public void EnsureCurrencyDataFeedChecksSecurityChangesForSecurity()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
subscriptions.SetDataManager(new DataManagerStub(TimeKeeper));
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.SPY,
new Security(
SecurityExchangeHours,
abcConfig,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
)
);
var usdjpy = new Security(Symbols.USDJPY, SecurityExchangeHours, new Cash("JPY", 0, 0), SymbolProperties.GetDefault("JPY"), ErrorCurrencyConverter.Instance);
var changes = new SecurityChanges(new[] { usdjpy }, Enumerable.Empty <Security>());
var addedSecurity = cash.EnsureCurrencyDataFeed(securities, subscriptions, AlwaysOpenMarketHoursDatabase, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook, changes);
// the security exists in SecurityChanges so it is NOT added to the security manager or subscriptions
// this security will be added by the algorithm manager
Assert.IsNull(addedSecurity);
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("GBPUSD", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Forex, "GBPUSD", Resolution.Minute, "fxcm", TimeZones.NewYork), 1m));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var last = 1.5m;
var data = new Dictionary <int, List <BaseData> >();
data.Add(0, new List <BaseData>
{
new Tick(DateTime.Now, "GBPUSD", last, last * 1.009m, last * 0.009m)
});
cash.Update(data);
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}
public void EnsureInternalCurrencyDataFeedsForNonUsdQuoteCurrencyGetAdded()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cashJPY = new Cash("JPY", quantity, conversionRate);
var cashGBP = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cashJPY);
cashBook.Add("GBP", cashGBP);
var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);
var subscriptions = new SubscriptionManager(TimeKeeper, new DataManagerStub());
var securities = new SecurityManager(TimeKeeper);
securities.Add(symbol, new Security(SecurityExchangeHours, subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cashJPY.EnsureCurrencyDataFeed(securities, subscriptions, AlwaysOpenMarketHoursDatabase, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook, SecurityChanges.None);
var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config1.IsInternalFeed);
cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, AlwaysOpenMarketHoursDatabase, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook, SecurityChanges.None);
var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD);
Assert.IsTrue(config2.IsInternalFeed);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "usa", TimeZones.NewYork), 1m));
securities.Add("BCD", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Forex, "BCD", minimumResolution, "fxcm", TimeZones.NewYork), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.SPY,
new Security(
SecurityExchangeHours,
abcConfig,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
cashBook,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
Assert.AreEqual(1, subscriptions.SubscriptionDataConfigService.GetSubscriptionDataConfigs(Symbols.USDJPY, includeInternalConfigs: true).Count);
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.USDJPY,
new Security(
SecurityExchangeHours,
subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedChecksSecurityChangesForSecurity()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.SPY,
new Security(
SecurityExchangeHours,
abcConfig,
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
var usdjpy = new Security(Symbols.USDJPY, SecurityExchangeHours, new Cash("JPY", 0, 0), SymbolProperties.GetDefault("JPY"), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache());
var changes = SecurityChangesTests.CreateNonInternal(new[] { usdjpy }, Enumerable.Empty <Security>());
var addedSecurities = cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, changes, dataManager.SecurityService, cashBook.AccountCurrency);
// the security exists in SecurityChanges so it is NOT added to the security manager or subscriptions
// this security will be added by the algorithm manager
Assert.True(addedSecurities == null || addedSecurities.Count == 0);
}
/// <summary>
/// Ensures that we have a data feed to conver this currency into the base currency.
/// This will add a subscription at the lowest resolution if one is not found.
/// </summary>
/// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param>
/// <param name="securities"></param>
public void EnsureCurrencyDataFeed(SubscriptionManager subscriptions, SecurityManager securities)
{
if (Symbol == CashBook.BaseCurrency)
{
_isBaseCurrency = true;
ConversionRate = 1.0m;
return;
}
if (subscriptions.Count == 0)
{
throw new InvalidOperationException("Unable to add cash when no subscriptions are present. Please add subscriptions in the Initialize() method.");
}
// we require a subscription that converts this into the base currency
string normal = Symbol + CashBook.BaseCurrency;
string invert = CashBook.BaseCurrency + Symbol;
for (int i = 0; i < subscriptions.Subscriptions.Count; i++)
{
var config = subscriptions.Subscriptions[i];
if (config.Security != SecurityType.Forex)
{
continue;
}
if (config.Symbol == normal)
{
_config = config;
return;
}
if (config.Symbol == invert)
{
_config = config;
_invertRealTimePrice = true;
return;
}
}
// if we've made it here we didn't find a subscription, so we'll need to add one
var currencyPairs = Forex.Forex.CurrencyPairs;
var minimumResolution = subscriptions.Subscriptions.Min(x => x.Resolution);
var objectType = minimumResolution == Resolution.Tick ? typeof(Tick) : typeof(TradeBar);
var isTradeBar = objectType == typeof(TradeBar);
foreach (var symbol in currencyPairs)
{
if (symbol == normal || symbol == invert)
{
_invertRealTimePrice = symbol == invert;
// set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events
_config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, true, false, isTradeBar, isTradeBar, true);
securities.Add(symbol, _config, 1m, false);
return;
}
}
// if this still hasn't been set then it's an error condition
throw new ArgumentException(string.Format("In order to maintain cash in {0} you are required to add a subscription for Forex pair {0}{1} or {1}{0}", Symbol, CashBook.BaseCurrency));
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
Symbols.SPY,
new Security(
SecurityExchangeHours,
subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
securities.Add(
Symbols.EURUSD,
new Security(
SecurityExchangeHours,
subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
Assert.AreEqual(minimumResolution, subscriptions.SubscriptionDataConfigService.GetSubscriptionDataConfigs(Symbols.USDJPY, includeInternalConfigs: true).Single().Resolution);
}
public void NonUsdAccountCurrencyCurrencyDataFeedsGetAdded(string accountCurrency,
string quoteCurrency,
string baseCurrency,
string quoteCurrencySymbol,
string baseCurrencySymbol,
SecurityType securityType,
string market)
{
var quoteCash = new Cash(quoteCurrency, 100, 1);
var baseCash = new Cash(baseCurrency, 100, 1);
var cashBook = new CashBook {
{ quoteCurrency, quoteCash },
{ baseCurrency, baseCash }
};
var symbol = Symbol.Create(baseCurrency + quoteCurrency,
securityType,
market);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper)
{
{
symbol, new Security(
SecurityExchangeHours,
subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
}
};
var symbol1 = quoteCash.EnsureCurrencyDataFeed(securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
accountCurrency);
Assert.IsNotNull(symbol1);
Assert.AreEqual(quoteCurrencySymbol, symbol1.Symbol.Value);
var symbol2 = baseCash.EnsureCurrencyDataFeed(securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
accountCurrency);
Assert.IsNotNull(symbol2);
Assert.AreEqual(baseCurrencySymbol, symbol2.Symbol.Value);
}
public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
const Resolution minimumResolution = Resolution.Second;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
}
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 EnsureCurrencyDataFeedsForNonUsdQuoteCurrencyDoNotGetAddedToSymbolCache()
{
SymbolCache.Clear();
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cashJPY = new Cash("JPY", quantity, conversionRate);
var cashGBP = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cashJPY);
cashBook.Add("GBP", cashGBP);
var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
symbol,
new Security(
SecurityExchangeHours,
subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
Assert.IsNotNull(
cashGBP.EnsureCurrencyDataFeed(
securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
cashBook.AccountCurrency));
Assert.IsNotNull(
cashJPY.EnsureCurrencyDataFeed(securities,
subscriptions,
MarketMap,
SecurityChanges.None,
dataManager.SecurityService,
cashBook.AccountCurrency));
Assert.IsFalse(SymbolCache.TryGetSymbol("USDJPY", out symbol));
Assert.IsFalse(SymbolCache.TryGetSymbol("GBPUSD", out symbol));
}
/// <summary>
/// AddData<typeparam name="T"/> a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <remarks>Generic type T must implement base data</remarks>
public void AddData <T>(string symbol, Resolution resolution, bool fillDataForward, decimal leverage = 1.0m)
{
if (_locked)
{
return;
}
//Add this to the data-feed subscriptions
SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, fillDataForward, extendedMarketHours: true);
//Add this new generic data as a tradeable security:
Securities.Add(symbol, SecurityType.Base, resolution, fillDataForward, leverage, extendedMarketHours: true, isDynamicallyLoadedData: true);
}
/// <summary>
/// Add a new user defined data source, requiring only the minimum config options:
/// </summary>
/// <param name="type">typeof(Type) data</param>
/// <param name="symbol">Key/Symbol for data</param>
public void AddData <T>(string symbol, Resolution resolution = Resolution.Second)
{
if (!_locked)
{
//Add this to the data-feed subscriptions
SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, fillDataForward: false, extendedMarketHours: true);
//Add this new generic data as a tradeable security:
// Defaults:extended market hours" = true because we want events 24 hours,
// fillforward = false because only want to trigger when there's new custom data.
// leverage = 1 because no leverage on nonmarket data?
Securities.Add(symbol, SecurityType.Base, resolution, fillDataForward: false, leverage: 1, extendedMarketHours: true, useQuantConnectData: false);
}
}
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 EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "fxcm", TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours, abcConfig, 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
/// <summary>
/// AddData<typeparam name="T"/> a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <param name="isTradeBar">Set to true if this data has Open, High, Low, and Close properties</param>
/// <param name="hasVolume">Set to true if this data has a Volume property</param>
/// <remarks>Generic type T must implement base data</remarks>
public void AddData <T>(string symbol, Resolution resolution, bool fillDataForward, decimal leverage = 1.0m, bool isTradeBar = false, bool hasVolume = false)
{
if (_locked)
{
return;
}
symbol = symbol.ToUpper();
//Add this to the data-feed subscriptions
var config = SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, fillDataForward, extendedMarketHours: true, isTradeBar: isTradeBar, hasVolume: hasVolume);
//Add this new generic data as a tradeable security:
Securities.Add(symbol, config, leverage, isDynamicallyLoadedData: true);
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, abcConfig));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == Symbols.USDJPY));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute);
var securities = new SecurityManager();
securities.Add("ABC", abcConfig);
cash.EnsureCurrencyDataFeed(subscriptions, securities);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager();
var securities = new SecurityManager();
securities.Add("USDJPY", subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute));
cash.EnsureCurrencyDataFeed(subscriptions, securities);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add("ABC", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "ABC", Resolution.Minute, "fxcm", TimeZone), 1m));
cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
Assert.IsTrue(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedAddsSubscription()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(AlgorithmSettings, TimeKeeper);
var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, abcConfig, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, AlwaysOpenMarketHoursDatabase, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == Symbols.USDJPY));
Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
}
/// <summary>
/// AddData<typeparam name="T"/> a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="timeZone">Specifies the time zone of the raw data</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <remarks>Generic type T must implement base data</remarks>
public void AddData <T>(Symbol symbol, Resolution resolution, DateTimeZone timeZone, bool fillDataForward = false, decimal leverage = 1.0m)
where T : BaseData, new()
{
if (_locked)
{
return;
}
//Add this to the data-feed subscriptions
var config = SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, "usa", timeZone, true, fillDataForward, true, false);
var exchangeHours = _exchangeHoursProvider.GetExchangeHours(config);
//Add this new generic data as a tradeable security:
var security = new Security(exchangeHours, config, leverage);
Securities.Add(symbol, security);
}
/// <summary>
/// AddData<typeparam name="T"/> a new user defined data source, requiring only the minimum config options.
/// </summary>
/// <param name="symbol">Key/Symbol for data</param>
/// <param name="resolution">Resolution of the Data Required</param>
/// <param name="fillDataForward">When no data available on a tradebar, return the last data that was generated</param>
/// <param name="leverage">Custom leverage per security</param>
/// <param name="isTradeBar">Set to true if this data has Open, High, Low, and Close properties</param>
/// <param name="hasVolume">Set to true if this data has a Volume property</param>
/// <remarks>Generic type T must implement base data</remarks>
public void AddData <T>(string symbol, Resolution resolution, bool fillDataForward, decimal leverage = 1.0m, bool isTradeBar = false, bool hasVolume = false)
{
if (_locked)
{
return;
}
symbol = symbol.ToUpper();
//Add this to the data-feed subscriptions
var config = SubscriptionManager.Add(typeof(T), SecurityType.Base, symbol, resolution, "usa", TimeZones.NewYork, fillDataForward, true, isTradeBar, hasVolume, false);
var exchangeHours = _exchangeHoursProvider.GetExchangeHours(config);
//Add this new generic data as a tradeable security:
var security = new Security(exchangeHours, config, leverage, true);
Securities.Add(symbol, security);
}
public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(AlgorithmSettings, TimeKeeper, new DataManagerStub());
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, AlwaysOpenMarketHoursDatabase, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook, SecurityChanges.None);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsFalse(config.IsInternalFeed);
}
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("JPY", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cash);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config.IsInternalFeed);
}
public void EnsureInternalCurrencyDataFeedsForNonUsdQuoteCurrencyGetAdded()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cashJPY = new Cash("JPY", quantity, conversionRate);
var cashGBP = new Cash("GBP", quantity, conversionRate);
var cashBook = new CashBook();
cashBook.Add("JPY", cashJPY);
cashBook.Add("GBP", cashGBP);
var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);
var subscriptions = new SubscriptionManager();
var dataManager = new DataManagerStub(TimeKeeper);
subscriptions.SetDataManager(dataManager);
var securities = new SecurityManager(TimeKeeper);
securities.Add(
symbol,
new Security(
SecurityExchangeHours,
subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone),
new Cash(cashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(cashBook.AccountCurrency),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
)
);
cashJPY.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
Assert.IsTrue(config1.IsInternalFeed);
cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, MarketMap, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD);
Assert.IsTrue(config2.IsInternalFeed);
}
public void UpdateModifiesConversionRate()
{
const int quantity = 100;
const decimal conversionRate = 1 / 100m;
var cash = new Cash("GBP", quantity, conversionRate);
var subscriptions = new SubscriptionManager(TimeKeeper);
var securities = new SecurityManager(TimeKeeper);
securities.Add(Symbols.GBPUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.GBPUSD, Resolution.Minute, TimeZone, TimeZone)));
// we need to get subscription index
cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
var last = 1.5m;
cash.Update(new Tick(DateTime.Now, Symbols.GBPUSD, last, last * 1.009m, last * 0.009m));
// jpy is inverted, so compare on the inverse
Assert.AreEqual(last, cash.ConversionRate);
}