public void ProcessSynchronousEventsShouldPerformCashSyncOnce()
{
// Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
var broker = new Mock <IBrokerage>();
broker.Setup(m => m.GetCashBalance()).Returns(new List <Cash> {
new Cash("USD", 10, 10)
});
transactionHandler.Initialize(_algorithm, broker.Object, new BacktestingResultHandler());
_algorithm.SetLiveMode(true);
var lastSyncDateBefore = transactionHandler.GetLastSyncDate();
// Advance current time UTC so cash sync is performed
transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2);
transactionHandler.ProcessSynchronousEvents();
var lastSyncDateAfter = transactionHandler.GetLastSyncDate();
Assert.AreNotEqual(lastSyncDateAfter, lastSyncDateBefore);
transactionHandler.ProcessSynchronousEvents();
var lastSyncDateAfterAgain = transactionHandler.GetLastSyncDate();
Assert.AreEqual(lastSyncDateAfter, lastSyncDateAfterAgain);
broker.Verify(m => m.GetCashBalance(), Times.Once);
}
public void OrderFillShouldTriggerRePerformingCashSync()
{
// Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
var broker = new Mock <IBrokerage>();
broker.Setup(m => m.GetCashBalance()).Returns(new List <Cash> {
new Cash("USD", 10, 10)
});
transactionHandler.Initialize(_algorithm, broker.Object, new BacktestingResultHandler());
_algorithm.SetLiveMode(true);
var lastSyncDateBefore = transactionHandler.GetLastSyncDate();
// Advance current time UTC so cash sync is performed
transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2);
transactionHandler.ProcessSynchronousEvents();
var lastSyncDateAfter = transactionHandler.GetLastSyncDate();
// cash sync happened
Assert.AreNotEqual(lastSyncDateAfter, lastSyncDateBefore);
// update last fill time
transactionHandler.TestTimeSinceLastFill = TimeSpan.FromSeconds(15);
// delayed task should take ~10 seconds to set the perform cash sync flag up, due to TimeSinceLastFill
Thread.Sleep(15000);
transactionHandler.ProcessSynchronousEvents();
broker.Verify(m => m.GetCashBalance(), Times.Exactly(2));
}
public void ProcessSynchronousEventsShouldPerformCashSyncOnlyAtExpectedTime()
{
// Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
var broker = new Mock <IBrokerage>();
broker.Setup(m => m.GetCashBalance()).Returns(new List <Cash> {
new Cash("USD", 10, 10)
});
// This is 2 am New York
transactionHandler.TestCurrentTimeUtc = new DateTime(1, 1, 1, 7, 0, 0);
transactionHandler.Initialize(_algorithm, broker.Object, new BacktestingResultHandler());
_algorithm.SetLiveMode(true);
var lastSyncDateBefore = transactionHandler.GetLastSyncDate();
// Advance current time UTC
transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2);
transactionHandler.ProcessSynchronousEvents();
var lastSyncDateAfter = transactionHandler.GetLastSyncDate();
Assert.AreEqual(lastSyncDateAfter, lastSyncDateBefore);
broker.Verify(m => m.GetCashBalance(), Times.Exactly(0));
}
public void DoesNotLoopEndlesslyIfGetCashBalanceAlwaysThrows()
{
// simulate connect failure
var ib = new Mock <IBrokerage>();
ib.Setup(m => m.GetCashBalance()).Callback(() => { throw new Exception("Connection error in CashBalance"); });
ib.Setup(m => m.IsConnected).Returns(false);
var brokerage = ib.Object;
Assert.IsFalse(brokerage.IsConnected);
var algorithm = new QCAlgorithm();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var securityService = new SecurityService(algorithm.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algorithm);
algorithm.Securities.SetSecurityService(securityService);
algorithm.SetLiveMode(true);
var transactionHandler = new TestBrokerageTransactionHandler();
transactionHandler.Initialize(algorithm, brokerage, new TestResultHandler());
// Advance current time UTC so cash sync is performed
transactionHandler.TestCurrentTimeUtc = transactionHandler.TestCurrentTimeUtc.AddDays(2);
try
{
while (true)
{
transactionHandler.ProcessSynchronousEvents();
Assert.IsFalse(brokerage.IsConnected);
Thread.Sleep(1000);
}
}
catch (Exception exception)
{
// expect exception from ProcessSynchronousEvents when max attempts reached
Assert.That(exception.Message.Contains("maximum number of attempts"));
}
}