wehub-resource-sync
226 lines
9.2 KiB
C#
226 lines
9.2 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 Deedle;
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using NUnit.Framework;
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using QuantConnect.Orders;
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using QuantConnect.Report;
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using QuantConnect.Brokerages;
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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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namespace QuantConnect.Tests.Report
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{
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[TestFixture]
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public class PortfolioLooperTests
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{
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[Test]
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public void EmptyEquitySeriesDoesNotCrash()
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{
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var equityPoints = new SortedList<DateTime, double>
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{
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{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 }
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};
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var series = new Series<DateTime, double>(equityPoints);
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var order = new MarketOrder(Symbols.SPY, 1m, new DateTime(2019, 1, 3, 5, 0, 0));
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// Force an order ID >= 1 on the order, otherwise the test will fail
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// because the order will be filtered out.
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order.GetType().GetProperty("Id").SetValue(order, 1);
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var orders = new List<Order>
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{
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order
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};
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Assert.DoesNotThrow(() => PortfolioLooper.FromOrders(series, orders).ToList());
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}
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[TestCase(OrderType.Market, 0, 0)]
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[TestCase(OrderType.Limit, 0, 80000)]
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[TestCase(OrderType.StopLimit, 80000, 80000)]
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[TestCase(OrderType.StopMarket, 80000, 0)]
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[TestCase(OrderType.MarketOnOpen, 0, 0, true)]
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[TestCase(OrderType.MarketOnClose, 0, 0, true)]
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public void OrderProcessedInLooper(OrderType orderType, double stopPrice, double limitPrice, bool hasNullLastFillTime = false)
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{
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var equityPoints = new SortedList<DateTime, double>
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{
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{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
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{ new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
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};
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var series = new Series<DateTime, double>(equityPoints);
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var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
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orderType,
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SecurityType.Equity,
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Symbols.SPY,
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1,
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(decimal)stopPrice,
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(decimal)limitPrice,
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new DateTime(2019, 1, 3, 5, 0, 5),
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string.Empty
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));
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var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
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orderType,
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SecurityType.Equity,
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Symbols.SPY,
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-1,
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(decimal)stopPrice,
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(decimal)limitPrice,
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new DateTime(2019, 1, 4, 5, 0, 5),
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string.Empty
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));
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if (!hasNullLastFillTime)
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{
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entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
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exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
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}
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entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
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entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
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Order marketOnFillOrder = null;
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if (hasNullLastFillTime)
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{
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marketOnFillOrder = entryOrder.Clone();
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marketOnFillOrder.GetType().GetProperty("Status").SetValue(marketOnFillOrder, OrderStatus.Filled);
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marketOnFillOrder.GetType().GetProperty("Time").SetValue(marketOnFillOrder, new DateTime(2019, 1, 3, 6, 0 ,5));
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}
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exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
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exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
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exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
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var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
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var looper = PortfolioLooper.FromOrders(series, orders);
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var pointInTimePortfolio = looper.ToList();
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Assert.AreEqual(3, pointInTimePortfolio.Count);
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Assert.AreEqual(100000, pointInTimePortfolio[0].TotalPortfolioValue);
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Assert.AreEqual(80000, pointInTimePortfolio[1].TotalPortfolioValue);
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Assert.AreEqual(80000, pointInTimePortfolio[2].TotalPortfolioValue);
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}
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[Test]
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public void OptionOrderDoesNotThrow()
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{
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var equityPoints = new SortedList<DateTime, double>
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{
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{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
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{ new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
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};
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var series = new Series<DateTime, double>(equityPoints);
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var equity = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
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var optionSid = SecurityIdentifier.GenerateOption(
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equity.ID.Date,
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equity.ID,
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equity.ID.Market,
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200m,
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OptionRight.Call,
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OptionStyle.American);
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var option = new Symbol(optionSid, optionSid.Symbol);
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var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
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OrderType.Market,
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SecurityType.Option,
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option,
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1,
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0m,
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0m,
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new DateTime(2019, 1, 3, 5, 0, 5),
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string.Empty
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));
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var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
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OrderType.Market,
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SecurityType.Option,
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option,
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-1,
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0m,
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0m,
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new DateTime(2019, 1, 4, 5, 0, 5),
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string.Empty
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));
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entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
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exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
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entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
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entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
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Order marketOnFillOrder = null;
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exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
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exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
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exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
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var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
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var looper = PortfolioLooper.FromOrders(series, orders);
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Assert.DoesNotThrow(() =>
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{
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foreach (var pointInTimePortfolio in looper)
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{
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Assert.AreEqual(option, pointInTimePortfolio.Order.Symbol);
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Assert.AreEqual(option.Underlying, pointInTimePortfolio.Order.Symbol.Underlying);
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}
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});
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}
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[TestCase("BNTUSDT", "USDT")]
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[TestCase("AUDBUSD", "BUSD")]
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public void OrderProcessedInLooper_WithNonDefaultAlgorithmSettings(string symbol, string currency)
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{
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var equityPoints = new SortedList<DateTime, double>
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{
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{ new DateTime(2020, 2, 12, 20, 0, 0), 100000 },
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{ new DateTime(2020, 2, 13, 20, 0, 0), 900000 },
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};
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var series = new Series<DateTime, double>(equityPoints);
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var orderPrice = 0.35m;
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var orderQuantity = 30000m;
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var order = Order.CreateOrder(new SubmitOrderRequest(
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OrderType.Market,
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SecurityType.Crypto,
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Symbol.Create(symbol, SecurityType.Crypto, Market.Binance),
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orderQuantity,
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0m,
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0m,
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new DateTime(2020, 2, 12, 20, 0, 0),
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string.Empty
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));
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order.LastFillTime = new DateTime(2020, 2, 12, 20, 0, 0);
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order.GetType().GetProperty("Id").SetValue(order, 1);
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order.GetType().GetProperty("Status").SetValue(order, OrderStatus.Filled);
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order.GetType().GetProperty("Price").SetValue(order, orderPrice);
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var orders = new[] { order };
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var looper = PortfolioLooper.FromOrders(series, orders,
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new AlgorithmConfiguration("AlgorightmName", new HashSet<string>(), currency, BrokerageName.Binance, AccountType.Cash,
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new Dictionary<string, string>(), DateTime.MinValue, DateTime.MinValue, null, 0));
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var pointInTimePortfolio = looper.ToList();
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Assert.AreEqual(2, pointInTimePortfolio.Count);
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Assert.AreEqual(100000m, pointInTimePortfolio[0].TotalPortfolioValue);
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var holdings = pointInTimePortfolio[0].Holdings;
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Assert.AreEqual(1, holdings.Count);
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Assert.AreEqual(orderQuantity, holdings[0].Quantity);
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Assert.AreEqual(orderQuantity * orderPrice, holdings[0].HoldingsValue);
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}
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}
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}
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