private QCAlgorithm GetAlgorithm(IOrderProcessor orderProcessor)
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.Transactions.SetOrderProcessor(orderProcessor);
return(algorithm);
}
public void ClearRemovesUnreachedTarget()
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
var dummySecurityHolding = new FakeSecurityHolding(equity);
equity.Holdings = dummySecurityHolding;
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
collection.Clear();
Assert.AreEqual(collection.Count, 0);
}
public void OrderByMarginImpactDoesNotReturnTargetsWithNoData()
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
algorithm.AddEquity(symbol);
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseTargetIsZero()
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, 0);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
public void OrderByMarginImpactReturnsExpectedTargets()
{
var algorithm = new FakeAlgorithm();
algorithm.SetFinishedWarmingUp();
algorithm.Transactions.SetOrderProcessor(new FakeOrderProcessor());
var symbol = new Symbol(SecurityIdentifier.GenerateEquity(_symbol, Market.USA), _symbol);
var equity = algorithm.AddEquity(symbol);
equity.Cache.AddData(new TradeBar(DateTime.UtcNow, symbol, 1, 1, 1, 1, 1));
var collection = new PortfolioTargetCollection();
var target = new PortfolioTarget(symbol, -1);
collection.Add(target);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.AreEqual(targets.Count(), 1);
Assert.AreEqual(targets.First(), target);
}
