public void SeedsSecurityCorrectly()
{
var symbol = Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda);
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 1,
DeployId = "1",
Brokerage = "PaperBrokerage",
DataQueueHandler = "none"
};
// Increasing RAM limit, else the tests fail. This is happening in master, when running all the tests together, locally (not travis).
job.Controls.RamAllocation = 1024 * 1024 * 1024;
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount>());
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>
{
new Holding {
Symbol = symbol, Type = symbol.SecurityType, Quantity = 100, MarketPrice = 99
}
});
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object)));
Security security;
Assert.IsTrue(algorithm.Portfolio.Securities.TryGetValue(symbol, out security));
Assert.AreEqual(symbol, security.Symbol);
Assert.AreEqual(99, security.Price);
var last = security.GetLastData();
Assert.IsTrue((DateTime.UtcNow.ConvertFromUtc(security.Exchange.TimeZone) - last.Time) < TimeSpan.FromSeconds(1));
}
public void Initialize()
{
_algorithm = new TestAlgorithm {
HistoryProvider = new EmptyHistoryProvider()
};
_algorithm.SetBrokerageModel(BrokerageName.FxcmBrokerage);
_algorithm.SetCash(100000);
_algorithm.AddSecurity(SecurityType.Forex, Ticker);
_algorithm.SetFinishedWarmingUp();
}
public void LoadsHoldingsForExpectedMarket()
{
var symbol = Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda);
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = new LiveNodePacket
{
UserId = 1,
ProjectId = 1,
DeployId = "1",
Brokerage = "PaperBrokerage",
DataQueueHandler = "none"
};
// Increasing RAM limit, else the tests fail. This is happening in master, when running all the tests together, locally (not travis).
job.Controls.RamAllocation = 1024 * 1024 * 1024;
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <Cash>());
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>
{
new Holding {
Symbol = symbol, Type = symbol.SecurityType, Quantity = 100
}
});
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(algorithm, brokerage.Object, job, resultHandler.Object, transactionHandler.Object, realTimeHandler.Object));
Security security;
Assert.IsTrue(algorithm.Portfolio.Securities.TryGetValue(symbol, out security));
Assert.AreEqual(symbol, security.Symbol);
}
public void SeedsSecurityCorrectly()
{
var symbol = Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda);
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = GetJob();
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount>());
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>
{
new Holding {
Symbol = symbol, Quantity = 100, MarketPrice = 99
}
});
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object, TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider)));
Security security;
Assert.IsTrue(algorithm.Portfolio.Securities.TryGetValue(symbol, out security));
Assert.AreEqual(symbol, security.Symbol);
Assert.AreEqual(99, security.Price);
var last = security.GetLastData();
Assert.IsTrue((DateTime.UtcNow.ConvertFromUtc(security.Exchange.TimeZone) - last.Time) < TimeSpan.FromSeconds(1));
}
public void SkipsLoadingHoldingsAndOrders()
{
var symbol = Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda);
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = GetJob();
job.BrokerageData["load-existing-holdings"] = "false";
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount>());
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>
{
new Holding {
Symbol = symbol, Type = symbol.SecurityType, Quantity = 100
}
});
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>
{
new LimitOrder(Symbols.SPY, 1, 1, DateTime.UtcNow)
});
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object)));
Security security;
Assert.IsFalse(algorithm.Portfolio.Securities.TryGetValue(symbol, out security));
Assert.IsFalse(algorithm.Portfolio.Securities.TryGetValue(Symbols.SPY, out security));
}
public void LoadsHoldingsForExpectedMarket()
{
var symbol = Symbol.Create("AUDUSD", SecurityType.Forex, Market.Oanda);
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = GetJob();
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount>());
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>
{
new Holding {
Symbol = symbol, Quantity = 100
}
});
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object, TestGlobals.DataProvider)));
Security security;
Assert.IsTrue(algorithm.Portfolio.Securities.TryGetValue(symbol, out security));
Assert.AreEqual(symbol, security.Symbol);
}
public void EnforcesCashAmounts()
{
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new BrokerageTransactionHandlerTests.BrokerageTransactionHandlerTests.EmptyHistoryProvider());
var job = GetJob();
job.BrokerageData["max-cash-limit"] = "[{\"amount\":20, \"currency\": \"USD\"}, {\"Amount\":1, \"Currency\": \"EUR\"}]";
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount> {
new CashAmount(10000, Currencies.USD), new CashAmount(11, Currencies.GBP)
});
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>());
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.IsTrue(setupHandler.Setup(new SetupHandlerParameters(_dataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object)));
Assert.AreEqual(20, algorithm.Portfolio.CashBook[Currencies.USD].Amount);
Assert.IsFalse(algorithm.Portfolio.CashBook.ContainsKey(Currencies.GBP));
Assert.IsFalse(algorithm.Portfolio.CashBook.ContainsKey(Currencies.EUR));
}
public void EnforcesTotalPortfolioValue(bool fails)
{
var algorithm = new TestAlgorithm();
algorithm.SetBrokerageModel(BrokerageName.InteractiveBrokersBrokerage);
algorithm.SetHistoryProvider(new TestHistoryProvider());
var job = GetJob();
job.BrokerageData[BrokerageSetupHandler.MaxAllocationLimitConfig] = fails ? "1" : "1000000000";
var resultHandler = new Mock <IResultHandler>();
var transactionHandler = new Mock <ITransactionHandler>();
var realTimeHandler = new Mock <IRealTimeHandler>();
var brokerage = new Mock <IBrokerage>();
var objectStore = new Mock <IObjectStore>();
brokerage.Setup(x => x.IsConnected).Returns(true);
brokerage.Setup(x => x.AccountBaseCurrency).Returns(Currencies.USD);
brokerage.Setup(x => x.GetCashBalance()).Returns(new List <CashAmount> {
new CashAmount(10000, Currencies.USD), new CashAmount(11, Currencies.GBP)
});
brokerage.Setup(x => x.GetAccountHoldings()).Returns(new List <Holding>());
brokerage.Setup(x => x.GetOpenOrders()).Returns(new List <Order>());
var setupHandler = new BrokerageSetupHandler();
IBrokerageFactory factory;
setupHandler.CreateBrokerage(job, algorithm, out factory);
Assert.AreEqual(!fails, setupHandler.Setup(new SetupHandlerParameters(algorithm.DataManager.UniverseSelection, algorithm, brokerage.Object, job, resultHandler.Object,
transactionHandler.Object, realTimeHandler.Object, objectStore.Object, TestGlobals.DataCacheProvider, TestGlobals.MapFileProvider)));
Assert.AreEqual(10000, algorithm.Portfolio.CashBook[Currencies.USD].Amount);
Assert.AreEqual(11, algorithm.Portfolio.CashBook[Currencies.GBP].Amount);
}