public void FlatUndoesAccumulation(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language, _algorithm);
// First emit long term insight
var insights = new[] { GetInsight(Symbols.SPY, direction, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
var expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, (int)direction * 1m * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
// One minute later, emits insight to add to portfolio
SetUtcTime(_algorithm.UtcTime.AddMinutes(1));
insights = new[] { GetInsight(Symbols.SPY, direction, _algorithm.UtcTime) };
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, (int)direction * 1m * 2 * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
// One minute later, emits flat insight
SetUtcTime(_algorithm.UtcTime.AddMinutes(1));
insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Flat, _algorithm.UtcTime) };
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, (int)direction * 1m * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
}
public void PercentReturnsNullIfBuyingPowerModelError()
{
const decimal holdings = 50;
const decimal targetPercent = 1m;
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var security = algorithm.Securities.Single().Value;
security.SetMarketPrice(new Tick {
Value = 1m
});
security.Holdings.SetHoldings(1m, holdings);
var buyingPowerMock = new Mock <IBuyingPowerModel>();
buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetValue(It.IsAny <GetMaximumOrderQuantityForTargetValueParameters>()))
.Returns(new GetMaximumOrderQuantityForTargetValueResult(0, "The portfolio does not have enough margin available."));
security.BuyingPowerModel = buyingPowerMock.Object;
var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
Assert.IsNull(target);
}
public void LongTermInsightPreservesPosition(Language language)
{
SetPortfolioConstruction(language, _algorithm);
// First emit long term insight
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// One minute later, emits short term insight
SetUtcTime(_algorithm.UtcTime.AddMinutes(1));
insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, _algorithm.UtcTime, Time.OneMinute) };
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// One minute later, emit empty insights array
SetUtcTime(_algorithm.UtcTime.AddMinutes(1.1));
var expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, -1m * (decimal)Weight)
};
// Create target from an empty insights array
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]);
AssertTargets(expectedTargets, actualTargets);
}
public void TwoViewsTest(Language language)
{
SetPortfolioConstruction(language);
// Results from http://www.blacklitterman.org/code/hl_py.html (View 1+2)
var expectedTargets = new[]
{
PortfolioTarget.Percent(_algorithm, GetSymbol("AUS"), 0.0152381),
PortfolioTarget.Percent(_algorithm, GetSymbol("CAN"), 0.41863571),
PortfolioTarget.Percent(_algorithm, GetSymbol("FRA"), -0.03409321),
PortfolioTarget.Percent(_algorithm, GetSymbol("GER"), 0.33582847),
PortfolioTarget.Percent(_algorithm, GetSymbol("JAP"), 0.11047619),
PortfolioTarget.Percent(_algorithm, GetSymbol("UK"), -0.08173526),
PortfolioTarget.Percent(_algorithm, GetSymbol("USA"), 0.18803095)
};
var insights = _view1Insights.Concat(_view2Insights);
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights.ToArray());
Assert.AreEqual(expectedTargets.Count(), actualTargets.Count());
foreach (var expected in expectedTargets)
{
var actual = actualTargets.FirstOrDefault(x => x.Symbol == expected.Symbol);
Assert.IsNotNull(actual);
Assert.AreEqual(expected.Quantity, actual.Quantity);
}
}
public void InsightExpirationUndoesAccumulation(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language, _algorithm);
// First emit long term insight
SetUtcTime(_algorithm.Time);
var insights = new[]
{
GetInsight(Symbols.SPY, direction, _algorithm.UtcTime, TimeSpan.FromMinutes(10)),
GetInsight(Symbols.SPY, direction, _algorithm.UtcTime, TimeSpan.FromMinutes(10))
};
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
var expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, (int)direction * 1m * 2 * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
// both insights should expire
SetUtcTime(_algorithm.Time.AddMinutes(11));
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]).ToList();
expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, 0)
};
AssertTargets(expectedTargets, targets);
// we expect no target
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]).ToList();
AssertTargets(new List <IPortfolioTarget>(), targets);
}
public void PercentInvokesBuyingPowerModelAndAddsInExistingHoldings()
{
const decimal bpmQuantity = 100;
const decimal holdings = 50;
const decimal targetPercent = 0.5m;
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var security = algorithm.Securities.Single().Value;
security.SetMarketPrice(new Tick {
Value = 1m
});
security.Holdings.SetHoldings(1m, holdings);
var buyingPowerMock = new Mock <IBuyingPowerModel>();
buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetValue(algorithm.Portfolio, security, targetPercent))
.Returns(new GetMaximumOrderQuantityForTargetValueResult(bpmQuantity, null, false));
security.BuyingPowerModel = buyingPowerMock.Object;
var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
Assert.AreEqual(security.Symbol, target.Symbol);
Assert.AreEqual(bpmQuantity + holdings, target.Quantity);
}
public void OneViewTest(Language language)
{
SetPortfolioConstruction(language);
// Results from http://www.blacklitterman.org/code/hl_py.html (View 1)
var expectedTargets = new[]
{
PortfolioTarget.Percent(_algorithm, GetSymbol("AUS"), 0.0152381),
PortfolioTarget.Percent(_algorithm, GetSymbol("CAN"), 0.02095238),
PortfolioTarget.Percent(_algorithm, GetSymbol("FRA"), -0.03948465),
PortfolioTarget.Percent(_algorithm, GetSymbol("GER"), 0.35410454),
PortfolioTarget.Percent(_algorithm, GetSymbol("JAP"), 0.11047619),
PortfolioTarget.Percent(_algorithm, GetSymbol("UK"), -0.09461989),
PortfolioTarget.Percent(_algorithm, GetSymbol("USA"), 0.58571429)
};
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, _view1Insights);
Assert.AreEqual(expectedTargets.Count(), actualTargets.Count());
foreach (var expected in expectedTargets)
{
var actual = actualTargets.FirstOrDefault(x => x.Symbol == expected.Symbol);
Assert.IsNotNull(actual);
Assert.AreEqual(expected.Quantity, actual.Quantity);
}
}
public void PercentIgnoresExtremeValuesBasedOnSettings(double value, bool shouldBeNull)
{
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Settings.MaxAbsolutePortfolioTargetPercentage = 2;
algorithm.Settings.MinAbsolutePortfolioTargetPercentage = 0.1m;
algorithm.Initialize();
algorithm.PostInitialize();
var security = algorithm.Securities.Single().Value;
security.SetMarketPrice(new Tick {
Value = 1m
});
var buyingPowerMock = new Mock <IBuyingPowerModel>();
buyingPowerMock.Setup(bpm => bpm.GetMaximumOrderQuantityForTargetValue(It.IsAny <GetMaximumOrderQuantityForTargetValueParameters>()))
.Returns(new GetMaximumOrderQuantityForTargetValueResult(1, null, false));
security.BuyingPowerModel = buyingPowerMock.Object;
var target = PortfolioTarget.Percent(algorithm, security.Symbol, value);
if (shouldBeNull)
{
Assert.IsNull(target);
}
else
{
Assert.IsNotNull(target);
}
}
public void LongTermInsightCanceledByNew(Language language)
{
SetPortfolioConstruction(language, _algorithm);
// First emit long term insight
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
var expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, -1m * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
// One minute later, emits short term insight to cancel long
SetUtcTime(_algorithm.UtcTime.AddMinutes(1));
insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Up, _algorithm.UtcTime, Time.OneMinute) };
targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, 0)
};
AssertTargets(expectedTargets, targets);
// One minute later, emit empty insights array, should stay 0 after the long expires
SetUtcTime(_algorithm.UtcTime.AddMinutes(1.1));
expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, 0)
};
// Create target from an empty insights array
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]);
AssertTargets(expectedTargets, actualTargets);
}
public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseOpenOrder()
{
var algorithm = new FakeAlgorithm();
var orderProcessor = new FakeOrderProcessor();
algorithm.Transactions.SetOrderProcessor(orderProcessor);
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 1);
collection.Add(target);
var openOrderRequest = new SubmitOrderRequest(OrderType.Market, symbol.SecurityType, symbol, 1, 0, 0, DateTime.UtcNow, "");
openOrderRequest.SetOrderId(1);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
orderProcessor.AddOrder(new MarketOrder(symbol, 1, DateTime.UtcNow));
orderProcessor.AddTicket(openOrderTicket);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
/// <summary>
/// Calculate the order quantity to achieve target-percent holdings.
/// </summary>
/// <param name="symbol">Security object we're asking for</param>
/// <param name="target">Target percentage holdings, this is an unlevered value, so
/// if you have 2x leverage and request 100% holdings, it will utilize half of the
/// available margin</param>
/// <returns>Order quantity to achieve this percentage</returns>
public decimal CalculateOrderQuantity(Symbol symbol, decimal target)
{
var percent = PortfolioTarget.Percent(this, symbol, target, true);
if (percent == null)
{
return 0;
}
return percent.Quantity;
}
public void AddContainsAndRemoveWork()
{
var symbol = new Symbol(SecurityIdentifier.GenerateBase(_symbol, Market.USA), _symbol);
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 1);
collection.Add(target);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(collection.Contains(target));
Assert.IsTrue(collection.Remove(target));
Assert.AreEqual(collection.Count, 0);
}
public void RespectsRebalancingPeriod(Language language, InsightDirection direction)
{
PortfolioConstructionModel model = new AccumulativeInsightPortfolioConstructionModel(Resolution.Daily);
if (language == Language.Python)
{
using (Py.GIL())
{
var name = nameof(AccumulativeInsightPortfolioConstructionModel);
dynamic instance = Py.Import(name).GetAttr(name);
model = new PortfolioConstructionModelPythonWrapper(instance(Resolution.Daily));
}
}
model.RebalanceOnSecurityChanges = false;
model.RebalanceOnInsightChanges = false;
SetUtcTime(new DateTime(2018, 7, 31));
// First emit long term insight
var insights = new[] { GetInsight(Symbols.SPY, direction, _algorithm.UtcTime, TimeSpan.FromDays(10)) };
AssertTargets(new List <IPortfolioTarget>(), model.CreateTargets(_algorithm, insights).ToList());
// One minute later, emits insight to add to portfolio
SetUtcTime(_algorithm.Time.AddMinutes(1));
insights = new[] { GetInsight(Symbols.SPY, direction, _algorithm.UtcTime, TimeSpan.FromMinutes(10)) };
AssertTargets(new List <IPortfolioTarget>(), model.CreateTargets(_algorithm, insights));
// the second insight should expire
SetUtcTime(_algorithm.Time.AddMinutes(1));
AssertTargets(new List <IPortfolioTarget>(), model.CreateTargets(_algorithm, insights));
// the rebalancing period is due and the first insight is still valid
SetUtcTime(_algorithm.Time.AddDays(1));
var targets = model.CreateTargets(_algorithm, new Insight[0]);
var expectedTargets = new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, (int)direction * 1m * (decimal)DefaultPercent)
};
AssertTargets(expectedTargets, targets);
// the rebalancing period is due and no insight is valid
SetUtcTime(_algorithm.Time.AddDays(10));
AssertTargets(
new List <IPortfolioTarget> {
PortfolioTarget.Percent(_algorithm, Symbols.SPY, 0)
},
model.CreateTargets(_algorithm, new Insight[0]));
AssertTargets(new List <IPortfolioTarget>(), model.CreateTargets(_algorithm, new Insight[0]));
}
public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
{
var adjustedTargets = targets.ToList();
adjustedTargets.RemoveAll(x =>
algorithm.Portfolio.ContainsKey(x.Symbol) &&
algorithm.Portfolio[x.Symbol].Invested);
adjustedTargets.AddRange(algorithm.ActiveSecurities
.Where(x =>
algorithm.Portfolio.ContainsKey(x.Key) &&
algorithm.Portfolio[x.Key].Invested &&
!targets.Any(y => y.Symbol.Equals(x.Key)))
.Select(x => PortfolioTarget.Percent(algorithm, x.Key, 0)));
base.Execute(algorithm, adjustedTargets.ToArray());
}
public void ClearRemovesUnreachedTarget()
{
var algorithm = new FakeAlgorithm();
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
var dummySecurityHolding = new FakeSecurityHolding(equity);
equity.Holdings = dummySecurityHolding;
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
collection.Clear();
Assert.AreEqual(collection.Count, 0);
}
public void OrderByMarginImpactDoesNotReturnTargetsWithNoData()
{
var algorithm = new FakeAlgorithm();
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
algorithm.AddEquity(symbol);
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
public void ClearFulfilledRemovesPositiveTarget()
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
var dummySecurityHolding = new FakeSecurityHolding(equity);
equity.Holdings = dummySecurityHolding;
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 1);
collection.Add(target);
dummySecurityHolding.SetQuantity(1);
collection.ClearFulfilled(algorithm);
Assert.AreEqual(collection.Count, 0);
}
public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderdQuantityIsZeroBecauseTargetIsZero()
{
var algorithm = new FakeAlgorithm();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 0);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
public void OrderByMarginImpactReturnsExpectedTargets()
{
var algorithm = new FakeAlgorithm();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.AreEqual(targets.Count(), 1);
Assert.AreEqual(targets.First(), target);
}
public void PercentReturnsNullIfPriceIsZero()
{
const decimal holdings = 50;
const decimal targetPercent = 1m;
var algorithm = PerformanceBenchmarkAlgorithms.SingleSecurity_Second;
algorithm.Initialize();
algorithm.PostInitialize();
var security = algorithm.Securities.Single().Value;
security.SetMarketPrice(new Tick {
Value = 0m
});
security.Holdings.SetHoldings(1m, holdings);
var target = PortfolioTarget.Percent(algorithm, security.Symbol, targetPercent);
Assert.IsNull(target);
}
private void Rebalance(Insight[] insights)
{
var shortCount = insights.Count(x => x.Direction == InsightDirection.Down);
var longTargets = insights
.Where(x => x.Direction == InsightDirection.Up)
.Select(x => PortfolioTarget.Percent(this, x.Symbol, 1.0m / (_targetLongCount + shortCount)));
var shortTargets = insights
.Where(x => x.Direction == InsightDirection.Down)
.Select(x => PortfolioTarget.Percent(this, x.Symbol, -1.0m / (NumLong + NumShort)));
var targets = longTargets.Union(shortTargets);
Plot("targetCounts", "longs", longTargets.Count());
Plot("targetCounts", "shorts", shortTargets.Count());
Plot("targetCounts", "active", ActiveSecurities.Count());
new SmartImmediateExecutionModel().Execute(this, targets.ToArray());
var targetsStr = targets.Any() ? string.Join(",", targets.Select(x => x.Symbol.Value).OrderBy(x => x)) : "nothing";
Log(targetsStr);
SendEmailNotification($"We have positions in: {targetsStr}");
}
public override List <IPortfolioTarget> GetTargetsForSPY()
{
return(new List <IPortfolioTarget> {
PortfolioTarget.Percent(Algorithm, Symbols.SPY, -_weight)
});
}
public virtual List <IPortfolioTarget> GetTargetsForSPY()
{
return(new List <IPortfolioTarget> {
PortfolioTarget.Percent(Algorithm, Symbols.SPY, -1m)
});
}
public override IEnumerable <IPortfolioTarget> CreateTargets(QCAlgorithmFramework algorithm, Insight[] insights)
{
Insights = insights;
return(insights.Select(insight => PortfolioTarget.Percent(algorithm, insight.Symbol, 0.01m)));
}
