public void FundsAreSettledImmediately() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); var model = new ImmediateSettlementModel(); var config = CreateTradeBarConfig(); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config); portfolio.SetCash(1000); Assert.AreEqual(1000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork); model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000); Assert.AreEqual(2000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); model.ApplyFunds(portfolio, security, timeUtc, "USD", -500); Assert.AreEqual(1500, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000); Assert.AreEqual(2500, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); }
private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity) { var securities = new SecurityManager(new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork })); var transactions = new SecurityTransactionManager(null, securities); transactions.SetOrderProcessor(orderProcessor); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(quantity); return(portfolio); }
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 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), leverage: 10); 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); } }
private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity, DateTime time) { var securities = new SecurityManager(new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork)); var transactions = new SecurityTransactionManager(null, securities); transactions.SetOrderProcessor(orderProcessor); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(quantity); portfolio.MarginCallModel = new TestDefaultMarginCallModel(portfolio, new OrderProperties()); return(portfolio); }
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); } }
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); }
public void SellingShortFromZeroAddsToCash() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(0); securities.Add(Symbols.AAPL, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency))); var fill = new OrderEvent(1, Symbols.AAPL, DateTime.MinValue, OrderStatus.Filled, OrderDirection.Sell, 100, -100, 0); portfolio.ProcessFill(fill); Assert.AreEqual(100 * 100, portfolio.Cash); Assert.AreEqual(-100, securities[Symbols.AAPL].Holdings.Quantity); }
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(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); 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); }
public void SellingShortFromZeroAddsToCash() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(0); securities.Add("AAPL", new Security(SecurityExchangeHours.AlwaysOpen, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1)); var fill = new OrderEvent(1, "AAPL", OrderStatus.Filled, 100, -100); portfolio.ProcessFill(fill); Assert.AreEqual(100 * 100, portfolio.Cash); Assert.AreEqual(-100, securities["AAPL"].Holdings.Quantity); }
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); }
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); }
private Security InitializeTest(DateTime reference, out SecurityPortfolioManager portfolio) { var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetMarketPrice(new Tick { Value = 100 }); var timeKeeper = new TimeKeeper(reference); var securityManager = new SecurityManager(timeKeeper); securityManager.Add(security); var transactionManager = new SecurityTransactionManager(null, securityManager); portfolio = new SecurityPortfolioManager(securityManager, transactionManager); portfolio.SetCash("USD", 100 * 1000m, 1m); Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(100 * 1000m, portfolio.CashBook[CashBook.AccountCurrency].Amount); return(security); }
public void ForexFillUpdatesCashCorrectly() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(1000); portfolio.CashBook.Add("EUR", 0, 1.1000m); securities.Add(Symbols.EURUSD, new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, portfolio.CashBook["USD"], CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD), SymbolProperties.GetDefault(CashBook.AccountCurrency))); var security = securities[Symbols.EURUSD]; Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(1000, portfolio.Cash); var orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.EURUSD, 100, DateTime.MinValue)); var fill = new OrderEvent(1, Symbols.EURUSD, DateTime.MinValue, OrderStatus.Filled, OrderDirection.Buy, 1.1000m, 100, orderFee); portfolio.ProcessFill(fill); Assert.AreEqual(100, security.Holdings.Quantity); Assert.AreEqual(998, portfolio.Cash); Assert.AreEqual(100, portfolio.CashBook["EUR"].Amount); Assert.AreEqual(888, portfolio.CashBook["USD"].Amount); }
public void ForexFillUpdatesCashCorrectly() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(1000); portfolio.CashBook.Add("EUR", 0, 1.1000m); securities.Add("EURUSD", new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, portfolio.CashBook["USD"], CreateTradeBarDataConfig(SecurityType.Forex, "EURUSD"), 1)); Assert.AreEqual(0, securities["EURUSD"].Holdings.Quantity); Assert.AreEqual(1000, portfolio.Cash); var fill = new OrderEvent(1, "EURUSD", DateTime.MinValue, OrderStatus.Filled, OrderDirection.Buy, 1.1000m, 100, 0); portfolio.ProcessFill(fill); Assert.AreEqual(100, securities["EURUSD"].Holdings.Quantity); Assert.AreEqual(998, portfolio.Cash); Assert.AreEqual(100, portfolio.CashBook["EUR"].Quantity); Assert.AreEqual(888, portfolio.CashBook["USD"].Quantity); }
public void FundsAreSettledImmediately() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(null, securities); var portfolio = new SecurityPortfolioManager(securities, transactions); var model = new ImmediateSettlementModel(); var config = CreateTradeBarConfig(); 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(1000); Assert.AreEqual(1000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork); model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, 1000); Assert.AreEqual(2000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, -500); Assert.AreEqual(1500, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, 1000); Assert.AreEqual(2500, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); }
public void LimitBuyBtcWithUsdRequiresUsdInPortfolio() { _portfolio.SetCash(20000); // Available cash = 20000 USD, can buy 2 BTC at 10000 var order = new LimitOrder(_btcusd.Symbol, 2m, 10000m, DateTime.UtcNow); Assert.IsTrue(_buyingPowerModel.HasSufficientBuyingPowerForOrder(_portfolio, _btcusd, order)); // Available cash = 20000 USD, cannot buy 2.1 BTC at 10000, need 21000 order = new LimitOrder(_btcusd.Symbol, 2.1m, 10000m, DateTime.UtcNow); Assert.IsFalse(_buyingPowerModel.HasSufficientBuyingPowerForOrder(_portfolio, _btcusd, order)); // Available cash = 20000 USD, cannot buy 2 BTC at 11000, need 22000 order = new LimitOrder(_btcusd.Symbol, 2m, 11000m, DateTime.UtcNow); Assert.IsFalse(_buyingPowerModel.HasSufficientBuyingPowerForOrder(_portfolio, _btcusd, order)); }
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); }
public void SellingShortFromShortAddsToCash() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(0); securities.Add(Symbols.AAPL, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency))); securities[Symbols.AAPL].Holdings.SetHoldings(100, -100); var fill = new OrderEvent(1, Symbols.AAPL, DateTime.MinValue, OrderStatus.Filled, OrderDirection.Sell, 100, -100, 0); Assert.AreEqual(-100, securities[Symbols.AAPL].Holdings.Quantity); portfolio.ProcessFill(fill); Assert.AreEqual(100 * 100, portfolio.Cash); Assert.AreEqual(-200, securities[Symbols.AAPL].Holdings.Quantity); }
private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity) { var securities = new SecurityManager(new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork })); var transactions = new SecurityTransactionManager(securities); transactions.SetOrderProcessor(orderProcessor); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(quantity); return portfolio; }
public void SellingShortFromZeroAddsToCash() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(0); securities.Add("AAPL", new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1)); var fill = new OrderEvent(1, "AAPL", DateTime.MinValue, OrderStatus.Filled, OrderDirection.Sell, 100, -100, 0); portfolio.ProcessFill(fill); Assert.AreEqual(100 * 100, portfolio.Cash); Assert.AreEqual(-100, securities["AAPL"].Holdings.Quantity); }
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"), 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(); 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.AlwaysOpen, jwbCash, subscriptions.Add(SecurityType.Forex, "MCHJWB", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10); var mchUsdSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, usdCash, subscriptions.Add(SecurityType.Forex, "MCHUSD", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10); var usdJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, mchCash, subscriptions.Add(SecurityType.Forex, "USDJWB", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10); // 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, SecurityExchangeHoursProvider.FromDataFolder()); 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); var updateData = new Dictionary <int, List <BaseData> >(); updateData.Add(0, new List <BaseData> { new IndicatorDataPoint("MCHJWB", time, mchJwb) }); updateData.Add(1, new List <BaseData> { new IndicatorDataPoint("MCHUSD", time, mchUsd) }); updateData.Add(2, new List <BaseData> { new IndicatorDataPoint("JWBUSD", time, usdJwb) }); securities.Update(time, updateData); portfolio.CashBook.Update(updateData); 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"].Quantity); Assert.AreEqual((double)jwbQuantity[i + 1], (double)portfolio.CashBook["JWB"].Quantity); //Console.WriteLine(); //Console.WriteLine(); } }
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 OptionExercise_NonAccountCurrency() { var algorithm = new QCAlgorithm(); var securities = new SecurityManager(new TimeKeeper(DateTime.Now, TimeZones.NewYork)); var transactions = new SecurityTransactionManager(null, securities); var transactionHandler = new BacktestingTransactionHandler(); var portfolio = new SecurityPortfolioManager(securities, transactions); var EUR = new Cash("EUR", 100 * 192, 10); portfolio.CashBook.Add("EUR", EUR); portfolio.SetCash("USD", 0, 1); algorithm.Securities = securities; transactionHandler.Initialize(algorithm, new BacktestingBrokerage(algorithm), _resultHandler); transactions.SetOrderProcessor(transactionHandler); securities.Add( Symbols.SPY, new Security( SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(Symbols.SPY), EUR, SymbolProperties.GetDefault(EUR.Symbol), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache() ) ); securities.Add( Symbols.SPY_C_192_Feb19_2016, new Option( SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(Symbols.SPY_C_192_Feb19_2016), EUR, new OptionSymbolProperties(new SymbolProperties("EUR", "EUR", 100, 0.01m, 1)), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null ) ); securities[Symbols.SPY_C_192_Feb19_2016].Holdings.SetHoldings(1, 1); securities[Symbols.SPY].SetMarketPrice(new Tick { Value = 200 }); transactions.AddOrder(new SubmitOrderRequest(OrderType.OptionExercise, SecurityType.Option, Symbols.SPY_C_192_Feb19_2016, -1, 0, 0, securities.UtcTime, "")); var option = (Option)securities[Symbols.SPY_C_192_Feb19_2016]; var order = (OptionExerciseOrder)transactions.GetOrders(x => true).First(); option.Underlying = securities[Symbols.SPY]; var fills = option.OptionExerciseModel.OptionExercise(option, order).ToList(); Assert.AreEqual(2, fills.Count); Assert.IsFalse(fills[0].IsAssignment); Assert.AreEqual("Automatic Exercise", fills[0].Message); Assert.AreEqual("Option Exercise", fills[1].Message); foreach (var fill in fills) { portfolio.ProcessFill(fill); } // now we have long position in SPY with average price equal to strike var newUnderlyingHoldings = securities[Symbols.SPY].Holdings; // we added 100*192 EUR (strike price) at beginning, all consumed by exercise Assert.AreEqual(0, EUR.Amount); Assert.AreEqual(0, portfolio.CashBook["USD"].Amount); Assert.AreEqual(100, newUnderlyingHoldings.Quantity); Assert.AreEqual(192.0, newUnderlyingHoldings.AveragePrice); // and long call option position has disappeared Assert.AreEqual(0, securities[Symbols.SPY_C_192_Feb19_2016].Holdings.Quantity); }
private Security InitializeTest(DateTime reference, out SecurityPortfolioManager portfolio) { var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetMarketPrice(new Tick { Value = 100 }); var timeKeeper = new TimeKeeper(reference); var securityManager = new SecurityManager(timeKeeper); securityManager.Add(security); var transactionManager = new SecurityTransactionManager(securityManager); portfolio = new SecurityPortfolioManager(securityManager, transactionManager); portfolio.SetCash("USD", 100 * 1000m, 1m); Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(100*1000m, portfolio.CashBook[CashBook.AccountCurrency].Amount); return security; }