Martin Molinero
f976ffa099
- For backtesting the algorithm thread will sequentially process pending order requests - Adding new non blocking `BusyCollection` - Updating `UpdateOrderRegressionAlgorithm` that suffered of a race condition: it supposed `OnOrderEvent` would be called after the call to `Transactions.AddOrder()` was finished
95 lines
3.9 KiB
C#
95 lines
3.9 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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using System;
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using System.Collections.Generic;
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using System.Linq;
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using System.Threading;
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using NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.Results;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Algorithm
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{
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[TestFixture]
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public class AlgorithmLiveTradingTests
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{
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[Test]
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public void SetHoldingsTakesIntoAccountPendingMarketOrders()
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{
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var algorithm = new QCAlgorithm();
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algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
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var security = algorithm.AddEquity("SPY");
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security.Exchange = new SecurityExchange(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork));
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security.SetMarketPrice(new Tick { Value = 270m });
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algorithm.SetFinishedWarmingUp();
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var brokerage = new NullBrokerage();
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var transactionHandler = new BrokerageTransactionHandler();
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transactionHandler.Initialize(algorithm, brokerage, new LiveTradingResultHandler());
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Thread.Sleep(250);
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algorithm.Transactions.SetOrderProcessor(transactionHandler);
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var symbol = security.Symbol;
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// this order should timeout (no fills received within 5 seconds)
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algorithm.SetHoldings(symbol, 1m);
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Thread.Sleep(2000);
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var openOrders = algorithm.Transactions.GetOpenOrders();
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Assert.AreEqual(1, openOrders.Count);
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// this order should never be submitted because of the pending order
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algorithm.SetHoldings(symbol, 1m);
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Thread.Sleep(2000);
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openOrders = algorithm.Transactions.GetOpenOrders();
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Assert.AreEqual(1, openOrders.Count);
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transactionHandler.Exit();
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}
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private class NullBrokerage : IBrokerage
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{
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public void Dispose() {}
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public event EventHandler<OrderEvent> OrderStatusChanged;
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public event EventHandler<OrderEvent> OptionPositionAssigned;
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public event EventHandler<AccountEvent> AccountChanged;
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public event EventHandler<BrokerageMessageEvent> Message;
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public string Name => "NullBrokerage";
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public bool IsConnected { get; } = true;
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public List<Order> GetOpenOrders() { return new List<Order>(); }
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public List<Holding> GetAccountHoldings() { return new List<Holding>(); }
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public List<CashAmount> GetCashBalance() { return new List<CashAmount>(); }
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public bool PlaceOrder(Order order) { return true; }
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public bool UpdateOrder(Order order) { return true; }
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public bool CancelOrder(Order order) { return true; }
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public void Connect() {}
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public void Disconnect() {}
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public bool AccountInstantlyUpdated { get; } = true;
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public IEnumerable<BaseData> GetHistory(HistoryRequest request) { return Enumerable.Empty<BaseData>(); }
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}
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}
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}
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