public void SetHoldings_Short_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(100000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $26
Update(eurusd, 26);
// So -100000/26 = -3846, After Rounding off becomes -3000
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, -1m);
Assert.AreEqual(-3000m, actual);
var btcusd = algo.AddCrypto("BTCUSD", market: Market.GDAX);
btcusd.TransactionModel = new ConstantFeeTransactionModel(0);
// Set Price to $26
Update(btcusd, 26);
// So -100000/26 = 3846.153846153846, After Rounding off becomes -3846.15384615, since lot size is 0.00000001
actual = algo.CalculateOrderQuantity(Symbols.BTCUSD, -1m);
Assert.AreEqual(-3846.15384615m, actual);
}
public void LimitBuyOrderChecksOpenOrders()
{
_portfolio.SetCash(5000);
_btcusd = _algorithm.AddCrypto("BTCUSD");
_btcusd.SetMarketPrice(new Tick {
Value = 15000m
});
_ethusd = _algorithm.AddCrypto("ETHUSD");
_ethusd.SetMarketPrice(new Tick {
Value = 1000m
});
_algorithm.SetFinishedWarmingUp();
// BTCUSD buy order decreases available USD (5000 - 1500 = 3500 USD)
SubmitLimitOrder(_btcusd.Symbol, 0.1m, 15000m);
// ETHUSD buy order decreases available USD (3500 - 3000 = 500 USD)
SubmitLimitOrder(_ethusd.Symbol, 3m, 1000m);
// 500 USD available, can buy 0.05 BTC at 10000
var order = new LimitOrder(_btcusd.Symbol, 0.05m, 10000m, DateTime.UtcNow);
Assert.IsTrue(_buyingPowerModel.HasSufficientBuyingPowerForOrder(_portfolio, _btcusd, order));
// 500 USD available, cannot buy 0.06 BTC at 10000
order = new LimitOrder(_btcusd.Symbol, 0.06m, 10000m, DateTime.UtcNow);
Assert.IsFalse(_buyingPowerModel.HasSufficientBuyingPowerForOrder(_portfolio, _btcusd, order));
}
public void AddDataSecurityTickerWithUnderlying(string ticker, Type customDataType, SecurityType securityType, bool securityShouldBeMapped, bool customDataShouldBeMapped)
{
SymbolCache.Clear();
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
Security asset;
switch (securityType)
{
case SecurityType.Cfd:
asset = qcAlgorithm.AddCfd(ticker, Resolution.Daily);
break;
case SecurityType.Crypto:
asset = qcAlgorithm.AddCrypto(ticker, Resolution.Daily);
break;
case SecurityType.Equity:
asset = qcAlgorithm.AddEquity(ticker, Resolution.Daily);
break;
case SecurityType.Forex:
asset = qcAlgorithm.AddForex(ticker, Resolution.Daily);
break;
case SecurityType.Future:
asset = qcAlgorithm.AddFuture(ticker, Resolution.Daily);
break;
default:
throw new Exception($"SecurityType {securityType} is not valid for this test");
}
// Aliased value for Futures contains a forward-slash, which causes the
// lookup in the SymbolCache to fail
if (securityType == SecurityType.Future)
{
ticker = asset.Symbol.Value;
}
// Dummy here is meant to try to corrupt the SymbolCache. Ideally, SymbolCache should return non-custom data types with higher priority
// in case we want to add two custom data types, but still have them associated with the equity from the cache if we're using it.
// This covers the case where two idential data subscriptions are created.
var dummy = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First().DataTimeZone);
var customData = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First().DataTimeZone);
Assert.IsTrue(customData.Symbol.HasUnderlying, $"Custom data added as {ticker} Symbol with SecurityType {securityType} does not have underlying");
Assert.AreEqual(customData.Symbol.Underlying, asset.Symbol, $"Custom data underlying does not match {securityType} Symbol for {ticker}");
var assetSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First();
var customDataSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Base).Single();
var assetShouldBeMapped = assetSubscription.TickerShouldBeMapped();
var customShouldBeMapped = customDataSubscription.TickerShouldBeMapped();
if (securityType == SecurityType.Equity)
{
Assert.AreEqual(securityShouldBeMapped, assetShouldBeMapped);
Assert.AreEqual(customDataShouldBeMapped, customShouldBeMapped);
Assert.AreNotEqual(assetSubscription, customDataSubscription);
if (assetShouldBeMapped == customShouldBeMapped)
{
Assert.AreEqual(assetSubscription.MappedSymbol, customDataSubscription.MappedSymbol);
Assert.AreEqual(asset.Symbol.Value, customData.Symbol.Value.Split('.').First());
}
}
}
public void AddDataSecurityTickerNoUnderlying(string ticker, Type customDataType, SecurityType securityType, bool securityShouldBeMapped, bool customDataShouldBeMapped)
{
SymbolCache.Clear();
var qcAlgorithm = new QCAlgorithm();
qcAlgorithm.SubscriptionManager.SetDataManager(new DataManagerStub(qcAlgorithm));
Security asset;
switch (securityType)
{
case SecurityType.Cfd:
asset = qcAlgorithm.AddCfd(ticker, Resolution.Daily);
break;
case SecurityType.Crypto:
asset = qcAlgorithm.AddCrypto(ticker, Resolution.Daily);
break;
case SecurityType.Equity:
asset = qcAlgorithm.AddEquity(ticker, Resolution.Daily);
break;
case SecurityType.Forex:
asset = qcAlgorithm.AddForex(ticker, Resolution.Daily);
break;
case SecurityType.Future:
asset = qcAlgorithm.AddFuture(ticker, Resolution.Daily);
break;
default:
throw new Exception($"SecurityType {securityType} is not valid for this test");
}
// Dummy here is meant to try to corrupt the SymbolCache. Ideally, SymbolCache should return non-custom data types with higher priority
// in case we want to add two custom data types, but still have them associated with the equity from the cache if we're using it.
// This covers the case where two idential data subscriptions are created.
var dummy = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First().DataTimeZone);
var customData = qcAlgorithm.AddData(customDataType, ticker, Resolution.Daily, qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First().DataTimeZone);
// Check to see if we have an underlying symbol when we shouldn't
Assert.IsFalse(customData.Symbol.HasUnderlying, $"{customDataType.Name} has underlying symbol for SecurityType {securityType} with ticker {ticker}");
Assert.AreEqual(customData.Symbol.Underlying, null, $"{customDataType.Name} - Custom data underlying Symbol for SecurityType {securityType} is not null");
var assetSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == securityType).First();
var customDataSubscription = qcAlgorithm.SubscriptionManager.Subscriptions.Where(x => x.SecurityType == SecurityType.Base).Single();
var assetShouldBeMapped = assetSubscription.TickerShouldBeMapped();
var customShouldBeMapped = customDataSubscription.TickerShouldBeMapped();
Assert.AreEqual(securityShouldBeMapped, assetShouldBeMapped);
Assert.AreEqual(customDataShouldBeMapped, customShouldBeMapped);
Assert.AreNotEqual(assetSubscription, customDataSubscription);
if (assetShouldBeMapped == customShouldBeMapped)
{
// Would fail with CL future without this check because MappedSymbol returns "/CL" for the Future symbol
if (assetSubscription.SecurityType == SecurityType.Future)
{
Assert.AreNotEqual(assetSubscription.MappedSymbol, customDataSubscription.MappedSymbol);
Assert.AreNotEqual(asset.Symbol.Value, customData.Symbol.Value.Split('.').First());
}
else
{
Assert.AreEqual(assetSubscription.MappedSymbol, customDataSubscription.MappedSymbol);
Assert.AreEqual(asset.Symbol.Value, customData.Symbol.Value.Split('.').First());
}
}
}
/// <summary>
/// Creates and adds a new <see cref="Crypto"/> security to the algorithm
/// </summary>
/// <param name="ticker">The currency pair</param>
/// <param name="resolution">The <see cref="Resolution"/> of market data, Tick, Second, Minute, Hour, or Daily. Default is <see cref="Resolution.Minute"/></param>
/// <param name="market">The cfd trading market, <seealso cref="Market"/>. Default value is null and looked up using BrokerageModel.DefaultMarkets in <see cref="AddSecurity{T}"/></param>
/// <param name="fillDataForward">If true, returns the last available data even if none in that timeslice. Default is <value>true</value></param>
/// <param name="leverage">The requested leverage for this equity. Default is set by <see cref="SecurityInitializer"/></param>
/// <returns>The new <see cref="Crypto"/> security</returns>
public Crypto AddCrypto(string ticker, Resolution resolution = Resolution.Minute, string market = null, bool fillDataForward = true, decimal leverage = 0m)
{
return(_algorithm.AddCrypto(ticker, resolution, market, fillDataForward, leverage));
}
