quantconnect--lean/Tests/Common/Orders/OrderSizingTests.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using NUnit.Framework;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Data.Market;
using QuantConnect.Lean.Engine.Results;
using QuantConnect.Lean.Engine.TransactionHandlers;
using QuantConnect.Orders;
using QuantConnect.Orders.Fees;
using QuantConnect.Tests.Algorithm;
using QuantConnect.Tests.Common.Securities;
using QuantConnect.Tests.Engine.DataFeeds;

namespace QuantConnect.Tests.Common.Orders
{
    [TestFixture]
    public class OrderSizingTests
    {
        [TestCase(0.98, 0)]
        [TestCase(-0.98, 0)]
        [TestCase(0.9999999, 1)]
        [TestCase(-0.9999999, -1)]
        public void AdjustByLotSize(decimal quantity, decimal expected)
        {
            var algo = new AlgorithmStub();
            var security = algo.AddEquity(Symbols.SPY.Value);

            var result = OrderSizing.AdjustByLotSize(security, quantity);

            Assert.AreEqual(expected, result);
        }

        [Test]
        public void GetOrderSizeForPercentVolume()
        {
            var algo = new AlgorithmStub();
            var security = algo.AddFutureContract(Symbols.Future_CLF19_Jan2019);
            security.SetMarketPrice(new TradeBar { Value = 250, Volume = 10});

            var result = OrderSizing.GetOrderSizeForPercentVolume(security, 0.5m, 100);
            Assert.AreEqual(5, result);
        }

        [TestCase(100000, 100, 0)]
        [TestCase(1000000, 100, 4)]
        [TestCase(1000000, 1, 1)]
        [TestCase(1000000, -1, -1)]
        public void GetOrderSizeForMaximumValue(decimal maximumOrderValue, decimal target, decimal expected)
        {
            var algo = new AlgorithmStub();
            var security = algo.AddFutureContract(Symbols.Future_CLF19_Jan2019);
            security.SetMarketPrice(new TradeBar { Value = 250 });

            var result = OrderSizing.GetOrderSizeForMaximumValue(security, maximumOrderValue, target);

            var expectedCalculated = maximumOrderValue / (security.Price * security.SymbolProperties.ContractMultiplier);
            expectedCalculated -= expectedCalculated % security.SymbolProperties.LotSize;

            Assert.AreEqual(Math.Min(expectedCalculated, Math.Abs(target)) * Math.Sign(target), result);
            Assert.AreEqual(expected, result);
        }

        [TestCase(2, 1, -1)]
        [TestCase(-2, -1, 1)]
        [TestCase(1, 1, 0)]
        [TestCase(0, 1, 1)]
        [TestCase(1, 2, 1)]
        [TestCase(-1, 2, 3)]
        [TestCase(1, -1, -2)]
        [TestCase(-1, -2, -1)]
        [TestCase(0, -1, -1)]
        [TestCase(-1, -1, 0)]
        public void GetUnorderedQuantityHoldingsNoOrders(decimal holdings, decimal target, decimal expected)
        {
            var algo = new AlgorithmStub();
            algo.Transactions.SetOrderProcessor(new FakeOrderProcessor());
            var security = algo.AddFutureContract(Symbols.Future_CLF19_Jan2019);
            security.SetMarketPrice(new TradeBar { Value = 250 });
            security.Holdings.SetHoldings(250, holdings);

            var result = OrderSizing.GetUnorderedQuantity(algo,
                new PortfolioTarget(Symbols.Future_CLF19_Jan2019, target));

            Assert.AreEqual(expected, result);
        }

        [TestCase(-1, -2, -1, -3, 0)]
        [TestCase(-1, -3, -1, -3, 1)]
        [TestCase(-1, -2, -1, -4, -1)]
        [TestCase(1, 2, 1, 3, 0)]
        [TestCase(1, 3, 1, 3, -1)]
        [TestCase(1, 2, 1, 4, 1)]
        [TestCase(2, 2, 1, 10, 6)]
        [TestCase(2, 2, 1, -10, -14)]
        public void GetUnorderedQuantityHoldingsOpenOrders(decimal existingHoldings, decimal orderQuantity,
            decimal filledQuantity, decimal target, decimal expected)
        {
            var algo = new AlgorithmStub();

            var security = algo.AddFutureContract(Symbols.Future_CLF19_Jan2019);
            security.SetMarketPrice(new TradeBar { Value = 250 });
            security.Holdings.SetHoldings(250, existingHoldings);

            var orderProcessor = new BrokerageTransactionHandler();
            using var brokerage = new NullBrokerage();
            orderProcessor.Initialize(algo, brokerage, new BacktestingResultHandler());
            
            try
            {
                algo.Transactions.SetOrderProcessor(orderProcessor);

                var orderRequest = new SubmitOrderRequest(
                        OrderType.Market,
                        SecurityType.Future,
                        Symbols.Future_CLF19_Jan2019,
                        orderQuantity,
                        250,
                        250,
                        new DateTime(2020, 1, 1),
                        "Pepe"
                    );
                orderRequest.SetOrderId(1);
                var order = Order.CreateOrder(orderRequest);
                orderProcessor.AddOpenOrder(order, algo);

                brokerage.OnOrderEvent(new OrderEvent(1,
                    Symbols.Future_CLF19_Jan2019,
                    new DateTime(2020, 1, 1),
                    OrderStatus.PartiallyFilled,
                    filledQuantity > 0 ? OrderDirection.Buy : OrderDirection.Sell,
                    250,
                    filledQuantity,
                    OrderFee.Zero));

                var result = OrderSizing.GetUnorderedQuantity(algo,
                    new PortfolioTarget(Symbols.Future_CLF19_Jan2019, target));

                Assert.AreEqual(expected, result);
            }
            finally
            {
                orderProcessor.Exit();
            }
        }
    }
}