public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(null,
new DefaultDataProvider(),
new SingleEntryDataCacheProvider(new DefaultDataProvider()),
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null);
_algo.HistoryProvider = historyProvider;
_tradeBarSecurity = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_tradeBarConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_quoteBarSecurity = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_quoteBarConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
public void OptionsAreMappedCorrectly()
{
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var zipCache = new ZipDataCacheProvider(new DefaultDataProvider());
historyProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
zipCache,
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
false,
new DataPermissionManager()));
var symbol = Symbol.CreateOption(
"FOXA",
Market.USA,
OptionStyle.American,
OptionRight.Call,
32,
new DateTime(2013, 07, 20));
var result = historyProvider.GetHistory(
new[]
{
new HistoryRequest(new DateTime(2013, 06, 28),
new DateTime(2013, 07, 03),
typeof(QuoteBar),
symbol,
Resolution.Minute,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
false,
false,
DataNormalizationMode.Raw,
TickType.Quote)
},
TimeZones.NewYork).ToList();
Assert.IsNotEmpty(result);
// assert we fetch the data for the previous and new symbol
var firstBar = result.First().Values.Single();
var lastBar = result.Last().Values.Single();
Assert.IsTrue(firstBar.Symbol.Value.Contains("NWSA"));
Assert.AreEqual(28, firstBar.Time.Date.Day);
Assert.IsTrue(lastBar.Symbol.Value.Contains("FOXA"));
Assert.AreEqual(2, lastBar.Time.Date.Day);
zipCache.DisposeSafely();
}
public virtual void SetUp()
{
_algorithm = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
_cacheProvider = new ZipDataCacheProvider(TestGlobals.DataProvider);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null,
TestGlobals.DataProvider, _cacheProvider, TestGlobals.MapFileProvider, TestGlobals.FactorFileProvider,
null, true, new DataPermissionManager()));
_algorithm.SetHistoryProvider(historyProvider);
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.Settings.FreePortfolioValue = 0;
_algorithm.SetFinishedWarmingUp();
}
public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(
new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
new SingleEntryDataCacheProvider(new DefaultDataProvider()),
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
true,
new DataPermissionManager()
)
);
_algo.HistoryProvider = historyProvider;
_algo.SubscriptionManager.SetDataManager(new DataManagerStub(_algo));
_tradeBarSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
_tradeBarConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
_quoteBarSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(DateTimeZone.ForOffset(Offset.FromHours(-5))),
_quoteBarConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
public virtual void SetUp()
{
_algorithm = new QCAlgorithm();
_dataProvider = new DefaultDataProvider();
var mapFileProvider = new LocalDiskMapFileProvider();
mapFileProvider.Initialize(_dataProvider);
var factorFileProvider = new LocalZipFactorFileProvider();
factorFileProvider.Initialize(mapFileProvider, _dataProvider);
var historyProvider = new SubscriptionDataReaderHistoryProvider();
_cacheProvider = new ZipDataCacheProvider(_dataProvider);
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null,
_dataProvider, _cacheProvider, mapFileProvider, factorFileProvider,
null, true, new DataPermissionManager()));
_algorithm.SetHistoryProvider(historyProvider);
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.Settings.FreePortfolioValue = 0;
}
public void Setup()
{
_algo = new QCAlgorithm();
var historyProvider = new SubscriptionDataReaderHistoryProvider();
historyProvider.Initialize(null,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
new DefaultDataFileProvider(),
null);
_algo.HistoryProvider = historyProvider;
_security = new Security(SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
_config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_brokerageInitializer = new BrokerageModelSecurityInitializer(new DefaultBrokerageModel(),
new FuncSecuritySeeder(_algo.GetLastKnownPrice));
}
public void EquitiesAreMappedCorrectly()
{
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var zipCache = new ZipDataCacheProvider(new DefaultDataProvider());
historyProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
new DefaultDataProvider(),
zipCache,
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(),
null,
false,
new DataPermissionManager()));
var symbol = Symbol.Create("WM", SecurityType.Equity, Market.USA);
var result = historyProvider.GetHistory(
new[]
{
new HistoryRequest(new DateTime(2008, 01, 01),
new DateTime(2008, 01, 05),
typeof(TradeBar),
symbol,
Resolution.Daily,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
TimeZones.NewYork,
null,
false,
false,
DataNormalizationMode.Raw,
TickType.Trade)
},
TimeZones.NewYork).ToList();
var firstBar = result.First().Values.Single();
Assert.AreEqual("WMI", firstBar.Symbol.Value);
Assert.IsNotEmpty(result);
zipCache.DisposeSafely();
}
public void CurrencyConversionRateResolved()
{
// Unit test to prove that in the event that default resolution (minute) history request returns
// no data for our currency conversion that BaseSetupHandler will use a daily history request
// to determine the the conversion rate if possible.
// Setup history provider and algorithm
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var zipCache = new ZipDataCacheProvider(new DefaultDataProvider());
historyProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
zipCache,
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
false,
new DataPermissionManager()));
var algorithm = new BrokerageSetupHandlerTests.TestAlgorithm {
UniverseSettings = { Resolution = Resolution.Minute }
};
algorithm.SetHistoryProvider(historyProvider);
// Pick a date range where we do NOT have BTCUSD minute data
algorithm.SetStartDate(2015, 1, 24);
algorithm.SetCash("USD", 0);
algorithm.SetCash("BTC", 10);
// Have BaseSetupHandler resolve the currency conversion
BaseSetupHandler.SetupCurrencyConversions(algorithm, algorithm.DataManager.UniverseSelection);
// Assert that our portfolio has some value and that value is bitcoin
Assert.IsTrue(algorithm.Portfolio.Cash > 0);
Assert.IsTrue(algorithm.Portfolio.CashBook["BTC"].ValueInAccountCurrency > 0);
zipCache.DisposeSafely();
}
public virtual void SetUp()
{
_nowUtc = new DateTime(2013, 10, 8);
_algorithm = new QCAlgorithm();
_algorithm.SetPandasConverter();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_algorithm.SetDateTime(_nowUtc.ConvertToUtc(_algorithm.TimeZone));
var historyProvider = new SubscriptionDataReaderHistoryProvider();
_algorithm.SetHistoryProvider(historyProvider);
historyProvider.Initialize(new HistoryProviderInitializeParameters(
new BacktestNodePacket(),
new Api.Api(),
new DefaultDataProvider(),
new SingleEntryDataCacheProvider(new DefaultDataProvider()),
new LocalDiskMapFileProvider(),
new LocalDiskFactorFileProvider(new LocalDiskMapFileProvider()),
i => { },
true));
}
/// <summary>
/// Creates an instance of the PortfolioLooper class
/// </summary>
/// <param name="startingCash">Equity curve</param>
/// <param name="orders">Order events</param>
/// <param name="resolution">Optional parameter to override default resolution (Hourly)</param>
private PortfolioLooper(double startingCash, List <Order> orders, Resolution resolution = _resolution)
{
// Initialize the providers that the HistoryProvider requires
var factorFileProvider = Composer.Instance.GetExportedValueByTypeName <IFactorFileProvider>("LocalDiskFactorFileProvider");
var mapFileProvider = Composer.Instance.GetExportedValueByTypeName <IMapFileProvider>("LocalDiskMapFileProvider");
_cacheProvider = new ZipDataCacheProvider(new DefaultDataProvider(), false);
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var dataPermissionManager = new DataPermissionManager();
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, _cacheProvider, mapFileProvider, factorFileProvider, (_) => { }, false, dataPermissionManager));
Algorithm = new PortfolioLooperAlgorithm((decimal)startingCash, orders);
Algorithm.SetHistoryProvider(historyProvider);
// Dummy LEAN datafeed classes and initializations that essentially do nothing
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"");
var feed = new MockDataFeed();
// Create MHDB and Symbol properties DB instances for the DataManager
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
_dataManager = new DataManager(feed,
new UniverseSelection(
Algorithm,
new SecurityService(Algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
Algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(Algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
Algorithm,
Algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
_securityService = new SecurityService(Algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
Algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(Algorithm.Portfolio));
var transactions = new BacktestingTransactionHandler();
_resultHandler = new BacktestingResultHandler();
// Initialize security services and other properties so that we
// don't get null reference exceptions during our re-calculation
Algorithm.Securities.SetSecurityService(_securityService);
Algorithm.SubscriptionManager.SetDataManager(_dataManager);
// Initializes all the proper Securities from the orders provided by the user
Algorithm.FromOrders(orders);
// Initialize the algorithm
Algorithm.Initialize();
Algorithm.PostInitialize();
// More initialization, this time with Algorithm and other misc. classes
_resultHandler.Initialize(job, new Messaging.Messaging(), new Api.Api(), transactions);
_resultHandler.SetAlgorithm(Algorithm, Algorithm.Portfolio.TotalPortfolioValue);
Algorithm.Transactions.SetOrderProcessor(transactions);
transactions.Initialize(Algorithm, new BacktestingBrokerage(Algorithm), _resultHandler);
feed.Initialize(Algorithm, job, _resultHandler, null, null, null, _dataManager, null, null);
// Begin setting up the currency conversion feed if needed
var coreSecurities = Algorithm.Securities.Values.ToList();
if (coreSecurities.Any(x => x.Symbol.SecurityType == SecurityType.Forex || x.Symbol.SecurityType == SecurityType.Crypto))
{
BaseSetupHandler.SetupCurrencyConversions(Algorithm, _dataManager.UniverseSelection);
var conversionSecurities = Algorithm.Securities.Values.Where(s => !coreSecurities.Contains(s)).ToList();
// Skip the history request if we don't need to convert anything
if (conversionSecurities.Any())
{
// Point-in-time Slices to convert FX and Crypto currencies to the portfolio currency
_conversionSlices = GetHistory(Algorithm, conversionSecurities, resolution);
}
}
}
