quantconnect--lean/Tests/Algorithm/Framework/Execution/SpreadExecutionModelTests.cs

/*
 * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
 * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
 *
 * Licensed under the Apache License, Version 2.0 (the "License");
 * you may not use this file except in compliance with the License.
 * You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
 *
 * Unless required by applicable law or agreed to in writing, software
 * distributed under the License is distributed on an "AS IS" BASIS,
 * WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
 * See the License for the specific language governing permissions and
 * limitations under the License.
*/

using System;
using System.Collections.Generic;
using System.Linq;
using Moq;
using NUnit.Framework;
using Python.Runtime;
using QuantConnect.Algorithm;
using QuantConnect.Algorithm.Framework.Execution;
using QuantConnect.Algorithm.Framework.Portfolio;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Tests.Common.Data.UniverseSelection;
using QuantConnect.Tests.Engine.DataFeeds;

namespace QuantConnect.Tests.Algorithm.Framework.Execution
{
    [TestFixture]
    public class SpreadExecutionModelTests
    {
        [TestCase(Language.CSharp)]
        [TestCase(Language.Python)]
        public void OrdersAreNotSubmittedWhenNoTargetsToExecute(Language language)
        {
            var actualOrdersSubmitted = new List<SubmitOrderRequest>();

            var orderProcessor = new Mock<IOrderProcessor>();
            orderProcessor.Setup(m => m.Process(It.IsAny<SubmitOrderRequest>()))
                .Returns((OrderTicket)null)
                .Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));

            var algorithm = new QCAlgorithm();
            algorithm.SetPandasConverter();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);

            var model = GetExecutionModel(language);
            algorithm.SetExecution(model);

            var changes = SecurityChangesTests.CreateNonInternal(Enumerable.Empty<Security>(), Enumerable.Empty<Security>());
            model.OnSecuritiesChanged(algorithm, changes);

            model.Execute(algorithm, new IPortfolioTarget[0]);

            Assert.AreEqual(0, actualOrdersSubmitted.Count);
        }

        [TestCase(Language.CSharp, 240, 1, 10)]
        [TestCase(Language.CSharp, 250, 0, 0)]
        [TestCase(Language.Python, 240, 1, 10)]
        [TestCase(Language.Python, 250, 0, 0)]
        public void OrdersAreSubmittedWhenRequiredForTargetsToExecute(
            Language language,
            decimal currentPrice,
            int expectedOrdersSubmitted,
            decimal expectedTotalQuantity)
        {
            var time = new DateTime(2018, 8, 2, 14, 0, 0);

            var algorithm = new QCAlgorithm();
            algorithm.SetPandasConverter();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.SetDateTime(time.AddMinutes(5));

            var security = algorithm.AddEquity(Symbols.AAPL.Value);
            security.SetMarketPrice(new TradeBar { Value = 250 });
            // pushing the ask higher will cause the spread the widen and no trade to happen
            var ask = expectedOrdersSubmitted == 0 ? currentPrice * 1.1m : currentPrice;
            security.SetMarketPrice(new QuoteBar
            {
                Time = time,
                Symbol = Symbols.AAPL,
                Ask = new Bar(ask, ask, ask, ask),
                Bid = new Bar(currentPrice, currentPrice, currentPrice, currentPrice)
            });

            algorithm.SetFinishedWarmingUp();

            var orderProcessor = ImmediateExecutionModelTests.GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);

            try
            {
                var model = GetExecutionModel(language);
                algorithm.SetExecution(model);

                var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
                model.OnSecuritiesChanged(algorithm, changes);

                var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
                model.Execute(algorithm, targets);
                orderProcessor.ProcessSynchronousEvents();

                var orders = orderProcessor.GetOrders().ToList();

                Assert.AreEqual(expectedOrdersSubmitted, orders.Count);
                Assert.AreEqual(expectedTotalQuantity, orders.Sum(x => x.Quantity));

                if (expectedOrdersSubmitted == 1)
                {
                    var order = orders[0];
                    Assert.AreEqual(expectedTotalQuantity, order.Quantity);
                    Assert.AreEqual(algorithm.UtcTime, order.Time);
                }
            }
            finally
            {
                orderProcessor.Exit();
                brokerage.Dispose();
            }
        }

        [TestCase(Language.CSharp, 1, 10, true)]
        [TestCase(Language.Python, 1, 10, true)]
        [TestCase(Language.CSharp, 0, 0, false)]
        [TestCase(Language.Python, 0, 0, false)]
        public void FillsOnTradesOnlyRespectingExchangeOpen(Language language, int expectedOrdersSubmitted, decimal expectedTotalQuantity, bool exchangeOpen)
        {
            var time = new DateTime(2018, 8, 2, 0, 0, 0);
            if (exchangeOpen)
            {
                time = time.AddHours(14);
            }

            var algorithm = new QCAlgorithm();
            algorithm.SetPandasConverter();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.SetDateTime(time.AddMinutes(5));

            var security = algorithm.AddEquity(Symbols.AAPL.Value);
            security.SetMarketPrice(new TradeBar { Value = 250 });

            algorithm.SetFinishedWarmingUp();

            var orderProcessor = ImmediateExecutionModelTests.GetAndSetBrokerageTransactionHandler(algorithm, out var brokerage);

            try
            {
                var model = GetExecutionModel(language);
                algorithm.SetExecution(model);

                var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
                model.OnSecuritiesChanged(algorithm, changes);

                var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
                model.Execute(algorithm, targets);
                orderProcessor.ProcessSynchronousEvents();

                var orders = orderProcessor.GetOrders().ToList();

                Assert.AreEqual(expectedOrdersSubmitted, orders.Count);
                Assert.AreEqual(expectedTotalQuantity, orders.Sum(x => x.Quantity));

                if (expectedOrdersSubmitted == 1)
                {
                    var order = orders[0];
                    Assert.AreEqual(expectedTotalQuantity, order.Quantity);
                    Assert.AreEqual(algorithm.UtcTime, order.Time);
                }
            }
            finally
            {
                orderProcessor.Exit();
                brokerage.Dispose();
            }
        }

        [TestCase(Language.CSharp, MarketDataType.TradeBar)]
        [TestCase(Language.Python, MarketDataType.TradeBar)]
        [TestCase(Language.CSharp, MarketDataType.QuoteBar)]
        [TestCase(Language.Python, MarketDataType.QuoteBar)]
        public void OnSecuritiesChangeDoesNotThrow(
            Language language,
            MarketDataType marketDataType)
        {
            var time = new DateTime(2018, 8, 2, 16, 0, 0);

            Func<double, int, BaseData> func = (x, i) =>
            {
                var price = Convert.ToDecimal(x);
                switch (marketDataType)
                {
                    case MarketDataType.TradeBar:
                        return new TradeBar(time.AddMinutes(i), Symbols.AAPL, price, price, price, price, 100m);
                    case MarketDataType.QuoteBar:
                        var bar = new Bar(price, price, price, price);
                        return new QuoteBar(time.AddMinutes(i), Symbols.AAPL, bar, 10m, bar, 10m);
                    default:
                        throw new ArgumentException($"Invalid MarketDataType: {marketDataType}");
                }
            };

            var algorithm = new QCAlgorithm();
            algorithm.SetPandasConverter();
            algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
            algorithm.SetDateTime(time.AddMinutes(5));

            var security = algorithm.AddEquity(Symbols.AAPL.Value);
            security.SetMarketPrice(new TradeBar { Value = 250 });
            algorithm.SetFinishedWarmingUp();

            var model = GetExecutionModel(language);
            algorithm.SetExecution(model);

            var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty<Security>());
            Assert.DoesNotThrow(() => model.OnSecuritiesChanged(algorithm, changes));
        }

        private static IExecutionModel GetExecutionModel(Language language)
        {
            const decimal acceptingSpreadPercent = 0.005m;

            if (language == Language.Python)
            {
                using (Py.GIL())
                {
                    const string name = nameof(SpreadExecutionModel);
                    var instance = Py.Import(name).GetAttr(name).Invoke(acceptingSpreadPercent.ToPython());
                    return new ExecutionModelPythonWrapper(instance);
                }
            }

            return new SpreadExecutionModel(acceptingSpreadPercent);
        }
    }
}