order>();
|
|
var ex = Assert.Throws<PythonException>(() => ((dynamic)slippageModel).GetSlippageApproximation(security, order.Object));
|
|
Assert.AreEqual("ValueError", ex.Type.Name);
|
|
Assert.AreEqual("Pepe", ex.Message);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCsharpSlippageModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetSlippageModel(self, security):
|
|
return NullSlippageModel()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var slippageModel = model.GetSlippageModel(security);
|
|
Assert.AreEqual(typeof(NullSlippageModel), slippageModel.GetType());
|
|
var order = new Mock<Order>();
|
|
var result = ((dynamic)slippageModel).GetSlippageApproximation(security, order.Object);
|
|
Assert.AreEqual(0m, result);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCustomBuyingPowerModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
|
|
class CustomBuyingPowerModel(BuyingPowerModel):
|
|
def GetLeverage(self, security):
|
|
raise ValueError(""Pepe"")
|
|
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetBuyingPowerModel(self, security):
|
|
return CustomBuyingPowerModel()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var buyingPowerModel = model.GetBuyingPowerModel(security);
|
|
Assert.AreEqual(typeof(BuyingPowerModelPythonWrapper), buyingPowerModel.GetType());
|
|
var ex = Assert.Throws<PythonException>(() => ((dynamic)buyingPowerModel).GetLeverage(security));
|
|
Assert.AreEqual("ValueError", ex.Type.Name);
|
|
Assert.AreEqual("Pepe", ex.Message);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCsharpBuyingPowerModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetBuyingPowerModel(self, security):
|
|
return BuyingPowerModel(1)
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var buyingPowerModel = model.GetBuyingPowerModel(security);
|
|
Assert.AreEqual(typeof(BuyingPowerModel), buyingPowerModel.GetType());
|
|
var result = ((dynamic)buyingPowerModel).GetLeverage(security);
|
|
Assert.AreEqual(1, result);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCustomShortableProvider()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
|
|
class CustomShortableProvider:
|
|
def FeeRate(self, symbol, localTime):
|
|
raise ValueError(""Pepe"")
|
|
def RebateRate(self, symbol, localTime):
|
|
raise ValueError(""Pepe"")
|
|
def ShortableQuantity(self, symbol, localTime):
|
|
raise ValueError(""Pepe"")
|
|
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetShortableProvider(self, security):
|
|
return CustomShortableProvider()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var shortableProvider = model.GetShortableProvider(security);
|
|
Assert.AreEqual(typeof(ShortableProviderPythonWrapper), shortableProvider.GetType());
|
|
var ex = Assert.Throws<PythonException>(() => ((dynamic)shortableProvider).ShortableQuantity(security.Symbol, DateTime.Now));
|
|
Assert.AreEqual("ValueError", ex.Type.Name);
|
|
Assert.AreEqual("Pepe", ex.Message);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCsharpShortableProvider()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetShortableProvider(self, security):
|
|
return NullShortableProvider()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var shortableProvider = model.GetShortableProvider(security);
|
|
Assert.AreEqual(typeof(NullShortableProvider), shortableProvider.GetType());
|
|
var result = ((dynamic)shortableProvider).ShortableQuantity(security.Symbol, DateTime.Now);
|
|
Assert.IsNull(result);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCustomMarginInterestRateModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
|
|
class CustomMarginInterestRateModel:
|
|
def ApplyMarginInterestRate(self, parameters):
|
|
raise ValueError(""Pepe"")
|
|
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetMarginInterestRateModel(self, security):
|
|
return CustomMarginInterestRateModel()
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var marginInterestRateModel = model.GetMarginInterestRateModel(security);
|
|
Assert.AreEqual(typeof(MarginInterestRateModelPythonWrapper), marginInterestRateModel.GetType());
|
|
var parameters = new MarginInterestRateParameters(security, DateTime.Now);
|
|
var ex = Assert.Throws<PythonException>(() => ((dynamic)marginInterestRateModel).ApplyMarginInterestRate(parameters));
|
|
Assert.AreEqual("ValueError", ex.Type.Name);
|
|
Assert.AreEqual("Pepe", ex.Message);
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void BrokerageModelPythonWrapperWorksWithCsharpMarginInterestRateModel()
|
|
{
|
|
using (Py.GIL())
|
|
{
|
|
dynamic PyCustomBrokerageModel = PyModule.FromString("testModule",
|
|
@$"
|
|
from AlgorithmImports import *
|
|
class CustomBrokerageModel(DefaultBrokerageModel):
|
|
def GetMarginInterestRateModel(self, security):
|
|
return MarginInterestRateModel.Null
|
|
").GetAttr("CustomBrokerageModel");
|
|
var security = GetSecurity(Symbols.SPY);
|
|
var model = new BrokerageModelPythonWrapper(PyCustomBrokerageModel());
|
|
var marginInterestRate = model.GetMarginInterestRateModel(security);
|
|
Assert.AreEqual("QuantConnect.Securities.MarginInterestRateModel+NullMarginInterestRateModel", marginInterestRate.GetType().ToString());
|
|
var parameters = new MarginInterestRateParameters(security, DateTime.Now);
|
|
Assert.DoesNotThrow(() => ((IMarginInterestRateModel)marginInterestRate).ApplyMarginInterestRate(parameters));
|
|
}
|
|
}
|
|
|
|
[Test]
|
|
public void TradingTechnologiesBrokerageModelValidatesStopLimitOrders()
|
|
{
|
|
var model = new TradingTechnologiesBrokerageModel();
|
|
var symbol = Symbols.Future_CLF19_Jan2019;
|
|
var security = GetSecurity(symbol);
|
|
security.SetMarketPrice(new Tick(DateTime.UtcNow, symbol, 4500m, 4500m));
|
|
|
|
var invalidStopLimit = new StopLimitOrder
|
|
{
|
|
Symbol = symbol,
|
|
Quantity = 1,
|
|
StopPrice = 4510m,
|
|
LimitPrice = 4505m
|
|
};
|
|
|
|
var canSubmit = model.CanSubmitOrder(security, invalidStopLimit, out var message);
|
|
Assert.IsFalse(canSubmit);
|
|
StringAssert.Contains("StopLimit Buy limit price must be greater than or equal to stop price", message.Message);
|
|
}
|
|
|
|
[TestCase(BrokerageName.Alpaca, OrderType.MarketOnOpen, 10, -15, false)]
|
|
[TestCase(BrokerageName.Alpaca, OrderType.MarketOnOpen, 10, -10, true)]
|
|
[TestCase(BrokerageName.Alpaca, OrderType.MarketOnClose, 10, -15, false)]
|
|
[TestCase(BrokerageName.Alpaca, OrderType.MarketOnClose, 10, -10, true)]
|
|
[TestCase(BrokerageName.TradeStation, OrderType.MarketOnOpen, 10, -15, false)]
|
|
[TestCase(BrokerageName.TradeStation, OrderType.MarketOnOpen, 10, -10, true)]
|
|
[TestCase(BrokerageName.TradeStation, OrderType.MarketOnClose, 10, -15, false)]
|
|
[TestCase(BrokerageName.TradeStation, OrderType.MarketOnClose, 10, -10, true)]
|
|
[TestCase(BrokerageName.Tastytrade, OrderType.MarketOnOpen, 10, -15, false)]
|
|
[TestCase(BrokerageName.Tastytrade, OrderType.MarketOnOpen, 10, -10, false, Description = "Not support MOO")]
|
|
[TestCase(BrokerageName.Tastytrade, OrderType.MarketOnClose, 10, -15, false)]
|
|
[TestCase(BrokerageName.Tastytrade, OrderType.MarketOnClose, 10, -10, false, Description = "doesn't support MOC")]
|
|
[TestCase(BrokerageName.TradierBrokerage, OrderType.MarketOnOpen, 10, -15, false)]
|
|
[TestCase(BrokerageName.TradierBrokerage, OrderType.MarketOnOpen, 10, -10, false, Description = "Not support MOO")]
|
|
[TestCase(BrokerageName.TradierBrokerage, OrderType.MarketOnClose, 10, -15, false)]
|
|
[TestCase(BrokerageName.TradierBrokerage, OrderType.MarketOnClose, 10, -10, false, Description = "Not support MOC")]
|
|
public void BrokerageModelCanSubmitNotSupportCrossZeroOrderType(BrokerageName brokerageName, OrderType orderType, decimal holdingQuantity, decimal orderQuantity, bool isShouldSubmitOrder)
|
|
{
|
|
// Initialize: BrokerageModel
|
|
var brokerageModel = GetBrokerageModel(brokerageName);
|
|
|
|
// Initialize: Order
|
|
var AAPL = Symbols.AAPL;
|
|
Order order = orderType switch
|
|
{
|
|
OrderType.MarketOnOpen => new MarketOnOpenOrder(AAPL, orderQuantity, new(default)),
|
|
OrderType.MarketOnClose => new MarketOnCloseOrder(AAPL, orderQuantity, new(default)),
|
|
_ => throw new NotImplementedException()
|
|
};
|
|
|
|
// Initialize: Security
|
|
var algorithm = new AlgorithmStub();
|
|
algorithm.SetDateTime(new DateTime(2025, 09, 16, 7, 0, 0).ConvertToUtc(algorithm.TimeZone));
|
|
algorithm.AddEquity(AAPL.Value).Holdings.SetHoldings(209m, holdingQuantity);
|
|
var security = algorithm.Securities[AAPL];
|
|
|
|
var isPossibleUpdate = brokerageModel.CanSubmitOrder(security, order, out var message);
|
|
|
|
Assert.That(isPossibleUpdate, Is.EqualTo(isShouldSubmitOrder));
|
|
}
|
|
|
|
private static IEnumerable<TestCaseData> MarketOnOpenOrderTimeExecutions
|
|
{
|
|
get
|
|
{
|
|
var ts = BrokerageName.TradeStation;
|
|
var alpaca = BrokerageName.Alpaca;
|
|
var ib = BrokerageName.InteractiveBrokersBrokerage;
|
|
|
|
foreach (var bn in new BrokerageName[3] { ts, alpaca, ib })
|
|
{
|
|
yield return new TestCaseData(bn, Symbols.SPY, new DateTime(2025, 04, 30, 8, 0, 0), true);
|
|
yield return new TestCaseData(bn, Symbols.SPY, new DateTime(2025, 04, 30, 12, 0, 0), false);
|
|
yield return new TestCaseData(bn, Symbols.SPY, new DateTime(2025, 04, 30, 15, 30, 0), false);
|
|
yield return new TestCaseData(bn, Symbols.SPY, new DateTime(2025, 04, 30, 6, 0, 0), true);
|
|
yield return new TestCaseData(bn, Symbols.SPY, new DateTime(2025, 04, 30, 9, 27, 59), true);
|
|
|
|
yield return new TestCaseData(bn, Symbols.Future_CLF19_Jan2019, new DateTime(2025, 04, 30, 9, 27, 59), false).SetDescription("The Brokerage doesn't support MOO for future");
|
|
yield return new TestCaseData(bn, Symbols.SBIN, new DateTime(2025, 04, 30, 9, 0, 0), true).SetDescription("Allow place order with different market");
|
|
}
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 15, 59, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 15, 59, 0), false);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 16, 0, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 17, 0, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 17, 0, 0), false);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 17, 0, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 17, 59, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 17, 59, 0), false);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 17, 59, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 19, 0, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 19, 0, 0), true);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 19, 0, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 19, 1, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 19, 1, 0), true);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 19, 1, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 21, 0, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 21, 0, 0), true);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 21, 0, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 9, 28, 0), true);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 9, 28, 0), false);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 9, 28, 0), false);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 04, 30, 5, 59, 0), false);
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 04, 30, 5, 59, 0), true);
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 04, 30, 5, 59, 0), true);
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY_C_192_Feb19_2016, new DateTime(2025, 04, 30, 9, 28, 0), true).SetDescription("The TS supports option");
|
|
yield return new TestCaseData(alpaca, Symbols.SPY_C_192_Feb19_2016, new DateTime(2025, 04, 30, 9, 28, 0), false).SetDescription("The Alpaca doesn't support option");
|
|
yield return new TestCaseData(ib, Symbols.SPY_C_192_Feb19_2016, new DateTime(2025, 04, 30, 5, 59, 0), true).SetDescription("The IB supports option");
|
|
|
|
yield return new TestCaseData(ts, Symbols.SPY, new DateTime(2025, 09, 13, 12, 0, 0), true).SetDescription("2025 September Saturday");
|
|
yield return new TestCaseData(alpaca, Symbols.SPY, new DateTime(2025, 09, 13, 12, 0, 0), true).SetDescription("2025 September Saturday");
|
|
yield return new TestCaseData(ib, Symbols.SPY, new DateTime(2025, 09, 13, 12, 0, 0), true).SetDescription("2025 September Saturday");
|
|
}
|
|
}
|
|
|
|
[TestCaseSource(nameof(MarketOnOpenOrderTimeExecutions))]
|
|
public void CanSubmitMarketOnOpen(BrokerageName brokerageName, Symbol symbol, DateTime algorithmDateTime, bool shouldSubmit)
|
|
{
|
|
var brokerageModel = GetBrokerageModel(brokerageName);
|
|
|
|
var algorithm = new AlgorithmStub();
|
|
algorithm.SetStartDate(algorithmDateTime.Date);
|
|
|
|
var security = algorithm.AddSecurity(symbol);
|
|
algorithm.SetFinishedWarmingUp();
|
|
// Set algorithm time to the given hour
|
|
algorithm.SetDateTime(algorithmDateTime.ConvertToUtc(security.Exchange.TimeZone));
|
|
|
|
security.Update([new Tick(algorithm.Time, symbol, string.Empty, string.Empty, 10m, 550m)], typeof(TradeBar));
|
|
|
|
var order = new MarketOnOpenOrder(security.Symbol, 1, DateTime.UtcNow);
|
|
|
|
var canSubmit = brokerageModel.CanSubmitOrder(security, order, out var message);
|
|
|
|
Assert.That(canSubmit, Is.EqualTo(shouldSubmit));
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a brokerage model instance for the specified <see cref="BrokerageName"/>.
|
|
/// </summary>
|
|
/// <param name="brokerageName">The <see cref="BrokerageName"/> identifying which brokerage model to create.</param>
|
|
/// <returns>An <see cref="IBrokerageModel"/> corresponding to the given <paramref name="brokerageName"/>.</returns>
|
|
private static IBrokerageModel GetBrokerageModel(BrokerageName brokerageName) => brokerageName switch
|
|
{
|
|
BrokerageName.Alpaca => new AlpacaBrokerageModel(),
|
|
BrokerageName.TradeStation => new TradeStationBrokerageModel(),
|
|
BrokerageName.Tastytrade => new TastytradeBrokerageModel(),
|
|
BrokerageName.TradierBrokerage => new TradierBrokerageModel(),
|
|
BrokerageName.InteractiveBrokersBrokerage => new InteractiveBrokersBrokerageModel(),
|
|
_ => throw new NotImplementedException($"{nameof(BrokerageModelTests)}.{nameof(GetBrokerageModel)}: does not support brokerage '{brokerageName}'.")
|
|
};
|
|
|
|
private static Security GetSecurity(Symbol symbol) =>
|
|
new(symbol,
|
|
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
|
|
new Cash(Currencies.USD, 0, 1),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache());
|
|
|
|
private static Mock<MarketOrder> _order = new Mock<MarketOrder>
|
|
{
|
|
Object =
|
|
{
|
|
Quantity = 100
|
|
}
|
|
};
|
|
|
|
private static TestCaseData[] GetBrokerageNameTestCases()
|
|
{
|
|
return new[]
|
|
{
|
|
new TestCaseData(new InteractiveBrokersBrokerageModel(), BrokerageName.InteractiveBrokersBrokerage),
|
|
new TestCaseData(new TradierBrokerageModel(), BrokerageName.TradierBrokerage),
|
|
new TestCaseData(new OandaBrokerageModel(), BrokerageName.OandaBrokerage),
|
|
new TestCaseData(new FxcmBrokerageModel(), BrokerageName.FxcmBrokerage),
|
|
new TestCaseData(new BitfinexBrokerageModel(), BrokerageName.Bitfinex),
|
|
new TestCaseData(new BinanceUSBrokerageModel(), BrokerageName.BinanceUS),
|
|
new TestCaseData(new BinanceBrokerageModel(), BrokerageName.Binance),
|
|
new TestCaseData(new CoinbaseBrokerageModel(), BrokerageName.Coinbase),
|
|
new TestCaseData(new AlphaStreamsBrokerageModel(), BrokerageName.AlphaStreams),
|
|
new TestCaseData(new ZerodhaBrokerageModel(), BrokerageName.Zerodha),
|
|
new TestCaseData(new AxosClearingBrokerageModel(), BrokerageName.Axos),
|
|
new TestCaseData(new TradingTechnologiesBrokerageModel(), BrokerageName.TradingTechnologies),
|
|
new TestCaseData(new SamcoBrokerageModel(), BrokerageName.Samco),
|
|
new TestCaseData(new KrakenBrokerageModel(), BrokerageName.Kraken),
|
|
new TestCaseData(new ExanteBrokerageModel(), BrokerageName.Exante),
|
|
new TestCaseData(new FTXUSBrokerageModel(), BrokerageName.FTXUS),
|
|
new TestCaseData(new FTXBrokerageModel(), BrokerageName.FTX),
|
|
new TestCaseData(new BybitBrokerageModel(), BrokerageName.Bybit),
|
|
new TestCaseData(new DefaultBrokerageModel(), BrokerageName.Default)
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};
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}
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private class CustomInteractiveBrokersBrokerageModel : InteractiveBrokersBrokerageModel { }
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private class CustomTradierBrokerageModel : TradierBrokerageModel { }
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private class CustomOandaBrokerageModel : OandaBrokerageModel { }
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private class CustomFxcmBrokerageModel : FxcmBrokerageModel { }
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private class CustomBitfinexBrokerageModel : BitfinexBrokerageModel { }
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private class CustomBinanceUSBrokerageModel : BinanceUSBrokerageModel { }
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private class CustomBinanceBrokerageModel : BinanceBrokerageModel { }
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private class CustomCoinbaseBrokerageModel : CoinbaseBrokerageModel { }
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private class CustomAlphaStreamsBrokerageModel : AlphaStreamsBrokerageModel { }
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private class CustomZerodhaBrokerageModel : ZerodhaBrokerageModel { }
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private class CustomAxosBrokerageModel : AxosClearingBrokerageModel { }
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private class CustomTradingTechnologiesBrokerageModel : TradingTechnologiesBrokerageModel { }
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private class CustomSamcoBrokerageModel : SamcoBrokerageModel { }
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private class CustomKrakenBrokerageModel : KrakenBrokerageModel { }
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private class CustomExanteBrokerageModel : ExanteBrokerageModel { }
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private class CustomFTXUSBrokerageModel : FTXUSBrokerageModel { }
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|
private class CustomFTXBrokerageModel : FTXBrokerageModel { }
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private class CustomBybitBrokerageModel : BybitBrokerageModel { }
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private class CustomDefaultBrokerageModel : DefaultBrokerageModel { }
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|
|
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private static TestCaseData[] GetCustomBrokerageNameTestCases()
|
|
{
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|
return new[]
|
|
{
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new TestCaseData(new CustomInteractiveBrokersBrokerageModel(), BrokerageName.InteractiveBrokersBrokerage),
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new TestCaseData(new CustomTradierBrokerageModel(), BrokerageName.TradierBrokerage),
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|
new TestCaseData(new CustomOandaBrokerageModel(), BrokerageName.OandaBrokerage),
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new TestCaseData(new CustomFxcmBrokerageModel(), BrokerageName.FxcmBrokerage),
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|
new TestCaseData(new CustomBitfinexBrokerageModel(), BrokerageName.Bitfinex),
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|
new TestCaseData(new CustomBinanceUSBrokerageModel(), BrokerageName.BinanceUS),
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|
new TestCaseData(new CustomBinanceBrokerageModel(), BrokerageName.Binance),
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|
new TestCaseData(new CustomCoinbaseBrokerageModel(), BrokerageName.Coinbase),
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|
new TestCaseData(new CustomAlphaStreamsBrokerageModel(), BrokerageName.AlphaStreams),
|
|
new TestCaseData(new CustomZerodhaBrokerageModel(), BrokerageName.Zerodha),
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|
new TestCaseData(new CustomAxosBrokerageModel(), BrokerageName.Axos),
|
|
new TestCaseData(new CustomTradingTechnologiesBrokerageModel(), BrokerageName.TradingTechnologies),
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|
new TestCaseData(new CustomSamcoBrokerageModel(), BrokerageName.Samco),
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|
new TestCaseData(new CustomKrakenBrokerageModel(), BrokerageName.Kraken),
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|
new TestCaseData(new CustomExanteBrokerageModel(), BrokerageName.Exante),
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|
new TestCaseData(new CustomFTXUSBrokerageModel(), BrokerageName.FTXUS),
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|
new TestCaseData(new CustomFTXBrokerageModel(), BrokerageName.FTX),
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|
new TestCaseData(new CustomBybitBrokerageModel(), BrokerageName.Bybit),
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|
new TestCaseData(new CustomDefaultBrokerageModel(), BrokerageName.Default)
|
|
};
|
|
}
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|
|
|
private static TestCaseData[] GetBrokerageBuyingPowerModel()
|
|
{
|
|
return new[]
|
|
{
|
|
new TestCaseData(new InteractiveBrokersBrokerageModel(AccountType.Cash), AccountType.Cash, SecurityType.Equity, typeof(SecurityMarginModel)),
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|
new TestCaseData(new InteractiveBrokersBrokerageModel(AccountType.Margin), AccountType.Margin, SecurityType.Equity, typeof(SecurityMarginModel)),
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|
new TestCaseData(new InteractiveBrokersBrokerageModel(AccountType.Cash), AccountType.Cash, SecurityType.Forex, typeof(CashBuyingPowerModel)),
|
|
new TestCaseData(new InteractiveBrokersBrokerageModel(AccountType.Margin), AccountType.Margin, SecurityType.Forex, typeof(SecurityMarginModel)),
|
|
};
|
|
}
|
|
}
|
|
}
|