wehub-resource-sync
89 lines
3.7 KiB
C#
89 lines
3.7 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 QuantConnect.Orders;
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using System.Collections.Generic;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm asserting the behavior of the default position group Not allowing us to fill orders above our margin available
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/// </summary>
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public class DefaultMarginMultipleOrdersRegressionAlgorithm : NullMarginMultipleOrdersRegressionAlgorithm
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{
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protected override void OverrideMarginModels()
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{
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// we use the default
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}
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protected override void AssertState(OrderTicket ticket, int expectedGroupCount, int expectedMarginUsed)
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{
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if (ticket.Status != OrderStatus.Invalid)
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{
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throw new RegressionTestException($"Unexpected order status {ticket.Status} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
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}
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if (Portfolio.Positions.Groups.Count != 0)
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{
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throw new RegressionTestException($"Unexpected position group count {Portfolio.Positions.Groups.Count} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
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}
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if (Portfolio.TotalMarginUsed != 0)
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{
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throw new RegressionTestException($"Unexpected margin used {Portfolio.TotalMarginUsed} for symbol {ticket.Symbol} and quantity {ticket.Quantity}");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "2"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "10000"},
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{"End Equity", "10000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "f5636192a24570f4a1a95ee49e4073a8"}
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};
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}
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}
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