wehub-resource-sync
130 lines
6.7 KiB
C#
130 lines
6.7 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.Lean.Engine.DataFeeds;
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using QuantConnect.Orders;
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using QuantConnect.Report;
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using QuantConnect.Securities;
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using QuantConnect.Brokerages;
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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.Report
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{
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[TestFixture]
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public class PortfolioLooperAlgorithmTests
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{
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private PortfolioLooperAlgorithm CreateAlgorithm(IEnumerable<Order> orders, AlgorithmConfiguration algorithmConfiguration = null)
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{
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var algorithm = new PortfolioLooperAlgorithm(100000m, orders, algorithmConfiguration);
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// Create MHDB and Symbol properties DB instances for the DataManager
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var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
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var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
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var dataPermissionManager = new DataPermissionManager();
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var dataManager = new DataManager(new QuantConnect.Report.MockDataFeed(),
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new UniverseSelection(
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algorithm,
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new SecurityService(algorithm.Portfolio.CashBook,
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marketHoursDatabase,
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symbolPropertiesDataBase,
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algorithm,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCacheProvider(algorithm.Portfolio),
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algorithm: algorithm),
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dataPermissionManager,
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TestGlobals.DataProvider),
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algorithm,
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algorithm.TimeKeeper,
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marketHoursDatabase,
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false,
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RegisteredSecurityDataTypesProvider.Null,
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dataPermissionManager);
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var securityService = new SecurityService(algorithm.Portfolio.CashBook,
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marketHoursDatabase,
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symbolPropertiesDataBase,
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algorithm,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCacheProvider(algorithm.Portfolio),
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algorithm: algorithm);
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// Initialize security services and other properties so that we
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// don't get null reference exceptions during our re-calculation
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algorithm.Securities.SetSecurityService(securityService);
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algorithm.SubscriptionManager.SetDataManager(dataManager);
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return algorithm;
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}
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[Test]
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public void Algorithm_CanSetLeverageOnAllSecurityTypes()
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{
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var orders = new Symbol[]
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{
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Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
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Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 120m, new DateTime(2020, 5, 21)),
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Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("XAUUSD", SecurityType.Cfd, Market.Oanda),
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Symbol.CreateFuture(Futures.Energy.CrudeOilWTI, Market.NYMEX, new DateTime(2020, 5, 21)),
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Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Coinbase)
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}.Select(s => new MarketOrder(s, 1m, new DateTime(2020, 1, 1))).ToList();
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var algorithm = CreateAlgorithm(orders);
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Assert.DoesNotThrow(() => algorithm.FromOrders(orders));
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}
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[Test]
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public void Algorithm_UsesExpectedLeverageOnAllSecurityTypes()
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{
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var orders = new Symbol[]
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{
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Symbol.Create("AAPL", SecurityType.Equity, Market.USA),
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Symbol.CreateOption("AAPL", Market.USA, OptionStyle.American, OptionRight.Call, 120m, new DateTime(2020, 5, 21)),
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Symbol.Create("EURUSD", SecurityType.Forex, Market.Oanda),
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Symbol.Create("XAUUSD", SecurityType.Cfd, Market.Oanda),
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Symbol.CreateFuture(Futures.Energy.CrudeOilWTI, Market.NYMEX, new DateTime(2020, 5, 21)),
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Symbol.Create("BTCUSD", SecurityType.Crypto, Market.Coinbase)
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}.Select(s => new MarketOrder(s, 1m, new DateTime(2020, 1, 1)));
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var algorithm = CreateAlgorithm(orders);
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Equity).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Option).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 1m));
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Forex).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Cfd).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Future).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 1m));
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Assert.IsTrue(algorithm.Securities.Where(x => x.Key.SecurityType == SecurityType.Crypto).All(x => x.Value.BuyingPowerModel.GetLeverage(x.Value) == 10000m));
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}
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[TestCase("BTC", BrokerageName.Binance, AccountType.Cash)]
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[TestCase("USDT", BrokerageName.Coinbase, AccountType.Cash)]
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[TestCase("EUR", BrokerageName.Bitfinex, AccountType.Margin)]
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public void SetsTheRightAlgorithmConfiguration(string currency, BrokerageName brokerageName, AccountType accountType)
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{
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var algorithm = CreateAlgorithm(new List<Order>(),
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new AlgorithmConfiguration("AlgorightmName", new HashSet<string>(), currency, brokerageName, accountType,
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new Dictionary<string, string>(), DateTime.MinValue, DateTime.MinValue, null));
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algorithm.Initialize();
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Assert.AreEqual(currency, algorithm.AccountCurrency);
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Assert.AreEqual(brokerageName, BrokerageModel.GetBrokerageName(algorithm.BrokerageModel));
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Assert.AreEqual(accountType, algorithm.BrokerageModel.AccountType);
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}
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}
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}
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