public void UpdateCallsDisposeOnDisposableInstances()
{
var disposable = new Disposable(Symbols.SPY);
var dictionary = new Dictionary <Symbol, Disposable>
{
[Symbols.SPY] = disposable
};
var SPY = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("USD", 1m, 1m),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
new RegisteredSecurityDataTypesProvider(),
new SecurityCache()
);
var changes = SecurityChangesTests.RemovedNonInternal(SPY);
NotifiedSecurityChanges.UpdateDictionary(dictionary, changes,
security => security.Symbol,
security => new Disposable(security.Symbol)
);
Assert.IsTrue(disposable.Disposed);
}
public void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language, _algorithm);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// Removing SPY should clear the key in the insight collection
var changes = SecurityChangesTests.RemovedNonInternal(_algorithm.Securities[Symbols.SPY]);
_algorithm.PortfolioConstruction.OnSecuritiesChanged(_algorithm, changes);
var amount = _algorithm.Portfolio.TotalPortfolioValue * (decimal)Confidence;
var expectedTargets = _algorithm.Securities.Select(x =>
{
// Expected target quantity for SPY is zero, since it will be removed
var quantity = x.Key.Value == "SPY" ? 0 : (int)direction
* Math.Floor(amount * (1 - _algorithm.Settings.FreePortfolioValuePercentage)
/ x.Value.Price);
return(new PortfolioTarget(x.Key, quantity));
});
// Do no include SPY in the insights
insights = _algorithm.Securities.Keys.Where(x => x.Value != "SPY")
.Select(x => GetInsight(x, direction, _algorithm.UtcTime)).ToArray();
// Create target from an empty insights array
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights);
AssertTargets(expectedTargets, actualTargets);
}
public override void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// Removing SPY should clear the key in the insight collection
var changes = SecurityChangesTests.RemovedNonInternal(Algorithm.Securities[Symbols.SPY]);
Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
// Since we have 3 B, 2 T and 1 X, each security in each sector will get
// B => .166%, T => .25, X => 0% (removed)
var sectorCount = 2;
var groupedBySector = Algorithm.Securities
.Where(pair => pair.Value.Fundamentals?.CompanyReference?.IndustryTemplateCode != null)
.GroupBy(pair => pair.Value.Fundamentals.CompanyReference.IndustryTemplateCode);
var expectedTargets = new List <PortfolioTarget>();
foreach (var securities in groupedBySector)
{
var list = securities.ToList();
var amount = Algorithm.Portfolio.TotalPortfolioValue / list.Count / sectorCount *
(1 - Algorithm.Settings.FreePortfolioValuePercentage);
expectedTargets.AddRange(list
.Select(x => new PortfolioTarget(x.Key, x.Key.Value == "SPY" ? 0
: (int)direction * Math.Floor(amount / x.Value.Price))));
}
// Do no include SPY in the insights
insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
// Create target from an empty insights array
var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
Assert.Greater(Algorithm.Securities.Count, expectedTargets.Count);
AssertTargets(expectedTargets, actualTargets);
}
public override void DelistedSecurityEmitsFlatTargetWithNewInsights(Language language, InsightDirection direction)
{
SetPortfolioConstruction(language);
if (PortfolioBias != PortfolioBias.LongShort && (int)direction != (int)PortfolioBias)
{
direction = InsightDirection.Flat;
}
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, Algorithm.UtcTime) };
var targets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
// Removing SPY should clear the key in the insight collection
var changes = SecurityChangesTests.RemovedNonInternal(Algorithm.Securities[Symbols.SPY]);
Algorithm.PortfolioConstruction.OnSecuritiesChanged(Algorithm, changes);
// Equity will be divided by all securities minus 1, since SPY is already invested and we want to remove it
var amount = Algorithm.Portfolio.TotalPortfolioValue / (decimal)(1 / Weight - 1) *
(1 - Algorithm.Settings.FreePortfolioValuePercentage);
var expectedTargets = Algorithm.Securities.Select(x =>
{
// Expected target quantity for SPY is zero, since it will be removed
var quantity = x.Key.Value == "SPY" ? 0 : (int)direction * Math.Floor(amount / x.Value.Price);
return(new PortfolioTarget(x.Key, quantity));
});
// Do no include SPY in the insights
insights = Algorithm.Securities.Keys.Where(x => x.Value != "SPY")
.Select(x => GetInsight(x, direction, Algorithm.UtcTime)).ToArray();
// Create target from an empty insights array
var actualTargets = Algorithm.PortfolioConstruction.CreateTargets(Algorithm, insights);
AssertTargets(expectedTargets, actualTargets);
}
public void DelistedSecurityEmitsFlatTargetWithoutNewInsights(Language language)
{
SetPortfolioConstruction(language, _algorithm);
var insights = new[] { GetInsight(Symbols.SPY, InsightDirection.Down, _algorithm.UtcTime) };
var targets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, insights).ToList();
Assert.AreEqual(1, targets.Count);
var changes = SecurityChangesTests.RemovedNonInternal(_algorithm.Securities[Symbols.SPY]);
_algorithm.PortfolioConstruction.OnSecuritiesChanged(_algorithm, changes);
var expectedTargets = new List <IPortfolioTarget> {
new PortfolioTarget(Symbols.SPY, 0)
};
// Create target from an empty insights array
var actualTargets = _algorithm.PortfolioConstruction.CreateTargets(_algorithm, new Insight[0]);
AssertTargets(expectedTargets, actualTargets);
}