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
103 lines
4.1 KiB
C#
103 lines
4.1 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Data;
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using QuantConnect.Data.UniverseSelection;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.DataFeeds;
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using QuantConnect.Logging;
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namespace QuantConnect.Lean.Engine.Setup
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{
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/// <summary>
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/// Base class that provides shared code for
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/// the <see cref="ISetupHandler"/> implementations
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/// </summary>
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public static class BaseSetupHandler
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{
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/// <summary>
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/// Will first check and add all the required conversion rate securities
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/// and later will seed an initial value to them.
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/// </summary>
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/// <param name="algorithm">The algorithm instance</param>
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/// <param name="universeSelection">The universe selection instance</param>
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public static void SetupCurrencyConversions(
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IAlgorithm algorithm,
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UniverseSelection universeSelection)
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{
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// this is needed to have non-zero currency conversion rates during warmup
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// will also set the Cash.ConversionRateSecurity
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universeSelection.EnsureCurrencyDataFeeds(SecurityChanges.None);
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// now set conversion rates
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var cashToUpdate = algorithm.Portfolio.CashBook.Values
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.Where(x => x.ConversionRateSecurity != null && x.ConversionRate == 0)
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.ToList();
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var historyRequestFactory = new HistoryRequestFactory(algorithm);
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var historyRequests = new List<HistoryRequest>();
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foreach (var cash in cashToUpdate)
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{
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// if we already added a history request for this security, skip
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if (historyRequests.Any(x => x.Symbol == cash.ConversionRateSecurity.Symbol))
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{
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continue;
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}
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var configs = algorithm
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.SubscriptionManager
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.SubscriptionDataConfigService
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.GetSubscriptionDataConfigs(cash.ConversionRateSecurity.Symbol);
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var resolution = configs.GetHighestResolution();
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var startTime = historyRequestFactory.GetStartTimeAlgoTz(
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cash.ConversionRateSecurity.Symbol,
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1,
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resolution,
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cash.ConversionRateSecurity.Exchange.Hours);
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var endTime = algorithm.Time.RoundDown(resolution.ToTimeSpan());
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// we need to order and select a specific configuration type
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// so the conversion rate is deterministic
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var configToUse = configs.OrderBy(x => x.TickType).First();
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historyRequests.Add(historyRequestFactory.CreateHistoryRequest(
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configToUse,
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startTime,
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endTime,
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cash.ConversionRateSecurity.Exchange.Hours,
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resolution));
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}
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var slices = algorithm.HistoryProvider.GetHistory(historyRequests, algorithm.TimeZone);
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slices.PushThrough(data =>
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{
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foreach (var cash in cashToUpdate
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.Where(x => x.ConversionRateSecurity.Symbol == data.Symbol))
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{
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cash.Update(data);
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}
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});
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Log.Trace("BaseSetupHandler.SetupCurrencyConversions():" +
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$"{Environment.NewLine}{algorithm.Portfolio.CashBook}");
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}
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}
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}
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