/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </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.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
}
public void Initialize()
{
_algorithm = new QCAlgorithm();
_algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(_algorithm));
_portfolio = _algorithm.Portfolio;
_portfolio.CashBook.Add("EUR", 0, 1.20m);
_portfolio.CashBook.Add("BTC", 0, 15000m);
_portfolio.CashBook.Add("ETH", 0, 1000m);
_algorithm.SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);
_transactionHandler = new BacktestingTransactionHandler();
_brokerage = new BacktestingBrokerage(_algorithm);
_transactionHandler.Initialize(_algorithm, _brokerage, new TestResultHandler());
_algorithm.Transactions.SetOrderProcessor(_transactionHandler);
var tz = TimeZones.NewYork;
_btcusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethusd = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook[Currencies.USD],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHUSD, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHUSD", Currencies.USD, 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["EUR"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_ethbtc = new Crypto(
SecurityExchangeHours.AlwaysOpen(tz),
_portfolio.CashBook["BTC"],
new SubscriptionDataConfig(typeof(TradeBar), Symbols.ETHBTC, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("ETHBTC", "BTC", 1, 0.00001m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
_buyingPowerModel = new CashBuyingPowerModel();
_timeKeeper = new LocalTimeKeeper(new DateTime(2019, 4, 22), DateTimeZone.Utc);
_btcusd.SetLocalTimeKeeper(_timeKeeper);
_ethusd.SetLocalTimeKeeper(_timeKeeper);
_btceur.SetLocalTimeKeeper(_timeKeeper);
_ethbtc.SetLocalTimeKeeper(_timeKeeper);
}
/// <summary>
/// Sets the <see cref="LocalTimeKeeper"/> to be used for this <see cref="Security"/>.
/// This is the source of this instance's time.
/// </summary>
/// <param name="localTimeKeeper">The source of this <see cref="Security"/>'s time.</param>
public void SetLocalTimeKeeper(LocalTimeKeeper localTimeKeeper)
{
_localTimeKeeper = localTimeKeeper;
_localTimeKeeper.TimeUpdated += (sender, args) =>
{
//Update the Exchange/Timer:
Exchange.SetLocalDateTimeFrontier(args.Time);
};
}
public void GtdSameDayTimeInForceForexOrderAfter5PMExpiresAt5PMNextDay()
{
// set time to 6:00:00 PM (NY time)
var utcTime = new DateTime(2018, 4, 27, 18, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(Currencies.USD, 0, 1m),
new SubscriptionDataConfig(
typeof(QuoteBar),
Symbols.EURUSD,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
true
),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// set time to midnight (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 4:59:59 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 5:00:00 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceForexOrderBeforeExpiresAt5PMOnExpiryDate()
{
// set time to 10:00:00 AM (NY time)
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.EURUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 27th 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceCryptoOrderExpiresAtMidnightUtcAfterExpiryDate()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
var security = new Crypto(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.BTCUSD, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, true, true),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.BTCUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th before midnight
localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 28th at midnight
localTimeKeeper.UpdateTime(utcTime.AddHours(14));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st before midnight
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 2nd at midnight
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceEquityOrderExpiresAtMarketCloseOnExpiryDate()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Equity(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th before market close
localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 27th at market close
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st before market close
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at market close
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null)
{
throw new ArgumentNullException("timeZone");
}
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
}
public void DayTimeInForceEquityOrderExpiresAtMarketClose()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Equity(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
true
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.Day;
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdSameDayTimeInForceCryptoOrderExpiresAtMidnightUtc()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
var security = new Crypto(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new Cash(Currencies.USD, 0, 1m),
new SubscriptionDataConfig(
typeof(QuoteBar),
Symbols.BTCUSD,
Resolution.Minute,
TimeZones.Utc,
TimeZones.Utc,
true,
true,
true
),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.BTCUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
localTimeKeeper.UpdateTime(utcTime.AddHours(14));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
/// <summary>
/// Sets the time zone of the <see cref="Time"/> property in the algorithm
/// </summary>
/// <param name="timeZone">The desired time zone</param>
public void SetTimeZone(DateTimeZone timeZone)
{
if (_locked)
{
throw new Exception("Algorithm.SetTimeZone(): Cannot change time zone after algorithm running.");
}
if (timeZone == null)
{
throw new ArgumentNullException("timeZone");
}
_timeKeeper.AddTimeZone(timeZone);
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(timeZone);
// the time rules need to know the default time zone as well
TimeRules.SetDefaultTimeZone(timeZone);
}
/// <summary>
/// QCAlgorithm Base Class Constructor - Initialize the underlying QCAlgorithm components.
/// QCAlgorithm manages the transactions, portfolio, charting and security subscriptions for the users algorithms.
/// </summary>
public QCAlgorithm()
{
// AlgorithmManager will flip this when we're caught up with realtime
IsWarmingUp = true;
//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.
//Initialise Start and End Dates:
_startDate = new DateTime(1998, 01, 01);
_endDate = DateTime.Now.AddDays(-1);
// intialize our time keeper with only new york
_timeKeeper = new TimeKeeper(_startDate, new[] { TimeZones.NewYork });
// set our local time zone
_localTimeKeeper = _timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
//Initialise Data Manager
SubscriptionManager = new SubscriptionManager(_timeKeeper);
Securities = new SecurityManager(_timeKeeper);
Transactions = new SecurityTransactionManager(Securities);
Portfolio = new SecurityPortfolioManager(Securities, Transactions);
BrokerageModel = new DefaultBrokerageModel();
Notify = new NotificationManager(false); // Notification manager defaults to disabled.
//Initialise Algorithm RunMode to Series - Parallel Mode deprecated:
_runMode = RunMode.Series;
//Initialise to unlocked:
_locked = false;
// get exchange hours loaded from the market-hours-database.csv in /Data/market-hours
_exchangeHoursProvider = SecurityExchangeHoursProvider.FromDataFolder();
UniverseSettings = new SubscriptionSettings(Resolution.Minute, 2m, true, false);
// initialize our scheduler, this acts as a liason to the real time handler
Schedule = new ScheduleManager(Securities, TimeZone);
// initialize the trade builder
TradeBuilder = new TradeBuilder(FillGroupingMethod.FillToFill, FillMatchingMethod.FIFO);
}
/// <summary>
/// Sets the <see cref="LocalTimeKeeper"/> to be used for this <see cref="Security"/>.
/// This is the source of this instance's time.
/// </summary>
/// <param name="localTimeKeeper">The source of this <see cref="Security"/>'s time.</param>
public void SetLocalTimeKeeper(LocalTimeKeeper localTimeKeeper)
{
_localTimeKeeper = localTimeKeeper;
_localTimeKeeper.TimeUpdated += (sender, args) =>
{
//Update the Exchange/Timer:
Exchange.SetLocalDateTimeFrontier(args.Time);
};
}