Martin Molinero
1b0bdd9b0b
- Adding new `SetAccountCurrency()` for backtesting. Has to be called before adding any `Security` or calling `SetCash()`, else will throw. - Adding new Non account currency unit tests for `CashBuyingPower`, `SecurityPortfolioModel`, `SecurityMarginModel`, `SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels` - Adding new C# regression test using `SetAccountCurrency()`, one for `CashBuyingPowerModel` and one for `SecurityMarginModel` - Adding new Py and C# basic regression algorithms using `SetAccountCurrency()` - `Options` and `Futures` will use not use `AccountCurrency` as quote Cash. - `SecurityBenchmark` value will be in account currency
48 lines
1.8 KiB
C#
48 lines
1.8 KiB
C#
/*
|
|
* 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.
|
|
*/
|
|
|
|
using System;
|
|
using QuantConnect.Securities;
|
|
|
|
namespace QuantConnect.Benchmarks
|
|
{
|
|
/// <summary>
|
|
/// Creates a benchmark defined by the closing price of a <see cref="Security"/> instance
|
|
/// </summary>
|
|
public class SecurityBenchmark : IBenchmark
|
|
{
|
|
private readonly Security _security;
|
|
|
|
/// <summary>
|
|
/// Initializes a new instance of the <see cref="SecurityBenchmark"/> class
|
|
/// </summary>
|
|
/// <param name="security">The security to use as the benchmark</param>
|
|
public SecurityBenchmark(Security security)
|
|
{
|
|
_security = security;
|
|
}
|
|
|
|
/// <summary>
|
|
/// Evaluates this benchmark at the specified time in units of the account's currency.
|
|
/// </summary>
|
|
/// <param name="time">The time to evaluate the benchmark at</param>
|
|
/// <returns>The value of the benchmark at the specified time
|
|
/// in units of the account's currency.</returns>
|
|
public decimal Evaluate(DateTime time)
|
|
{
|
|
return _security.Price * _security.QuoteCurrency.ConversionRate;
|
|
}
|
|
}
|
|
} |