public void ConvertsAccountCurrencyAsIdentity()
{
var converter = new IdentityCurrencyConverter("ABC");
var cashAmount = new CashAmount(1m, "ABC");
Assert.AreEqual(cashAmount, converter.ConvertToAccountCurrency(cashAmount));
}
public void InitializesProperlyUsingAccountCurrency()
{
var cashAmount = new CashAmount(1000m, CashBook.AccountCurrency);
Assert.AreEqual(1000m, cashAmount.Amount);
Assert.AreEqual(CashBook.AccountCurrency, cashAmount.Currency);
}
public void ThrowsArgumentExceptionOnCashAmountNotInAccountCurrency()
{
var converter = new IdentityCurrencyConverter(Currencies.USD);
var cashAmount = new CashAmount(1m, "EUR");
Assert.Throws <ArgumentException>(() => converter.ConvertToAccountCurrency(cashAmount));
}
public void InitializesProperlyUsingNonAccountCurrency()
{
var cashAmount = new CashAmount(1000m, "EUR");
Assert.AreEqual(1000m, cashAmount.Amount);
Assert.AreEqual("EUR", cashAmount.Currency);
}
public void RoundTripSerialization()
{
var cashAmount = new CashAmount(1000m, "EUR");
var serialized = JsonConvert.SerializeObject(cashAmount);
var deserialize = JsonConvert.DeserializeObject <CashAmount>(serialized);
Assert.AreEqual(cashAmount, deserialize);
}
private bool LoadCashBalance(LiveNodePacket liveJob, IBrokerage brokerage, IAlgorithm algorithm)
{
Log.Trace("BrokerageSetupHandler.Setup(): Fetching cash balance from brokerage...");
try
{
// set the algorithm's cash balance for each currency
var cashBalance = brokerage.GetCashBalance();
string maxCashLimitStr;
if (liveJob.BrokerageData.TryGetValue("max-cash-limit", out maxCashLimitStr))
{
var maxCashLimit = JsonConvert.DeserializeObject <HashSet <CashAmount> >(maxCashLimitStr);
brokerage.DisableCashSync();
Log.Trace("BrokerageSetupHandler.Setup(): will use job packet max cash limit. Disabled cash sync.");
foreach (var cash in maxCashLimit)
{
var brokerageCash = cashBalance.FirstOrDefault(
brokerageCashAmount => string.Equals(brokerageCashAmount.Currency, cash.Currency, StringComparison.InvariantCultureIgnoreCase));
// we use the min amount between the brokerage and the job packet, if any
if (brokerageCash != default(CashAmount))
{
Log.Trace($"BrokerageSetupHandler.Setup(): Job packet amount {cash.Currency} {cash.Amount}. Brokerage amount {brokerageCash.Amount}.");
var cashToUse = new CashAmount(Math.Min(cash.Amount, brokerageCash.Amount), cash.Currency);
algorithm.Debug($"Live deployment has been allocation limited to {cashToUse.Amount:C} {cashToUse.Currency}");
algorithm.Portfolio.SetCash(cashToUse.Currency, cashToUse.Amount, 0);
}
else
{
Log.Trace($"BrokerageSetupHandler.Setup(): Skip setting {cash.Currency} brokerage does not have it.");
}
}
}
else
{
foreach (var cash in cashBalance)
{
Log.Trace($"BrokerageSetupHandler.Setup(): Setting {cash.Currency} cash to {cash.Amount}");
algorithm.Portfolio.SetCash(cash.Currency, cash.Amount, 0);
}
}
}
catch (Exception err)
{
Log.Error(err);
AddInitializationError("Error getting cash balance from brokerage: " + err.Message, err);
return(false);
}
return(true);
}
public void InitializesProperlyUsingNonAccountCurrency()
{
var cashBook = new CashBook {
{ "EUR", new Cash("EUR", 0, 1.17m) }
};
var cashAmount = new CashAmount(1000m, "EUR", cashBook);
Assert.AreEqual(1000m, cashAmount.Amount);
Assert.AreEqual("EUR", cashAmount.Currency);
Assert.AreEqual(1170m, cashAmount.ValueInAccountCurrency.Amount);
Assert.AreEqual(CashBook.AccountCurrency, cashAmount.ValueInAccountCurrency.Currency);
}
public void NotEqualOperator()
{
var cashAmount = new CashAmount(1000m, "EUR");
var cashAmount2 = new CashAmount(1000m, "EUR");
var uglyDuckling = new CashAmount(10m, "EUR");
var uglyDuckling2 = new CashAmount(10m, "USD");
var zeroCashAmount = new CashAmount(0, "USD");
Assert.IsFalse(cashAmount2 != cashAmount);
Assert.IsTrue(uglyDuckling != cashAmount);
Assert.IsTrue(uglyDuckling != cashAmount2);
Assert.IsTrue(uglyDuckling2 != cashAmount2);
Assert.IsTrue(uglyDuckling2 != cashAmount);
Assert.IsTrue(uglyDuckling2 != uglyDuckling);
Assert.IsTrue(uglyDuckling2 != default(CashAmount));
Assert.IsTrue(zeroCashAmount != default(CashAmount));
}
public void EqualsOperator()
{
var cashAmount = new CashAmount(1000m, "EUR");
var cashAmount2 = new CashAmount(1000m, "EUR");
var uglyDuckling = new CashAmount(10m, "EUR");
var uglyDuckling2 = new CashAmount(10m, "USD");
var zeroCashAmount = new CashAmount(0, "USD");
Assert.IsTrue(cashAmount2.Equals(cashAmount));
Assert.IsFalse(uglyDuckling.Equals(cashAmount));
Assert.IsFalse(uglyDuckling.Equals(cashAmount2));
Assert.IsFalse(uglyDuckling2.Equals(cashAmount2));
Assert.IsFalse(uglyDuckling2.Equals(cashAmount));
Assert.IsFalse(uglyDuckling2.Equals(uglyDuckling));
Assert.IsFalse(uglyDuckling2.Equals(default(CashAmount)));
Assert.IsFalse(zeroCashAmount.Equals(default(CashAmount)));
}
public void AddCash(Cash cash)
{
CashAmount.Add(cash);
long cashAmont = cash.Amount;
long gemAmount = CalculateCurrentGemAmount();
if (cashAmont > gemAmount)
{
CashAmount.Remove(cash);
}
else if (CalculateCurrentCashAmount() > gemAmount)
{
CashAmount.Remove(cash);
}
else if (CalculateTotallAmount() > maxCapacity)
{
CashAmount.Remove(cash);
}
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderFee"/> class
/// </summary>
/// <param name="orderFee">The order fee</param>
public OrderFee(CashAmount orderFee)
{
Value = orderFee;
}
public override int GetHashCode()
{
return(CashAmount.GetHashCode());
}
/// <summary>
/// Helper function to convert a <see cref="CashAmount"/> to the account currency
/// </summary>
protected virtual decimal ToAccountCurrency(SecurityPortfolioManager portfolio, CashAmount cash)
{
return(portfolio.CashBook.ConvertToAccountCurrency(cash).Amount);
}
public BalanceViewModel(CashAmount cash)
{
Update(cash);
}
/// <summary>
/// Initializes a new instance of the <see cref="ModifiedFillQuantityOrderFee"/> class
/// </summary>
/// <param name="orderFee">The order fee</param>
/// <param name="quoteCurrency">The associated security quote currency</param>
/// <param name="contractMultiplier">The associated security contract multiplier</param>
public ModifiedFillQuantityOrderFee(CashAmount orderFee, string quoteCurrency, decimal contractMultiplier)
: base(orderFee)
{
_quoteCurrency = quoteCurrency;
_contractMultiplier = contractMultiplier;
}
/// <summary>
/// Initializes a new instance of the <see cref="OrderFee"/> class
/// </summary>
/// <param name="orderFee">The order fee</param>
public OrderFee(CashAmount orderFee)
{
Value = new CashAmount(
orderFee.Amount.Normalize(),
orderFee.Currency);
}
/// <summary>
/// Initializes a new instance of the <see cref="ModifiedFillQuantityOrderFee"/> class
/// </summary>
/// <param name="orderFee">The order fee</param>
public ModifiedFillQuantityOrderFee(CashAmount orderFee)
: base(orderFee)
{
}
public long CalculateCurrentCashAmount()
{
return(CashAmount.Select(x => x.Amount).Sum());
}