public void TestCashFills()
{
// this test asserts the portfolio behaves according to the Test_Cash algo, see TestData\CashTestingStrategy.csv
// also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"
const string fillsFile = "TestData\\test_cash_fills.xml";
const string equityFile = "TestData\\test_cash_equity.xml";
var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent(
x.Get<int>("OrderId"),
SymbolMap[x.Get<string>("Symbol")],
DateTime.MinValue,
x.Get<OrderStatus>("Status"),
x.Get<int>("FillQuantity") < 0 ? OrderDirection.Sell
: x.Get<int>("FillQuantity") > 0 ? OrderDirection.Buy
: OrderDirection.Hold,
x.Get<decimal>("FillPrice"),
x.Get<int>("FillQuantity"),
0m)
).ToList();
var equity = XDocument.Load(equityFile).Descendants("decimal")
.Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
.ToList();
Assert.AreEqual(fills.Count + 1, equity.Count);
// we're going to process fills and very our equity after each fill
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
var security = new Security(SecurityExchangeHours, subscriptions.Add(CASH, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.SetLeverage(10m);
securities.Add(CASH, security);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(equity[0]);
for (int i = 0; i < fills.Count; i++)
{
// before processing the fill we must deduct the cost
var fill = fills[i];
var time = DateTime.Today.AddDays(i);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
// the value of 'CASH' increments for each fill, the original test algo did this monthly
// the time doesn't really matter though
security.SetMarketPrice(new IndicatorDataPoint(CASH, time, i + 1));
portfolio.ProcessFill(fill);
Assert.AreEqual(equity[i + 1], portfolio.TotalPortfolioValue, "Failed on " + i);
}
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute);
var securities = new SecurityManager();
securities.Add("ABC", new Security(abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == Symbols.USDJPY));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
}
public void UpdateModifiesConversionRateAsInvertedValue()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var last = 120m;
cash.Update(new Tick(DateTime.Now, Symbols.USDJPY, last, 119.95m, 120.05m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(1 / last, cash.ConversionRate);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone), 1m));
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var securities = new SecurityManager(TimeKeeper);
var subscriptions = new SubscriptionManager(TimeKeeper);
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
}
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(TimeKeeper);
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)));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
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);
}
/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="exchangeHoursProvider">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, SecurityExchangeHoursProvider exchangeHoursProvider)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = string.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex))
{
if (config.Symbol == normal)
{
SecuritySymbol = config.Symbol;
return;
}
if (config.Symbol == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return;
}
}
// get the market from the first Forex subscription
string market = (from config in subscriptions.Subscriptions
where config.SecurityType == SecurityType.Forex
select config.Market).FirstOrDefault() ?? "fxcm";
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs;
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol == normal || symbol == invert)
{
_invertRealTimePrice = symbol == invert;
var exchangeHours = exchangeHoursProvider.GetExchangeHours(market, symbol, SecurityType.Forex);
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, market, exchangeHours.TimeZone, true, false, true);
var security = new Forex.Forex(this, config, 1m);
SecuritySymbol = config.Symbol;
securities.Add(symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol + " for cash " + Symbol + " currency feed");
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "fxcm", TimeZones.NewYork);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
/// <summary>
/// Ensures that we have a data feed to convert this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param>
/// <param name="symbolPropertiesDatabase">A symbol properties database instance</param>
/// <param name="marketMap">The market map that decides which market the new security should be in</param>
/// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param>
/// <returns>Returns the added currency security if needed, otherwise null</returns>
public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary<SecurityType, string> marketMap, CashBook cashBook)
{
if (Symbol == CashBook.AccountCurrency)
{
SecuritySymbol = QuantConnect.Symbol.Empty;
_isBaseCurrency = true;
ConversionRate = 1.0m;
return null;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd))
{
if (config.Symbol.Value == normal)
{
SecuritySymbol = config.Symbol;
return null;
}
if (config.Symbol.Value == invert)
{
SecuritySymbol = config.Symbol;
_invertRealTimePrice = true;
return null;
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Currencies.CurrencyPairs.Select(x =>
{
// allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs
var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex;
var market = marketMap[securityType];
return QuantConnect.Symbol.Create(x, securityType, market);
});
var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min();
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol.Value == normal || symbol.Value == invert)
{
_invertRealTimePrice = symbol.Value == invert;
var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType);
var exchangeHours = marketHoursDbEntry.ExchangeHours;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true);
SecuritySymbol = config.Symbol;
var securityType = symbol.ID.SecurityType;
Security security;
if (securityType == SecurityType.Cfd)
{
var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType);
Cash quoteCash;
if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash))
{
throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString());
}
security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties);
}
else
{
security = new Forex.Forex(exchangeHours, this, config);
}
securities.Add(config.Symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed");
return security;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Forex, "ABC", Resolution.Minute), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsTrue(config.IsInternalFeed);
}
/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="securities">The security manager</param>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions)
{
if (Symbol == CashBook.AccountCurrency)
{
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.AccountCurrency;
string invert = CashBook.AccountCurrency + Symbol;
for (int i = 0; i < subscriptions.Subscriptions.Count; i++)
{
var config = subscriptions.Subscriptions[i];
if (config.SecurityType != SecurityType.Forex)
{
continue;
}
if (config.Symbol == normal)
{
_config = config;
return;
}
if (config.Symbol == invert)
{
_config = config;
_invertRealTimePrice = true;
return;
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs;
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar);
var isTradeBar = objectType == typeof (TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol == normal || symbol == invert)
{
_invertRealTimePrice = symbol == invert;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
_config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, true, false, isTradeBar, isTradeBar, true);
var security = new Forex.Forex(this, _config, 1m, false);
securities.Add(symbol, security);
Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol + " for cash " + this.Symbol + " currency feed");
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.AccountCurrency));
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("GBPUSD", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "GBPUSD", Resolution.Minute, "fxcm", TimeZone), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var last = 1.5m;
cash.Update(new Tick(DateTime.Now, "GBPUSD", last, last * 1.009m, last * 0.009m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("USDJPY", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute, "fxcm", TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsFalse(config.IsInternalFeed);
}
public void ForexCashFills()
{
// this test asserts the portfolio behaves according to the Test_Cash algo, but for a Forex security,
// see TestData\CashTestingStrategy.csv; also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"
const string fillsFile = "TestData\\test_forex_fills.xml";
const string equityFile = "TestData\\test_forex_equity.xml";
const string mchQuantityFile = "TestData\\test_forex_fills_mch_quantity.xml";
const string jwbQuantityFile = "TestData\\test_forex_fills_jwb_quantity.xml";
var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent(
x.Get<int>("OrderId"),
SymbolMap[x.Get<string>("Symbol")],
DateTime.MinValue,
x.Get<OrderStatus>("Status"),
x.Get<int>("FillQuantity") < 0 ? OrderDirection.Sell
: x.Get<int>("FillQuantity") > 0 ? OrderDirection.Buy
: OrderDirection.Hold,
x.Get<decimal>("FillPrice"),
x.Get<int>("FillQuantity"),
0)
).ToList();
var equity = XDocument.Load(equityFile).Descendants("decimal")
.Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
.ToList();
var mchQuantity = XDocument.Load(mchQuantityFile).Descendants("decimal")
.Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
.ToList();
var jwbQuantity = XDocument.Load(jwbQuantityFile).Descendants("decimal")
.Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
.ToList();
Assert.AreEqual(fills.Count + 1, equity.Count);
// we're going to process fills and very our equity after each fill
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(equity[0]);
portfolio.CashBook.Add("MCH", mchQuantity[0], 0);
portfolio.CashBook.Add("JWB", jwbQuantity[0], 0);
var jwbCash = portfolio.CashBook["JWB"];
var mchCash = portfolio.CashBook["MCH"];
var usdCash = portfolio.CashBook["USD"];
var mchJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, jwbCash, subscriptions.Add(MCHJWB, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(jwbCash.Symbol));
mchJwbSecurity.SetLeverage(10m);
var mchUsdSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, subscriptions.Add(MCHUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(usdCash.Symbol));
mchUsdSecurity.SetLeverage(10m);
var usdJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, mchCash, subscriptions.Add(USDJWB, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(mchCash.Symbol));
usdJwbSecurity.SetLeverage(10m);
// no fee model
mchJwbSecurity.TransactionModel = new SecurityTransactionModel();
mchUsdSecurity.TransactionModel = new SecurityTransactionModel();
usdJwbSecurity.TransactionModel = new SecurityTransactionModel();
securities.Add(mchJwbSecurity);
securities.Add(usdJwbSecurity);
securities.Add(mchUsdSecurity);
portfolio.CashBook.EnsureCurrencyDataFeeds(securities, subscriptions, MarketHoursDatabase.FromDataFolder(), SymbolPropertiesDatabase.FromDataFolder(), DefaultBrokerageModel.DefaultMarketMap);
for (int i = 0; i < fills.Count; i++)
{
// before processing the fill we must deduct the cost
var fill = fills[i];
var time = DateTime.Today.AddDays(i);
// the value of 'MCJWB' increments for each fill, the original test algo did this monthly
// the time doesn't really matter though
decimal mchJwb = i + 1;
decimal mchUsd = (i + 1)/(i + 2m);
decimal usdJwb = i + 2;
Assert.AreEqual((double)mchJwb, (double)(mchUsd*usdJwb), 1e-10);
//Console.WriteLine("Step: " + i + " -- MCHJWB: " + mchJwb);
jwbCash.Update(new IndicatorDataPoint(MCHJWB, time, mchJwb));
usdCash.Update(new IndicatorDataPoint(MCHUSD, time, mchUsd));
mchCash.Update(new IndicatorDataPoint(JWBUSD, time, usdJwb));
var updateData = new Dictionary<Security, BaseData>
{
{mchJwbSecurity, new IndicatorDataPoint(MCHJWB, time, mchJwb)},
{mchUsdSecurity, new IndicatorDataPoint(MCHUSD, time, mchUsd)},
{usdJwbSecurity, new IndicatorDataPoint(JWBUSD, time, usdJwb)}
};
foreach (var kvp in updateData)
{
kvp.Key.SetMarketPrice(kvp.Value);
}
portfolio.ProcessFill(fill);
//Console.WriteLine("-----------------------");
//Console.WriteLine(fill);
//Console.WriteLine("Post step: " + i);
//foreach (var cash in portfolio.CashBook)
//{
// Console.WriteLine(cash.Value);
//}
//Console.WriteLine("CashValue: " + portfolio.CashBook.TotalValueInAccountCurrency);
Console.WriteLine(i + 1 + " " + portfolio.TotalPortfolioValue.ToString("C"));
//Assert.AreEqual((double) equity[i + 1], (double)portfolio.TotalPortfolioValue, 2e-2);
Assert.AreEqual((double) mchQuantity[i + 1], (double)portfolio.CashBook["MCH"].Amount);
Assert.AreEqual((double) jwbQuantity[i + 1], (double)portfolio.CashBook["JWB"].Amount);
//Console.WriteLine();
//Console.WriteLine();
}
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
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(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute), 1m));
securities.Add("BCD", new Security(subscriptions.Add(SecurityType.Equity, "BCD", minimumResolution), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "usa", TimeZones.NewYork), 1m));
securities.Add("BCD", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Forex, "BCD", minimumResolution, "fxcm", TimeZones.NewYork), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
}
public void UpdateModifiesConversionRateAsInvertedValue()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("USDJPY", new Security(subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions);
var last = 120m;
var data = new Dictionary<int, List<BaseData>>();
data.Add(0, new List<BaseData>
{
new Tick(DateTime.Now, "USDJPY", last, 119.95m, 120.05m)
});
cash.Update(data);
// jpy is inverted, so compare on the inverse
Assert.AreEqual(1 / last, cash.ConversionRate);
}
public void EnsureInternalCurrencyDataFeedsForNonUsdQuoteCurrencyGetAdded()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cashJPY = new Cash("JPY", quantity, conversionRate);
var cashGBP = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cashJPY);
cashBook.Add("GBP", cashGBP);
var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(symbol, new Security(SecurityExchangeHours, subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cashJPY.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config1.IsInternalFeed);
cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD);
Assert.IsTrue(config2.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var securities = new SecurityManager();
var subscriptions = new SubscriptionManager();
cash.EnsureCurrencyDataFeed(securities, subscriptions);
}
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
{
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 securities = new SecurityManager(TimeKeeper);
var subscriptions = new SubscriptionManager(TimeKeeper);
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
}
public void TestCashFills()
{
// this test asserts the portfolio behaves according to the Test_Cash algo, see TestData\CashTestingStrategy.csv
// also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"
const string fillsFile = "TestData\\test_cash_fills.xml";
const string equityFile = "TestData\\test_cash_equity.xml";
var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent(
x.Get<int>("OrderId"),
x.Get<string>("Symbol"),
x.Get<OrderStatus>("Status"),
x.Get<decimal>("FillPrice"),
x.Get<int>("FillQuantity"))
).ToList();
var equity = XDocument.Load(equityFile).Descendants("decimal")
.Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
.ToList();
Assert.AreEqual(fills.Count + 1, equity.Count);
// we're going to process fills and very our equity after each fill
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("CASH", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Base, "CASH", Resolution.Daily, "usa", TimeZones.NewYork), leverage: 10));
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(equity[0]);
for (int i = 0; i < fills.Count; i++)
{
// before processing the fill we must deduct the cost
var fill = fills[i];
var time = DateTime.Today.AddDays(i);
// the value of 'CASH' increments for each fill, the original test algo did this monthly
// the time doesn't really matter though
var updateData = new Dictionary<int, List<BaseData>>();
updateData.Add(0, new List<BaseData> {new IndicatorDataPoint("CASH", time, i + 1)});
securities.Update(time, updateData);
portfolio.ProcessFill(fill);
Assert.AreEqual(equity[i + 1], portfolio.TotalPortfolioValue, "Failed on " + i);
}
}
