wehub-resource-sync
705 lines
28 KiB
C#
705 lines
28 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 System.Linq;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Data;
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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.Orders.Fills;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Common.Orders.Fills
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{
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[TestFixture]
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public class BackwardsCompatibilityFillModelsTests
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{
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private SubscriptionDataConfig _config;
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private Security _security;
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private static OrderEvent orderEvent;
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private static DateTime orderDateTime;
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[SetUp]
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public void SetUp()
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{
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_config = SecurityTests.CreateTradeBarConfig();
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_security = SecurityTests.GetSecurity();
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orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
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orderEvent = new OrderEvent(
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99,
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_security.Symbol,
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orderDateTime,
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OrderStatus.Submitted,
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OrderDirection.Buy,
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1,
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1,
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new OrderFee(new CashAmount(1, Currencies.USD))
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);
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var reference = DateTime.Now;
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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_security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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// Seed fresh market data so market fills are not held back as stale (data within one resolution bar
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// of the current time). These tests exercise the fill model plumbing, not the stale-data handling.
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_security.SetMarketPrice(new TradeBar(reference.AddMinutes(-1), _security.Symbol, 1m, 1m, 1m, 1m, 1, Time.OneMinute));
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}
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#region InheritImmediateFillModel
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[Test]
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public void InheritImmediateFillModel_MarketFill()
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{
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var model = new TestFillModelInheritImmediateFillModel();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.MarketFillWasCalled);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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#endregion
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#region OldFillInterfaceModelTests
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[Test]
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public void OldInterface_MarketFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.MarketFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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[Test]
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public void OldInterface_StopMarketFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new StopMarketOrder(_security.Symbol, 1, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.StopMarketFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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[Test]
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public void OldInterface_StopLimitFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new StopLimitOrder(_security.Symbol, 1, 1, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.StopLimitFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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[Test]
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public void OldInterface_LimitFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new LimitOrder(_security.Symbol, 1, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.LimitFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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[Test]
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public void OldInterface_MarketOnOpenFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOnOpenOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.MarketOnOpenFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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[Test]
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public void OldInterface_MarketOnCloseFill()
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{
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var model = new TestFillModelInheritInterface();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOnCloseOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.MarketOnCloseFillWasCalled);
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Assert.AreEqual(orderEvent, result);
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}
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#endregion
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#region OldBaseFillModelTests
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[Test]
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public void OldBaseFillModel_DoesNotOverride_MarketFill()
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{
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var model = new TestFillModelInheritBaseClassDoesNotOverride();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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[Test]
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public void OldBaseFillModel_MarketFill()
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{
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var model = new TestFillModelInheritBaseClass();
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var result = model.Fill(
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new FillModelParameters(_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.MarketFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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[Test]
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public void OldBaseFillModel_StopMarketFill()
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{
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var model = new TestFillModelInheritBaseClass();
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var result = model.Fill(
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new FillModelParameters(_security,
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new StopMarketOrder(_security.Symbol, 1, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.StopMarketFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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[Test]
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public void OldBaseFillModel_StopLimitFill()
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{
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var model = new TestFillModelInheritBaseClass();
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var result = model.Fill(
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new FillModelParameters(_security,
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new StopLimitOrder(_security.Symbol, 1, 12344, 12346, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.StopLimitFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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[Test]
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public void OldBaseFillModel_LimitFill()
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{
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var model = new TestFillModelInheritBaseClass();
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var result = model.Fill(
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new FillModelParameters(_security,
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new LimitOrder(_security.Symbol, 1, 12346, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null)).Single();
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Assert.True(model.LimitFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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[TestCase(true)]
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[TestCase(false)]
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public void OldBaseFillModel_MarketOnOpenFill(bool isMarketAlwaysOpen)
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{
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var model = new TestFillModelInheritBaseClass();
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var security = SecurityTests.GetSecurity(isMarketAlwaysOpen);
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var reference = new DateTime(2022, 4, 5, 10, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new Tick(orderDateTime, security.Symbol, 88, 88) { TickType = TickType.Trade });
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var args = new FillModelParameters(security, new MarketOnOpenOrder(security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config), Time.OneHour, null);
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if (isMarketAlwaysOpen)
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{
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Assert.Throws<InvalidOperationException>(() => model.Fill(args));
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}
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else
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{
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var result = model.Fill(args).Single();
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Assert.True(model.MarketOnOpenFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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}
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[TestCase(true)]
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[TestCase(false)]
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public void OldBaseFillModel_MarketOnCloseFill(bool isMarketAlwaysOpen)
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{
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var model = new TestFillModelInheritBaseClass();
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var security = SecurityTests.GetSecurity(isMarketAlwaysOpen);
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var reference = new DateTime(2022, 4, 5, 10, 0, 0);
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var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
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var timeKeeper = new TimeKeeper(referenceUtc);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var args = new FillModelParameters(security, new MarketOnCloseOrder(security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config), Time.OneHour, null);
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if (isMarketAlwaysOpen)
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{
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Assert.Throws<InvalidOperationException>(() => model.Fill(args));
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}
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else
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{
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var result = model.Fill(args).Single();
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Assert.True(model.MarketOnCloseFillWasCalled);
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Assert.IsNotNull(result);
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Assert.True(model.GetPricesWasCalled);
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Assert.AreEqual(12345, result.FillPrice);
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}
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}
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#endregion
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#region Python
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[Test]
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public void OldImmediateFillModelModel_MarketFill_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(ImmediateFillModel):\n" +
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" def __init__(self):\n" +
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" self.MarketFillWasCalled = False\n" +
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" def MarketFill(self, asset, order):\n" +
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" self.MarketFillWasCalled = True\n" +
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" return super().MarketFill(asset, order)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null
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)).Single();
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bool called;
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customFillModel.GetAttr("MarketFillWasCalled").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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}
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[Test]
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public void OldBaseFillModel_MarketFill_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(FillModel):\n" +
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" def __init__(self):\n" +
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" self.MarketFillWasCalled = False\n" +
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" def MarketFill(self, asset, order):\n" +
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" self.MarketFillWasCalled = True\n" +
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" return super().MarketFill(asset, order)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null
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)).Single();
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bool called;
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customFillModel.GetAttr("MarketFillWasCalled").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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}
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[Test]
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public void NewFillContext_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(FillModel):\n" +
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" def __init__(self):\n" +
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" self.FillWasCalled = False\n" +
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" def Fill(self, parameters):\n" +
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" self.FillWasCalled = True\n" +
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" return super().Fill(parameters)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null
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)).Single();
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bool called;
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customFillModel.GetAttr("FillWasCalled").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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}
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[Test]
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public void OldFillModel_NewFillContextAndMarketFill_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(FillModel):\n" +
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" def __init__(self):\n" +
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" self.FillWasCalled = False\n" +
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" self.MarketFillWasCalled = False\n" +
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" def Fill(self, parameters):\n" +
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" self.FillWasCalled = True\n" +
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" self.Parameters = parameters\n" +
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" return Fill(self.MarketFill(parameters.Security, parameters.Order))\n" +
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" def MarketFill(self, asset, order):\n" +
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" self.MarketFillWasCalled = True\n" +
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" return super().MarketFill(asset, order)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null
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)).Single();
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bool called;
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customFillModel.GetAttr("FillWasCalled").TryConvert(out called);
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Assert.True(called);
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customFillModel.GetAttr("MarketFillWasCalled").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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}
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[Test]
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public void OldFillModel_NewFillContextAndGetPrices_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(FillModel):\n" +
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" def __init__(self):\n" +
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" self.FillWasCalled = False\n" +
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" self.GetPricesWasCalled = False\n" +
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" def Fill(self, parameters):\n" +
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" self.FillWasCalled = True\n" +
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" self.Parameters = parameters\n" +
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" return Fill(super().MarketFill(parameters.Security, parameters.Order))\n" +
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" def GetPrices(self, asset, direction):\n" +
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" self.GetPricesWasCalled = True\n" +
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" return super().GetPrices(asset, direction)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
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new MockSubscriptionDataConfigProvider(_config),
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Time.OneHour,
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null
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)).Single();
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bool called;
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customFillModel.GetAttr("FillWasCalled").TryConvert(out called);
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Assert.True(called);
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customFillModel.GetAttr("GetPricesWasCalled").TryConvert(out called);
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Assert.True(called);
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Assert.IsNotNull(result);
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Assert.AreEqual(OrderStatus.Filled, result.Status);
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}
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}
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[Test]
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public void OldImmediateFillModel_MarketFill_Py()
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString(Guid.NewGuid().ToString(),
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"from AlgorithmImports import *\n" +
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"class CustomFillModel(ImmediateFillModel):\n" +
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" def __init__(self):\n" +
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" self.MarketFillWasCalled = False\n" +
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" def MarketFill(self, asset, order):\n" +
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" self.MarketFillWasCalled = True\n" +
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" return super().MarketFill(asset, order)");
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var customFillModel = module.GetAttr("CustomFillModel").Invoke();
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var wrapper = new FillModelPythonWrapper(customFillModel);
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var result = wrapper.Fill(new FillModelParameters(
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_security,
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new MarketOrder(_security.Symbol, 1, orderDateTime),
|
|
new MockSubscriptionDataConfigProvider(_config),
|
|
Time.OneHour,
|
|
null
|
|
)).Single();
|
|
|
|
bool called;
|
|
customFillModel.GetAttr("MarketFillWasCalled").TryConvert(out called);
|
|
Assert.True(called);
|
|
Assert.IsNotNull(result);
|
|
Assert.AreEqual(OrderStatus.Filled, result.Status);
|
|
}
|
|
}
|
|
|
|
#endregion
|
|
|
|
private class TestFillModelInheritInterface : IFillModel
|
|
{
|
|
public bool MarketFillWasCalled;
|
|
public bool StopMarketFillWasCalled;
|
|
public bool StopLimitFillWasCalled;
|
|
public bool LimitFillWasCalled;
|
|
public bool MarketOnOpenFillWasCalled;
|
|
public bool MarketOnCloseFillWasCalled;
|
|
|
|
public OrderEvent MarketFill(Security asset, MarketOrder order)
|
|
{
|
|
MarketFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public OrderEvent StopMarketFill(Security asset, StopMarketOrder order)
|
|
{
|
|
StopMarketFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public OrderEvent StopLimitFill(Security asset, StopLimitOrder order)
|
|
{
|
|
StopLimitFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public OrderEvent LimitFill(Security asset, LimitOrder order)
|
|
{
|
|
LimitFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public OrderEvent MarketOnOpenFill(Security asset, MarketOnOpenOrder order)
|
|
{
|
|
MarketOnOpenFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public OrderEvent MarketOnCloseFill(Security asset, MarketOnCloseOrder order)
|
|
{
|
|
MarketOnCloseFillWasCalled = true;
|
|
return orderEvent;
|
|
}
|
|
|
|
public Fill Fill(FillModelParameters parameters)
|
|
{
|
|
var order = parameters.Order;
|
|
OrderEvent orderEvent;
|
|
switch (order.Type)
|
|
{
|
|
case OrderType.Market:
|
|
orderEvent =
|
|
MarketFill(parameters.Security, parameters.Order as MarketOrder);
|
|
break;
|
|
case OrderType.Limit:
|
|
orderEvent =
|
|
LimitFill(parameters.Security, parameters.Order as LimitOrder);
|
|
break;
|
|
case OrderType.StopMarket:
|
|
orderEvent =
|
|
StopMarketFill(parameters.Security, parameters.Order as StopMarketOrder);
|
|
break;
|
|
case OrderType.StopLimit:
|
|
orderEvent =
|
|
StopLimitFill(parameters.Security, parameters.Order as StopLimitOrder);
|
|
break;
|
|
case OrderType.MarketOnOpen:
|
|
orderEvent =
|
|
MarketOnOpenFill(parameters.Security, parameters.Order as MarketOnOpenOrder);
|
|
break;
|
|
case OrderType.MarketOnClose:
|
|
orderEvent =
|
|
MarketOnCloseFill(parameters.Security, parameters.Order as MarketOnCloseOrder);
|
|
break;
|
|
default:
|
|
throw new ArgumentOutOfRangeException();
|
|
}
|
|
return new Fill(orderEvent);
|
|
}
|
|
}
|
|
|
|
private class TestFillModelInheritBaseClass : FillModel
|
|
{
|
|
public bool MarketFillWasCalled;
|
|
public bool StopMarketFillWasCalled;
|
|
public bool StopLimitFillWasCalled;
|
|
public bool LimitIfTouchFillWasCalled;
|
|
public bool LimitFillWasCalled;
|
|
public bool MarketOnOpenFillWasCalled;
|
|
public bool MarketOnCloseFillWasCalled;
|
|
public bool GetPricesWasCalled;
|
|
|
|
public override OrderEvent MarketFill(Security asset, MarketOrder order)
|
|
{
|
|
MarketFillWasCalled = true;
|
|
return base.MarketFill(asset, order);
|
|
}
|
|
|
|
public override OrderEvent StopMarketFill(Security asset, StopMarketOrder order)
|
|
{
|
|
StopMarketFillWasCalled = true;
|
|
return base.StopMarketFill(asset, order);
|
|
}
|
|
|
|
public override OrderEvent StopLimitFill(Security asset, StopLimitOrder order)
|
|
{
|
|
StopLimitFillWasCalled = true;
|
|
return base.StopLimitFill(asset, order);
|
|
}
|
|
public override OrderEvent LimitIfTouchedFill(Security asset, LimitIfTouchedOrder order)
|
|
{
|
|
LimitIfTouchFillWasCalled = true;
|
|
return base.LimitIfTouchedFill(asset, order);
|
|
}
|
|
|
|
public override OrderEvent LimitFill(Security asset, LimitOrder order)
|
|
{
|
|
LimitFillWasCalled = true;
|
|
return base.LimitFill(asset, order);
|
|
}
|
|
|
|
public override OrderEvent MarketOnOpenFill(Security asset, MarketOnOpenOrder order)
|
|
{
|
|
MarketOnOpenFillWasCalled = true;
|
|
return base.MarketOnOpenFill(asset, order);
|
|
}
|
|
|
|
public override OrderEvent MarketOnCloseFill(Security asset, MarketOnCloseOrder order)
|
|
{
|
|
MarketOnCloseFillWasCalled = true;
|
|
return base.MarketOnCloseFill(asset, order);
|
|
}
|
|
|
|
protected override Prices GetPrices(Security asset, OrderDirection direction)
|
|
{
|
|
GetPricesWasCalled = true;
|
|
return new Prices(orderDateTime, orderDateTime, 12345, 12345, 12345, 12345, 12345);
|
|
}
|
|
}
|
|
|
|
private class TestFillModelInheritBaseClassDoesNotOverride : FillModel
|
|
{
|
|
public bool GetPricesWasCalled;
|
|
|
|
protected override Prices GetPrices(Security asset, OrderDirection direction)
|
|
{
|
|
GetPricesWasCalled = true;
|
|
// call base.GetPrices() just to test it show its possible
|
|
base.GetPrices(asset, direction);
|
|
return new Prices(orderDateTime, orderDateTime, 12345, 12345, 12345, 12345, 12345);
|
|
}
|
|
}
|
|
|
|
private class TestFillModelInheritImmediateFillModel : ImmediateFillModel
|
|
{
|
|
public bool MarketFillWasCalled;
|
|
|
|
public override OrderEvent MarketFill(Security asset, MarketOrder order)
|
|
{
|
|
MarketFillWasCalled = true;
|
|
return base.MarketFill(asset, order);
|
|
}
|
|
}
|
|
}
|
|
}
|