public void LinearSearchFindsTwoLegConversions()
{
var existingSecurities = new List <Security>(0);
var potentialSymbols = new List <Symbol> {
Symbols.BTCUSD, Symbols.EURUSD
};
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub();
subscriptions.SetDataManager(dataManager);
var createdSecurities = new List <Security>();
var makeNewSecurity = new Func <Symbol, Security>(symbol =>
{
var security = CreateSecurity(symbol);
createdSecurities.Add(security);
return(security);
});
var currencyConversion = SecurityCurrencyConversion.LinearSearch(
"BTC",
"EUR",
existingSecurities,
potentialSymbols,
makeNewSecurity);
var securities = currencyConversion.ConversionRateSecurities.ToList();
Assert.AreEqual(2, securities.Count);
Assert.AreEqual(createdSecurities, securities);
Assert.AreEqual(Symbols.BTCUSD, securities[0].Symbol);
Assert.AreEqual(Symbols.EURUSD, securities[1].Symbol);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.EURUSD,
new Security(
SecurityExchangeHours,
subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
var config = subscriptions.SubscriptionDataConfigService.GetSubscriptionDataConfigs(Symbols.USDJPY, includeInternalConfigs: true).Single();
Assert.IsTrue(config.IsInternalFeed);
}
public void LinearSearchPrefersExistingSecuritiesOverNewOnesOneLeg()
{
var existingSecurities = new List <Security> {
CreateSecurity(Symbols.EURUSD)
};
var potentialSymbols = new List <Symbol> {
Symbols.EURUSD
};
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub();
subscriptions.SetDataManager(dataManager);
var createdSecurities = new List <Security>();
var makeNewSecurity = new Func <Symbol, Security>(symbol =>
{
var security = CreateSecurity(symbol);
createdSecurities.Add(security);
return(security);
});
var currencyConversion = SecurityCurrencyConversion.LinearSearch(
"EUR",
"USD",
existingSecurities,
potentialSymbols,
makeNewSecurity);
var securities = currencyConversion.ConversionRateSecurities.ToList();
Assert.AreEqual(1, securities.Count);
Assert.AreEqual(0, createdSecurities.Count);
Assert.AreEqual(existingSecurities, securities);
}
public void NonUsdAccountCurrencyCurrencyDataFeedsGetAdded(string accountCurrency,
string quoteCurrency,
string baseCurrency,
string quoteCurrencySymbol,
string baseCurrencySymbol,
SecurityType securityType,
string market)
{
var quoteCash = new Cash(quoteCurrency, 100, 1);
var baseCash = new Cash(baseCurrency, 100, 1);
var cashBook = new CashBook {
{ quoteCurrency, quoteCash },
{ baseCurrency, baseCash }
};
var symbol = Symbol.Create(baseCurrency + quoteCurrency,
securityType,
market);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper)
{
{
symbol, new Security(
SecurityExchangeHours,
subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
}
};
var symbol1 = quoteCash.EnsureCurrencyDataFeed(securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
accountCurrency);
Assert.IsNotNull(symbol1);
Assert.AreEqual(quoteCurrencySymbol, symbol1.Symbol.Value);
var symbol2 = baseCash.EnsureCurrencyDataFeed(securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
accountCurrency);
Assert.IsNotNull(symbol2);
Assert.AreEqual(baseCurrencySymbol, symbol2.Symbol.Value);
}
public void HasErrorWithZeroTotalPortfolioValue(bool hasCashBalance, bool hasHoldings)
{
var algorithm = new TestAlgorithm();
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = GetJob();
job.Brokerage = "TestBrokerage";
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(
hasCashBalance
? new List <CashAmount>
{
new CashAmount(1000, "USD")
}
: new List <CashAmount>()
);
brokerage.Setup(x => x.GetAccountHoldings()).Returns(
hasHoldings
? new List <Holding>
{
new Holding {
Symbol = Symbols.SPY, Quantity = 1, AveragePrice = 100, MarketPrice = 100
}
}
: new List <Holding>());
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
var dataManager = new DataManagerStub(algorithm, new MockDataFeed(), true);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object, TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider)));
if (!hasCashBalance && !hasHoldings)
{
Assert.That(algorithm.DebugMessages.Count > 0);
Assert.That(algorithm.DebugMessages.Any(x => x.Contains("No cash balances or holdings were found in the brokerage account.")));
}
}
public void MisalignedBenchmarkAndAlgorithmTimeZones(Resolution resolution, bool useUniverseSubscription = false)
{
// Verify that if we have algorithm:
// - subscribed to a daily resolution via universe or directly
// - a benchmark with timezone that is not algorithm time zone
// that we post an warning via log that statistics will be affected
// Setup a empty algorithm for the test
var algorithm = new QCAlgorithm();
var dataManager = new DataManagerStub(algorithm, new MockDataFeed(), liveMode: true);
algorithm.SubscriptionManager.SetDataManager(dataManager);
if (useUniverseSubscription)
{
// Change our universe resolution
algorithm.UniverseSettings.Resolution = resolution;
}
else
{
// subscribe to an equity in our provided resolution
algorithm.AddEquity("AAPL", resolution);
}
// Default benchmark is SPY which is NY TimeZone,
// Set timezone to UTC.
algorithm.SetTimeZone(DateTimeZone.Utc);
algorithm.PostInitialize();
// Verify if our log is there (Should only be there in Daily case)
switch (resolution)
{
case Resolution.Daily:
if (algorithm.LogMessages.TryPeek(out string result))
{
Assert.IsTrue(result.Contains("Using a security benchmark of a different timezone", StringComparison.InvariantCulture));
}
else
{
Assert.Fail("Warning was not posted");
}
break;
default:
Assert.AreEqual(0, algorithm.LogMessages.Count);
break;
}
}
public void DailySampleValueBasedOnMarketHour(bool extendedMarketHoursEnabled)
{
var referenceDate = new DateTime(2020, 11, 25);
var resultHandler = new LiveTradingResultHandler();
resultHandler.Initialize(new LiveNodePacket(),
new QuantConnect.Messaging.Messaging(),
new Api.Api(),
new BacktestingTransactionHandler());
var algo = new AlgorithmStub(createDataManager: false);
algo.SetFinishedWarmingUp();
var dataManager = new DataManagerStub(new TestDataFeed(), algo);
algo.SubscriptionManager.SetDataManager(dataManager);
var aapl = algo.AddEquity("AAPL", extendedMarketHours: extendedMarketHoursEnabled);
algo.PostInitialize();
resultHandler.SetAlgorithm(algo, 100000);
resultHandler.OnSecuritiesChanged(SecurityChangesTests.AddedNonInternal(aapl));
// Add values during market hours, should always update
algo.Portfolio.CashBook["USD"].AddAmount(1000);
algo.Portfolio.InvalidateTotalPortfolioValue();
resultHandler.Sample(referenceDate.AddHours(15));
Assert.IsTrue(resultHandler.Charts.ContainsKey("Strategy Equity"));
Assert.AreEqual(1, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count);
var currentEquityValue = resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last().y;
Assert.AreEqual(101000, currentEquityValue);
// Add value to portfolio, see if portfolio updates with new sample
// will be changed to 'extendedMarketHoursEnabled' = true
algo.Portfolio.CashBook["USD"].AddAmount(10000);
algo.Portfolio.InvalidateTotalPortfolioValue();
resultHandler.Sample(referenceDate.AddHours(22));
Assert.AreEqual(2, resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Count);
currentEquityValue = resultHandler.Charts["Strategy Equity"].Series["Equity"].Values.Last().y;
Assert.AreEqual(extendedMarketHoursEnabled ? 111000 : 101000, currentEquityValue);
resultHandler.Exit();
}
public void EnsureCurrencyDataFeedThrowsWithUnsupportedCurrency()
{
Assert.Throws <ArgumentException>(() =>
{
var book = new CashBook
{
{ Currencies.USD, new Cash(Currencies.USD, 100, 1) },
{ "ILS", new Cash("ILS", 0, 0.3m) }
};
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
// System.ArgumentException: In order to maintain cash in ILS you are required to add a subscription for Forex pair ILSUSD or USDILS
book.EnsureCurrencyDataFeeds(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService);
});
}
public void EnsureCurrencyDataFeedForCryptoCurrency()
{
var book = new CashBook
{
{ "USD", new Cash("USD", 100, 1) },
{ "BTC", new Cash("BTC", 100, 6000) },
{ "LTC", new Cash("LTC", 100, 55) },
{ "ETH", new Cash("ETH", 100, 290) },
{ "EUR", new Cash("EUR", 100, 1.2m) },
{ "JPY", new Cash("JPY", 100, 0.0088m) },
{ "XAG", new Cash("XAG", 100, 1275) },
{ "XAU", new Cash("XAU", 100, 17) }
};
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
book.EnsureCurrencyDataFeeds(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService);
var symbols = subscriptions.Subscriptions.Select(sdc => sdc.Symbol).ToHashSet();
Assert.IsTrue(symbols.Contains(Symbols.BTCUSD));
Assert.IsTrue(symbols.Contains(Symbols.LTCUSD));
Assert.IsTrue(symbols.Contains(Symbols.ETHUSD));
Assert.IsTrue(symbols.Contains(Symbols.EURUSD));
Assert.IsTrue(symbols.Contains(Symbols.XAGUSD));
Assert.IsTrue(symbols.Contains(Symbols.XAUUSD));
foreach (var cash in book)
{
Assert.AreEqual("USD", cash.Value.AccountCurrency);
}
foreach (var subscription in subscriptions.Subscriptions)
{
Assert.AreEqual(
subscription.Symbol.SecurityType == SecurityType.Crypto ? TickType.Trade : TickType.Quote,
subscription.TickType);
}
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("GBP", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.GBPUSD,
new Security(
SecurityExchangeHours,
subscriptions.Add(Symbols.GBPUSD, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
var last = 1.5m;
cash.Update(new Tick(DateTime.Now, Symbols.GBPUSD, last, last * 1.009m, last * 0.009m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}
public void HasErrorWithZeroTotalPortfolioValue(bool hasCashBalance, bool hasHoldings)
{
var algorithm = new TestAlgorithm();
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 1,
DeployId = "1",
Brokerage = "TestBrokerage",
DataQueueHandler = "none",
Controls = new Controls {
RamAllocation = 4096
} // no real limit
};
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.GetCashBalance()).Returns(
hasCashBalance
? new List <CashAmount>
{
new CashAmount(1000, "USD")
}
: new List <CashAmount>()
);
brokerage.Setup(x => x.GetAccountHoldings()).Returns(
hasHoldings
? new List <Holding>
{
new Holding {
Type = SecurityType.Equity, Symbol = Symbols.SPY, Quantity = 1, AveragePrice = 100, MarketPrice = 100
}
}
: new List <Holding>());
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
var dataManager = new DataManagerStub(algorithm, new MockDataFeed(), true);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object)));
if (hasCashBalance || hasHoldings)
{
Assert.AreEqual(0, algorithm.DebugMessages.Count);
}
else
{
Assert.AreEqual(1, algorithm.DebugMessages.Count);
Assert.That(algorithm.DebugMessages.First().Contains("No cash balances or holdings were found in the brokerage account."));
}
}
