wehub-resource-sync
312 lines
13 KiB
C#
312 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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using Moq;
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using NodaTime;
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm.Framework.Execution;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Python;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data.UniverseSelection;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm.Framework.Execution
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{
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[TestFixture]
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public class ImmediateExecutionModelTests
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{
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void OrdersAreNotSubmittedWhenNoTargetsToExecute(Language language)
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{
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var actualOrdersSubmitted = new List<SubmitOrderRequest>();
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var orderProcessor = new Mock<IOrderProcessor>();
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orderProcessor.Setup(m => m.Process(It.IsAny<SubmitOrderRequest>()))
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.Returns((OrderTicket)null)
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.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
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var algorithm = new AlgorithmStub();
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algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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model.Execute(algorithm, new IPortfolioTarget[0]);
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Assert.AreEqual(0, actualOrdersSubmitted.Count);
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}
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[TestCase(Language.CSharp, new[] { 270d, 260d, 250d }, 0, 1, 10)]
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[TestCase(Language.CSharp, new[] { 270d, 260d, 250d }, 3, 1, 7)]
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[TestCase(Language.Python, new[] { 270d, 260d, 250d }, 0, 1, 10)]
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[TestCase(Language.Python, new[] { 270d, 260d, 250d }, 3, 1, 7)]
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public void OrdersAreSubmittedImmediatelyForTargetsToExecute(
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Language language,
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double[] historicalPrices,
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decimal openOrdersQuantity,
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int expectedOrdersSubmitted,
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decimal expectedTotalQuantity)
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{
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var time = new DateTime(2018, 8, 2, 16, 0, 0);
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var historyProvider = new Mock<IHistoryProvider>();
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historyProvider.Setup(m => m.GetHistory(It.IsAny<IEnumerable<HistoryRequest>>(), It.IsAny<DateTimeZone>()))
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.Returns(historicalPrices.Select((x, i) =>
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new Slice(time.AddMinutes(i),
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new List<BaseData>
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{
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new TradeBar
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{
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Time = time.AddMinutes(i),
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Symbol = Symbols.AAPL,
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Open = Convert.ToDecimal(x),
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High = Convert.ToDecimal(x),
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Low = Convert.ToDecimal(x),
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Close = Convert.ToDecimal(x),
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Volume = 100m
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}
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}, time.AddMinutes(i))));
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var algorithm = new AlgorithmStub();
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algorithm.SetHistoryProvider(historyProvider.Object);
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algorithm.SetDateTime(time.AddMinutes(5));
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, openOrdersQuantity, 0, 0, DateTime.MinValue, "");
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openOrderRequest.SetOrderId(1);
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var order = Order.CreateOrder(openOrderRequest);
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orderProcessor.AddOpenOrder(order, algorithm);
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var model = GetExecutionModel(language, false);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
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model.Execute(algorithm, targets);
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orderProcessor.ProcessSynchronousEvents();
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Assert.AreEqual(expectedOrdersSubmitted + 1, orderProcessor.GetOpenOrders().Count);
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var executionOrder = orderProcessor.GetOpenOrders().OrderByDescending(o => o.Id).First();
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Assert.AreEqual(expectedTotalQuantity, executionOrder.Quantity);
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Assert.AreEqual(algorithm.UtcTime, executionOrder.Time);
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void PartiallyFilledOrdersAreTakenIntoAccount(Language language)
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{
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var algorithm = new AlgorithmStub();
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, 100, 0, 0, DateTime.MinValue, "");
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openOrderRequest.SetOrderId(1);
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var order = Order.CreateOrder(openOrderRequest);
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orderProcessor.AddOpenOrder(order, algorithm);
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brokerage.OnOrderEvent(new OrderEvent(order.Id, order.Symbol, DateTime.MinValue, OrderStatus.PartiallyFilled, OrderDirection.Buy, 250, 70, OrderFee.Zero));
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 80) };
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model.Execute(algorithm, targets);
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orderProcessor.ProcessSynchronousEvents();
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Assert.AreEqual(2, orderProcessor.OrdersCount);
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// Remaining quantity for partially filled order = 100 - 70 = 30
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// Holdings from partially filled order = 70
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// Quantity submitted = target - holdings - remaining open orders quantity = 80 - 70 - 30 = -20
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Assert.AreEqual(-20, orderProcessor.GetOpenOrders().OrderByDescending(o => o.Id).First().Quantity);
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[TestCase(Language.CSharp)]
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[TestCase(Language.Python)]
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public void NonFilledAsyncOrdersAreTakenIntoAccount(Language language)
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{
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var algorithm = new AlgorithmStub();
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var security = algorithm.AddEquity(Symbols.AAPL.Value);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var model = GetExecutionModel(language, true);
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algorithm.SetExecution(model);
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var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
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model.OnSecuritiesChanged(algorithm, changes);
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var targetQuantity = 80;
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var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, targetQuantity) };
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model.Execute(algorithm, targets);
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orderProcessor.ProcessSynchronousEvents();
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Assert.AreEqual(1, orderProcessor.OrdersCount);
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// Quantity submitted = 80
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Assert.AreEqual(targetQuantity, orderProcessor.GetOpenOrders().First().Quantity);
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var newTargetQuantity = 100;
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var newTargets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, newTargetQuantity) };
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model.Execute(algorithm, newTargets);
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orderProcessor.ProcessSynchronousEvents();
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Assert.AreEqual(2, orderProcessor.OrdersCount);
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// Remaining quantity for non-filled order = targetQuantity = 80
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// Quantity submitted = newTargetQuantity - targetQuantity = 100 - 80 = 20
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Assert.AreEqual(newTargetQuantity - targetQuantity, orderProcessor.GetOpenOrders().OrderByDescending(o => o.Id).First().Quantity);
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[TestCase(Language.CSharp, -1)]
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[TestCase(Language.Python, -1)]
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[TestCase(Language.CSharp, 1)]
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[TestCase(Language.Python, 1)]
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public void LotSizeIsRespected(Language language, int side)
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{
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var algorithm = new AlgorithmStub();
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algorithm.Settings.MinimumOrderMarginPortfolioPercentage = 0;
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var security = algorithm.AddForex(Symbols.EURUSD.Value);
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algorithm.Portfolio.SetCash("EUR", 1, 1);
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security.SetMarketPrice(new TradeBar { Value = 250 });
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algorithm.SetFinishedWarmingUp();
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var orderProcessor = GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);
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try
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{
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var model = GetExecutionModel(language);
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algorithm.SetExecution(model);
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model.Execute(algorithm,
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new IPortfolioTarget[] { new PortfolioTarget(Symbols.EURUSD, security.SymbolProperties.LotSize * 1.5m * side) });
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orderProcessor.ProcessSynchronousEvents();
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var orders = orderProcessor.GetOrders().ToList();
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Assert.AreEqual(1, orders.Count);
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Assert.AreEqual(security.SymbolProperties.LotSize * side, orders.Single().Quantity);
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}
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finally
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{
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orderProcessor.Exit();
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brokerage.Dispose();
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}
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}
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[Test]
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public void CustomPythonExecutionModelDoesNotRequireOnOrderEventMethod()
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{
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using var _ = Py.GIL();
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const string pythonCode = @"
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class CustomExecutionModel:
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def execute(self, algorithm, targets):
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pass
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def on_securities_changed(self, algorithm, changes):
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pass
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";
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using var module = PyModule.FromString("CustomExecutionModelModule", pythonCode);
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using var instance = module.GetAttr("CustomExecutionModel").Invoke();
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var model = new ExecutionModelPythonWrapper(instance);
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Assert.DoesNotThrow(() => model.OnOrderEvent(new AlgorithmStub(), new OrderEvent()));
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}
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private static IExecutionModel GetExecutionModel(Language language, bool asynchronous = false)
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{
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if (language == Language.Python)
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{
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using (Py.GIL())
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{
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const string name = nameof(ImmediateExecutionModel);
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var instance = Py.Import(name).GetAttr(name).Invoke(asynchronous);
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return new ExecutionModelPythonWrapper(instance);
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}
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}
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return new ImmediateExecutionModel(asynchronous);
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}
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internal static BrokerageTransactionHandler GetAndSetBrokerageTransactionHandler(IAlgorithm algorithm, out NullBrokerage brokerage)
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{
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brokerage = new NullBrokerage();
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var orderProcessor = new BrokerageTransactionHandler();
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orderProcessor.Initialize(algorithm, brokerage, new BacktestingResultHandler());
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algorithm.Transactions.SetOrderProcessor(orderProcessor);
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algorithm.Transactions.MarketOrderFillTimeout = TimeSpan.Zero;
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return orderProcessor;
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}
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}
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}
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