public void OrderByMarginImpactDoesNotReturnTargetsForWhichUnorderedQuantityIsZeroBecauseOpenOrder()
{
var algorithm = new FakeAlgorithm();
var orderProcessor = new FakeOrderProcessor();
algorithm.Transactions.SetOrderProcessor(orderProcessor);
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 openOrderRequest = new SubmitOrderRequest(OrderType.Market, symbol.SecurityType, symbol, 1, 0, 0, DateTime.UtcNow, "");
openOrderRequest.SetOrderId(1);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
orderProcessor.AddOrder(new MarketOrder(symbol, 1, DateTime.UtcNow));
orderProcessor.AddTicket(openOrderTicket);
var targets = collection.OrderByMarginImpact(algorithm);
Assert.AreEqual(collection.Count, 1);
Assert.IsTrue(targets.IsNullOrEmpty());
}
public void WontRemoveBecauseOpenOrder_Add()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe));
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First());
}
public void WontRemoveBecauseTarget_Add()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
security.Holdings.Target = new PortfolioTarget(security.Symbol, 10);
Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe));
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First());
}
public void WontRemoveBecauseHoldings_Add()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
security.Holdings.SetHoldings(10, 10);
Assert.IsFalse(pendingRemovals.TryRemoveMember(security, universe).Any());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First());
}
public void NonAccountCurrencyOption_Exercise()
{
var reference = new DateTime(2016, 02, 16, 11, 53, 30);
SecurityPortfolioManager portfolio;
var security = InitializeTest(reference, out portfolio);
var cash = new Cash("EUR", 0, 10);
portfolio.CashBook.Add("EUR", cash);
var option = new Option(
Symbols.SPY_C_192_Feb19_2016,
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
cash,
new OptionSymbolProperties(SymbolProperties.GetDefault("EUR")),
portfolio.CashBook,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
option.Underlying = security;
security.SetMarketPrice(new Tick {
Value = 1000
});
portfolio.Securities.Add(option);
var fakeOrderProcessor = new FakeOrderProcessor();
portfolio.Transactions.SetOrderProcessor(fakeOrderProcessor);
var fillPrice = 1000m;
var fillQuantity = 1;
option.ExerciseSettlement = SettlementType.Cash;
var orderFee = new OrderFee(new CashAmount(1, "EUR"));
var order = new OptionExerciseOrder(Symbols.SPY_C_192_Feb19_2016, fillQuantity, DateTime.UtcNow);
fakeOrderProcessor.AddOrder(order);
var orderDirection = fillQuantity > 0 ? OrderDirection.Buy : OrderDirection.Sell;
var fill = new OrderEvent(order.Id, option.Symbol, reference, OrderStatus.Filled, orderDirection, fillPrice, fillQuantity, orderFee);
portfolio.ProcessFill(fill);
// (1000 (price) - 192 (call strike)) * 1 quantity => 808 EUR
Assert.AreEqual(10, option.Holdings.TotalFees); // 1 * 10 (conversion rate to account currency)
// 808 - 1000 (price) - 1 fee
Assert.AreEqual(-193, portfolio.CashBook["EUR"].Amount);
// 100000 initial amount, no fee deducted
Assert.AreEqual(100000, portfolio.CashBook[Currencies.USD].Amount);
}
public void ReturnedRemoved_Add()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
var result = pendingRemovals.TryRemoveMember(security, universe);
Assert.IsTrue(result.Any());
Assert.AreEqual(universe, result.First().Universe);
Assert.AreEqual(security, result.First().Security);
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet <Symbol>(), universe).Any());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
}
public void WontBeReturnedBecauseReSelected()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
pendingRemovals.TryRemoveMember(security, universe);
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(
new HashSet <Symbol> {
security.Symbol
}, universe).Any());
// internally it was removed because it was reselected
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
}
public void GetUnorderedQuantityHoldingsOpenOrders(decimal holdings, decimal target, decimal filledQuantity, decimal expected)
{
var algo = new AlgorithmStub();
var orderProcessor = new FakeOrderProcessor();
var orderRequest = new SubmitOrderRequest(
OrderType.Market,
SecurityType.Future,
Symbols.Future_CLF19_Jan2019,
filledQuantity * 2,
250,
250,
new DateTime(2020, 1, 1),
"Pepe"
);
var order = Order.CreateOrder(orderRequest);
var ticket = new OrderTicket(algo.Transactions, orderRequest);
ticket.SetOrder(order);
ticket.AddOrderEvent(new OrderEvent(1,
Symbols.Future_CLF19_Jan2019,
new DateTime(2020, 1, 1),
OrderStatus.Filled,
filledQuantity > 0 ? OrderDirection.Buy : OrderDirection.Sell,
250,
filledQuantity,
OrderFee.Zero));
orderProcessor.AddTicket(ticket);
algo.Transactions.SetOrderProcessor(orderProcessor);
var security = algo.AddFutureContract(Symbols.Future_CLF19_Jan2019);
security.SetMarketPrice(new TradeBar {
Value = 250
});
security.Holdings.SetHoldings(250, holdings);
var result = OrderSizing.GetUnorderedQuantity(algo,
new PortfolioTarget(Symbols.Future_CLF19_Jan2019, target));
Assert.AreEqual(expected, result);
}
public void WontRemoveBecauseOfUnderlying()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var equity = CreateSecurity(Symbols.SPY);
var equityOption = CreateSecurity(Symbols.SPY_C_192_Feb19_2016);
// we add an order of the equity option
orderProvider.AddOrder(new LimitOrder(equityOption.Symbol, 1, 1, DateTime.UtcNow));
var universe = new TestUniverse();
universe.AddMember(DateTime.UtcNow, equity);
universe.AddMember(DateTime.UtcNow, equityOption);
// we try to remove the equity
Assert.IsNull(pendingRemovals.TryRemoveMember(equity, universe));
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(equity, pendingRemovals.PendingRemovals.Values.First().First());
}
private FakeOrderProcessor InitializeAndGetFakeOrderProcessor(QCAlgorithm algo)
{
algo.SetFinishedWarmingUp();
algo.SetCash(100000);
algo.AddEquity("SPY");
var fakeOrderProcessor = new FakeOrderProcessor();
algo.Transactions.SetOrderProcessor(fakeOrderProcessor);
algo.Portfolio["SPY"].SetHoldings(1, 10);
var security = algo.Securities["SPY"];
security.SetMarketPrice(new TradeBar
{
Time = DateTime.Now,
Symbol = security.Symbol,
Open = 20,
High = 20,
Low = 20,
Close = 20
});
Assert.IsTrue(fakeOrderProcessor.ProcessedOrdersRequests.IsNullOrEmpty());
return(fakeOrderProcessor);
}
