public void PartiallyFilledOrdersAreTakenIntoAccount(Language language)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, 100, 0, 0, DateTime.MinValue, "");
openOrderRequest.SetOrderId(1);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
openOrderTicket.AddOrderEvent(new OrderEvent(1, Symbols.AAPL, DateTime.MinValue, OrderStatus.PartiallyFilled, OrderDirection.Buy, 250, 70, OrderFee.Zero));
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((SubmitOrderRequest request) => actualOrdersSubmitted.Add(request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order> {
new MarketOrder(Symbols.AAPL, 100, DateTime.MinValue)
});
orderProcessor.Setup(m => m.GetOpenOrderTickets(It.IsAny <Func <OrderTicket, bool> >()))
.Returns(new List <OrderTicket> {
openOrderTicket
});
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(Enumerable.Empty <Security>(), Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 80) };
model.Execute(algorithm, targets);
Assert.AreEqual(1, actualOrdersSubmitted.Count);
// Remaining quantity for partially filled order = 100 - 70 = 30
// Quantity submitted = 80 - 30 = 50
Assert.AreEqual(50, actualOrdersSubmitted.Sum(x => x.Quantity));
}
/// <summary>
/// Gets the remaining quantity to be ordered to reach the specified target quantity.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="target">The portfolio target</param>
/// <param name="security">The target security</param>
/// <returns>The signed remaining quantity to be ordered</returns>
public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target, Security security)
{
var holdings = security.Holdings.Quantity;
var openOrderQuantity = algorithm.Transactions.GetOpenOrderTickets(target.Symbol)
.Aggregate(0m, (d, t) => d + t.Quantity - t.QuantityFilled);
var quantity = target.Quantity - holdings - openOrderQuantity;
return(AdjustByLotSize(security, quantity));
}
public void FillsOnTradesOnlyRespectingExchangeOpen(Language language, int expectedOrdersSubmitted, decimal expectedTotalQuantity, bool exchangeOpen)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 0, 0, 0);
if (exchangeOpen)
{
time = time.AddHours(14);
}
var algorithm = new QCAlgorithm();
algorithm.SetPandasConverter();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
/// <summary>
/// Gets the remaining quantity to be ordered to reach the specified target quantity.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="target">The portfolio target</param>
/// <returns>The remaining quantity to be ordered</returns>
public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target)
{
var security = algorithm.Securities[target.Symbol];
var holdings = security.Holdings.Quantity;
var openOrderQuantity = algorithm.Transactions.GetOpenOrders(target.Symbol).Aggregate(0m, (d, o) => d + o.Quantity);
var quantity = target.Quantity - holdings - openOrderQuantity;
// check if we're below the lot size threshold
if (Math.Abs(quantity) < security.SymbolProperties.LotSize)
{
return(0m);
}
return(quantity);
}
public void OrdersAreSubmittedImmediatelyForTargetsToExecute(
Language language,
double[] historicalPrices,
decimal openOrdersQuantity,
int expectedOrdersSubmitted,
decimal expectedTotalQuantity)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 16, 0, 0);
var historyProvider = new Mock <IHistoryProvider>();
historyProvider.Setup(m => m.GetHistory(It.IsAny <IEnumerable <HistoryRequest> >(), It.IsAny <DateTimeZone>()))
.Returns(historicalPrices.Select((x, i) =>
new Slice(time.AddMinutes(i),
new List <BaseData>
{
new TradeBar
{
Time = time.AddMinutes(i),
Symbol = Symbols.AAPL,
Open = Convert.ToDecimal(x),
High = Convert.ToDecimal(x),
Low = Convert.ToDecimal(x),
Close = Convert.ToDecimal(x),
Volume = 100m
}
})));
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
algorithm.SetHistoryProvider(historyProvider.Object);
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
algorithm.SetFinishedWarmingUp();
var openOrderRequest = new SubmitOrderRequest(OrderType.Market, SecurityType.Equity, Symbols.AAPL, openOrdersQuantity, 0, 0, DateTime.MinValue, "");
openOrderRequest.SetOrderId(1);
var openOrderTicket = new OrderTicket(algorithm.Transactions, openOrderRequest);
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order> {
new MarketOrder(Symbols.AAPL, openOrdersQuantity, DateTime.MinValue)
});
orderProcessor.Setup(m => m.GetOpenOrderTickets(It.IsAny <Func <OrderTicket, bool> >()))
.Returns(new List <OrderTicket> {
openOrderTicket
});
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = SecurityChangesTests.CreateNonInternal(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
private void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
Execution.Execute(this, riskAdjustedTargets);
}
public void OrdersAreSubmittedWhenRequiredForTargetsToExecute(
Language language,
double[] historicalPrices,
decimal lastVolume,
int expectedOrdersSubmitted,
decimal expectedTotalQuantity)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 16, 0, 0);
var historyProvider = new Mock <IHistoryProvider>();
historyProvider.Setup(m => m.GetHistory(It.IsAny <IEnumerable <HistoryRequest> >(), It.IsAny <DateTimeZone>()))
.Returns(historicalPrices.Select((x, i) =>
new Slice(time.AddMinutes(i),
new List <BaseData>
{
new TradeBar
{
Time = time.AddMinutes(i),
Symbol = Symbols.AAPL,
Open = Convert.ToDecimal(x),
High = Convert.ToDecimal(x),
Low = Convert.ToDecimal(x),
Close = Convert.ToDecimal(x),
Volume = 100m
}
})));
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetPandasConverter();
algorithm.SetHistoryProvider(historyProvider.Object);
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250, Volume = lastVolume
});
algorithm.SetFinishedWarmingUp();
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
algorithm.History(new List <Symbol> {
security.Symbol
}, historicalPrices.Length, Resolution.Minute)
.PushThroughConsolidators(symbol => algorithm.Securities[symbol].Subscriptions.Single(s => s.TickType == LeanData.GetCommonTickType(SecurityType.Equity)).Consolidators.First());
var targets = new IPortfolioTarget[] { new PortfolioTarget(security.Symbol, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
public void OrdersAreSubmittedWhenRequiredForTargetsToExecute(
Language language,
decimal currentPrice,
int expectedOrdersSubmitted,
decimal expectedTotalQuantity)
{
var actualOrdersSubmitted = new List <SubmitOrderRequest>();
var time = new DateTime(2018, 8, 2, 14, 0, 0);
var algorithm = new QCAlgorithm();
algorithm.SetPandasConverter();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetDateTime(time.AddMinutes(5));
var security = algorithm.AddEquity(Symbols.AAPL.Value);
security.SetMarketPrice(new TradeBar {
Value = 250
});
// pushing the ask higher will cause the spread the widen and no trade to happen
var ask = expectedOrdersSubmitted == 0 ? currentPrice * 1.1m : currentPrice;
security.SetMarketPrice(new QuoteBar
{
Time = time,
Symbol = Symbols.AAPL,
Ask = new Bar(ask, ask, ask, ask),
Bid = new Bar(currentPrice, currentPrice, currentPrice, currentPrice)
});
algorithm.SetFinishedWarmingUp();
var orderProcessor = new Mock <IOrderProcessor>();
orderProcessor.Setup(m => m.Process(It.IsAny <SubmitOrderRequest>()))
.Returns((SubmitOrderRequest request) => new OrderTicket(algorithm.Transactions, request))
.Callback((OrderRequest request) => actualOrdersSubmitted.Add((SubmitOrderRequest)request));
orderProcessor.Setup(m => m.GetOpenOrders(It.IsAny <Func <Order, bool> >()))
.Returns(new List <Order>());
algorithm.Transactions.SetOrderProcessor(orderProcessor.Object);
var model = GetExecutionModel(language);
algorithm.SetExecution(model);
var changes = new SecurityChanges(new[] { security }, Enumerable.Empty <Security>());
model.OnSecuritiesChanged(algorithm, changes);
var targets = new IPortfolioTarget[] { new PortfolioTarget(Symbols.AAPL, 10) };
model.Execute(algorithm, targets);
Assert.AreEqual(expectedOrdersSubmitted, actualOrdersSubmitted.Count);
Assert.AreEqual(expectedTotalQuantity, actualOrdersSubmitted.Sum(x => x.Quantity));
if (actualOrdersSubmitted.Count == 1)
{
var request = actualOrdersSubmitted[0];
Assert.AreEqual(expectedTotalQuantity, request.Quantity);
Assert.AreEqual(algorithm.UtcTime, request.Time);
}
}
/// <summary>
/// Gets the remaining quantity to be ordered to reach the specified target quantity.
/// </summary>
/// <param name="algorithm">The algorithm instance</param>
/// <param name="target">The portfolio target</param>
/// <returns>The signed remaining quantity to be ordered</returns>
public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target)
{
var security = algorithm.Securities[target.Symbol];
return(GetUnorderedQuantity(algorithm, target, security));
}
/// <summary>
/// They different framework models will process the new provided insight.
/// The <see cref="IPortfolioConstructionModel"/> will create targets,
/// the <see cref="IRiskManagementModel"/> will adjust the targets
/// and the <see cref="IExecutionModel"/> will execute the <see cref="IPortfolioTarget"/>
/// </summary>
/// <param name="insights">The insight to process</param>
protected void ProcessInsights(Insight[] insights)
{
// construct portfolio targets from insights
var targetsEnumerable = PortfolioConstruction.CreateTargets(this, insights);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var targets = targetsEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] {} : targetsEnumerable.ToArray();
// set security targets w/ those generated via portfolio construction module
foreach (var target in targets)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated targets
if (targets.Length > 0)
{
Log($"{Time}: PORTFOLIO: {string.Join(" | ", targets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
var riskTargetOverridesEnumerable = RiskManagement.ManageRisk(this, targets);
// for performance only call 'ToArray' if not empty enumerable (which is static)
var riskTargetOverrides = riskTargetOverridesEnumerable == Enumerable.Empty <IPortfolioTarget>()
? new IPortfolioTarget[] { } : riskTargetOverridesEnumerable.ToArray();
// override security targets w/ those generated via risk management module
foreach (var target in riskTargetOverrides)
{
var security = Securities[target.Symbol];
security.Holdings.Target = target;
}
if (DebugMode)
{
// debug printing of generated risk target overrides
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK: {string.Join(" | ", riskTargetOverrides.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
IPortfolioTarget[] riskAdjustedTargets;
// for performance we check the length before
if (riskTargetOverrides.Length != 0 ||
targets.Length != 0)
{
// execute on the targets, overriding targets for symbols w/ risk targets
riskAdjustedTargets = riskTargetOverrides.Concat(targets).DistinctBy(pt => pt.Symbol).ToArray();
}
else
{
riskAdjustedTargets = new IPortfolioTarget[] { };
}
if (DebugMode)
{
// only log adjusted targets if we've performed an adjustment
if (riskTargetOverrides.Length > 0)
{
Log($"{Time}: RISK ADJUSTED TARGETS: {string.Join(" | ", riskAdjustedTargets.Select(t => t.ToString()).OrderBy(t => t))}");
}
}
if (riskAdjustedTargets.Length > 0 &&
Execution.GetType() != typeof(NullExecutionModel) &&
BrokerageModel.AccountType == AccountType.Cash)
{
throw new InvalidOperationException($"Non null {nameof(IExecutionModel)} and {nameof(IPortfolioConstructionModel)} are currently unsuitable for Cash Modeled brokerages (e.g. GDAX) and may result in unexpected trades."
+ " To prevent possible user error we've restricted them to Margin trading. You can select margin account types with"
+ $" SetBrokerage( ... AccountType.Margin). Or please set them to {nameof(NullExecutionModel)}, {nameof(NullPortfolioConstructionModel)}");
}
Execution.Execute(this, riskAdjustedTargets);
}