wehub-resource-sync
117 lines
5.3 KiB
C#
117 lines
5.3 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.Linq;
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using NUnit.Framework;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Brokerages.Backtesting;
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using QuantConnect.Tests.Engine;
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using QuantConnect.Algorithm;
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using QuantConnect.Lean.Engine.Results;
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using Python.Runtime;
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using System.Threading;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class SecurityTransactionManagerTests
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{
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private IResultHandler _resultHandler;
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[SetUp]
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public void SetUp()
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{
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_resultHandler = new TestResultHandler(Console.WriteLine);
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}
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[Test]
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public void WorksProperlyWithPyObjects()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var spySecurity = algorithm.AddEquity("SPY");
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var ibmSecurity = algorithm.AddEquity("IBM");
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algorithm.SetTimeZone(TimeZones.NewYork);
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spySecurity.SetMarketPrice(new Tick { Value = 270m });
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ibmSecurity.SetMarketPrice(new Tick { Value = 270m });
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algorithm.SetFinishedWarmingUp();
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var transactionHandler = new BrokerageTransactionHandler();
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using var backtestingBrokerage = new BacktestingBrokerage(algorithm);
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transactionHandler.Initialize(algorithm, backtestingBrokerage, _resultHandler);
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algorithm.Transactions.SetOrderProcessor(transactionHandler);
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var spy = spySecurity.Symbol;
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var ibm = ibmSecurity.Symbol;
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// this order should timeout (no fills received within 5 seconds)
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algorithm.SetHoldings(spy, 0.5m);
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algorithm.SetHoldings(ibm, 0.5m);
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Func<Order, bool> basicOrderFilter = x => true;
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Func<OrderTicket, bool> basicOrderTicketFilter = x => true;
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using (Py.GIL())
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{
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var orders = algorithm.Transactions.GetOrders(basicOrderFilter.ToPython());
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var orderTickets = algorithm.Transactions.GetOrderTickets(basicOrderTicketFilter.ToPython());
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var openOrders = algorithm.Transactions.GetOpenOrders(basicOrderFilter.ToPython());
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var openOrderTickets = algorithm.Transactions.GetOpenOrderTickets(basicOrderTicketFilter.ToPython());
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var openOrdersRemaining = algorithm.Transactions.GetOpenOrdersRemainingQuantity(basicOrderTicketFilter.ToPython());
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Assert.AreEqual(2, orders.Count());
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Assert.AreEqual(2, orderTickets.Count());
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Assert.AreEqual(2, openOrders.Count);
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Assert.AreEqual(2, openOrderTickets.Count());
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Assert.AreEqual(368, openOrdersRemaining);
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var ibmOpenOrders = algorithm.Transactions.GetOpenOrders(ibm.ToPython()).Count;
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var ibmOpenOrderTickets = algorithm.Transactions.GetOpenOrderTickets(ibm.ToPython()).Count();
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var ibmOpenOrdersRemainingQuantity = algorithm.Transactions.GetOpenOrdersRemainingQuantity(ibm.ToPython());
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var spyOpenOrders = algorithm.Transactions.GetOpenOrders(spy.ToPython()).Count;
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var spyOpenOrderTickets = algorithm.Transactions.GetOpenOrderTickets(spy.ToPython()).Count();
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var spyOpenOrdersRemainingQuantity = algorithm.Transactions.GetOpenOrdersRemainingQuantity(spy.ToPython());
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Assert.AreEqual(1, ibmOpenOrders);
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Assert.AreEqual(1, ibmOpenOrderTickets);
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Assert.AreEqual(184, ibmOpenOrdersRemainingQuantity);
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Assert.AreEqual(1, spyOpenOrders);
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Assert.AreEqual(1, spyOpenOrderTickets);
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Assert.AreEqual(184, spyOpenOrdersRemainingQuantity);
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var defaultOrders = algorithm.Transactions.GetOrders();
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var defaultOrderTickets = algorithm.Transactions.GetOrderTickets();
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var defaultOpenOrders = algorithm.Transactions.GetOpenOrders();
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var defaultOpenOrderTickets = algorithm.Transactions.GetOpenOrderTickets();
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var defaultOpenOrdersRemaining = algorithm.Transactions.GetOpenOrdersRemainingQuantity();
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Assert.AreEqual(2, defaultOrders.Count());
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Assert.AreEqual(2, defaultOrderTickets.Count());
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Assert.AreEqual(2, defaultOpenOrders.Count);
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Assert.AreEqual(2, defaultOpenOrderTickets.Count());
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Assert.AreEqual(368, defaultOpenOrdersRemaining);
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}
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transactionHandler.Exit();
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}
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}
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}
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