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 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", new Security(abcConfig, 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions); Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY")); Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY")); }
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, 1m)); 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 UpdateModifiesConversionRateAsInvertedValue() { 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), 1m)); // we need to get subscription index cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); var last = 120m; cash.Update(new Tick(DateTime.Now, Symbols.USDJPY, last, 119.95m, 120.05m)); // jpy is inverted, so compare on the inverse Assert.AreEqual(1 / last, cash.ConversionRate); }
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(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone), 1m)); securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone), 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution); }
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(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone), 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY); Assert.IsTrue(config.IsInternalFeed); }
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent() { const int quantity = 100; const decimal conversionRate = 1 / 100m; var cash = new Cash("JPY", quantity, conversionRate); var securities = new SecurityManager(TimeKeeper); var subscriptions = new SubscriptionManager(TimeKeeper); cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); }
public void UpdateModifiesConversionRate() { const int quantity = 100; const decimal conversionRate = 1 / 100m; var cash = new Cash("GBP", quantity, conversionRate); var cashBook = new CashBook(); cashBook.Add("GBP", cash); 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), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency))); // we need to get subscription index cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook); 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); }
/// <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="securities">The security manager</param> /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param> /// <param name="exchangeHoursProvider">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param> public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, SecurityExchangeHoursProvider exchangeHoursProvider) { if (Symbol == CashBook.AccountCurrency) { SecuritySymbol = string.Empty; _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.AccountCurrency; string invert = CashBook.AccountCurrency + Symbol; foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex)) { if (config.Symbol == normal) { SecuritySymbol = config.Symbol; return; } if (config.Symbol == invert) { SecuritySymbol = config.Symbol; _invertRealTimePrice = true; return; } } // get the market from the first Forex subscription string market = (from config in subscriptions.Subscriptions where config.SecurityType == SecurityType.Forex select config.Market).FirstOrDefault() ?? "fxcm"; // 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); foreach (var symbol in currencyPairs) { if (symbol == normal || symbol == invert) { _invertRealTimePrice = symbol == invert; var exchangeHours = exchangeHoursProvider.GetExchangeHours(market, symbol, SecurityType.Forex); // set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events var config = subscriptions.Add(objectType, SecurityType.Forex, symbol, minimumResolution, market, exchangeHours.TimeZone, true, false, true); var security = new Forex.Forex(this, config, 1m); SecuritySymbol = config.Symbol; securities.Add(symbol, security); Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol + " for cash " + Symbol + " currency feed"); 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.AccountCurrency)); }
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", TimeZones.NewYork); var securities = new SecurityManager(TimeKeeper); securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, 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> /// Ensures that we have a data feed to convert this currency into the base currency. /// This will add a subscription at the lowest resolution if one is not found. /// </summary> /// <param name="securities">The security manager</param> /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param> /// <param name="marketHoursDatabase">A security exchange hours provider instance used to resolve exchange hours for new subscriptions</param> /// <param name="symbolPropertiesDatabase">A symbol properties database instance</param> /// <param name="marketMap">The market map that decides which market the new security should be in</param> /// <param name="cashBook">The cash book - used for resolving quote currencies for created conversion securities</param> /// <returns>Returns the added currency security if needed, otherwise null</returns> public Security EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions, MarketHoursDatabase marketHoursDatabase, SymbolPropertiesDatabase symbolPropertiesDatabase, IReadOnlyDictionary<SecurityType, string> marketMap, CashBook cashBook) { if (Symbol == CashBook.AccountCurrency) { SecuritySymbol = QuantConnect.Symbol.Empty; _isBaseCurrency = true; ConversionRate = 1.0m; return null; } 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.AccountCurrency; string invert = CashBook.AccountCurrency + Symbol; foreach (var config in subscriptions.Subscriptions.Where(config => config.SecurityType == SecurityType.Forex || config.SecurityType == SecurityType.Cfd)) { if (config.Symbol.Value == normal) { SecuritySymbol = config.Symbol; return null; } if (config.Symbol.Value == invert) { SecuritySymbol = config.Symbol; _invertRealTimePrice = true; return null; } } // if we've made it here we didn't find a subscription, so we'll need to add one var currencyPairs = Currencies.CurrencyPairs.Select(x => { // allow XAU or XAG to be used as quote currencies, but pairs including them are CFDs var securityType = Symbol.StartsWith("X") ? SecurityType.Cfd : SecurityType.Forex; var market = marketMap[securityType]; return QuantConnect.Symbol.Create(x, securityType, market); }); var minimumResolution = subscriptions.Subscriptions.Select(x => x.Resolution).DefaultIfEmpty(Resolution.Minute).Min(); var objectType = minimumResolution == Resolution.Tick ? typeof (Tick) : typeof (TradeBar); foreach (var symbol in currencyPairs) { if (symbol.Value == normal || symbol.Value == invert) { _invertRealTimePrice = symbol.Value == invert; var marketHoursDbEntry = marketHoursDatabase.GetEntry(symbol.ID.Market, symbol.Value, symbol.ID.SecurityType); var exchangeHours = marketHoursDbEntry.ExchangeHours; // set this as an internal feed so that the data doesn't get sent into the algorithm's OnData events var config = subscriptions.Add(objectType, symbol, minimumResolution, marketHoursDbEntry.DataTimeZone, exchangeHours.TimeZone, false, true, false, true); SecuritySymbol = config.Symbol; var securityType = symbol.ID.SecurityType; Security security; if (securityType == SecurityType.Cfd) { var symbolProperties = symbolPropertiesDatabase.GetSymbolProperties(symbol.ID.Market, symbol.Value, securityType); Cash quoteCash; if (!cashBook.TryGetValue(symbolProperties.QuoteCurrency, out quoteCash)) { throw new Exception("Unable to resolve quote cash: " + symbolProperties.QuoteCurrency + ". This is required to add conversion feed: " + symbol.ToString()); } security = new Cfd.Cfd(exchangeHours, quoteCash, config, symbolProperties); } else { security = new Forex.Forex(exchangeHours, this, config); } securities.Add(config.Symbol, security); Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol.Value + " for cash " + Symbol + " currency feed"); return security; } } // 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.AccountCurrency)); }
public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions() { 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("ABC", new Security(subscriptions.Add(SecurityType.Forex, "ABC", Resolution.Minute), 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions); var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY"); Assert.IsTrue(config.IsInternalFeed); }
/// <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="securities">The security manager</param> /// <param name="subscriptions">The subscription manager used for searching and adding subscriptions</param> public void EnsureCurrencyDataFeed(SecurityManager securities, SubscriptionManager subscriptions) { if (Symbol == CashBook.AccountCurrency) { _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.AccountCurrency; string invert = CashBook.AccountCurrency + Symbol; for (int i = 0; i < subscriptions.Subscriptions.Count; i++) { var config = subscriptions.Subscriptions[i]; if (config.SecurityType != 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); var security = new Forex.Forex(this, _config, 1m, false); securities.Add(symbol, security); Log.Trace("Cash.EnsureCurrencyDataFeed(): Adding " + symbol + " for cash " + this.Symbol + " currency feed"); 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.AccountCurrency)); }
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, subscriptions.Add(SecurityType.Forex, "GBPUSD", Resolution.Minute, "fxcm", TimeZone), 1m)); // we need to get subscription index cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); var last = 1.5m; cash.Update(new Tick(DateTime.Now, "GBPUSD", last, last * 1.009m, last * 0.009m)); // jpy is inverted, so compare on the inverse Assert.AreEqual(last, cash.ConversionRate); }
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("USDJPY", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute, "fxcm", TimeZone), 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen); var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY"); Assert.IsFalse(config.IsInternalFeed); }
public void ForexCashFills() { // this test asserts the portfolio behaves according to the Test_Cash algo, but for a Forex security, // see TestData\CashTestingStrategy.csv; also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1" const string fillsFile = "TestData\\test_forex_fills.xml"; const string equityFile = "TestData\\test_forex_equity.xml"; const string mchQuantityFile = "TestData\\test_forex_fills_mch_quantity.xml"; const string jwbQuantityFile = "TestData\\test_forex_fills_jwb_quantity.xml"; var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent( x.Get<int>("OrderId"), SymbolMap[x.Get<string>("Symbol")], DateTime.MinValue, x.Get<OrderStatus>("Status"), x.Get<int>("FillQuantity") < 0 ? OrderDirection.Sell : x.Get<int>("FillQuantity") > 0 ? OrderDirection.Buy : OrderDirection.Hold, x.Get<decimal>("FillPrice"), x.Get<int>("FillQuantity"), 0) ).ToList(); var equity = XDocument.Load(equityFile).Descendants("decimal") .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture)) .ToList(); var mchQuantity = XDocument.Load(mchQuantityFile).Descendants("decimal") .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture)) .ToList(); var jwbQuantity = XDocument.Load(jwbQuantityFile).Descendants("decimal") .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture)) .ToList(); Assert.AreEqual(fills.Count + 1, equity.Count); // we're going to process fills and very our equity after each fill var subscriptions = new SubscriptionManager(TimeKeeper); var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(equity[0]); portfolio.CashBook.Add("MCH", mchQuantity[0], 0); portfolio.CashBook.Add("JWB", jwbQuantity[0], 0); var jwbCash = portfolio.CashBook["JWB"]; var mchCash = portfolio.CashBook["MCH"]; var usdCash = portfolio.CashBook["USD"]; var mchJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, jwbCash, subscriptions.Add(MCHJWB, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(jwbCash.Symbol)); mchJwbSecurity.SetLeverage(10m); var mchUsdSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, subscriptions.Add(MCHUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(usdCash.Symbol)); mchUsdSecurity.SetLeverage(10m); var usdJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, mchCash, subscriptions.Add(USDJWB, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork), SymbolProperties.GetDefault(mchCash.Symbol)); usdJwbSecurity.SetLeverage(10m); // no fee model mchJwbSecurity.TransactionModel = new SecurityTransactionModel(); mchUsdSecurity.TransactionModel = new SecurityTransactionModel(); usdJwbSecurity.TransactionModel = new SecurityTransactionModel(); securities.Add(mchJwbSecurity); securities.Add(usdJwbSecurity); securities.Add(mchUsdSecurity); portfolio.CashBook.EnsureCurrencyDataFeeds(securities, subscriptions, MarketHoursDatabase.FromDataFolder(), SymbolPropertiesDatabase.FromDataFolder(), DefaultBrokerageModel.DefaultMarketMap); for (int i = 0; i < fills.Count; i++) { // before processing the fill we must deduct the cost var fill = fills[i]; var time = DateTime.Today.AddDays(i); // the value of 'MCJWB' increments for each fill, the original test algo did this monthly // the time doesn't really matter though decimal mchJwb = i + 1; decimal mchUsd = (i + 1)/(i + 2m); decimal usdJwb = i + 2; Assert.AreEqual((double)mchJwb, (double)(mchUsd*usdJwb), 1e-10); //Console.WriteLine("Step: " + i + " -- MCHJWB: " + mchJwb); jwbCash.Update(new IndicatorDataPoint(MCHJWB, time, mchJwb)); usdCash.Update(new IndicatorDataPoint(MCHUSD, time, mchUsd)); mchCash.Update(new IndicatorDataPoint(JWBUSD, time, usdJwb)); var updateData = new Dictionary<Security, BaseData> { {mchJwbSecurity, new IndicatorDataPoint(MCHJWB, time, mchJwb)}, {mchUsdSecurity, new IndicatorDataPoint(MCHUSD, time, mchUsd)}, {usdJwbSecurity, new IndicatorDataPoint(JWBUSD, time, usdJwb)} }; foreach (var kvp in updateData) { kvp.Key.SetMarketPrice(kvp.Value); } portfolio.ProcessFill(fill); //Console.WriteLine("-----------------------"); //Console.WriteLine(fill); //Console.WriteLine("Post step: " + i); //foreach (var cash in portfolio.CashBook) //{ // Console.WriteLine(cash.Value); //} //Console.WriteLine("CashValue: " + portfolio.CashBook.TotalValueInAccountCurrency); Console.WriteLine(i + 1 + " " + portfolio.TotalPortfolioValue.ToString("C")); //Assert.AreEqual((double) equity[i + 1], (double)portfolio.TotalPortfolioValue, 2e-2); Assert.AreEqual((double) mchQuantity[i + 1], (double)portfolio.CashBook["MCH"].Amount); Assert.AreEqual((double) jwbQuantity[i + 1], (double)portfolio.CashBook["JWB"].Amount); //Console.WriteLine(); //Console.WriteLine(); } }
public void 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(TimeKeeper); 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, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook); var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY); Assert.IsFalse(config.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(); var securities = new SecurityManager(); securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute), 1m)); securities.Add("BCD", new Security(subscriptions.Add(SecurityType.Equity, "BCD", minimumResolution), 1m)); cash.EnsureCurrencyDataFeed(securities, subscriptions); Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution); }
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 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 UpdateModifiesConversionRateAsInvertedValue() { 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", new Security(subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute), 1m)); // we need to get subscription index cash.EnsureCurrencyDataFeed(securities, subscriptions); var last = 120m; var data = new Dictionary<int, List<BaseData>>(); data.Add(0, new List<BaseData> { new Tick(DateTime.Now, "USDJPY", last, 119.95m, 120.05m) }); cash.Update(data); // jpy is inverted, so compare on the inverse Assert.AreEqual(1 / 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); 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, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook); var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY); Assert.IsTrue(config1.IsInternalFeed); cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook); var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD); Assert.IsTrue(config2.IsInternalFeed); }
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent() { const int quantity = 100; const decimal conversionRate = 1 / 100m; var cash = new Cash("JPY", quantity, conversionRate); var securities = new SecurityManager(); var subscriptions = new SubscriptionManager(); cash.EnsureCurrencyDataFeed(securities, subscriptions); }
public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent() { 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 securities = new SecurityManager(TimeKeeper); var subscriptions = new SubscriptionManager(TimeKeeper); cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook); }
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); } }