public void CurrencyConversionRateResolved()
{
// Unit test to prove that in the event that default resolution (minute) history request returns
// no data for our currency conversion that BaseSetupHandler will use a daily history request
// to determine the the conversion rate if possible.
// Setup history provider and algorithm
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var zipCache = new ZipDataCacheProvider(new DefaultDataProvider());
historyProvider.Initialize(new HistoryProviderInitializeParameters(
null,
null,
TestGlobals.DataProvider,
zipCache,
TestGlobals.MapFileProvider,
TestGlobals.FactorFileProvider,
null,
false,
new DataPermissionManager()));
var algorithm = new BrokerageSetupHandlerTests.TestAlgorithm {
UniverseSettings = { Resolution = Resolution.Minute }
};
algorithm.SetHistoryProvider(historyProvider);
// Pick a date range where we do NOT have BTCUSD minute data
algorithm.SetStartDate(2015, 1, 24);
algorithm.SetCash("USD", 0);
algorithm.SetCash("BTC", 10);
// Have BaseSetupHandler resolve the currency conversion
BaseSetupHandler.SetupCurrencyConversions(algorithm, algorithm.DataManager.UniverseSelection);
// Assert that our portfolio has some value and that value is bitcoin
Assert.IsTrue(algorithm.Portfolio.Cash > 0);
Assert.IsTrue(algorithm.Portfolio.CashBook["BTC"].ValueInAccountCurrency > 0);
zipCache.DisposeSafely();
}
/// <summary>
/// Creates an instance of the PortfolioLooper class
/// </summary>
/// <param name="startingCash">Equity curve</param>
/// <param name="orders">Order events</param>
/// <param name="resolution">Optional parameter to override default resolution (Hourly)</param>
private PortfolioLooper(double startingCash, List <Order> orders, Resolution resolution = _resolution)
{
// Initialize the providers that the HistoryProvider requires
var factorFileProvider = Composer.Instance.GetExportedValueByTypeName <IFactorFileProvider>("LocalDiskFactorFileProvider");
var mapFileProvider = Composer.Instance.GetExportedValueByTypeName <IMapFileProvider>("LocalDiskMapFileProvider");
_cacheProvider = new ZipDataCacheProvider(new DefaultDataProvider(), false);
var historyProvider = new SubscriptionDataReaderHistoryProvider();
var dataPermissionManager = new DataPermissionManager();
historyProvider.Initialize(new HistoryProviderInitializeParameters(null, null, null, _cacheProvider, mapFileProvider, factorFileProvider, (_) => { }, false, dataPermissionManager));
Algorithm = new PortfolioLooperAlgorithm((decimal)startingCash, orders);
Algorithm.SetHistoryProvider(historyProvider);
// Dummy LEAN datafeed classes and initializations that essentially do nothing
var job = new BacktestNodePacket(1, 2, "3", null, 9m, $"");
var feed = new MockDataFeed();
// Create MHDB and Symbol properties DB instances for the DataManager
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
_dataManager = new DataManager(feed,
new UniverseSelection(
Algorithm,
new SecurityService(Algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
Algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(Algorithm.Portfolio)),
dataPermissionManager,
new DefaultDataProvider()),
Algorithm,
Algorithm.TimeKeeper,
marketHoursDatabase,
false,
RegisteredSecurityDataTypesProvider.Null,
dataPermissionManager);
_securityService = new SecurityService(Algorithm.Portfolio.CashBook,
marketHoursDatabase,
symbolPropertiesDataBase,
Algorithm,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCacheProvider(Algorithm.Portfolio));
var transactions = new BacktestingTransactionHandler();
_resultHandler = new BacktestingResultHandler();
// Initialize security services and other properties so that we
// don't get null reference exceptions during our re-calculation
Algorithm.Securities.SetSecurityService(_securityService);
Algorithm.SubscriptionManager.SetDataManager(_dataManager);
// Initializes all the proper Securities from the orders provided by the user
Algorithm.FromOrders(orders);
// Initialize the algorithm
Algorithm.Initialize();
Algorithm.PostInitialize();
// More initialization, this time with Algorithm and other misc. classes
_resultHandler.Initialize(job, new Messaging.Messaging(), new Api.Api(), transactions);
_resultHandler.SetAlgorithm(Algorithm, Algorithm.Portfolio.TotalPortfolioValue);
Algorithm.Transactions.SetOrderProcessor(transactions);
transactions.Initialize(Algorithm, new BacktestingBrokerage(Algorithm), _resultHandler);
feed.Initialize(Algorithm, job, _resultHandler, null, null, null, _dataManager, null, null);
// Begin setting up the currency conversion feed if needed
var coreSecurities = Algorithm.Securities.Values.ToList();
if (coreSecurities.Any(x => x.Symbol.SecurityType == SecurityType.Forex || x.Symbol.SecurityType == SecurityType.Crypto))
{
BaseSetupHandler.SetupCurrencyConversions(Algorithm, _dataManager.UniverseSelection);
var conversionSecurities = Algorithm.Securities.Values.Where(s => !coreSecurities.Contains(s)).ToList();
// Skip the history request if we don't need to convert anything
if (conversionSecurities.Any())
{
// Point-in-time Slices to convert FX and Crypto currencies to the portfolio currency
_conversionSlices = GetHistory(Algorithm, conversionSecurities, resolution);
}
}
}
