public void PerformsMarketFillBuy()
{
var model = new ImmediateFillModel();
var order = new MarketOrder(Symbols.SPY, 100, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config))).OrderEvent;
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void AddingDuplicateTimeZoneDoesntAdd()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
timeKeeper.AddTimeZone(TimeZones.NewYork);
Assert.AreEqual(localTimeKeeper, timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
public void AddingDuplicateTimeZoneDoesntAdd()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
timeKeeper.AddTimeZone(TimeZones.NewYork);
Assert.AreEqual(localTimeKeeper, timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
public void MinuteResolutionSelectedForFuturesOptions()
{
const int periods = 5;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.Chicago);
var timeKeeper = new TimeKeeper(referenceUtc);
var underlyingSymbol = Symbol.Create("ES", SecurityType.Future, Market.CME);
var futureOption = Symbol.CreateOption(
underlyingSymbol,
Market.CME,
OptionStyle.American,
OptionRight.Call,
0,
SecurityIdentifier.DefaultDate);
var underlyingConfig = new SubscriptionDataConfig(typeof(TradeBar), underlyingSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var futureOptionConfig = new SubscriptionDataConfig(typeof(TradeBar), futureOption, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var underlyingSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
underlyingConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var futureOptionSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
futureOptionConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
underlyingSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
futureOptionSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
var mock = new MockSubscriptionDataConfigProvider();
mock.SubscriptionDataConfigs.Add(underlyingConfig);
mock.SubscriptionDataConfigs.Add(futureOptionConfig);
var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
model.SetSubscriptionDataConfigProvider(mock);
var futureHistoryRequirements = model.GetHistoryRequirements(underlyingSecurity, referenceUtc);
var optionHistoryRequirements = model.GetHistoryRequirements(futureOptionSecurity, referenceUtc);
Assert.IsTrue(futureHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
Assert.IsTrue(optionHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
}
private Security GetSecurity <T>(Symbol symbol, Resolution resolution)
{
var subscriptionDataConfig = new SubscriptionDataConfig(
typeof(T),
symbol,
resolution,
TimeZones.Utc,
TimeZones.Utc,
true,
true,
false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
subscriptionDataConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(subscriptionDataConfig.DataTimeZone);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(subscriptionDataConfig.DataTimeZone));
return(security);
}
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash("USD", 1000, 1);
var symbolProperties = SymbolProperties.GetDefault("USD");
var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Forex(exchangeHours, quoteCash, config, symbolProperties);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
}
public void ConstructsLocalTimeKeepers()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
Assert.IsNotNull(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return security;
}
public void OldBaseFillModel_MarketOnCloseFill(bool isMarketAlwaysOpen)
{
var model = new TestFillModelInheritBaseClass();
var security = SecurityTests.GetSecurity(isMarketAlwaysOpen);
var reference = new DateTime(2022, 4, 5, 10, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var args = new FillModelParameters(security, new MarketOnCloseOrder(security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config), Time.OneHour);
if (isMarketAlwaysOpen)
{
Assert.Throws <InvalidOperationException>(() => model.Fill(args));
}
else
{
var result = model.Fill(args);
Assert.True(model.MarketOnCloseFillWasCalled);
Assert.IsNotNull(result);
Assert.True(model.GetPricesWasCalled);
Assert.AreEqual(12345, result.OrderEvent.FillPrice);
}
}
public void UpdatesAfterCorrectPeriodElapses()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof (TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(value, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(fourth);
Assert.AreEqual(0.5m, model.Volatility);
}
public void PerformsMarketFillBuy()
{
var model = new SecurityTransactionModel();
var order = new MarketOrder(Symbol, 100, Noon, type: SecurityType.Equity);
var config = CreateTradeBarConfig(Symbol);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbol, Noon, 101.123m));
var fill = model.MarketFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void GetHistoryRequirementsWorks()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash("USD", 0, 0),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
model.SetSubscriptionDataConfigProvider(new MockSubscriptionDataConfigProvider(config));
var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
Assert.AreEqual(config.Symbol, result.Symbol);
Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
Assert.AreEqual(config.IsCustomData, result.IsCustomData);
Assert.AreEqual(config.FillDataForward, result.FillForwardResolution != null);
Assert.AreEqual(config.ExtendedMarketHours, result.IncludeExtendedMarketHours);
// the StandardDeviationOfReturnsVolatilityModel always uses daily
Assert.AreEqual(Resolution.Daily, result.Resolution);
}
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
}
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash("USD", 1000, 1);
var symbolProperties = SymbolProperties.GetDefault("USD");
var security = new Forex(symbol, exchangeHours, quoteCash, symbolProperties);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
}
public void ImmediateFillModelUsesPriceForTicksWhenBidAskSpreadsAreNotAvailable()
{
var noon = new DateTime(2014, 6, 24, 12, 0, 0);
var timeKeeper = new TimeKeeper(noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(Tick), Symbols.SPY, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, noon, 101.123m));
// Add both a tradebar and a tick to the security cache
// This is the case when a tick is seeded with minute data in an algorithm
security.Cache.AddData(new TradeBar(DateTime.MinValue, symbol, 1.0m, 1.0m, 1.0m, 1.0m, 1.0m));
security.Cache.AddData(new Tick(config, "42525000,1000000,100,A,@,0", DateTime.MinValue));
var fillModel = new ImmediateFillModel();
var order = new MarketOrder(symbol, 1000, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
// The fill model should use the tick.Price
Assert.AreEqual(fill.FillPrice, 100m);
Assert.AreEqual(0, fill.OrderFee);
}
public void PerformsMarketFillBuy()
{
var model = new SecurityTransactionModel();
var order = new MarketOrder(Symbols.SPY, 100, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
var fill = model.MarketFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return(security);
}
public void TestMarginForSymbolWithOneLinerHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2016, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history, but only one date and margins line
var ticker = QuantConnect.Securities.Futures.Softs.Coffee;
var symbol = Symbol.CreateFuture(ticker, Market.ICE, expDate);
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
futureSecurity.BuyingPowerModel = new FutureMarginModel(security: futureSecurity);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(tz));
futureSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(tz));
var buyingPowerModel = GetModel(futureSecurity, out _futureMarginModel);
Assert.AreEqual(_futureMarginModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
public void TestMarginForSymbolWithNoHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2016, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have any history at all
var ticker = "NOT-A-SYMBOL";
var symbol = Symbol.CreateFuture(ticker, Market.USA, expDate);
var futureSecurity = new Future(SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(tz));
futureSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(tz));
var buyingPowerModel = GetModel(futureSecurity, out _futureMarginModel, timeKeeper: timeKeeper);
Assert.AreEqual(0m, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
private Security GetSecurity <T>(Symbol symbol, Resolution resolution)
{
var subscriptionDataConfig = new SubscriptionDataConfig(
typeof(T),
symbol,
resolution,
TimeZones.Utc,
TimeZones.Utc,
true,
true,
false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
subscriptionDataConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(subscriptionDataConfig.DataTimeZone);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(subscriptionDataConfig.DataTimeZone));
return(security);
}
public void TotalProfitIsCorrectlyEstimated(string ticker, decimal conversionRate,
decimal minimumPriceVariation,
int lotSize, decimal entryPrice, decimal pips, int entryQuantity)
{
// Arrange
var timeKeeper = new TimeKeeper(DateTime.Now, TimeZones.NewYork);
var symbol = Symbol.Create(ticker, SecurityType.Forex, Market.FXCM);
var pairQuoteCurrency = symbol.Value.Substring(startIndex: 3);
var cash = new Cash(pairQuoteCurrency, amount: 100000, conversionRate: conversionRate);
var subscription = new SubscriptionDataConfig(typeof(QuoteBar), symbol, Resolution.Daily,
TimeZones.NewYork, TimeZones.NewYork, fillForward: true,
extendedHours: true, isInternalFeed: true);
var pair = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
cash, subscription,
new SymbolProperties("", pairQuoteCurrency, 1,
minimumPriceVariation, lotSize));
pair.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
pair.SetFeeModel(new ConstantFeeModel(decimal.Zero));
var forexHolding = new ForexHolding(pair);
// Act
forexHolding.SetHoldings(entryPrice, entryQuantity);
var priceVariation = pips * 10 * minimumPriceVariation;
forexHolding.UpdateMarketPrice(entryPrice + priceVariation);
pair.SetMarketPrice(new Tick(DateTime.Now, pair.Symbol, forexHolding.Price, forexHolding.Price));
var actualPips = forexHolding.TotalCloseProfitPips();
// Assert
Assert.AreEqual(pips, actualPips);
}
public void ImmediateFillModelDoesNotUseTicksWhenThereIsNoTickSubscription()
{
var noon = new DateTime(2014, 6, 24, 12, 0, 0);
var timeKeeper = new TimeKeeper(noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
// Minute subscription
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, noon, 101.123m));
// This is the case when a tick is seeded with minute data in an algorithm
security.Cache.AddData(new TradeBar(DateTime.MinValue, symbol, 1.0m, 1.0m, 1.0m, 1.0m, 1.0m));
security.Cache.AddData(new Tick(config, "42525000,1000000,100,A,@,0", DateTime.MinValue));
var fillModel = new ImmediateFillModel();
var order = new MarketOrder(symbol, 1000, DateTime.Now);
var fill = fillModel.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
// The fill model should use the tick.Price
Assert.AreEqual(fill.FillPrice, 1.0m);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
/// <summary>
/// Add a new security with this symbol to the collection.
/// </summary>
/// <remarks>IDictionary implementation</remarks>
/// <param name="symbol">symbol for security we're trading</param>
/// <param name="security">security object</param>
/// <seealso cref="Add(Security)"/>
public void Add(Symbol symbol, Security security)
{
if (_securityManager.TryAdd(symbol, security))
{
security.SetLocalTimeKeeper(_timeKeeper.GetLocalTimeKeeper(security.Exchange.TimeZone));
OnCollectionChanged(new NotifyCollectionChangedEventArgs(NotifyCollectionChangedAction.Add, security));
}
}
private static Security CreateSecurity(DateTime newLocalTime)
{
var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
return(security);
}
public void StopLimitOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice, decimal limitPrice)
{
var time = new DateTime(2018, 9, 24, 9, 30, 0);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
var fillForwardBar = (TradeBar)tradeBar.Clone(true);
security.SetMarketPrice(fillForwardBar);
var fillModel = new ImmediateFillModel();
var order = new StopLimitOrder(symbol, orderQuantity, stopPrice, limitPrice, time.ConvertToUtc(TimeZones.NewYork));
var fill = fillModel.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
fill = fillModel.StopLimitFill(security, order);
Assert.AreEqual(orderQuantity, fill.FillQuantity);
Assert.AreEqual(limitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
public void SetUp()
{
_security = SecurityTests.GetSecurity();
orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
_security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
var second = new IndicatorDataPoint(reference.AddDays(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(0, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddDays(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(0, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddDays(2), 3);
security.SetMarketPrice(fourth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
// update should not be applied as price is 0
var fifth = new IndicatorDataPoint(reference.AddDays(3), 0m);
security.SetMarketPrice(fifth);
Assert.AreEqual(5.6124, (double)model.Volatility, 0.0001);
}
public void TestMarginForSymbolWithHistory()
{
const decimal price = 1.2345m;
var time = new DateTime(2013, 1, 1);
var expDate = new DateTime(2017, 1, 1);
var tz = TimeZones.NewYork;
// For this symbol we dont have history
var ticker = QuantConnect.Securities.Futures.Financials.EuroDollar;
var symbol = Symbol.CreateFuture(ticker, Market.CME, expDate);
var futureSecurity = new Future(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
futureSecurity.Holdings.SetHoldings(1.5m, 1);
futureSecurity.BuyingPowerModel = new FutureMarginModel(security: futureSecurity);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(tz));
futureSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(tz));
var buyingPowerModel = GetModel(futureSecurity, out _futureMarginModel, timeKeeper: timeKeeper);
Assert.AreEqual(_futureMarginModel.MaintenanceOvernightMarginRequirement,
buyingPowerModel.GetMaintenanceMargin(futureSecurity));
// now we move forward to exact date when margin req changed
time = new DateTime(2014, 06, 13);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(tz));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(_futureMarginModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
// now we fly beyond the last line of the history file (currently) to see how margin model resolves future dates
time = new DateTime(2016, 06, 04);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(tz));
futureSecurity.SetMarketPrice(new Tick {
Value = price, Time = time
});
Assert.AreEqual(_futureMarginModel.MaintenanceOvernightMarginRequirement, buyingPowerModel.GetMaintenanceMargin(futureSecurity));
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null)
{
throw new ArgumentNullException("timeZone");
}
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
}
public void LocalTimeKeepersGetTimeUpdates()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
var localTime = localTimeKeeper.LocalTime;
timeKeeper.SetUtcDateTime(reference.AddDays(1));
Assert.AreEqual(localTime.AddDays(1), localTimeKeeper.LocalTime);
timeKeeper.SetUtcDateTime(reference.AddDays(2));
Assert.AreEqual(localTime.AddDays(2), localTimeKeeper.LocalTime);
}
public void LocalTimeKeepersGetTimeUpdates()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
var localTimeKeeper = timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
var localTime = localTimeKeeper.LocalTime;
timeKeeper.SetUtcDateTime(reference.AddDays(1));
Assert.AreEqual(localTime.AddDays(1), localTimeKeeper.LocalTime);
timeKeeper.SetUtcDateTime(reference.AddDays(2));
Assert.AreEqual(localTime.AddDays(2), localTimeKeeper.LocalTime);
}
public void PerformsMarketFillBuy()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new MarketOrder(Symbols.USDJPY, 100, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, DateTime.Now, 101.123m));
var fill = model.MarketFill(security, order);
var slip = model.GetSlippageApproximation(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price + slip, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
private static Security CreateSecurity(DateTime newLocalTime)
{
var security = new Security(
CreateUsEquitySecurityExchangeHours(),
CreateTradeBarConfig(),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
TimeKeeper.SetUtcDateTime(newLocalTime.ConvertToUtc(security.Exchange.TimeZone));
security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
return(security);
}
public void PriceReturnsQuoteBarsIfPresent(OrderDirection orderDirection, decimal expected)
{
var time = new DateTime(2018, 9, 24, 9, 30, 0);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var configTradeBar = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
configQuoteBar,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
var quoteBar = new QuoteBar(time, symbol,
new Bar(10, 15, 5, 11),
100,
new Bar(20, 25, 15, 21),
100);
security.SetMarketPrice(quoteBar);
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
var testFillModel = new TestFillModel();
testFillModel.SetParameters(new FillModelParameters(security,
null,
configProvider,
TimeSpan.FromDays(1)));
var result = testFillModel.GetPricesPublic(security, orderDirection);
Assert.AreEqual(expected, result.Close);
}
public void DoesntUpdateOnZeroPrice()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
var third = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(third);
Assert.AreEqual(0.5m, model.Volatility);
// update should not be applied as price is 0
var forth = new IndicatorDataPoint(reference.AddMinutes(3), 0m);
security.SetMarketPrice(forth);
Assert.AreEqual(0.5m, model.Volatility);
}
public void ConstructsLocalTimeKeepers()
{
var reference = new DateTime(2000, 01, 01);
var timeKeeper = new TimeKeeper(reference, new[] { TimeZones.NewYork });
Assert.IsNotNull(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}