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>
/// Initializes a new instance of the <see cref="MaximumSectorExposureRiskManagementModel"/> class
/// </summary>
/// <param name="maximumSectorExposure">The maximum exposure for any sector, defaults to 20% sector exposure.</param>
public MaximumSectorExposureRiskManagementModel(
decimal maximumSectorExposure = 0.20m
)
{
_maximumSectorExposure = Math.Abs(maximumSectorExposure);
_targetsCollection = new PortfolioTargetCollection();
}
/// <summary>
/// Initializes a new instance of the <see cref="StandardDeviationExecutionModel"/> class
/// </summary>
/// <param name="period">Period of the standard deviation indicator</param>
/// <param name="deviations">The number of deviations away from the mean before submitting an order</param>
/// <param name="resolution">The resolution of the STD and SMA indicators</param>
public StandardDeviationExecutionModel(
int period = 60,
decimal deviations = 2m,
Resolution resolution = Resolution.Minute
)
{
_period = period;
_deviations = deviations;
_resolution = resolution;
_targetsCollection = new PortfolioTargetCollection();
_symbolData = new Dictionary <Symbol, SymbolData>();
}
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);
}
/// <summary>
/// Initializes a new instance of the <see cref="MaximumSectorExposureRiskManagementModel"/> class
/// </summary>
/// <param name="maximumSectorExposure">The maximum exposure for any sector, defaults to 20% sector exposure.</param>
public MaximumSectorExposureRiskManagementModel(
decimal maximumSectorExposure = 0.20m
)
{
if (maximumSectorExposure <= 0)
{
throw new ArgumentOutOfRangeException("MaximumSectorExposureRiskManagementModel: the maximum sector exposure cannot be a non-positive value.");
}
_maximumSectorExposure = maximumSectorExposure;
_targetsCollection = new PortfolioTargetCollection();
}
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 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 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 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);
}
/// <summary>
/// Initializes a new instance of the <see cref="SpreadExecutionModel"/> class
/// </summary>
/// <param name="acceptingSpreadPercent">Maximum spread accepted comparing to current price in percentage.</param>
public SpreadExecutionModel(decimal acceptingSpreadPercent = 0.005m)
{
_acceptingSpreadPercent = Math.Abs(acceptingSpreadPercent);
_targetsCollection = new PortfolioTargetCollection();
}