wehub-resource-sync
285 lines
12 KiB
C#
285 lines
12 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 System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Statistics;
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using QuantConnect.Algorithm.Framework.Portfolio;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression test used for testing setting an account currency different than USD
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/// and trading a Security in quote currency different than account currency.
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/// Uses CashBuyingPowerModel as BuyingPowerModel.
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/// </summary>
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public class SetAccountCurrencyCashBuyingPowerModelRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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private Security _btcUsd;
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private Security _btcEur;
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private int _step;
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private decimal _expectedOrderQuantity;
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private decimal _previousHoldingsFees;
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private int _previousClosedTradesCount;
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private decimal _initialCapital;
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/// <summary>
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/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.
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/// </summary>
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public override void Initialize()
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{
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SetStartDate(2018, 04, 04); //Set Start Date
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SetEndDate(2018, 04, 04); //Set End Date
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SetAccountCurrency("EUR"); // Change account currency
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// We have no account currency, this is useful so using SetHoldings()
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// target quantity is a reachable value since it uses Portfolio.TotalPortfolioValue
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SetCash(0);
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_initialCapital = 10000;
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SetCash("USD", _initialCapital);
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SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
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_btcUsd = AddCrypto("BTCUSD");
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_btcEur = AddCrypto("BTCEUR");
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if (!(_btcUsd.BuyingPowerModel is CashBuyingPowerModel)
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|| !(_btcEur.BuyingPowerModel is CashBuyingPowerModel))
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{
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throw new RegressionTestException("This regression algorithm is expected to test the CashBuyingPowerModel");
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}
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// Second call to change account currency will be ignored
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SetAccountCurrency("ARG");
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if (AccountCurrency != "EUR")
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{
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throw new RegressionTestException($"Unexpected account currency value {AccountCurrency}");
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}
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}
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/// <summary>
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/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
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/// </summary>
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/// <param name="data">Slice object keyed by symbol containing the stock data</param>
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public override void OnData(Slice slice)
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{
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Log($"OnData(): Current execution step: {_step}");
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switch (_step)
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{
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case 0:
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_step++;
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var res = Buy(_btcEur.Symbol, 1);
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if (res.Status != OrderStatus.Invalid
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&& res.OrderEvents.First().Message.Contains("Reason: Your portfolio holds 0 EUR"))
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{
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throw new RegressionTestException($"We shouldn't be able to buy {_btcEur.Symbol}" +
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" because we don't own any EUR");
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}
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UpdateExpectedOrderQuantity(0.5m);
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SetHoldings(_btcUsd.Symbol, 0.5);
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break;
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case 1:
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_step++;
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UpdateExpectedOrderQuantity(1);
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SetHoldings(_btcUsd.Symbol, 1);
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break;
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case 2:
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_step++;
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UpdateExpectedOrderQuantity(0);
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SetHoldings(_btcUsd.Symbol, 0);
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break;
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case 3:
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// buying power model does not allow shorting, this will not work
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_step++;
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UpdateExpectedOrderQuantity(-0.5m);
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SetHoldings(_btcUsd.Symbol, -0.5);
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break;
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case 4:
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// buying power model does not allow shorting, this will not work
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_step++;
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UpdateExpectedOrderQuantity(-1);
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SetHoldings(_btcUsd.Symbol, -1);
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break;
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case 5:
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_step++;
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UpdateExpectedOrderQuantity(0);
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SetHoldings(_btcUsd.Symbol, 0);
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break;
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}
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}
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private void UpdateExpectedOrderQuantity(decimal target)
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{
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_expectedOrderQuantity = (Portfolio.TotalPortfolioValueLessFreeBuffer * target - _btcUsd.Holdings.HoldingsValue)
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/ (_btcUsd.Price * _btcUsd.QuoteCurrency.ConversionRate);
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_expectedOrderQuantity--; // minus 1 per fees
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_expectedOrderQuantity -= _expectedOrderQuantity % _btcUsd.SymbolProperties.LotSize;
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_expectedOrderQuantity = _expectedOrderQuantity.Normalize();
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}
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public override void OnEndOfAlgorithm()
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{
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if (Portfolio.CashBook["BTC"].Amount != 0)
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{
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throw new RegressionTestException($"Unexpected BTC ending cash amount: {Portfolio.CashBook["BTC"].Amount}.");
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}
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if (Portfolio.CashBook["EUR"].Amount != 0)
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{
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throw new RegressionTestException($"Unexpected EUR ending cash amount: {Portfolio.CashBook["EUR"].Amount}.");
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}
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var expectedAmount = _initialCapital
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+ Portfolio.CashBook.Convert(Portfolio.TotalProfit, "EUR", "USD")
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- Portfolio.CashBook.Convert(Portfolio.TotalFees, "EUR", "USD");
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var amount = Portfolio.CashBook["USD"].Amount;
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// there could be a small difference due to conversion rates
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// leave 0.5% for error
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if (Math.Abs(expectedAmount - amount) > Math.Abs(expectedAmount) * 0.005m)
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{
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throw new RegressionTestException($"Unexpected USD ending cash amount: {amount}. Expected {expectedAmount}");
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}
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}
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public override void OnOrderEvent(OrderEvent orderEvent)
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{
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if (orderEvent.Status == OrderStatus.Filled)
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{
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Log($"OnOrderEvent(): New filled order event: {orderEvent}");
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// leave 1 unit as error in expected value
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if (Math.Abs(orderEvent.FillQuantity - _expectedOrderQuantity) > 1)
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{
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throw new RegressionTestException($"Unexpected order event fill quantity: {orderEvent.FillQuantity}. " +
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$"Expected {_expectedOrderQuantity}");
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}
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var orderFeeInAccountCurrency = Portfolio.CashBook.ConvertToAccountCurrency(orderEvent.OrderFee.Value).Amount;
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var expectedOrderFee = _btcUsd.Holdings.TotalFees - _previousHoldingsFees;
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// just to verify let calculate the order fee using taker fee
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var calculatedOrderFee = Portfolio.CashBook.ConvertToAccountCurrency(
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orderEvent.AbsoluteFillQuantity * 0.003m * orderEvent.FillPrice,
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orderEvent.OrderFee.Value.Currency);
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if (orderEvent.OrderFee.Value.Currency == AccountCurrency
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// leave 0.00001m as error in expected fee value
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|| Math.Abs(expectedOrderFee - orderFeeInAccountCurrency) > 0.00001m
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|| Math.Abs(expectedOrderFee - calculatedOrderFee) > 0.00001m)
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{
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throw new RegressionTestException($"Unexpected order fee: {orderFeeInAccountCurrency}. " +
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$"Expected {expectedOrderFee}. Calculated Order Fee {calculatedOrderFee}");
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}
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if (!TradeBuilder.HasOpenPosition(_btcUsd.Symbol))
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{
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var lastTrade = TradeBuilder.ClosedTrades.Last();
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var expectedProfitLoss = (lastTrade.ExitPrice - lastTrade.EntryPrice)
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* lastTrade.Quantity
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* _btcUsd.QuoteCurrency.ConversionRate
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* (lastTrade.Direction == TradeDirection.Long ? 1 : -1);
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if (Math.Abs(expectedProfitLoss - lastTrade.ProfitLoss) > 1)
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{
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throw new RegressionTestException($"Unexpected last trade ProfitLoss: {lastTrade.ProfitLoss}. " +
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$"Expected {expectedProfitLoss}");
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}
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// There is a difference in what does Holdings and TradeBuilder consider LastTrade
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if (TradeBuilder.ClosedTrades.Count - _previousClosedTradesCount > 1)
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{
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var trade = TradeBuilder.ClosedTrades[_previousClosedTradesCount];
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expectedProfitLoss += trade.ProfitLoss;
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}
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if (Math.Abs(_btcUsd.Holdings.LastTradeProfit - expectedProfitLoss) > 1)
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{
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throw new RegressionTestException($"Unexpected Holdings.NetProfit: {_btcUsd.Holdings.LastTradeProfit}. " +
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$"Expected {expectedProfitLoss}");
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}
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}
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_previousHoldingsFees = _btcUsd.Holdings.TotalFees;
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_previousClosedTradesCount = TradeBuilder.ClosedTrades.Count;
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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 if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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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 List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 7201;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 15;
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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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 Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "4"},
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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", "8141.93"},
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{"End Equity", "8087.60"},
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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", "€48.58"},
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{"Estimated Strategy Capacity", "€9000.00"},
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{"Lowest Capacity Asset", "BTCUSD 2XR"},
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{"Portfolio Turnover", "200.21%"},
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{"Drawdown Recovery", "0"},
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{"OrderListHash", "407df5c68369b6d1aa21506a762f3bbd"}
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};
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}
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}
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