コード例 #1
0
        public void SellOnMondaySettleOnThursday()
        {
            var securities   = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(null, securities);
            var portfolio    = new SecurityPortfolioManager(securities, transactions);
            // settlement at T+3, 8:00 AM
            var model    = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            var config   = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(
                SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
                config,
                new Cash(Currencies.USD, 0, 1m),
                SymbolProperties.GetDefault(Currencies.USD),
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null,
                new SecurityCache()
                );

            portfolio.SetCash(3000);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Monday
            var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);

            model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, 1000);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Tuesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Wednesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 7:55 AM, still unsettled
            timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 8 AM, now settled
            timeUtc = timeUtc.AddMinutes(5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(4000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #2
0
        public void EquitySellAppliesSettlementCorrectly()
        {
            var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var securities            = new SecurityManager(TimeKeeper);
            var transactions          = new SecurityTransactionManager(securities);
            var portfolio             = new SecurityPortfolioManager(securities, transactions);

            portfolio.SetCash(1000);
            securities.Add(Symbols.AAPL, new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
            var security = securities[Symbols.AAPL];

            security.SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            Assert.AreEqual(0, security.Holdings.Quantity);
            Assert.AreEqual(1000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Buy on Monday
            var timeUtc  = new DateTime(2015, 10, 26, 15, 30, 0);
            var orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
            var fill     = new OrderEvent(1, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, orderFee);

            portfolio.ProcessFill(fill);
            Assert.AreEqual(10, security.Holdings.Quantity);
            Assert.AreEqual(-1, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Tuesday, cash unsettled
            timeUtc  = timeUtc.AddDays(1);
            orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
            fill     = new OrderEvent(2, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, orderFee);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(0, security.Holdings.Quantity);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday, still cash unsettled
            timeUtc = timeUtc.AddDays(2);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Friday at open, cash settled
            var marketOpen = securityExchangeHours.MarketHours[timeUtc.DayOfWeek].GetMarketOpen(TimeSpan.Zero, false);

            Assert.IsTrue(marketOpen.HasValue);
            timeUtc = timeUtc.AddDays(1).Date.Add(marketOpen.Value).ConvertToUtc(securityExchangeHours.TimeZone);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(998, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #3
0
        public void SellOnMondaySettleOnThursday()
        {
            var securities   = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(securities);
            var portfolio    = new SecurityPortfolioManager(securities, transactions);
            // settlement at T+3, 8:00 AM
            var model    = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            var config   = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config);

            portfolio.SetCash(3000);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Monday
            var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);

            model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Tuesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Wednesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 7:55 AM, still unsettled
            timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 8 AM, now settled
            timeUtc = timeUtc.AddMinutes(5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(4000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #4
0
        public void SellOnMondaySettleOnThursday()
        {
            var securities = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            // settlement at T+3, 8:00 AM
            var model = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);

            portfolio.SetCash(3000);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Monday
            var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
            model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Tuesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Wednesday, still unsettled
            timeUtc = timeUtc.AddDays(1);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 7:55 AM, still unsettled
            timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(3000, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday at 8 AM, now settled
            timeUtc = timeUtc.AddMinutes(5);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(4000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #5
0
        public void EquitySellAppliesSettlementCorrectly()
        {
            var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var securities            = new SecurityManager(TimeKeeper);
            var transactions          = new SecurityTransactionManager(securities);
            var portfolio             = new SecurityPortfolioManager(securities, transactions);

            portfolio.SetCash(1000);
            securities.Add("AAPL", new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1));
            securities["AAPL"].SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(1000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Buy on Monday
            var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
            var fill    = new OrderEvent(1, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, 0);

            portfolio.ProcessFill(fill);
            Assert.AreEqual(10, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(-1, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Tuesday, cash unsettled
            timeUtc = timeUtc.AddDays(1);
            fill    = new OrderEvent(2, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, 0);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday, still cash unsettled
            timeUtc = timeUtc.AddDays(2);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Friday at open, cash settled
            timeUtc = timeUtc.AddDays(1).Date.Add(securityExchangeHours.MarketHours[timeUtc.DayOfWeek].MarketOpen).ConvertToUtc(securityExchangeHours.TimeZone);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(998, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #6
0
        public void EquitySellAppliesSettlementCorrectly()
        {
            var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var securities = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            portfolio.SetCash(1000);
            securities.Add(Symbols.AAPL, new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
            var security = securities[Symbols.AAPL];
            security.SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            Assert.AreEqual(0, security.Holdings.Quantity);
            Assert.AreEqual(1000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Buy on Monday
            var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
            var orderFee = security.FeeModel.GetOrderFee(security,new MarketOrder(Symbols.AAPL, 10, timeUtc));
            var fill = new OrderEvent(1, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, orderFee);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(10, security.Holdings.Quantity);
            Assert.AreEqual(-1, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Tuesday, cash unsettled
            timeUtc = timeUtc.AddDays(1);
            orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
            fill = new OrderEvent(2, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, orderFee);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(0, security.Holdings.Quantity);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday, still cash unsettled
            timeUtc = timeUtc.AddDays(2);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Friday at open, cash settled
            var marketOpen = securityExchangeHours.MarketHours[timeUtc.DayOfWeek].GetMarketOpen(TimeSpan.Zero, false);
            Assert.IsTrue(marketOpen.HasValue);
            timeUtc = timeUtc.AddDays(1).Date.Add(marketOpen.Value).ConvertToUtc(securityExchangeHours.TimeZone);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(998, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }
コード例 #7
0
        public void EquitySellAppliesSettlementCorrectly()
        {
            var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
            var securities = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            portfolio.SetCash(1000);
            securities.Add("AAPL", new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1));
            securities["AAPL"].SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
            Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(1000, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Buy on Monday
            var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
            var fill = new OrderEvent(1, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, 0);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(10, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(-1, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);

            // Sell on Tuesday, cash unsettled
            timeUtc = timeUtc.AddDays(1);
            fill = new OrderEvent(2, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, 0);
            portfolio.ProcessFill(fill);
            Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Thursday, still cash unsettled
            timeUtc = timeUtc.AddDays(2);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(-2, portfolio.Cash);
            Assert.AreEqual(1000, portfolio.UnsettledCash);

            // Friday at open, cash settled
            timeUtc = timeUtc.AddDays(1).Date.Add(securityExchangeHours.MarketHours[timeUtc.DayOfWeek].MarketOpen).ConvertToUtc(securityExchangeHours.TimeZone);
            portfolio.ScanForCashSettlement(timeUtc);
            Assert.AreEqual(998, portfolio.Cash);
            Assert.AreEqual(0, portfolio.UnsettledCash);
        }