quantconnect--lean/Algorithm.CSharp/InsufficientMarginOrderUpdateRegressionAlgorithm.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.Collections.Generic;
using System.Linq;
using QuantConnect.Data;
using QuantConnect.Interfaces;
using QuantConnect.Orders;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// This algorithm tests order updates with margin constraints to ensure that orders become invalid when exceeding margin requirements.
    /// </summary>
    public class InsufficientMarginOrderUpdateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
    {
        private OrderTicket _stopOrderTicket;
        private OrderTicket _limitOrderTicket;
        private OrderTicket _trailingStopOrderTicket;
        private bool _updatesReady;
        private bool _updatesInProgress;
        private int _updateEventsCount;

        public override void Initialize()
        {
            SetStartDate(2018, 4, 3);
            SetEndDate(2018, 4, 4);
            AddForex("EURUSD", Resolution.Minute);
            _updatesInProgress = true;
            _updateEventsCount = 0;
        }

        public override void OnData(Slice data)
        {

            if (!Portfolio.Invested)
            {
                var qty = CalculateOrderQuantity("EURUSD", 50m);

                MarketOrder("EURUSD", qty);

                // Place stop market, limit, and trailing stop orders with half the quantity
                _stopOrderTicket = StopMarketOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
                _limitOrderTicket = LimitOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m);
                _trailingStopOrderTicket = TrailingStopOrder("EURUSD", -qty / 2, Securities["EURUSD"].Price - 0.003m, 0.01m, true);

                // Update the stop order 
                var updateStopOrderSettings = new UpdateOrderFields
                {
                    // Attempt to increase the order quantity significantly
                    Quantity = -qty * 100,
                    StopPrice = Securities["EURUSD"].Price - 0.003m
                };
                _stopOrderTicket.Update(updateStopOrderSettings);

                // Update limit order
                var updateLimitOrderSettings = new UpdateOrderFields
                {
                    // Attempt to increase the order quantity significantly
                    Quantity = -qty * 100,
                    LimitPrice = Securities["EURUSD"].Price - 0.003m
                };
                _limitOrderTicket.Update(updateLimitOrderSettings);

                // Update trailing stop order
                var updateTrailingStopOrderSettings = new UpdateOrderFields
                {
                    // Attempt to increase the order quantity significantly
                    Quantity = -qty * 100,
                    StopPrice = Securities["EURUSD"].Price - 0.003m,
                    TrailingAmount = 0.01m,
                };
                _trailingStopOrderTicket.Update(updateTrailingStopOrderSettings);
                _updatesReady = true;
            }
        }

        public override void OnOrderEvent(OrderEvent orderEvent)
        {
            if (_updatesReady && _updatesInProgress)
            {
                if (orderEvent.Status != OrderStatus.Submitted)
                {
                    throw new RegressionTestException($"Unexpected order event status {orderEvent.Status} received. Expected Submitted.");
                }
                // All updates have been enqueued and should be rejected one by one
                if (orderEvent.OrderId == _stopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
                {
                    throw new RegressionTestException($"The stop order update should have been rejected due to insufficient margin");
                }

                if (orderEvent.Id == _limitOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
                {
                    throw new RegressionTestException($"The limit order update should have been rejected due to insufficient margin");
                }

                if (orderEvent.Id == _trailingStopOrderTicket.OrderId && !orderEvent.Message.Contains("Brokerage failed to update order"))
                {
                    throw new RegressionTestException($"The trailing stop order update should have been rejected due to insufficient margin");
                }
                _updateEventsCount++;
            }
            if (_updateEventsCount >= 3)
            {
                _updatesInProgress = false;
            }

        }

        public override void OnEndOfAlgorithm()
        {
            // Updates were rejected, so all orders should be in Filled status
            var orders = Transactions.GetOrders().ToList();
            foreach (var order in orders)
            {
                if (order.Status != OrderStatus.Filled)
                {
                    throw new RegressionTestException($"Order {order.Id} with symbol {order.Symbol} should have been filled, but its current status is {order.Status}.");
                }
            }
            if (!_updatesReady)
            {
                throw new RegressionTestException("Update Orders should be ready!");
            }
        }

        /// <summary>
        /// Final status of the algorithm
        /// </summary>
        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;

        /// <summary>
        /// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
        /// </summary>
        public bool CanRunLocally { get; } = true;

        /// <summary>
        /// This is used by the regression test system to indicate which languages this algorithm is written in.
        /// </summary>
        public virtual List<Language> Languages { get; } = new() { Language.CSharp };

        /// <summary>
        /// Data Points count of all timeslices of algorithm
        /// </summary>
        public long DataPoints => 2893;

        /// <summary>
        /// Data Points count of the algorithm history
        /// </summary>
        public int AlgorithmHistoryDataPoints => 5;

        /// <summary>
        /// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
        /// </summary>
        public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
        {
            {"Total Orders", "4"},
            {"Average Win", "0%"},
            {"Average Loss", "0%"},
            {"Compounding Annual Return", "0%"},
            {"Drawdown", "0%"},
            {"Expectancy", "0"},
            {"Start Equity", "100000.00"},
            {"End Equity", "90809.64"},
            {"Net Profit", "0%"},
            {"Sharpe Ratio", "0"},
            {"Sortino Ratio", "0"},
            {"Probabilistic Sharpe Ratio", "0%"},
            {"Loss Rate", "0%"},
            {"Win Rate", "0%"},
            {"Profit-Loss Ratio", "0"},
            {"Alpha", "0"},
            {"Beta", "0"},
            {"Annual Standard Deviation", "0"},
            {"Annual Variance", "0"},
            {"Information Ratio", "0"},
            {"Tracking Error", "0"},
            {"Treynor Ratio", "0"},
            {"Total Fees", "$0.00"},
            {"Estimated Strategy Capacity", "$99000.00"},
            {"Lowest Capacity Asset", "EURUSD 8G"},
            {"Portfolio Turnover", "6777.62%"},
            {"Drawdown Recovery", "0"},
            {"OrderListHash", "505feaf1ae70ead2d7ab78ea257d7342"}
        };
    }
}