wehub-resource-sync
273 lines
13 KiB
C#
273 lines
13 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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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Engine.DataFeeds
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{
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[TestFixture]
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public class PendingRemovalsManagerTests
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{
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private static readonly DateTime Noon = new DateTime(2015, 11, 2, 12, 0, 0);
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private static readonly TimeKeeper TimeKeeper = new TimeKeeper(Noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
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[Test]
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public void ReturnedRemoved_Add()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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var result = pendingRemovals.TryRemoveMember(member, universe);
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Assert.IsTrue(result.Any());
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Assert.AreEqual(universe, result.First().Universe);
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Assert.AreEqual(security, result.First().Security);
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
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}
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[Test]
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public void ReturnedRemoved_Check()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
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pendingRemovals.TryRemoveMember(member, universe);
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orderProvider.Clear();
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var result = pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe);
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Assert.IsTrue(result.Any());
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Assert.AreEqual(universe, result.First().Universe);
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Assert.AreEqual(security, result.First().Security);
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
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}
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[Test]
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public void WontRemoveBecauseOfUnderlying()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var equity = CreateSecurity(Symbols.SPY);
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var member = new Universe.Member(Noon, equity, false);
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var equityOption = CreateSecurity(Symbols.SPY_C_192_Feb19_2016);
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// we add an order of the equity option
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orderProvider.AddOrder(new LimitOrder(equityOption.Symbol, 1, 1, DateTime.UtcNow));
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using var universe = new TestUniverse();
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universe.AddMember(DateTime.UtcNow, equity, false);
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universe.AddMember(DateTime.UtcNow, equityOption, false);
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// we try to remove the equity
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(equity, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseOpenOrder_Add()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseOpenOrder_Check()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseHoldings_Add()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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security.Holdings.SetHoldings(10, 10);
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseHoldings_Check()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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security.Holdings.SetHoldings(10, 10);
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseTarget_Add()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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security.Holdings.Target = new PortfolioTarget(security.Symbol, 10);
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontRemoveBecauseTarget_Check()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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security.Holdings.Target = new PortfolioTarget(security.Symbol, 10);
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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[Test]
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public void WontBeReturnedBecauseReSelected()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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using var universe = new TestUniverse();
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orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
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pendingRemovals.TryRemoveMember(member, universe);
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(
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new HashSet<Symbol> { security.Symbol}, universe).Any());
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// internally it was removed because it was reselected
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
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}
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[Test]
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public void WontRemoveBecauseUnsettledFunds()
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{
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var orderProvider = new FakeOrderProcessor();
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var pendingRemovals = new PendingRemovalsManager(orderProvider);
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using var universe = new TestUniverse();
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var security = SecurityTests.GetSecurity();
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var member = new Universe.Member(Noon, security, false);
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security.SetSettlementModel(new DelayedSettlementModel(1, TimeSpan.FromHours(8)));
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var securities = new SecurityManager(TimeKeeper);
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var transactions = new SecurityTransactionManager(null, securities);
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var portfolio = new SecurityPortfolioManager(securities, transactions, new AlgorithmSettings());
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security.SettlementModel.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, TimeKeeper.UtcTime.Date.AddDays(1),
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new CashAmount(1000, Currencies.USD), null));
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Assert.IsNull(pendingRemovals.TryRemoveMember(member, universe));
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Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet<Symbol>(), universe).Any());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
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Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
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Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
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Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First().Security);
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}
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private class TestUniverse : Universe
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{
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public TestUniverse()
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: base(SecurityTests.CreateTradeBarConfig())
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{
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}
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public override IEnumerable<Symbol> SelectSymbols(DateTime utcTime, BaseDataCollection data)
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{
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throw new NotImplementedException();
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}
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}
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private static Security CreateSecurity(Symbol symbol)
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{
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return new Security(symbol,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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}
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}
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}
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