wehub-resource-sync
140 lines
5.6 KiB
C#
140 lines
5.6 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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*/
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using NUnit.Framework;
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using Python.Runtime;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Python;
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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 System;
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namespace QuantConnect.Tests.Python
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{
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[TestFixture]
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public class PortfolioCustomModelTests
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{
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[Test]
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[TestCase(true)]
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[TestCase(false)]
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public void SetMarginCallModelSuccess(bool isChild)
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{
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var algorithm = new QCAlgorithm();
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var portfolio = algorithm.Portfolio;
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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algorithm.SetDateTime(new DateTime(2018, 8, 20, 15, 0, 0));
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algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
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var spy = algorithm.AddEquity("SPY", Resolution.Daily);
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spy.SetMarketPrice(new Tick(algorithm.Time, Symbols.SPY, 100m, 100m));
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// Test two custom buying power models.
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// The first inherits from C# SecurityMarginModel and the other is 100% python
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var code = isChild
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? CreateCustomMarginCallModelFromSecurityMarginModelCode()
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: CreateCustomMarginCallModelCode();
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portfolio.SetMarginCallModel(CreateCustomMarginCallModel(code, portfolio));
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Assert.IsAssignableFrom<MarginCallModelPythonWrapper>(portfolio.MarginCallModel);
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bool issueMarginCallWarning;
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var marginCallOrders = portfolio.MarginCallModel.GetMarginCallOrders(out issueMarginCallWarning);
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if (isChild)
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{
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Assert.IsFalse(issueMarginCallWarning);
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Assert.AreEqual(0, marginCallOrders.Count);
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}
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else
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{
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Assert.IsTrue(issueMarginCallWarning);
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Assert.AreEqual(3, marginCallOrders.Count);
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}
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}
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[Test]
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public void SetMarginCallModelFails()
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{
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var algorithm = new QCAlgorithm();
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var portfolio = algorithm.Portfolio;
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// Renaming GetMarginCall will cause a NotImplementedException exception
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var code = CreateCustomMarginCallModelCode();
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code = code.Replace("GetMarginCall", "SetMarginCall");
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var pyObject = CreateCustomMarginCallModel(code, portfolio);
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Assert.Throws<NotImplementedException>(() => portfolio.SetMarginCallModel(CreateCustomMarginCallModel(code, portfolio)));
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}
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private PyObject CreateCustomMarginCallModel(string code, SecurityPortfolioManager portfolio)
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{
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using (Py.GIL())
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{
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var module = PyModule.FromString("CustomMarginCallModel", code);
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dynamic CustomMarginCallModel = module.GetAttr("CustomMarginCallModel");
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return CustomMarginCallModel(portfolio, null);
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}
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}
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private string CreateCustomMarginCallModelCode() => @"
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import os, sys
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sys.path.append(os.getcwd())
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from AlgorithmImports import *
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class CustomMarginCallModel:
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def __init__(self, portfolio, defaultOrderProperties):
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self.portfolio = portfolio
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self.defaultOrderProperties = defaultOrderProperties
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def ExecuteMarginCall(self, generatedMarginCallOrders):
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return []
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def GenerateMarginCallOrder(self, security, netLiquidationValue, totalMargin, maintenanceMarginRequirement):
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time = Extensions.ConvertToUtc(security.LocalTime, security.Exchange.TimeZone)
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quantity = netLiquidationValue / security.Price
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return SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, quantity, 0, 0, time, 'Margin Call', None)
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def GetMarginCallOrders(self, issueMarginCallWarning):
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issueMarginCallWarning = True
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spy = self.portfolio.Securities['SPY']
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totalPortfolioValue = self.portfolio.TotalPortfolioValue
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totalMarginUsed = self.portfolio.TotalMarginUsed
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order = self.GenerateMarginCallOrder(spy, totalPortfolioValue, totalMarginUsed, 0)
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return [order, order, order], issueMarginCallWarning";
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private string CreateCustomMarginCallModelFromSecurityMarginModelCode() => @"
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import os, sys
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sys.path.append(os.getcwd())
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from AlgorithmImports import *
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class CustomMarginCallModel(DefaultMarginCallModel):
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def __init__(self, portfolio, defaultOrderProperties):
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super().__init__(portfolio, defaultOrderProperties)
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self.porfolio = portfolio
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self.defaultOrderProperties = defaultOrderProperties
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def GenerateMarginCallOrder(self, security, netLiquidationValue, totalMargin, maintenanceMarginRequirement):
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time = Extensions.ConvertToUtc(security.LocalTime, security.Exchange.TimeZone)
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quantity = netLiquidationValue / security.Price
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return SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, quantity, 0, 0, time, 'Margin Call', None)";
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}
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}
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