/********************************************************
* CLASS CONSTRUCTOR
*********************************************************/
/// <summary>
/// Initialise the Algorithm
/// </summary>
public QCAlgorithm()
{
//Initialise the Algorithm Helper Classes:
//- Note - ideally these wouldn't be here, but because of the DLL we need to make the classes shared across
// the Worker & Algorithm, limiting ability to do anything else.
Securities = new SecurityManager();
Transacions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transacions);
//Initialise Data Manager
DataManager = new DataManager();
//Initialise Error and Order Holders:
Errors = new List<string>();
//Initialise Algorithm RunMode to Automatic:
_runMode = RunMode.Automatic;
//Initialise to unlocked:
_locked = false;
//Initialise Start and End Dates:
_startDate = new DateTime();
_endDate = new DateTime();
}
public void FundsAreSettledImmediately()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
var model = new ImmediateSettlementModel();
var config = CreateTradeBarConfig();
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config);
portfolio.SetCash(1000);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
Assert.AreEqual(2000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "USD", -500);
Assert.AreEqual(1500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
Assert.AreEqual(2500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void SellOnThursdaySettleOnTuesday()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
// settlement at T+3, 8:00 AM
var model = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
portfolio.SetCash(3000);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Thursday
var timeUtc = Noon.AddDays(3).ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Saturday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Sunday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Monday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Tuesday at 7:55 AM, still unsettled
timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Tuesday at 8 AM, now settled
timeUtc = timeUtc.AddMinutes(5);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(4000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
/// <summary>
/// Initialise security portfolio manager.
/// </summary>
public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions)
{
Securities = securityManager;
Transactions = transactions;
MarginCallModel = new MarginCallModel(this);
CashBook = new CashBook();
_baseCurrencyCash = CashBook[CashBook.AccountCurrency];
// default to $100,000.00
_baseCurrencyCash.Quantity = 100000;
}
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);
}
}
/// <summary>
/// Initialise security portfolio manager.
/// </summary>
public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions, IOrderProperties defaultOrderProperties = null)
{
Securities = securityManager;
Transactions = transactions;
MarginCallModel = new DefaultMarginCallModel(this, defaultOrderProperties);
CashBook = new CashBook();
UnsettledCashBook = new CashBook();
_unsettledCashAmounts = new List <UnsettledCashAmount>();
_baseCurrencyCash = CashBook[CashBook.AccountCurrency];
_baseCurrencyUnsettledCash = UnsettledCashBook[CashBook.AccountCurrency];
// default to $100,000.00
_baseCurrencyCash.SetAmount(100000);
}
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 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 EquitySellAppliesSettlementCorrectly()
{
var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
securities.Add("AAPL", new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1));
securities["AAPL"].SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Buy on Monday
var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
var fill = new OrderEvent(1, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(10, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(-1, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Tuesday, cash unsettled
timeUtc = timeUtc.AddDays(1);
fill = new OrderEvent(2, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Thursday, still cash unsettled
timeUtc = timeUtc.AddDays(2);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday at open, cash settled
timeUtc = timeUtc.AddDays(1).Date.Add(securityExchangeHours.MarketHours[timeUtc.DayOfWeek].MarketOpen).ConvertToUtc(securityExchangeHours.TimeZone);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void EquitySellAppliesSettlementCorrectly()
{
var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
securities.Add(Symbols.AAPL, new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Buy on Monday
var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
var orderFee = security.FeeModel.GetOrderFee(security,new MarketOrder(Symbols.AAPL, 10, timeUtc));
var fill = new OrderEvent(1, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, orderFee);
portfolio.ProcessFill(fill);
Assert.AreEqual(10, security.Holdings.Quantity);
Assert.AreEqual(-1, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Tuesday, cash unsettled
timeUtc = timeUtc.AddDays(1);
orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
fill = new OrderEvent(2, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, orderFee);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Thursday, still cash unsettled
timeUtc = timeUtc.AddDays(2);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday at open, cash settled
var marketOpen = securityExchangeHours.MarketHours[timeUtc.DayOfWeek].GetMarketOpen(TimeSpan.Zero, false);
Assert.IsTrue(marketOpen.HasValue);
timeUtc = timeUtc.AddDays(1).Date.Add(marketOpen.Value).ConvertToUtc(securityExchangeHours.TimeZone);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void ForexFillUpdatesCashCorrectly()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
portfolio.CashBook.Add("EUR", 0, 1.1000m);
securities.Add("EURUSD", new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, portfolio.CashBook["USD"], CreateTradeBarDataConfig(SecurityType.Forex, "EURUSD"), 1));
Assert.AreEqual(0, securities["EURUSD"].Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
var fill = new OrderEvent(1, "EURUSD", DateTime.MinValue, OrderStatus.Filled, OrderDirection.Buy, 1.1000m, 100, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(100, securities["EURUSD"].Holdings.Quantity);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(100, portfolio.CashBook["EUR"].Quantity);
Assert.AreEqual(888, portfolio.CashBook["USD"].Quantity);
}
public void SellingShortFromShortAddsToCash()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(0);
securities.Add(Symbols.AAPL, new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
securities[Symbols.AAPL].Holdings.SetHoldings(100, -100);
var fill = new OrderEvent(1, Symbols.AAPL, DateTime.MinValue, OrderStatus.Filled, OrderDirection.Sell, 100, -100, 0);
Assert.AreEqual(-100, securities[Symbols.AAPL].Holdings.Quantity);
portfolio.ProcessFill(fill);
Assert.AreEqual(100 * 100, portfolio.Cash);
Assert.AreEqual(-200, securities[Symbols.AAPL].Holdings.Quantity);
}
public void ForexFillUpdatesCashCorrectly()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
portfolio.CashBook.Add("EUR", 0, 1.1000m);
securities.Add(Symbols.EURUSD, new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, portfolio.CashBook["USD"], CreateTradeBarDataConfig(SecurityType.Forex, Symbols.EURUSD), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.EURUSD];
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
var orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.EURUSD, 100, DateTime.MinValue));
var fill = new OrderEvent(1, Symbols.EURUSD, DateTime.MinValue, OrderStatus.Filled, OrderDirection.Buy, 1.1000m, 100, orderFee);
portfolio.ProcessFill(fill);
Assert.AreEqual(100, security.Holdings.Quantity);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(100, portfolio.CashBook["EUR"].Amount);
Assert.AreEqual(888, portfolio.CashBook["USD"].Amount);
}
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);
}
private SecurityPortfolioManager GetPortfolio(IOrderProcessor orderProcessor, int quantity)
{
var securities = new SecurityManager(new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork }));
var transactions = new SecurityTransactionManager(securities);
transactions.SetOrderProcessor(orderProcessor);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(quantity);
return portfolio;
}
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 SellingShortFromZeroAddsToCash()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(0);
securities.Add("AAPL", new Security(SecurityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1));
var fill = new OrderEvent(1, "AAPL", DateTime.MinValue, OrderStatus.Filled, OrderDirection.Sell, 100, -100, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(100 * 100, portfolio.Cash);
Assert.AreEqual(-100, securities["AAPL"].Holdings.Quantity);
}
public void MarginComputesProperlyWithMultipleSecurities()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = 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, "AAPL");
securities.Add(new Security(SecurityExchangeHours, config1, 2));
securities["AAPL"].Holdings.SetHoldings(100, 100);
securities["AAPL"].SetMarketPrice(new TradeBar{Time = time, Value = 100});
//Console.WriteLine("AAPL TMU: " + securities["AAPL"].MarginModel.GetMaintenanceMargin(securities["AAPL"]));
//Console.WriteLine("AAPL Value: " + securities["AAPL"].Holdings.HoldingsValue);
//Console.WriteLine();
var config2 = CreateTradeBarDataConfig(SecurityType.Forex, "EURUSD");
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, usdCash, config2, 100));
securities["EURUSD"].Holdings.SetHoldings(1.1m, 1000);
securities["EURUSD"].SetMarketPrice(new TradeBar { Time = time, Value = 1.1m });
//Console.WriteLine("EURUSD TMU: " + securities["EURUSD"].MarginModel.GetMaintenanceMargin(securities["EURUSD"]));
//Console.WriteLine("EURUSD Value: " + securities["EURUSD"].Holdings.HoldingsValue);
//Console.WriteLine();
var config3 = CreateTradeBarDataConfig(SecurityType.Forex, "EURGBP");
securities.Add(new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours, gbpCash, config3, 100));
securities["EURGBP"].Holdings.SetHoldings(1m, 1000);
securities["EURGBP"].SetMarketPrice(new TradeBar { Time = time, Value = 1m });
//Console.WriteLine("EURGBP TMU: " + securities["EURGBP"].MarginModel.GetMaintenanceMargin(securities["EURGBP"]));
//Console.WriteLine("EURGBP Value: " + securities["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("AAPL", 101, DateTime.Now) {Price = 100};
var sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, acceptedOrder);
Assert.IsTrue(sufficientCapital);
var rejectedOrder = new MarketOrder("AAPL", 102, DateTime.Now) { Price = 100 };
sufficientCapital = transactions.GetSufficientCapitalForOrder(portfolio, rejectedOrder);
Assert.IsFalse(sufficientCapital);
}
public void ComputeMarginProperlyAsSecurityPriceFluctuates()
{
const decimal leverage = 1m;
const int quantity = (int) (1000*leverage);
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.CashBook["USD"].Quantity = quantity;
var config = CreateTradeBarDataConfig(SecurityType.Equity, "AAPL");
securities.Add(new Security(SecurityExchangeHours, config, leverage, false));
var time = DateTime.Now;
const decimal buyPrice = 1m;
var security = securities["AAPL"];
security.SetMarketPrice(new TradeBar(time, "AAPL", buyPrice, buyPrice, buyPrice, buyPrice, 1));
var order = new MarketOrder("AAPL", quantity, time) {Price = buyPrice};
var fill = new OrderEvent(order){FillPrice = buyPrice, FillQuantity = quantity};
Assert.AreEqual(portfolio.CashBook["USD"].Quantity, 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("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, "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("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, "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("AAPL", quantity, time) { Price = buyPrice };
fill = new OrderEvent(order) { 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);
}
/********************************************************
* CLASS CONSTRUCTOR
*********************************************************/
/// <summary>
/// Initialise security portfolio manager.
/// </summary>
public SecurityPortfolioManager(SecurityManager securityManager, SecurityTransactionManager transactions)
{
Securities = securityManager;
Transactions = transactions;
}
private Security InitializeTest(DateTime reference, out SecurityPortfolioManager portfolio)
{
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.SetMarketPrice(new Tick { Value = 100 });
var timeKeeper = new TimeKeeper(reference);
var securityManager = new SecurityManager(timeKeeper);
securityManager.Add(security);
var transactionManager = new SecurityTransactionManager(securityManager);
portfolio = new SecurityPortfolioManager(securityManager, transactionManager);
portfolio.SetCash("USD", 100 * 1000m, 1m);
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(100*1000m, portfolio.CashBook[CashBook.AccountCurrency].Amount);
return security;
}