public void OrderQuantityIsCeiledToNearestMultipleOfLotSizeWhenShortOrderIsRounded()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1600, 0, 0, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// Assert
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
// -1600 after round off becomes -1000
Assert.AreEqual(-1000, orderTicket.Quantity);
}
/// <summary>
/// Runs this command against the specified algorithm instance
/// </summary>
/// <param name="algorithm">The algorithm to run this command against</param>
public CommandResultPacket Run(IAlgorithm algorithm)
{
var request = new SubmitOrderRequest(OrderType, SecurityType, Symbol, Quantity, StopPrice, LimitPrice, DateTime.UtcNow, Tag);
var ticket = algorithm.Transactions.ProcessRequest(request);
var response = ticket.GetMostRecentOrderResponse();
var message = string.Format("{0} for {1} units of {2}: {3}", OrderType, Quantity, Symbol, response);
if (response.IsSuccess)
{
algorithm.Debug(message);
}
else
{
algorithm.Error(message);
}
return new CommandResultPacket(this, response.IsSuccess);
}
/// <summary>
/// Creates a new <see cref="OrderTicket"/> that is invalidated because the algorithm was in the middle of warm up still
/// </summary>
public static OrderTicket InvalidWarmingUp(SecurityTransactionManager transactionManager, SubmitOrderRequest submit)
{
submit.SetResponse(OrderResponse.WarmingUp(submit));
var ticket = new OrderTicket(transactionManager, submit);
ticket._orderStatusOverride = OrderStatus.Invalid;
return(ticket);
}
/// <summary>
/// Creates a new <see cref="OrderTicket"/> that represents trying to submit a new order that had errors embodied in the <paramref name="response"/>
/// </summary>
public static OrderTicket InvalidSubmitRequest(SecurityTransactionManager transactionManager, SubmitOrderRequest request, OrderResponse response)
{
request.SetResponse(response);
return(new OrderTicket(transactionManager, request)
{
_orderStatusOverride = OrderStatus.Invalid
});
}
private static DateTime InitializeTest(out BasicTemplateAlgorithm algorithm, out Security security, out PartialMarketFillModel model, out MarketOrder order, out OrderTicket ticket)
{
var referenceTimeNY = new DateTime(2015, 12, 21, 13, 0, 0);
var referenceTimeUtc = referenceTimeNY.ConvertToUtc(TimeZones.NewYork);
algorithm = new BasicTemplateAlgorithm();
algorithm.SetDateTime(referenceTimeUtc);
var transactionHandler = new BacktestingTransactionHandler();
transactionHandler.Initialize(algorithm, new BacktestingBrokerage(algorithm), new TestResultHandler(Console.WriteLine));
Task.Run(() => transactionHandler.Run());
algorithm.Transactions.SetOrderProcessor(transactionHandler);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false);
security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config);
model = new PartialMarketFillModel(algorithm.Transactions, 2);
algorithm.Securities.Add(security);
algorithm.Securities[Symbols.SPY].FillModel = model;
security.SetMarketPrice(new Tick { Symbol = Symbols.SPY, Value = 100 });
algorithm.SetFinishedWarmingUp();
order = new MarketOrder(Symbols.SPY, 100, referenceTimeUtc) { Id = 1 };
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, algorithm.UtcTime, null);
ticket = algorithm.Transactions.ProcessRequest(request);
return referenceTimeUtc;
}
public void GenerateMarginCallOrderTests()
{
const int quantity = 1000;
const decimal leverage = 1m;
var orderProcessor = new OrderProcessor();
var portfolio = GetPortfolio(orderProcessor, quantity);
var security = GetSecurity(Symbols.AAPL);
security.MarginModel = new NoMarginCallMarginModel(leverage);
portfolio.Securities.Add(security);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, buyPrice, buyPrice));
var order = new MarketOrder(Symbols.AAPL, quantity, time) {Price = buyPrice};
var fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.Cash, fill.FillPrice*fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) {Price = buyPrice};
bool sufficientCapital = portfolio.Transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, highPrice, highPrice));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = portfolio.Transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice/2;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
Assert.AreEqual(-quantity/2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity/2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsFalse(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage to test margin call warning and margin call logic
security.SetLeverage(leverage * 2);
// Stock price increase by minimum variation
const decimal newPrice = lowPrice + 0.01m;
security.SetMarketPrice(new Tick(time, Symbols.AAPL, newPrice, newPrice));
// this would not cause a margin call, only a margin call warning
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsTrue(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// Price drops again to previous low, margin call orders will be issued
security.SetMarketPrice(new Tick(time, Symbols.AAPL, lowPrice, lowPrice));
order = new MarketOrder(Symbols.AAPL, quantity, time) { Price = buyPrice };
fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
// Even with TotalPortfolioValue == 0, do not issue warning or orders
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.IsFalse(issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
}
/// <summary>
/// Handles a request to submit a new order
/// </summary>
private OrderResponse HandleSubmitOrderRequest(SubmitOrderRequest request)
{
OrderTicket ticket;
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
if (!_orders.TryAdd(order.Id, order))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to add new order, order not processed.");
return OrderResponse.Error(request, OrderResponseErrorCode.OrderAlreadyExists, "Cannot process submit request because order with id {0} already exists");
}
if (!_orderTickets.TryGetValue(order.Id, out ticket))
{
Log.Error("BrokerageTransactionHandler.HandleSubmitOrderRequest(): Unable to retrieve order ticket, order not processed.");
return OrderResponse.UnableToFindOrder(request);
}
// update the ticket's internal storage with this new order reference
ticket.SetOrder(order);
// check to see if we have enough money to place the order
bool sufficientCapitalForOrder;
try
{
sufficientCapitalForOrder = _algorithm.Transactions.GetSufficientCapitalForOrder(_algorithm.Portfolio, order);
}
catch (Exception err)
{
Log.Error(err);
_algorithm.Error(string.Format("Order Error: id: {0}, Error executing margin models: {1}", order.Id, err.Message));
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Error executing margin models"));
return OrderResponse.Error(request, OrderResponseErrorCode.ProcessingError, "Error in GetSufficientCapitalForOrder");
}
if (!sufficientCapitalForOrder)
{
order.Status = OrderStatus.Invalid;
var response = OrderResponse.Error(request, OrderResponseErrorCode.InsufficientBuyingPower, string.Format("Order Error: id: {0}, Insufficient buying power to complete order (Value:{1}).", order.Id, order.GetValue(security).SmartRounding()));
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Insufficient buying power to complete order"));
return response;
}
// verify that our current brokerage can actually take the order
BrokerageMessageEvent message;
if (!_algorithm.LiveMode && !_algorithm.BrokerageModel.CanSubmitOrder(security, order, out message))
{
// if we couldn't actually process the order, mark it as invalid and bail
order.Status = OrderStatus.Invalid;
if (message == null) message = new BrokerageMessageEvent(BrokerageMessageType.Warning, "InvalidOrder", "BrokerageModel declared unable to submit order: " + order.Id);
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageModelRefusedToSubmitOrder, "OrderID: " + order.Id + " " + message);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "BrokerageModel declared unable to submit order"));
return response;
}
// set the order status based on whether or not we successfully submitted the order to the market
bool orderPlaced;
try
{
orderPlaced = _brokerage.PlaceOrder(order);
}
catch (Exception err)
{
Log.Error(err);
orderPlaced = false;
}
if (!orderPlaced)
{
// we failed to submit the order, invalidate it
order.Status = OrderStatus.Invalid;
var errorMessage = "Brokerage failed to place order: " + order.Id;
var response = OrderResponse.Error(request, OrderResponseErrorCode.BrokerageFailedToSubmitOrder, errorMessage);
_algorithm.Error(response.ErrorMessage);
HandleOrderEvent(new OrderEvent(order, _algorithm.UtcTime, 0m, "Brokerage failed to place order"));
return response;
}
order.Status = OrderStatus.Submitted;
return OrderResponse.Success(request);
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
request.SetResponse(OrderResponse.Success(request), OrderRequestStatus.Processing);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
_orderRequestQueue.Enqueue(request);
return ticket;
}
public void ComputeMarginProperlyShortCoverZeroLong()
{
const decimal leverage = 2m;
const int amount = 1000;
const int quantity = (int)(amount * leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(amount);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal sellPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, sellPrice, sellPrice, sellPrice, sellPrice, 1));
var order = new MarketOrder(Symbols.AAPL, -quantity, time) { Price = sellPrice };
var fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = sellPrice, FillQuantity = -quantity };
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
portfolio.ProcessFill(fill);
// we shouldn't be able to place a new short order
var newOrder = new MarketOrder(Symbols.AAPL, -1, time.AddSeconds(1)) { Price = sellPrice };
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// we should be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1)) { Price = sellPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// now the stock doubles, so we should have negative margin remaining
time = time.AddDays(1);
const decimal highPrice = sellPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
// we still shouldn be able to place cover to zero
newOrder = new MarketOrder(Symbols.AAPL, quantity, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsTrue(sufficientCapital);
// we shouldn't be able to place cover to long
newOrder = new MarketOrder(Symbols.AAPL, quantity + 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
}
public void StopMarketOrderPriceIsRounded()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var price = 1.12129m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.StopMarket, security.Type, security.Symbol, 1600, 1.12131212m, 1.12131212m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// Assert
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
// 1600 after round off becomes 1000
Assert.AreEqual(1000, orderTicket.Quantity);
// 1.12131212 after round becomes 1.12131
Assert.AreEqual(1.12131m, orderTicket.Get(OrderField.StopPrice));
}
public void OrderIsNotPlacedWhenOrderIsLowerThanLotSize()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 600, 0, 0, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// 600 after round off becomes 0 -> order is not placed
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsError);
Assert.IsTrue(orderTicket.Status == OrderStatus.Invalid);
}
/// <summary>
/// Creates an <see cref="Order"/> to match the specified <paramref name="request"/>
/// </summary>
/// <param name="request">The <see cref="SubmitOrderRequest"/> to create an order for</param>
/// <returns>The <see cref="Order"/> that matches the request</returns>
public static Order CreateOrder(SubmitOrderRequest request)
{
return(CreateOrder(request.OrderId, request.OrderType, request.Symbol, request.Quantity, request.Time,
request.Tag, request.OrderProperties, request.LimitPrice, request.StopPrice, request.TriggerPrice));
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!data.Bars.ContainsKey(Symbol)) return;
// each month make an action
if (Time.Month != LastMonth)
{
// we'll submit the next type of order from the queue
var orderType = _orderTypesQueue.Dequeue();
//Log("");
Log("\r\n--------------MONTH: " + Time.ToString("MMMM") + ":: " + orderType + "\r\n");
//Log("");
LastMonth = Time.Month;
Log("ORDER TYPE:: " + orderType);
var isLong = Quantity > 0;
var stopPrice = isLong ? (1 + StopPercentage)*data.Bars[Symbol].High : (1 - StopPercentage)*data.Bars[Symbol].Low;
var limitPrice = isLong ? (1 - LimitPercentage)*stopPrice : (1 + LimitPercentage)*stopPrice;
if (orderType == OrderType.Limit)
{
limitPrice = !isLong ? (1 + LimitPercentage) * data.Bars[Symbol].High : (1 - LimitPercentage) * data.Bars[Symbol].Low;
}
var request = new SubmitOrderRequest(orderType, SecType, Symbol, Quantity, stopPrice, limitPrice, Time, orderType.ToString());
var ticket = Transactions.AddOrder(request);
_tickets.Add(ticket);
}
else if (_tickets.Count > 0)
{
var ticket = _tickets.Last();
if (Time.Day > 8 && Time.Day < 14)
{
if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Update(new UpdateOrderFields
{
Quantity = ticket.Quantity + Math.Sign(Quantity)*DeltaQuantity,
Tag = "Change quantity: " + Time
});
Log("UPDATE1:: " + ticket.UpdateRequests.Last());
}
}
else if (Time.Day > 13 && Time.Day < 20)
{
if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Update(new UpdateOrderFields
{
LimitPrice = Security.Price*(1 - Math.Sign(ticket.Quantity)*LimitPercentageDelta),
StopPrice = Security.Price*(1 + Math.Sign(ticket.Quantity)*StopPercentageDelta),
Tag = "Change prices: " + Time
});
Log("UPDATE2:: " + ticket.UpdateRequests.Last());
}
}
else
{
if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
{
Log("TICKET:: " + ticket);
ticket.Cancel(Time + " and is still open!");
Log("CANCELLED:: " + ticket.CancelRequest);
}
}
}
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == QuantConnect.Symbol.Empty)
{
return OrderResponse.ZeroQuantity(request);
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.ToString() + " data. Add this with AddSecurity() in the Initialize() Method.");
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open.");
}
if (price == 0)
{
return OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.ToString() + ": asset price is $0. If using custom data make sure you've set the 'Value' property.");
}
// check quote currency existence/conversion rate on all orders
Cash quoteCash;
var quoteCurrency = security.QuoteCurrency.Symbol;
if (!Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return OrderResponse.Error(request, OrderResponseErrorCode.QuoteCurrencyRequired, request.Symbol.Value + ": requires " + quoteCurrency + " in the cashbook to trade.");
}
if (security.QuoteCurrency.ConversionRate == 0m)
{
return OrderResponse.Error(request, OrderResponseErrorCode.ConversionRateZero, request.Symbol.Value + ": requires " + quoteCurrency + " to have a non-zero conversion rate. This can be caused by lack of data.");
}
// need to also check base currency existence/conversion rate on forex orders
if (security.Type == SecurityType.Forex)
{
Cash baseCash;
var baseCurrency = ((Forex) security).BaseCurrencySymbol;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash))
{
return OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade.");
}
if (baseCash.ConversionRate == 0m)
{
return OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data.");
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point.");
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders));
}
if (request.OrderType == OrderType.MarketOnClose)
{
var nextMarketClose = security.Exchange.Hours.GetNextMarketClose(security.LocalTime, false);
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = nextMarketClose.AddMinutes(-15.50);
if (!security.Exchange.ExchangeOpen || Time > latestSubmissionTime)
{
// tell the user we require a 16 minute buffer, on minute data in live a user will receive the 3:44->3:45 bar at 3:45,
// this is already too late to submit one of these orders, so make the user do it at the 3:43->3:44 bar so it's submitted
// to the brokerage before 3:45.
return OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 16 minute buffer before market close.");
}
}
// passes all initial order checks
return OrderResponse.Success(request);
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int) (1000*leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(quantity);
var config = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SetLeverage(leverage);
var time = DateTime.Now;
const decimal buyPrice = 1m;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder(Symbols.AAPL, quantity, time) {Price = buyPrice};
var fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
orderProcessor.AddOrder(order);
var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, order.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
Assert.AreEqual(portfolio.CashBook["USD"].Amount, fill.FillPrice*fill.FillQuantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var newOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) {Price = buyPrice};
bool sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, newOrder);
Assert.IsFalse(sufficientCapital);
// now the stock doubles, so we should have margin remaining
time = time.AddDays(1);
const decimal highPrice = buyPrice * 2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, highPrice, highPrice, highPrice, highPrice, 1));
Assert.AreEqual(quantity, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity * 2, portfolio.TotalPortfolioValue);
// we shouldn't be able to place a trader
var anotherOrder = new MarketOrder(Symbols.AAPL, 1, time.AddSeconds(1)) { Price = highPrice };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, anotherOrder);
Assert.IsTrue(sufficientCapital);
// now the stock plummets, so we should have negative margin remaining
time = time.AddDays(1);
const decimal lowPrice = buyPrice/2;
security.SetMarketPrice(new TradeBar(time, Symbols.AAPL, lowPrice, lowPrice, lowPrice, lowPrice, 1));
Assert.AreEqual(-quantity/2m, portfolio.MarginRemaining);
Assert.AreEqual(quantity, portfolio.TotalMarginUsed);
Assert.AreEqual(quantity/2m, portfolio.TotalPortfolioValue);
// this would not cause a margin call due to leverage = 1
bool issueMarginCallWarning;
var marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreEqual(0, marginCallOrders.Count);
// now change the leverage and buy more and we'll get a margin call
security.SetLeverage(leverage * 2);
order = new MarketOrder(Symbols.AAPL, quantity, time) { Price = buyPrice };
fill = new OrderEvent(order, DateTime.UtcNow, 0) { FillPrice = buyPrice, FillQuantity = quantity };
portfolio.ProcessFill(fill);
Assert.AreEqual(0, portfolio.TotalPortfolioValue);
marginCallOrders = portfolio.ScanForMarginCall(out issueMarginCallWarning);
Assert.AreNotEqual(0, marginCallOrders.Count);
Assert.AreEqual(-security.Holdings.Quantity, marginCallOrders[0].Quantity); // we bought twice
Assert.GreaterOrEqual(-portfolio.MarginRemaining, security.Price * marginCallOrders[0].Quantity);
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var orderProcessor = new OrderProcessor();
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].SetAmount(1000);
portfolio.CashBook.Add("EUR", 1000, 1.1m);
portfolio.CashBook.Add("GBP", -1000, 2.0m);
var eurCash = portfolio.CashBook["EUR"];
var gbpCash = portfolio.CashBook["GBP"];
var usdCash = portfolio.CashBook["USD"];
var time = DateTime.Now;
var config1 = CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL);
securities.Add(new Security(SecurityExchangeHours, config1, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.AAPL].SetLeverage(2m);
securities[Symbols.AAPL].Holdings.SetHoldings(100, 100);
securities[Symbols.AAPL].SetMarketPrice(new TradeBar{Time = time, Value = 100});
//Console.WriteLine("AAPL TMU: " + securities[Symbols.AAPL].MarginModel.GetMaintenanceMargin(securities[Symbols.AAPL]));
//Console.WriteLine("AAPL Value: " + securities[Symbols.AAPL].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2, SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.EURUSD].SetLeverage(100m);
securities[Symbols.EURUSD].Holdings.SetHoldings(1.1m, 1000);
securities[Symbols.EURUSD].SetMarketPrice(new TradeBar { Time = time, Value = 1.1m });
//Console.WriteLine("EURUSD TMU: " + securities[Symbols.EURUSD].MarginModel.GetMaintenanceMargin(securities[Symbols.EURUSD]));
//Console.WriteLine("EURUSD Value: " + securities[Symbols.EURUSD].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURGBP);
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3, SymbolProperties.GetDefault(gbpCash.Symbol)));
securities[Symbols.EURGBP].SetLeverage(100m);
securities[Symbols.EURGBP].Holdings.SetHoldings(1m, 1000);
securities[Symbols.EURGBP].SetMarketPrice(new TradeBar { Time = time, Value = 1m });
//Console.WriteLine("EURGBP TMU: " + securities[Symbols.EURGBP].MarginModel.GetMaintenanceMargin(securities[Symbols.EURGBP]));
//Console.WriteLine("EURGBP Value: " + securities[Symbols.EURGBP].Holdings.HoldingsValue);
//Console.WriteLine();
//Console.WriteLine(portfolio.CashBook["USD"]);
//Console.WriteLine(portfolio.CashBook["EUR"]);
//Console.WriteLine(portfolio.CashBook["GBP"]);
//Console.WriteLine("CashBook: " + portfolio.CashBook.TotalValueInAccountCurrency);
//Console.WriteLine();
//Console.WriteLine("Total Margin Used: " + portfolio.TotalMarginUsed);
//Console.WriteLine("Total Free Margin: " + portfolio.MarginRemaining);
//Console.WriteLine("Total Portfolio Value: " + portfolio.TotalPortfolioValue);
var acceptedOrder = new MarketOrder(Symbols.AAPL, 101, DateTime.Now) { Price = 100 };
orderProcessor.AddOrder(acceptedOrder);
var request = new SubmitOrderRequest(OrderType.Market, acceptedOrder.SecurityType, acceptedOrder.Symbol, acceptedOrder.Quantity, 0, 0, acceptedOrder.Time, null);
request.SetOrderId(0);
orderProcessor.AddTicket(new OrderTicket(null, request));
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder(Symbols.AAPL, 102, DateTime.Now) { Price = 100 };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
var response = !_algorithm.IsWarmingUp
? OrderResponse.Success(request)
: OrderResponse.WarmingUp(request);
request.SetResponse(response);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
if (response.IsSuccess)
{
_orderRequestQueue.Enqueue(request);
}
else
{
// add it to the orders collection for recall later
var order = Order.CreateOrder(request);
order.Status = OrderStatus.Invalid;
order.Tag = "Algorithm warming up.";
ticket.SetOrder(order);
_orders.TryAdd(request.OrderId, order);
}
return ticket;
}
/// <summary>
/// Creates an <see cref="Order"/> to match the specified <paramref name="request"/>
/// </summary>
/// <param name="request">The <see cref="SubmitOrderRequest"/> to create an order for</param>
/// <returns>The <see cref="Order"/> that matches the request</returns>
public static Order CreateOrder(SubmitOrderRequest request)
{
Order order;
switch (request.OrderType)
{
case OrderType.Market:
order = new MarketOrder(request.Symbol, request.Quantity, request.Time, request.Tag, request.SecurityType);
break;
case OrderType.Limit:
order = new LimitOrder(request.Symbol, request.Quantity, request.LimitPrice, request.Time, request.Tag, request.SecurityType);
break;
case OrderType.StopMarket:
order = new StopMarketOrder(request.Symbol, request.Quantity, request.StopPrice, request.Time, request.Tag, request.SecurityType);
break;
case OrderType.StopLimit:
order = new StopLimitOrder(request.Symbol, request.Quantity, request.StopPrice, request.LimitPrice, request.Time, request.Tag, request.SecurityType);
break;
case OrderType.MarketOnOpen:
order = new MarketOnOpenOrder(request.Symbol, request.SecurityType, request.Quantity, request.Time, request.Tag);
break;
case OrderType.MarketOnClose:
order = new MarketOnCloseOrder(request.Symbol, request.SecurityType, request.Quantity, request.Time, request.Tag);
break;
default:
throw new ArgumentOutOfRangeException();
}
order.Status = OrderStatus.New;
order.Id = request.OrderId;
if (request.Tag != null)
{
order.Tag = request.Tag;
}
return order;
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecks(SubmitOrderRequest request)
{
var response = PreOrderChecksImpl(request);
if (response.IsError)
{
Error(response.ErrorMessage);
}
return response;
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
var response = !_algorithm.IsWarmingUp
? OrderResponse.Success(request)
: OrderResponse.WarmingUp(request);
request.SetResponse(response);
var ticket = new OrderTicket(_algorithm.Transactions, request);
_orderTickets.TryAdd(ticket.OrderId, ticket);
// send the order to be processed after creating the ticket
if (response.IsSuccess)
{
_orderRequestQueue.Add(request);
}
else
{
// add it to the orders collection for recall later
var order = Order.CreateOrder(request);
// ensure the order is tagged with a currency
var security = _algorithm.Securities[order.Symbol];
order.PriceCurrency = security.SymbolProperties.QuoteCurrency;
order.Status = OrderStatus.Invalid;
order.Tag = "Algorithm warming up.";
ticket.SetOrder(order);
_orders.TryAdd(request.OrderId, order);
}
return ticket;
}
/// <summary>
/// Perform preorder checks to ensure we have sufficient capital,
/// the market is open, and we haven't exceeded maximum realistic orders per day.
/// </summary>
/// <returns>OrderResponse. If no error, order request is submitted.</returns>
private OrderResponse PreOrderChecksImpl(SubmitOrderRequest request)
{
//Ordering 0 is useless.
if (request.Quantity == 0 || request.Symbol == null || request.Symbol == Symbol.Empty)
{
return OrderResponse.ZeroQuantity(request);
}
//If we're not tracking this symbol: throw error:
if (!Securities.ContainsKey(request.Symbol) && !_sentNoDataError)
{
_sentNoDataError = true;
return OrderResponse.Error(request, OrderResponseErrorCode.MissingSecurity, "You haven't requested " + request.Symbol.Permtick + " data. Add this with AddSecurity() in the Initialize() Method.");
}
//Set a temporary price for validating order for market orders:
var security = Securities[request.Symbol];
var price = security.Price;
//Check the exchange is open before sending a market on close orders
//Allow market orders, they'll just execute when the exchange reopens
if (request.OrderType == OrderType.MarketOnClose && !security.Exchange.ExchangeOpen)
{
return OrderResponse.Error(request, OrderResponseErrorCode.ExchangeNotOpen, request.OrderType + " order and exchange not open.");
}
if (price == 0)
{
return OrderResponse.Error(request, OrderResponseErrorCode.SecurityPriceZero, request.Symbol.Permtick + ": asset price is $0. If using custom data make sure you've set the 'Value' property.");
}
if (security.Type == SecurityType.Forex)
{
// for forex pairs we need to verify that the conversions to USD have values as well
string baseCurrency, quoteCurrency;
Forex.DecomposeCurrencyPair(security.Symbol.Value, out baseCurrency, out quoteCurrency);
// verify they're in the portfolio
Cash baseCash, quoteCash;
if (!Portfolio.CashBook.TryGetValue(baseCurrency, out baseCash) || !Portfolio.CashBook.TryGetValue(quoteCurrency, out quoteCash))
{
return OrderResponse.Error(request, OrderResponseErrorCode.ForexBaseAndQuoteCurrenciesRequired, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " in the cashbook to trade.");
}
// verify we have conversion rates for each leg of the pair back into the account currency
if (baseCash.ConversionRate == 0m || quoteCash.ConversionRate == 0m)
{
return OrderResponse.Error(request, OrderResponseErrorCode.ForexConversionRateZero, request.Symbol.Value + ": requires " + baseCurrency + " and " + quoteCurrency + " to have non-zero conversion rates. This can be caused by lack of data.");
}
}
//Make sure the security has some data:
if (!security.HasData)
{
return OrderResponse.Error(request, OrderResponseErrorCode.SecurityHasNoData, "There is no data for this symbol yet, please check the security.HasData flag to ensure there is at least one data point.");
}
//We've already processed too many orders: max 100 per day or the memory usage explodes
if (Transactions.OrdersCount > _maxOrders)
{
Status = AlgorithmStatus.Stopped;
return OrderResponse.Error(request, OrderResponseErrorCode.ExceededMaximumOrders, string.Format("You have exceeded maximum number of orders ({0}), for unlimited orders upgrade your account.", _maxOrders));
}
if (request.OrderType == OrderType.MarketOnClose)
{
// must be submitted with at least 10 minutes in trading day, add buffer allow order submission
var latestSubmissionTime = (Time.Date + security.Exchange.MarketClose).AddMinutes(-10.75);
if (Time > latestSubmissionTime)
{
// tell the user we require an 11 minute buffer, on minute data in live a user will receive the 3:49->3:50 bar at 3:50,
// this is already too late to submit one of these orders, so make the user do it at the 3:48->3:49 bar so it's submitted
// to the brokerage before 3:50.
return OrderResponse.Error(request, OrderResponseErrorCode.MarketOnCloseOrderTooLate, "MarketOnClose orders must be placed with at least a 11 minute buffer before market close.");
}
}
// passes all initial order checks
return OrderResponse.Success(request);
}
/// <summary>
/// Add an order to collection and return the unique order id or negative if an error.
/// </summary>
/// <param name="request">A request detailing the order to be submitted</param>
/// <returns>New unique, increasing orderid</returns>
public OrderTicket AddOrder(SubmitOrderRequest request)
{
return ProcessRequest(request);
}
/// <summary>
/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.
/// </summary>
/// <param name="data">Slice object keyed by symbol containing the stock data</param>
public override void OnData(Slice data)
{
if (!Security.HasData)
{
Log("::::: NO DATA :::::");
return;
}
// each month make an action
if (Time.Minute != LastMinute && Time.Second == 0)
{
Log("");
Log("--------------Minute: " + Time.Minute);
Log("");
LastMinute = Time.Minute;
// we'll submit the next type of order from the queue
var orderType = _orderTypesQueue.Dequeue();
Log("ORDER TYPE:: " + orderType);
var isLong = Quantity > 0;
var stopPrice = isLong ? (1 + StopPercentage) * Security.High : (1 - StopPercentage) * Security.Low;
var limitPrice = isLong ? (1 - LimitPercentage) * stopPrice : (1 + LimitPercentage) * stopPrice;
if (orderType == OrderType.Limit)
{
limitPrice = !isLong ? (1 + LimitPercentage) * Security.High : (1 - LimitPercentage) * Security.Low;
}
var request = new SubmitOrderRequest(orderType, SecType, Symbol, Quantity, stopPrice, limitPrice, Time, orderType.ToString());
var ticket = Transactions.AddOrder(request);
_tickets.Add(ticket);
if ((decimal)Random.NextDouble() < ImmediateCancelPercentage)
{
Log("Immediate cancellation requested!");
_immediateCancellations.Add(ticket.OrderId);
}
}
else if (_tickets.Count > 0)
{
var ticket = _tickets.Last();
if (Time.Second > 15 && Time.Second < 30)
{
if (ticket.UpdateRequests.Count == 0 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Update(new UpdateOrderFields
{
Quantity = ticket.Quantity + Math.Sign(Quantity) * DeltaQuantity,
Tag = "Change quantity: " + Time
});
Log("UPDATE1:: " + ticket.UpdateRequests.Last());
}
}
else if (Time.Second > 29 && Time.Second < 45)
{
if (ticket.UpdateRequests.Count == 1 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Update(new UpdateOrderFields
{
LimitPrice = Security.Price * (1 - Math.Sign(ticket.Quantity) * LimitPercentageDelta),
StopPrice = Security.Price * (1 + Math.Sign(ticket.Quantity) * StopPercentageDelta),
Tag = "Change prices: " + Time
});
Log("UPDATE2:: " + ticket.UpdateRequests.Last());
}
}
else
{
if (ticket.UpdateRequests.Count == 2 && ticket.Status.IsOpen())
{
Log(ticket.ToString());
ticket.Cancel(Time + " and is still open!");
Log("CANCELLED:: " + ticket.CancelRequest);
}
}
}
}
