Support 2-leg currency conversions (#5552)

* Apply changes from #2146 on current master Credit for most of these changes goes to https://github.com/viliwonka. Rebasing three years of changes didn't go so well, so I manually applied the changes in #2146 on the current master branch. This commit attempts to represent the changes in #2146 as closely as possible, no cleanup has been performed yet. Despite this, some changes were inevitable because part of #2146 has been implemented another way in the past three years. * Clean up * Process review comments * Add tests * symbol -> potentialConversionRateSymbol * Ensure regression tests run/get data * Fix broken test * Process review comments * Process review comments * Simplify currency conversion logic * Performance improvement, doc updates and test rename * Rebase fixes * Remove obsolete properties Co-authored-by: Martin-Molinero <martin@quantconnect.com>
2021-05-20 18:19:39 +02:00
parent 978da37cda
commit bb8bd27fe5
17 changed files with 1481 additions and 185 deletions
@@ -0,0 +1,64 @@
+### QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
+### Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
+###
+### Licensed under the Apache License, Version 2.0 (the "License");
+### you may not use this file except in compliance with the License.
+### You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
+###
+### Unless required by applicable law or agreed to in writing, software
+### distributed under the License is distributed on an "AS IS" BASIS,
+### WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
+### See the License for the specific language governing permissions and
+### limitations under the License.
+
+from QuantConnect import *
+from QuantConnect.Algorithm import *
+
+
+### <summary>
+### Regression algorithm which tests that a two leg currency conversion happens correctly
+### </summary>
+class TwoLegCurrencyConversionRegressionAlgorithm(QCAlgorithm):
+    def Initialize(self):
+        self.SetStartDate(2018, 4, 4)
+        self.SetEndDate(2018, 4, 4)
+
+        # GDAX doesn't have LTCETH or ETHLTC, but they do have ETHUSD and LTCUSD to form a path between ETH and LTC
+        self.SetAccountCurrency("ETH")
+        self.SetCash("ETH", 100000)
+        self.SetCash("LTC", 100000)
+        self.SetCash("USD", 100000)
+
+        self._ethUsdSymbol = self.AddCrypto("ETHUSD", Resolution.Minute).Symbol
+        self._ltcUsdSymbol = self.AddCrypto("LTCUSD", Resolution.Minute).Symbol
+
+    def OnData(self, data):
+        if not self.Portfolio.Invested:
+            self.MarketOrder(self._ltcUsdSymbol, 1)
+
+    def OnEndOfAlgorithm(self):
+        ltcCash = self.Portfolio.CashBook["LTC"]
+
+        conversionSymbols = [x.Symbol for x in ltcCash.CurrencyConversion.ConversionRateSecurities]
+
+        if len(conversionSymbols) != 2:
+            raise ValueError(
+                f"Expected two conversion rate securities for LTC to ETH, is {len(conversionSymbols)}")
+
+        if conversionSymbols[0] != self._ltcUsdSymbol:
+            raise ValueError(
+                f"Expected first conversion rate security from LTC to ETH to be {self._ltcUsdSymbol}, is {conversionSymbols[0]}")
+
+        if conversionSymbols[1] != self._ethUsdSymbol:
+            raise ValueError(
+                f"Expected second conversion rate security from LTC to ETH to be {self._ethUsdSymbol}, is {conversionSymbols[1]}")
+
+        ltcUsdValue = self.Securities[self._ltcUsdSymbol].GetLastData().Value
+        ethUsdValue = self.Securities[self._ethUsdSymbol].GetLastData().Value
+
+        expectedConversionRate = ltcUsdValue / ethUsdValue
+        actualConversionRate = ltcCash.ConversionRate
+
+        if actualConversionRate != expectedConversionRate:
+            raise ValueError(
+                f"Expected conversion rate from LTC to ETH to be {expectedConversionRate}, is {actualConversionRate}")