wehub-resource-sync
346 lines
14 KiB
C#
346 lines
14 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.Algorithm;
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using QuantConnect.Algorithm.Framework.Portfolio;
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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.Tests.Common.Securities;
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using QuantConnect.Tests.Engine.DataFeeds;
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using QuantConnect.Util;
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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 PortfolioTargetCollectionTests
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{
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private string _symbol = "SPY";
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[Test]
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public void TryGetValue()
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{
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var collection = new PortfolioTargetCollection();
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Assert.IsFalse(collection.TryGetValue(Symbols.SPY, out var target));
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collection[Symbols.SPY] = new PortfolioTarget(Symbols.SPY, 1);
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Assert.IsTrue(collection.TryGetValue(Symbols.SPY, out target));
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Assert.AreEqual(target, collection[Symbols.SPY]);
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}
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[Test]
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public void IndexAccess()
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{
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var collection = new PortfolioTargetCollection();
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collection[Symbols.SPY] = new PortfolioTarget(Symbols.SPY, 1);
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Assert.AreEqual(1, collection.Count);
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Assert.AreEqual(1, collection.Values.Count);
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Assert.AreEqual(1, collection.Keys.Count);
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collection[Symbols.IBM] = new PortfolioTarget(Symbols.IBM, 1);
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Assert.AreEqual(2, collection.Count);
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Assert.AreEqual(2, collection.Values.Count);
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Assert.AreEqual(2, collection.Keys.Count);
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collection[Symbols.IBM] = null;
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Assert.AreEqual(2, collection.Count);
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Assert.AreEqual(2, collection.Values.Count);
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Assert.AreEqual(2, collection.Keys.Count);
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}
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[Test]
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public void Count()
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{
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var collection = new PortfolioTargetCollection();
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var targets = new[] { new PortfolioTarget(Symbols.SPY, 1) };
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collection.AddRange(targets);
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Assert.AreEqual(1, collection.Count);
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collection.AddRange(new[] { new PortfolioTarget(Symbols.IBM, 1), new PortfolioTarget(Symbols.AAPL, 1) });
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Assert.AreEqual(3, collection.Count);
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collection.Clear();
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}
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[Test]
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public void IsEmpty()
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{
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var collection = new PortfolioTargetCollection();
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Assert.IsTrue(collection.IsEmpty);
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Assert.IsFalse(collection.ContainsKey(Symbols.SPY));
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collection.Add(new PortfolioTarget(Symbols.SPY, 1));
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Assert.AreEqual(1, collection.Count);
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Assert.IsFalse(collection.IsEmpty);
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Assert.IsTrue(collection.ContainsKey(Symbols.SPY));
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}
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[Test]
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public void AddRange()
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{
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var collection = new PortfolioTargetCollection();
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var targets = new[] { new PortfolioTarget(Symbols.SPY, 1), new PortfolioTarget(Symbols.AAPL, 1) };
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collection.AddRange(targets);
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Assert.AreEqual(2, collection.Count);
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Assert.IsTrue(collection.ContainsKey(Symbols.SPY));
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Assert.IsTrue(collection.ContainsKey(Symbols.AAPL));
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Assert.AreEqual(targets[0], collection[Symbols.SPY]);
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Assert.AreEqual(targets[1], collection[Symbols.AAPL]);
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Assert.AreEqual(1, collection.Values.Count(target => target == targets[0]));
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Assert.AreEqual(1, collection.Values.Count(target => target == targets[1]));
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Assert.AreEqual(1, collection.Keys.Count(symbol => symbol == Symbols.SPY));
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Assert.AreEqual(1, collection.Keys.Count(symbol => symbol == Symbols.AAPL));
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}
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[Test]
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public void RemoveTargetRespectsReference()
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{
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var symbol = new Symbol(SecurityIdentifier.GenerateBase(null, _symbol, Market.USA), _symbol);
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 1);
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collection.Add(target);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(collection.Contains(target));
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// removes by reference even if same symbol
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Assert.IsFalse(collection.Remove(new PortfolioTarget(symbol, 1)));
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Assert.AreEqual(collection.Count, 1);
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}
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[Test]
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public void AddContainsAndRemoveWork()
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{
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var symbol = new Symbol(SecurityIdentifier.GenerateBase(null, _symbol, Market.USA), _symbol);
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 1);
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collection.Add(target);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(collection.Contains(target));
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Assert.IsTrue(collection.Remove(target));
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Assert.AreEqual(collection.Count, 0);
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}
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[Test]
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public void ClearFulfilledDoesNotRemoveUnreachedTarget()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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#pragma warning disable CS0618
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var equity = algorithm.AddEquity(symbol);
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var dummySecurityHolding = new FakeSecurityHolding(equity);
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equity.Holdings = dummySecurityHolding;
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, -1);
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collection.Add(target);
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collection.ClearFulfilled(algorithm);
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Assert.AreEqual(collection.Count, 1);
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}
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[Test]
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public void ClearRemovesUnreachedTarget()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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var dummySecurityHolding = new FakeSecurityHolding(equity);
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equity.Holdings = dummySecurityHolding;
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, -1);
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collection.Add(target);
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collection.Clear();
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Assert.AreEqual(collection.Count, 0);
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}
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[Test]
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public void ClearFulfilledRemovesPositiveTarget()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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var dummySecurityHolding = new FakeSecurityHolding(equity);
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equity.Holdings = dummySecurityHolding;
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 1);
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collection.Add(target);
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dummySecurityHolding.SetQuantity(1);
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collection.ClearFulfilled(algorithm);
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Assert.AreEqual(collection.Count, 0);
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}
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[Test]
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public void ClearFulfilledRemovesNegativeTarget()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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var dummySecurityHolding = new FakeSecurityHolding(equity);
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equity.Holdings = dummySecurityHolding;
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, -1);
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collection.Add(target);
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dummySecurityHolding.SetQuantity(-1);
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collection.ClearFulfilled(algorithm);
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Assert.AreEqual(collection.Count, 0);
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}
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[Test]
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public void OrderByMarginImpactDoesNotReturnTargetsWithNoData()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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algorithm.AddEquity(symbol);
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, -1);
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collection.Add(target);
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var targets = collection.OrderByMarginImpact(algorithm);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(targets.IsNullOrEmpty());
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}
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[Test]
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public void OrderByMarginImpactReturnsExpectedTargets()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, -1);
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collection.Add(target);
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var targets = collection.OrderByMarginImpact(algorithm);
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Assert.AreEqual(collection.Count, 1);
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Assert.AreEqual(targets.Count(), 1);
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Assert.AreEqual(targets.First(), target);
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}
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[Test]
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public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseTargetIsZero()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 0);
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collection.Add(target);
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var targets = collection.OrderByMarginImpact(algorithm);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(targets.IsNullOrEmpty());
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}
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[Test]
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public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseTargetReached()
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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var dummySecurityHolding = new FakeSecurityHolding(equity);
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equity.Holdings = dummySecurityHolding;
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equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 1);
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collection.Add(target);
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dummySecurityHolding.SetQuantity(1);
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var targets = collection.OrderByMarginImpact(algorithm);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(targets.IsNullOrEmpty());
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}
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[Test]
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public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseOpenOrder()
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{
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var orderProcessor = new FakeOrderProcessor();
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var algorithm = GetAlgorithm(orderProcessor);
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var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
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var equity = algorithm.AddEquity(symbol);
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#pragma warning restore CS0618
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equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
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var collection = new PortfolioTargetCollection();
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var target = new PortfolioTarget(symbol, 1);
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collection.Add(target);
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var openOrderRequest = new SubmitOrderRequest(OrderType.Market, symbol.SecurityType, symbol, 1, 0, 0, DateTime.UtcNow, "");
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openOrderRequest.SetOrderId(1);
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var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
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orderProcessor.AddOrder(new MarketOrder(symbol, 1, DateTime.UtcNow));
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orderProcessor.AddTicket(openOrderTicket);
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var targets = collection.OrderByMarginImpact(algorithm);
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Assert.AreEqual(collection.Count, 1);
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Assert.IsTrue(targets.IsNullOrEmpty());
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}
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private QCAlgorithm GetAlgorithm(IOrderProcessor orderProcessor)
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{
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var algorithm = new FakeAlgorithm();
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algorithm.SetFinishedWarmingUp();
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algorithm.Transactions.SetOrderProcessor(orderProcessor);
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return algorithm;
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}
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private class FakeSecurityHolding : SecurityHolding
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{
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public FakeSecurityHolding(Security security) :
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base(security, new IdentityCurrencyConverter(security.QuoteCurrency.Symbol))
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{
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}
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public void SetQuantity(int quantity)
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{
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Quantity = quantity;
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}
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}
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private class FakeAlgorithm : QCAlgorithm
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{
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public FakeAlgorithm()
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{
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SubscriptionManager.SetDataManager(new DataManagerStub(this));
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}
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}
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}
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}
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