private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return(security);
}
public void ConstructorDecomposesBaseAndQuoteCurrencies()
{
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
var forex = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen(config.DataTimeZone), new Cash("usd", 0, 0), config, SymbolProperties.GetDefault("usd"));
Assert.AreEqual("EUR", forex.BaseCurrencySymbol);
Assert.AreEqual("USD", forex.QuoteCurrency.Symbol);
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType, CashBook.AccountCurrency);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
new Cash(CashBook.AccountCurrency, 0, 1m),
symbolProperties);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false),
symbolProperties);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return security;
}
public void ConstructorDecomposesBaseAndQuoteCurrencies()
{
string symbol = "EURUSD";
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, symbol, Resolution.Minute, true, true, true, true, true, 0);
var forex = new QuantConnect.Securities.Forex.Forex(new Cash("abc", 0, 0), config, 1m);
Assert.AreEqual("EUR", forex.BaseCurrencySymbol);
Assert.AreEqual("USD", forex.QuoteCurrencySymbol);
}
public void ConstructorDecomposesBaseAndQuoteCurrencies()
{
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true);
var forex = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen(config.DataTimeZone), new Cash("usd", 0, 0), config, SymbolProperties.GetDefault("usd"), ErrorCurrencyConverter.Instance);
Assert.AreEqual("EUR", forex.BaseCurrencySymbol);
Assert.AreEqual("USD", forex.QuoteCurrency.Symbol);
}
public void ConstructorDecomposesBaseAndQuoteCurrencies()
{
string symbol = "EURUSD";
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, symbol, Resolution.Minute, "fxcm", TimeZones.NewYork, true, true, true);
var forex = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen(config.TimeZone), new Cash("abc", 0, 0), config, 1m);
Assert.AreEqual("EUR", forex.BaseCurrencySymbol);
Assert.AreEqual("USD", forex.QuoteCurrencySymbol);
}
public void ConstructorDecomposesBaseAndQuoteCurrencies()
{
string symbol = "EURUSD";
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, symbol, Resolution.Minute, "fxcm", TimeZones.NewYork, true, true, true, true, true, 0);
var forex = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, new Cash("abc", 0, 0), config, 1m);
Assert.AreEqual("EUR", forex.BaseCurrencySymbol);
Assert.AreEqual("USD", forex.QuoteCurrencySymbol);
}
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();
}
}
