wehub-resource-sync
643 lines
38 KiB
C#
643 lines
38 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 NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Algorithm.Framework.Portfolio.SignalExports;
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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.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Engine.DataFeeds;
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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.Algorithm.Framework.Portfolio
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{
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[TestFixture]
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public class SignalExportTargetTests
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{
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[TestCaseSource(nameof(SendsTargetsToCollective2AppropriatelyTestCases))]
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public void SendsTargetsToCollective2Appropriately(string currency, Symbol symbol, decimal quantity, string expectedMessage)
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{
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var targetList = new List<PortfolioTarget>() { new(symbol, quantity) };
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(new DateTime(2016, 02, 16, 11, 53, 30));
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algorithm.Portfolio.SetAccountCurrency(currency);
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var security = algorithm.AddSecurity(symbol);
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security.QuoteCurrency.ConversionRate = 1;
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security.FeeModel = new ConstantFeeModel(0);
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security.SetMarketPrice(new Tick { Value = 100 });
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var initialMarginRequirement = security.BuyingPowerModel.GetInitialMarginRequirement(new(security, 1));
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if (initialMarginRequirement.Value == 0)
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{
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security.SetBuyingPowerModel(BuyingPowerModel.Null);
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}
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algorithm.Portfolio.SetCash(1500000);
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using var manager = new Collective2SignalExportHandler("", 0);
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var message = manager.GetMessageSent(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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Assert.AreEqual(expectedMessage, message);
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}
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[Test]
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public void Collective2SignalExportManagerDoesNotLogMoreThanOnceWhenUnknownMarket()
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{
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var targetList = new List<PortfolioTarget>() { new(Symbols.EURUSD, 1), new PortfolioTarget(Symbols.GBPUSD, 1) };
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(new DateTime(2016, 02, 16, 11, 53, 30));
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algorithm.Portfolio.SetAccountCurrency("USD");
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var security = algorithm.AddSecurity(Symbols.EURUSD);
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var security2 = algorithm.AddSecurity(Symbols.GBPUSD);
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security.SetMarketPrice(new Tick { Value = 100 });
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security2.SetMarketPrice(new Tick { Value = 100 });
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algorithm.Portfolio.SetCash(50000);
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using var manager = new Collective2SignalExportHandler("", 0);
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for (int count = 0; count < 100; count++)
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{
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manager.GetMessageSent(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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}
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Assert.AreEqual(3, algorithm.DebugMessages.Count);
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var debugMessages = algorithm.DebugMessages.ToList();
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Assert.IsTrue(debugMessages[0].Contains($"The market of the symbol {Symbols.EURUSD.Value} was unexpected: {Symbols.EURUSD.ID.Market}. Using 'DEFAULT' as market", StringComparison.InvariantCultureIgnoreCase));
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Assert.IsTrue(debugMessages[1].Contains($"Warning: Collective2 failed to calculate target quantity for {targetList[0]}. The smallest quantity C2 trades is \"1\" which is a mini-lot (10,000 currency units), and the target quantity is 498. Will return 0 for all similar cases.", StringComparison.InvariantCultureIgnoreCase));
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Assert.IsTrue(debugMessages[2].Contains($"The market of the symbol {Symbols.GBPUSD.Value} was unexpected: {Symbols.GBPUSD.ID.Market}. Using 'DEFAULT' as market", StringComparison.InvariantCultureIgnoreCase));
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}
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[Test]
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public void Collective2SignalExportManagerDoesNotLogMoreThanOnceWhenUnknownSecurityType()
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{
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var targetList = new List<PortfolioTarget>() { new(Symbols.BTCUSD, 1), new PortfolioTarget(Symbols.XAUJPY, 1) };
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(new DateTime(2016, 02, 16, 11, 53, 30));
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algorithm.Portfolio.SetAccountCurrency("USD");
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var security = algorithm.AddSecurity(Symbols.BTCUSD);
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var security2 = algorithm.AddSecurity(Symbols.XAUJPY);
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security.SetMarketPrice(new Tick { Value = 100 });
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security2.SetMarketPrice(new Tick { Value = 100 });
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algorithm.Portfolio.SetCash(50000);
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using var manager = new Collective2SignalExportHandler("", 0);
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for (int count = 0; count < 100; count++)
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{
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manager.GetMessageSent(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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}
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Assert.AreEqual(2, algorithm.DebugMessages.Count);
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var debugMessages = algorithm.DebugMessages.ToList();
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Assert.IsTrue(debugMessages[0].Contains($"Unexpected security type found: {security.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", StringComparison.InvariantCultureIgnoreCase));
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Assert.IsTrue(debugMessages[1].Contains($"Unexpected security type found: {security2.Symbol.SecurityType}. Collective2 just accepts: Equity, Future, Option, Index Option and Stock", StringComparison.InvariantCultureIgnoreCase));
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}
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[Test]
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public void Collective2ConvertsPercentageToQuantityAppropriately()
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{
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var symbols = new List<Symbol>()
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{
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Symbols.SPY,
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Symbols.EURUSD,
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Symbols.AAPL,
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Symbols.IBM,
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Symbols.GOOG,
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Symbols.MSFT,
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Symbols.CAT
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};
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var targetList = new List<PortfolioTarget>()
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{
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new PortfolioTarget(Symbols.SPY, (decimal)0.01),
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new PortfolioTarget(Symbols.EURUSD, (decimal)0.99),
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new PortfolioTarget(Symbols.AAPL, (decimal)(-0.01)),
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new PortfolioTarget(Symbols.IBM, (decimal)(-0.99)),
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new PortfolioTarget(Symbols.GOOG, (decimal)0.0),
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new PortfolioTarget(Symbols.MSFT, (decimal)1.0),
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new PortfolioTarget(Symbols.CAT, (decimal)(-1.0))
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};
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var algorithm = new AlgorithmStub();
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AddSymbols(symbols, algorithm);
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algorithm.Portfolio.SetCash(50000);
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algorithm.Settings.MinimumOrderMarginPortfolioPercentage = 0;
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algorithm.Settings.FreePortfolioValue = 250;
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using var manager = new Collective2SignalExportHandler("", 0);
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var expectedQuantities = new Dictionary<string, int>()
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{
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{ "SPY", 4 },
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// 492 was rounded down to zero because 1 is a minilot of 10,000 USD
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// https://support.collective2.com/hc/en-us/articles/360038042774-Forex-minilots
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{ "EURUSD", 0},
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{ "AAPL", -4 },
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{ "IBM", -492 },
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{ "GOOG", 0 },
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{ "MSFT", 497 },
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{ "CAT", -497 }
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};
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foreach (var target in targetList)
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{
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var quantity = manager.ConvertPercentageToQuantity(algorithm, target);
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Assert.AreEqual(expectedQuantities[target.Symbol.Value], quantity);
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}
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}
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[Test]
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public void SendsTargetsToCrunchDAOAppropriately()
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{
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var symbols = new List<Symbol>()
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{
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Symbols.SPY,
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Symbols.AAPL,
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Symbols.CAT
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};
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var targetList = new List<PortfolioTarget>()
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{
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new PortfolioTarget(Symbols.SPY, (decimal)0.2),
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new PortfolioTarget(Symbols.AAPL, (decimal)0.2),
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new PortfolioTarget(Symbols.CAT, (decimal)0.2),
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};
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var algorithm = new AlgorithmStub();
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AddSymbols(symbols, algorithm);
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using var manager = new CrunchDAOSignalExportHandler("", "");
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var message = manager.GetMessageSent(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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var expectedMessage = "ticker,date,signal\nSPY,2016-02-16,0.2\nAAPL,2016-02-16,0.2\nCAT,2016-02-16,0.2\n";
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Assert.AreEqual(expectedMessage, message);
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}
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[Test]
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public void CrunchDAOSignalExportReturnsFalseWhenSymbolIsNotAllowed()
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{
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var symbols = new List<Symbol>()
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{
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Symbols.ES_Future_Chain,
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Symbols.SPY_Option_Chain,
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Symbols.EURUSD,
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Symbols.BTCUSD,
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};
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var targetList = new List<PortfolioTarget>();
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foreach (var symbol in symbols)
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{
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targetList.Add(new PortfolioTarget(symbol, (decimal)0.1));
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}
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var algorithm = new AlgorithmStub();
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AddSymbols(symbols, algorithm);
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algorithm.Portfolio.SetCash(50000);
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using var manager = new CrunchDAOSignalExport("", "");
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var result = manager.Send(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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Assert.IsFalse(result);
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}
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[Test]
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public void CrunchDAOSignalExportReturnsFalseWhenPortfolioTargetListIsEmpty()
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{
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var targetList = new List<PortfolioTarget>();
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using var manager = new CrunchDAOSignalExport("", "");
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var algorithm = new QCAlgorithm();
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var result = manager.Send(new SignalExportTargetParameters { Targets = targetList, Algorithm = algorithm });
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Assert.IsFalse(result);
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}
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[Test]
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public void SendsTargetsToNumeraiAppropriately()
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{
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var targets = new List<PortfolioTarget>()
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{
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new PortfolioTarget(Symbols.SGX, (decimal)0.05),
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new PortfolioTarget(Symbols.AAPL, (decimal)0.1),
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new PortfolioTarget(Symbols.MSFT, (decimal)0.1),
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new PortfolioTarget(Symbols.ZNGA, (decimal)0.05),
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new PortfolioTarget(Symbols.FXE, (decimal)0.05),
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new PortfolioTarget(Symbols.LODE, (decimal)0.05),
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new PortfolioTarget(Symbols.IBM, (decimal)0.05),
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new PortfolioTarget(Symbols.GOOG, (decimal)0.1),
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new PortfolioTarget(Symbols.NFLX, (decimal)0.1),
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new PortfolioTarget(Symbols.CAT, (decimal)0.1)
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};
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using var manager = new NumeraiSignalExportHandler("", "", "");
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var algorithm = new QCAlgorithm();
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algorithm.SetDateTime(new DateTime(2023, 03, 03));
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var message = manager.GetMessageSent(new SignalExportTargetParameters { Targets = targets, Algorithm = algorithm });
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var expectedMessage = "numerai_ticker,signal\nSGX SP,0.05\nAAPL US,0.1\nMSFT US,0.1\nZNGA US,0.05\nFXE US,0.05\nLODE US,0.05\nIBM US,0.05\nGOOG US,0.1\nNFLX US,0.1\nCAT US,0.1\n";
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Assert.AreEqual(expectedMessage, message);
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}
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[Test]
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public void NumeraiReturnsFalseWhenSymbolIsNotAllowed()
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{
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var targets = new List<PortfolioTarget>()
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{
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new PortfolioTarget(Symbols.SGX, (decimal)0.05),
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new PortfolioTarget(Symbols.AAPL, (decimal)0.1),
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new PortfolioTarget(Symbols.MSFT, (decimal)0.1),
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new PortfolioTarget(Symbols.ZNGA, (decimal)0.05),
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new PortfolioTarget(Symbols.FXE, (decimal)0.05),
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new PortfolioTarget(Symbols.LODE, (decimal)0.05),
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new PortfolioTarget(Symbols.IBM, (decimal)0.05),
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new PortfolioTarget(Symbols.GOOG, (decimal)0.1),
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new PortfolioTarget(Symbols.NFLX, (decimal)0.1),
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new PortfolioTarget(Symbols.EURUSD, (decimal)0.1)
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};
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using var manager = new NumeraiSignalExport("", "", "");
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var algorithm = new QCAlgorithm();
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var result = manager.Send(new SignalExportTargetParameters { Targets = targets, Algorithm = algorithm });
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Assert.IsFalse(result);
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}
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[Test]
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public void NumeraiReturnsFalseWhenNumberOfTargetsIsLessThanTen()
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{
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var targets = new List<PortfolioTarget>()
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{
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new PortfolioTarget(Symbols.SGX, (decimal)0.05),
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new PortfolioTarget(Symbols.AAPL, (decimal)0.1),
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new PortfolioTarget(Symbols.MSFT, (decimal)0.1),
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new PortfolioTarget(Symbols.ZNGA, (decimal)0.05),
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new PortfolioTarget(Symbols.FXE, (decimal)0.05),
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new PortfolioTarget(Symbols.LODE, (decimal)0.05),
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new PortfolioTarget(Symbols.IBM, (decimal)0.05),
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new PortfolioTarget(Symbols.GOOG, (decimal)0.1),
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new PortfolioTarget(Symbols.NFLX, (decimal)0.1),
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};
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using var manager = new NumeraiSignalExport("", "", "");
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var algorithm = new QCAlgorithm();
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var result = manager.Send(new SignalExportTargetParameters { Targets = targets, Algorithm = algorithm });
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Assert.IsFalse(result);
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}
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[TestCase(SecurityType.Equity, "SPY", 68)]
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[TestCase(SecurityType.Equity, "AAPL", -68)]
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[TestCase(SecurityType.Equity, "GOOG", 345)]
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[TestCase(SecurityType.Equity, "IBM", 0)]
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[TestCase(SecurityType.Forex, "EURUSD", 90)]
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[TestCase(SecurityType.Forex, "EURUSD", -90)]
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[TestCase(SecurityType.Future, "ES", 4)]
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[TestCase(SecurityType.Future, "ES", -4)]
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public void SignalExportManagerGetsCorrectPortfolioTargetArray(SecurityType securityType, string ticker, int quantity)
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(100000);
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var security = algorithm.AddSecurity(securityType, ticker);
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security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
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security.Holdings.SetHoldings(144.81m, quantity);
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var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
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var result = signalExportManagerHandler.GetPortfolioTargets(out PortfolioTarget[] portfolioTargets);
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Assert.IsTrue(result);
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var target = portfolioTargets[0];
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var targetQuantity = (int)PortfolioTarget.Percent(algorithm, target.Symbol, target.Quantity).Quantity;
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// The quantites can differ by one because of the number of lots for certain securities
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Assert.AreEqual(quantity, targetQuantity, 1);
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}
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[Test]
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public void SignalExportManagerDoesNotThrowOnZeroPrice()
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetDateTime(new DateTime(2024, 02, 16, 11, 53, 30));
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var security = algorithm.AddSecurity(Symbols.SPY);
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// Set the market price to 0 to simulate the edge case being tested
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security.SetMarketPrice(new Tick { Value = 0 });
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using var manager = new Collective2SignalExportHandler("", 0);
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// Ensure ConvertPercentageToQuantity does not throw when price is 0
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Assert.DoesNotThrow(() =>
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{
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var result = manager.ConvertPercentageToQuantity(algorithm, new PortfolioTarget(Symbols.SPY, 0));
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Assert.AreEqual(0, result);
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});
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}
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[Test]
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public void SignalExportManagerHandlesIndexOptions()
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(100000);
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int quantity = 123;
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var underlying = algorithm.AddIndex("SPX", Resolution.Minute).Symbol;
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// Create the option contract (IndexOption) with specific parameters
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var option = Symbol.CreateOption(
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underlying,
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"SPXW",
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Market.USA,
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OptionStyle.European,
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OptionRight.Call,
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3800m,
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new DateTime(2021, 1, 04));
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var security = algorithm.AddIndexOptionContract(option, Resolution.Minute);
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security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
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security.Holdings.SetHoldings(144.81m, quantity);
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// Initialize the SignalExportManagerHandler and get portfolio targets
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var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
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var result = signalExportManagerHandler.GetPortfolioTargets(out PortfolioTarget[] portfolioTargets);
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// Assert that the result is successful
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Assert.IsTrue(result);
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// Get the portfolio target and verify the quantity matches
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var target = portfolioTargets[0];
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var targetQuantity = (int)PortfolioTarget.Percent(algorithm, target.Symbol, target.Quantity).Quantity;
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Assert.AreEqual(quantity, targetQuantity);
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// Ensure the symbol is of type IndexOption
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Assert.IsTrue(target.Symbol.SecurityType == SecurityType.IndexOption);
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}
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[Test]
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public void SignalExportManagerIgnoresIndexSecurities()
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(100000);
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var security = algorithm.AddIndexOption("SPX", "SPXW");
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security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
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security.Holdings.SetHoldings(144.81m, 10);
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var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
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var result = signalExportManagerHandler.GetPortfolioTargets(out PortfolioTarget[] portfolioTargets);
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Assert.IsTrue(result);
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Assert.IsFalse(portfolioTargets.Where(x => x.Symbol.SecurityType == SecurityType.Index).Any());
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}
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[TestCaseSource(nameof(SignalExportManagerSkipsNonTradeableFuturesTestCase))]
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public void SignalExportManagerSkipsNonTradeableFutures(IEnumerable<Symbol> symbols, int expectedNumberOfTargets)
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(100000);
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foreach (var symbol in symbols)
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{
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var security = algorithm.AddSecurity(symbol);
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security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
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security.Holdings.SetHoldings(144.81m, 100);
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}
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var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
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var result = signalExportManagerHandler.GetPortfolioTargets(out PortfolioTarget[] portfolioTargets);
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Assert.IsTrue(result);
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Assert.AreEqual(expectedNumberOfTargets, portfolioTargets.Length);
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}
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[Test]
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public void SignalExportManagerReturnsFalseWhenNegativeTotalPortfolioValue()
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(-100000);
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var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
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Assert.IsFalse(signalExportManagerHandler.GetPortfolioTargets(out _));
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}
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[Test]
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public void EmptySignalExportList()
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{
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var algorithm = new AlgorithmStub(true);
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algorithm.SetLiveMode(true);
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algorithm.SetFinishedWarmingUp();
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algorithm.SetCash(100000);
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var security = algorithm.AddSecurity(Symbols.SPY);
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security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 144.80m, 144.82m));
|
|
security.Holdings.SetHoldings(144.81m, 100);
|
|
|
|
var utcTime = DateTime.UtcNow;
|
|
var signalExportManagerHandler = new SignalExportManagerHandler(algorithm);
|
|
signalExportManagerHandler.OnOrderEvent(new OrderEvent(0, security.Symbol, utcTime.AddMinutes(-1), OrderStatus.Filled, OrderDirection.Buy, 100, 100, new Orders.Fees.OrderFee(new Securities.CashAmount(1, "USD"))));
|
|
|
|
Assert.DoesNotThrow(() => signalExportManagerHandler.SetTargetPortfolioFromPortfolio());
|
|
Assert.DoesNotThrow(() => signalExportManagerHandler.Flush(utcTime));
|
|
}
|
|
|
|
private static object[] SendsTargetsToCollective2AppropriatelyTestCases =
|
|
{
|
|
new object[] { "USD", Symbols.SPY, 0.2m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""CS""},""quantity"":2992.0}]}" },
|
|
new object[] { "USD", Symbols.EURUSD, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/USD"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbols.EURGBP, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/GBP"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbols.GBPJPY, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GBP/JPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbols.GBPUSD, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GBP/USD"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbols.USDJPY, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""USD/JPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 192m, new DateTime(2016, 02, 15)), 0.2m, @"{""StrategyId"":0,""Positions"":[]}" },
|
|
new object[] { "USD", Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 192m, new DateTime(2056, 02, 19)), 0.2m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""OPT"",""maturityMonthYear"":""20560218"",""putOrCall"":1,""strikePrice"":192.0},""quantity"":29.0}]}" },
|
|
new object[] { "USD", Symbols.CreateOptionSymbol("SPY", OptionRight.Put, 192m, new DateTime(2056, 02, 19)), 0.2m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""OPT"",""maturityMonthYear"":""20560218"",""putOrCall"":0,""strikePrice"":192.0},""quantity"":29.0}]}" },
|
|
new object[] { "USD", Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/USD"",""currency"":""USD"",""securityExchange"":""FXCM"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "USD", Symbol.Create("NQX", SecurityType.IndexOption, Market.USA), 0.2m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""NQX"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""OPT"",""putOrCall"":1,""strikePrice"":0.0},""quantity"":29.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("NIFTY", Market.India, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""NIFTY"",""currency"":""INR"",""securityExchange"":""XNSE"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":299250.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("HSI", Market.HKFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""HSI"",""currency"":""HKD"",""securityExchange"":""XHKF"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":24.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("ZG", Market.NYSELIFFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""ZG"",""currency"":""USD"",""securityExchange"":""XNLI"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":73.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("FESX", Market.EUREX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""FESX"",""currency"":""EUR"",""securityExchange"":""XEUR"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":498.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("KC", Market.ICE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""KC"",""currency"":""USD"",""securityExchange"":""IEPA"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":415.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("VIX", Market.CFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""VIX"",""currency"":""USD"",""securityExchange"":""XCBF"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":14962.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("ZC", Market.CBOT, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""ZC"",""currency"":""USD"",""securityExchange"":""XCBT"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":2770.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GC"",""currency"":""USD"",""securityExchange"":""XCEC"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":316.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("CL", Market.NYMEX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""CL"",""currency"":""USD"",""securityExchange"":""XNYM"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":201.0}]}" },
|
|
new object[] { "USD", Symbol.CreateFuture("NK", Market.SGX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""NK"",""currency"":""JPY"",""securityExchange"":""XSES"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":425.0}]}" },
|
|
new object[] { "EUR", Symbols.SPY, 0.2m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""CS""},""quantity"":2992.0}]}" },
|
|
new object[] { "EUR", Symbols.EURUSD, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/USD"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbols.EURGBP, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/GBP"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbols.GBPJPY, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GBP/JPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbols.GBPUSD, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GBP/USD"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbols.USDJPY, 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""USD/JPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 192m, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""OPT"",""maturityMonthYear"":""20560218"",""putOrCall"":1,""strikePrice"":192.0},""quantity"":149.0}]}" },
|
|
new object[] { "EUR", Symbols.CreateOptionSymbol("SPY", OptionRight.Put, 192m, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""SPY"",""currency"":""USD"",""securityExchange"":""DEFAULT"",""securityType"":""OPT"",""maturityMonthYear"":""20560218"",""putOrCall"":0,""strikePrice"":192.0},""quantity"":149.0}]}" },
|
|
new object[] { "EUR", Symbols.CreateOptionSymbol("SPY", OptionRight.Call, 192m, new DateTime(2016, 02, 15)), 0.2m, @"{""StrategyId"":0,""Positions"":[]}" },
|
|
new object[] { "EUR", Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""EUR/USD"",""currency"":""USD"",""securityExchange"":""FXCM"",""securityType"":""FOR""},""quantity"":1.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("NIFTY", Market.India, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""NIFTY"",""currency"":""INR"",""securityExchange"":""XNSE"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":299250.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("HSI", Market.HKFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""HSI"",""currency"":""HKD"",""securityExchange"":""XHKF"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":24.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("ZG", Market.NYSELIFFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""ZG"",""currency"":""USD"",""securityExchange"":""XNLI"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":73.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("FESX", Market.EUREX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""FESX"",""currency"":""EUR"",""securityExchange"":""XEUR"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":498.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("KC", Market.ICE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""KC"",""currency"":""USD"",""securityExchange"":""IEPA"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":415.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("VIX", Market.CFE, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""VIX"",""currency"":""EUR"",""securityExchange"":""XCBF"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":14962.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("ZC", Market.CBOT, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""ZC"",""currency"":""USD"",""securityExchange"":""XCBT"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":2770.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""GC"",""currency"":""USD"",""securityExchange"":""XCEC"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":316.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("CL", Market.NYMEX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""CL"",""currency"":""USD"",""securityExchange"":""XNYM"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":201.0}]}" },
|
|
new object[] { "EUR", Symbol.CreateFuture("NK", Market.SGX, new DateTime(2056, 02, 19)), 1m, @"{""StrategyId"":0,""Positions"":[{""exchangeSymbol"":{""symbol"":""NK"",""currency"":""JPY"",""securityExchange"":""XSES"",""securityType"":""FUT"",""maturityMonthYear"":""20560219""},""quantity"":425.0}]}" },
|
|
};
|
|
|
|
private static void AddSymbols(List<Symbol> symbols, QCAlgorithm algorithm)
|
|
{
|
|
algorithm.SetDateTime(new DateTime(2016, 02, 16, 11, 53, 30));
|
|
|
|
foreach (var symbol in symbols)
|
|
{
|
|
var security = algorithm.AddSecurity(symbol);
|
|
security.SetMarketPrice(new Tick { Value = 100 });
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Creates a TradebarConfiguration for the given symbol
|
|
/// </summary>
|
|
/// <param name="symbol">Symbol for which we want to create a TradeBarConfiguration</param>
|
|
/// <returns>A new TradebarConfiguration for the given symbol</returns>
|
|
private static SubscriptionDataConfig CreateTradeBarConfig(Symbol symbol)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler class to test how SignalExportManager obtains the portfolio targets from the algorithm's portfolio
|
|
/// </summary>
|
|
private class SignalExportManagerHandler : SignalExportManager
|
|
{
|
|
public SignalExportManagerHandler(IAlgorithm algorithm) : base(algorithm)
|
|
{
|
|
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler method to obtain portfolio targets from algorithm's portfolio
|
|
/// </summary>
|
|
/// <param name="targets">An array of portfolio targets from the algorithm's Portfolio</param>
|
|
/// <returns>True if TotalPortfolioValue was bigger than zero</returns>
|
|
public bool GetPortfolioTargets(out PortfolioTarget[] targets)
|
|
{
|
|
return base.GetPortfolioTargets(out targets);
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler class to test how Collective2SignalExport converts target percentage to number of shares. Additionally,
|
|
/// to test the message sent to Collective2 API
|
|
/// </summary>
|
|
private class Collective2SignalExportHandler : Collective2SignalExport
|
|
{
|
|
public Collective2SignalExportHandler(string apiKey, int systemId) : base(apiKey, systemId)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler method to test how Collective2SignalExport converts target percentage to number of shares
|
|
/// </summary>
|
|
/// <param name="algorithm">Algorithm being ran</param>
|
|
/// <param name="target">Target with quantity as percentage</param>
|
|
/// <returns>Number of shares for the given target percentage</returns>
|
|
public int ConvertPercentageToQuantity(IAlgorithm algorithm, PortfolioTarget target)
|
|
{
|
|
return base.ConvertPercentageToQuantity(algorithm, target);
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler method to test the message sent to Collective2 API
|
|
/// </summary>
|
|
/// <param name="parameters">A list of holdings from the portfolio
|
|
/// expected to be sent to Collective2 API and the algorithm being ran</param>
|
|
/// <returns>Message sent to Collective2 API</returns>
|
|
public string GetMessageSent(SignalExportTargetParameters parameters)
|
|
{
|
|
ConvertHoldingsToCollective2(parameters, out List<Collective2Position> positions);
|
|
var message = CreateMessage(positions);
|
|
|
|
return message;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler class to test the message sent to CrunchDAO API
|
|
/// </summary>
|
|
private class CrunchDAOSignalExportHandler : CrunchDAOSignalExport
|
|
{
|
|
public CrunchDAOSignalExportHandler(string apiKey, string model, string submissionName = "", string comment = "") : base(apiKey, model, submissionName, comment)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler method to test the message sent to CrunchDAO API
|
|
/// </summary>
|
|
/// <param name="parameters">A list of holdings from the portfolio
|
|
/// expected to be sent to CrunchDAO2 API and the algorithm being ran</param>
|
|
/// <returns>Message sent to CrunchDAO API</returns>
|
|
public string GetMessageSent(SignalExportTargetParameters parameters)
|
|
{
|
|
ConvertToCSVFormat(parameters, out string message);
|
|
return message;
|
|
}
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler class to test message sent to Numerai API
|
|
/// </summary>
|
|
private class NumeraiSignalExportHandler : NumeraiSignalExport
|
|
{
|
|
public NumeraiSignalExportHandler(string publicId, string secretId, string modelId, string fileName = "predictions.csv") : base(publicId, secretId, modelId, fileName)
|
|
{
|
|
}
|
|
|
|
/// <summary>
|
|
/// Handler method to test the message sent to Numerai API
|
|
/// </summary>
|
|
/// <param name="parameters">A list of holdings from the portfolio
|
|
/// expected to be sent to Numerai API and the algorithm being ran</param>
|
|
/// <returns>Message sent to Numerai API</returns>
|
|
public string GetMessageSent(SignalExportTargetParameters parameters)
|
|
{
|
|
ConvertTargetsToNumerai(parameters, out string message);
|
|
return message;
|
|
}
|
|
}
|
|
|
|
private static object[] SignalExportManagerSkipsNonTradeableFuturesTestCase =
|
|
{
|
|
new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY, Symbols.SPX }, 2 },
|
|
new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY, Symbols.NFLX }, 3 },
|
|
};
|
|
}
|
|
}
|