Stefano Raggi
e98b31fc4c
* Update crypto entries in SPBD - Update values for GDAX and Bitfinex, with latest values from exchanges - Update symbols with >3 letters - [Fix] Remove same base-quote entries * Update unit tests Increment in precision given smaller lot sizes in SPDB crypto entries. * Add GDAX symbol properties downloader (unit test) * Update GDAX symbol properties database * Add BrokerageSymbol to symbol properties database * Update GDAX symbol properties * Address review - Rename BrokerageSymbol to MarketTicker * Add GDAX symbol mapper * Update GDAXBrokerage to use symbol mapper * Fix GDAX brokerage unit tests * Replace GDAXSymbolMapper with SymbolPropertiesDatabaseSymbolMapper * Address review - use Symbol key in dictionaries * Rename BrokerageSymbol to MarketTicker * Update unit test * Add Bitfinex symbol properties downloader (unit test) * Add Bitfinex symbol market ticker to downloader * Update Bitfinex symbol properties database * Update BitfinexBrokerage to use SymbolPropertiesDatabaseSymbolMapper * Remove Bitfinex test symbols from db * Update Binance symbol properties database * Update BinanceBrokerage to use SymbolPropertiesDatabaseSymbolMapper * Add missing Binance test case * Update symbol properties database - gdax, bitfinex, binance * Update CoinApi symbol mapper for new SPDB * Exclude Bitfinex BCH pre-2018-fork in CoinApiSymbolMapper * Remove unused properties * Add CoinApi mappings Co-authored-by: JJD <jjdambrosio@gmail.com>
1399 lines
60 KiB
C#
1399 lines
60 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 NUnit.Framework;
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using QuantConnect.Algorithm;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using QuantConnect.Brokerages;
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using Moq;
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using QuantConnect.Interfaces;
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using QuantConnect.Lean.Engine.TransactionHandlers;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Tests.Common.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, Parallelizable(ParallelScope.Fixtures)]
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public class AlgorithmTradingTests
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{
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private static FakeOrderProcessor _fakeOrderProcessor;
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private static TestCaseData[] TestParameters
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{
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get
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{
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return new[]
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{
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new TestCaseData(1m),
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new TestCaseData(2m),
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new TestCaseData(100m),
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};
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}
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}
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private static TestCaseData[] TestParametersDifferentMargins
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{
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get
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{
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return new[]
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{
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new TestCaseData(0.5m, 0.25m),
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};
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}
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}
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/*****************************************************/
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// Isostatic market conditions tests.
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/*****************************************************/
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToLong(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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Assert.AreEqual(1995m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToLong_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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// $100k total value * 0.5 target * 0.9975 FreePortfolioValuePercentage / 25 ~= 1995 - fees
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Assert.AreEqual(1994m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToLong_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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// ($100k total value - 10 k fees) * 0.5 target * 0.9975 FreePortfolioValuePercentage / 25 ~= 1795m
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Assert.AreEqual(1795m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToShort(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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Assert.AreEqual(-1995m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToShort_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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Assert.AreEqual(-1994m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ZeroToShort_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25 & Target 50%
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Update(msft, 25);
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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// ($100k total value - 10 k fees) * -0.5 target * 0.9975 FreePortfolioValuePercentage / 25 ~= -1795m
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Assert.AreEqual(-1795m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToLonger(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Calculate the new holdings:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
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Assert.AreEqual(992m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToLonger_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Calculate the new holdings:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
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Assert.AreEqual(992m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToLonger_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Calculate the new holdings:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
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Assert.AreEqual(693m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongerToLong(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//75% cash spent on 3000 MSFT shares.
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algo.Portfolio.SetCash(25000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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Assert.AreEqual(-1005m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongerToLong_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25
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Update(msft, 25);
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//75% cash spent on 3000 MSFT shares.
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algo.Portfolio.SetCash(25000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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Assert.AreEqual(-1005m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongerToLong_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25
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Update(msft, 25);
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//75% cash spent on 3000 MSFT shares.
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algo.Portfolio.SetCash(25000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
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Assert.AreEqual(-1204m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToZero(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(-2000, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToZero_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(-2000, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToZero_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Sell all 2000 held:
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(-2000, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToShort(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Need to sell to make position ($100k total value * -0.5 target * 0.9975 buffer - $50k current holdings) / 50 =~ -3995m
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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Assert.AreEqual(-3995m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToShort_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Need to sell to make position ($100k total value * -0.5 target * 0.9975 buffer - $50k current holdings) / 50 =~ -3995m - 1 due to fee
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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Assert.AreEqual(-3994m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_LongToShort_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Need to sell to make position (($100k total value - 10 K)* -0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ -3795m
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
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Assert.AreEqual(-3795m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_HalfLongToFullShort(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Need to sell to make position ($100k total value * -1 target * 0.9975 buffer - $50k current holdings) / 50 =~ -5990m
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
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Assert.AreEqual(-5990m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_HalfLongToFullShort_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 1);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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//Need to sell to make position ($100k total value * -1 target * 0.9975 buffer - $50k current holdings) / 50 =~ -5990m - 1 due to fee
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
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Assert.AreEqual(-5989m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_HalfLongToFullShort_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(50000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
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// Fee is 10k / 25 ~= 400 shares
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// Need to sell to make position (($100k total value - 10k fees) * -1 target * 0.9975 buffer - $50k current holdings) / 25 =~ -5591m
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
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Assert.AreEqual(-5591m, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ShortToZero(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 0);
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(150000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
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//Buy 2000 to get to 0 holdings.
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(2000, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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[Test, TestCaseSource(nameof(TestParameters))]
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public void SetHoldings_ShortToZero_SmallConstantFeeStructure(decimal leverage)
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{
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Security msft;
|
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var algo = GetAlgorithm(out msft, leverage, 1);
|
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(150000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
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//Buy 2000 to get to 0 holdings.
|
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(2000, actual);
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Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
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}
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|
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[Test, TestCaseSource(nameof(TestParameters))]
|
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public void SetHoldings_ShortToZero_HighConstantFeeStructure(decimal leverage)
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{
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Security msft;
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var algo = GetAlgorithm(out msft, leverage, 10000);
|
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//Set price to $25
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Update(msft, 25);
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//Half cash spent on 2000 MSFT shares.
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algo.Portfolio.SetCash(150000);
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algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
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//Buy 2000 to get to 0 holdings.
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var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
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Assert.AreEqual(2000, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToShorter(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
// Cash: 150k
|
|
// MSFT: -50k
|
|
// TPV: 100k
|
|
|
|
// we should end with -3000 = -.75*(100k/25)
|
|
|
|
// ($100k total value * -0.75 target * 0.9975 buffer - $50k current holdings) / 25 =~ 992m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
|
|
Assert.AreEqual(-992m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToShorter_SmallConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
// Cash: 150k
|
|
// MSFT: -50k
|
|
// TPV: 100k
|
|
|
|
// we should end with -3000 = -.75*(100k/25)
|
|
// ($100k total value * -0.75 target * 0.9975 buffer - $50k current holdings) / 25 =~ 992m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
|
|
Assert.AreEqual(-992m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToShorter_HighConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
// Cash: 150k
|
|
// MSFT: -50k
|
|
// TPV: 100k
|
|
|
|
// we should end with -3000 = -.75*(100k/25)
|
|
// (($100k total value - 10k fees) * -0.75 target * 0.9975 buffer + $50k current holdings) / 25 =~ -693m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
|
|
Assert.AreEqual(-693m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToLong(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
// ($100k total value * 0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
Assert.AreEqual(3995m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToLong_SmallConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
// ($100k total value * 0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m - 1 cause order fee
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
Assert.AreEqual(3994m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToLong_HighConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
// (($100k total value - 10 k fees) * 0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
Assert.AreEqual(3795m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToHalfShort_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -2000 to get to -50%
|
|
// ($100k total value * -0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
Assert.AreEqual(-3995m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToHalfShort_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -1999 to get to -50%
|
|
// ($100k total value * -0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m - 1 due to fees
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
Assert.AreEqual(-3994m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToHalfShort_HighConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -1600 to get to -50%
|
|
// ($100k total value * -0.5 target * 0.9975 buffer - $50k current holdings) / 25 =~ 3995m - 200 due to fees
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
Assert.AreEqual(-3795m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFullShort_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Need to sell to make position ($100k total value * -1 target * 0.9975 buffer - $50k current holdings) / 50 =~ -5990m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
|
|
Assert.AreEqual(-5990m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFullShort_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Need to sell to make position ($100k total value * -1 target * 0.9975 buffer - $50k current holdings) / 50 =~ -5990m - 1 due to fee
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
|
|
Assert.AreEqual(-5989m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFullShort_HighConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
// Fee is 10k / 25 ~= 400 shares
|
|
//Need to sell to make position (($100k total value -10k fees) * -1 target * 0.9975 buffer - $50k current holdings) / 50 =~ -5591m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
|
|
Assert.AreEqual(-5591m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFull2xShort_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -8000 to get to -200%
|
|
// ($100k total value * -2 target * 0.9975 buffer - $50k current holdings) / 25 =~ 9980m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
|
|
Assert.AreEqual(-9980m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFull2xShort_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -7999 to get to -200%
|
|
// ($100k total value * -2 target * 0.9975 buffer - $50k current holdings) / 25 =~ 9980m - 1 due to fees
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
|
|
Assert.AreEqual(-9979m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_HalfLongToFull2xShort_HighConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Sell all 2000 held + -7200 to get to -200%
|
|
// ($100k total value * -2 target * 0.9975 buffer - $50k current holdings) / 25 =~ 9980m - ~800 due to fees
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
|
|
Assert.AreEqual(-9182m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_ZeroToFullShort_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
|
|
// ($100k total value * -2 target * 0.9975 buffer - $10k fees * 2) / 25 =~-7182m
|
|
Assert.AreEqual(-7182m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_ZeroToAlmostFullShort_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1.5m);
|
|
// ($100k total value * -1.5 target * 0.9975 buffer - $10k fees * 1.5) / 25 =~ -5386m
|
|
Assert.AreEqual(-5386m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_ZeroToFullLong_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 2m);
|
|
// ($100k total value * 2 target * 0.9975 buffer - $10k fees * 2) / 25 =~ 7182m
|
|
Assert.AreEqual(7182m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParametersDifferentMargins))]
|
|
public void SetHoldings_ZeroToAlmostFullLong_SmallConstantFeeStructure_DifferentMargins(decimal initialMarginRequirement, decimal maintenanceMarginRequirement)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, initialMarginRequirement, maintenanceMarginRequirement, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 1.5m);
|
|
// ($100k total value * 1.5 target * 0.9975 buffer - $10k fees * 1.5) / 25 =~ 5386m
|
|
Assert.AreEqual(5386m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
|
|
/*****************************************************/
|
|
// Rising market conditions tests.
|
|
/*****************************************************/
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongFixed_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k.
|
|
//Calculate the new holdings for 50% MSFT::
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// Need to sell ($150k total value * 0.5m target * 0.9975 buffer - 100k current holdings) / 50 =~ -500
|
|
Assert.AreEqual(-503m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongFixed_PriceRise_SmallConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k.
|
|
//Calculate the new holdings for 50% MSFT::
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// Need to sell ($150k total value * 0.5m target * 0.9975 buffer - 100k current holdings) / 50 =~ -500
|
|
Assert.AreEqual(-503m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongFixed_PriceRise_HighConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k.
|
|
//Calculate the new holdings for 50% MSFT::
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// Need to sell (( $150k total value - 10 k fees) * 0.5m target * 0.9975 buffer - 100k current holdings) / 50 =~ -603
|
|
Assert.AreEqual(-603, actual);
|
|
// After the trade: TPV 140k (due to fees), holdings at 1397 shares (2000 - 603) * $50 = 69850 value, which is 0.4989% holdings
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongToLonger_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
|
|
//Calculate the order for 75% MSFT:
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
|
|
|
|
//Need to buy to make position ($150k total value * 0.75 target * 0.9975 buffer - 100k current holdings) / 50 =~ 244
|
|
Assert.AreEqual(244m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongToLonger_PriceRise_SmallConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 1);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
|
|
//Calculate the order for 75% MSFT:
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
|
|
|
|
//Need to buy to make position (150K total value * 0.75 target * 0.9975 buffer - 100k current holdings) / 50 =~ 244
|
|
Assert.AreEqual(244m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongToLonger_PriceRise_HighConstantFeeStructure(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 10000);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
|
|
//Calculate the order for 75% MSFT:
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
|
|
|
|
//Need to buy to make position ((150K total value - 10k fees) * 0.75 target * 0.9975 buffer - 100k current holdings) / 50 =~ 94
|
|
Assert.AreEqual(94m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongerToLong_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
//75% cash spent on 3000 MSFT shares.
|
|
algo.Portfolio.SetCash(25000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 3000 * 50 = $150k Holdings, $25k Cash: $175k. MSFT is 86% of holdings.
|
|
//Calculate the order for 50% MSFT:
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
//Need to sell to make position ($175k total value * 0.5 target * 0.9975 buffer - $150k current holdings) / 50 =~ -1254m
|
|
Assert.AreEqual(-1254m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_LongToShort_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Half cash spent on 2000 MSFT shares.
|
|
algo.Portfolio.SetCash(50000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is 66% of holdings.
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
|
|
//Need to sell to make position ($150k total value * -0.5 target * 0.9975 buffer - $100k current holdings) / 50 =~ -3496m
|
|
Assert.AreEqual(-3496m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToShorter_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
//Price rises to $50.
|
|
Update(msft, 50);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
// Cash: 150k
|
|
// MSFT: -(2000*50) = -100K
|
|
// TPV: 50k
|
|
Assert.AreEqual(50000, algo.Portfolio.TotalPortfolioValue);
|
|
|
|
// we should end with -750 shares (-.75*50000/50)
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
|
|
|
|
// currently -2000, so plus 1251
|
|
Assert.AreEqual(1251m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToLong_PriceRise_ZeroValue(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
//Price rises to $50: holdings now worthless.
|
|
Update(msft, 50m);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
//Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
//We want to be 50% long, this is currently +2000 holdings + 50% 50k = $25k * 0.9975 buffer/ $50-share~=2498m
|
|
Assert.AreEqual(2498m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortToLong_PriceRise(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
//Price rises to $50
|
|
Update(msft, 50m);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
// Cash: 150k
|
|
// MSFT: -50*2000=100k
|
|
// TPV: 50k
|
|
Assert.AreEqual(50000, algo.Portfolio.TotalPortfolioValue);
|
|
|
|
// 50k*0.5=25k = 500 end holdings
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// ($50k total value * 0.5 target * 0.9975 buffer - (-$100k current holdings)) / 50 =~ 2498m
|
|
Assert.AreEqual(2498m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
|
|
|
|
/*****************************************************/
|
|
// Falling market conditions tests.
|
|
/*****************************************************/
|
|
|
|
[Test, TestCaseSource(nameof(TestParameters))]
|
|
public void SetHoldings_ShortFixed_PriceFall(decimal leverage)
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, leverage, 0);
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
//Sold -2000 MSFT shares, +50k cash
|
|
algo.Portfolio.SetCash(150000);
|
|
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
Update(msft, 12.5m);
|
|
|
|
algo.Settings.FreePortfolioValue =
|
|
algo.Portfolio.TotalPortfolioValue * algo.Settings.FreePortfolioValuePercentage;
|
|
|
|
// Cash: 150k
|
|
// MSFT: -25k
|
|
// TPV : 125k
|
|
// ($125k total value * -0.5 target * 0.9975 buffer - (-$25k current holdings)) / 12.5 =~ -2987m
|
|
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
Assert.AreEqual(-2987m, actual);
|
|
Assert.IsTrue(HasSufficientBuyingPowerForOrder(actual, msft, algo));
|
|
}
|
|
|
|
/*************************************************************************/
|
|
// Rounding the order quantity to the nearest multiple of lot size test
|
|
/*************************************************************************/
|
|
|
|
[Test]
|
|
public void SetHoldings_Long_RoundOff()
|
|
{
|
|
var algo = new QCAlgorithm();
|
|
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
|
|
var symbol = algo.AddForex("EURUSD", market: Market.FXCM).Symbol;
|
|
algo.SetCash(100000);
|
|
algo.SetCash("BTC", 0, 8000);
|
|
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
|
|
algo.Securities[symbol].FeeModel = new ConstantFeeModel(0);
|
|
Security eurusd = algo.Securities[symbol];
|
|
// Set Price to $26
|
|
Update(eurusd, 26);
|
|
// So 100000/26 = 3846, After Rounding off becomes 3000
|
|
var actual = algo.CalculateOrderQuantity(symbol, 1m);
|
|
Assert.AreEqual(3000m, actual);
|
|
|
|
var btcusd = algo.AddCrypto("BTCUSD", market: Market.GDAX);
|
|
btcusd.FeeModel = new ConstantFeeModel(0);
|
|
// Set Price to $26
|
|
Update(btcusd, 26);
|
|
// (100000 * 0.9975) / 26 = 3836.53846153m
|
|
actual = algo.CalculateOrderQuantity(Symbols.BTCUSD, 1m);
|
|
Assert.AreEqual(3836.53846153m, actual);
|
|
}
|
|
|
|
[Test]
|
|
public void SetHoldings_Short_RoundOff()
|
|
{
|
|
var algo = new QCAlgorithm();
|
|
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
|
|
var symbol = algo.AddForex("EURUSD", market: Market.FXCM).Symbol;
|
|
algo.SetCash(100000);
|
|
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
|
|
algo.Securities[symbol].FeeModel = new ConstantFeeModel(0);
|
|
Security eurusd = algo.Securities[symbol];
|
|
// Set Price to $26
|
|
Update(eurusd, 26);
|
|
// So -100000/26 = -3846, After Rounding off becomes -3000
|
|
var actual = algo.CalculateOrderQuantity(symbol, -1m);
|
|
Assert.AreEqual(-3000m, actual);
|
|
|
|
var btcusd = algo.AddCrypto("BTCUSD", market: Market.GDAX);
|
|
btcusd.FeeModel = new ConstantFeeModel(0);
|
|
// Set Price to $26
|
|
Update(btcusd, 26);
|
|
// Cash model does not allow shorts
|
|
actual = algo.CalculateOrderQuantity(Symbols.BTCUSD, -1m);
|
|
Assert.AreEqual(0, actual);
|
|
}
|
|
|
|
[Test]
|
|
public void SetHoldings_Long_ToZero_RoundOff()
|
|
{
|
|
var algo = new QCAlgorithm();
|
|
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
|
|
var symbol = algo.AddForex("EURUSD", market: Market.FXCM).Symbol;
|
|
algo.SetCash(10000);
|
|
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
|
|
algo.Securities[symbol].FeeModel = new ConstantFeeModel(0);
|
|
Security eurusd = algo.Securities[symbol];
|
|
// Set Price to $25
|
|
Update(eurusd, 25);
|
|
// So 10000/25 = 400, After Rounding off becomes 0
|
|
var actual = algo.CalculateOrderQuantity(symbol, 1m);
|
|
Assert.AreEqual(0m, actual);
|
|
}
|
|
|
|
//[Test]
|
|
//public void SetHoldings_LongToLonger_PriceRise()
|
|
//{
|
|
// var algo = GetAlgorithm();
|
|
// //Set price to $25
|
|
// Update(msft, 25));
|
|
// //Half cash spent on 2000 MSFT shares.
|
|
// algo.Portfolio.SetCash(50000);
|
|
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
// //Price rises to $50.
|
|
// Update(msft, 50));
|
|
|
|
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is already 66% of holdings.
|
|
// //Calculate the order for 75% MSFT:
|
|
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
|
|
|
|
// //Need to buy to make position $112.5k == $12.5k / 50 = 250 shares
|
|
// Assert.AreEqual(250, actual);
|
|
//}
|
|
|
|
//[Test]
|
|
//public void SetHoldings_LongerToLong_PriceRise()
|
|
//{
|
|
// var algo = GetAlgorithm();
|
|
// //Set price to $25
|
|
// Update(msft, 25));
|
|
|
|
// //75% cash spent on 3000 MSFT shares.
|
|
// algo.Portfolio.SetCash(25000);
|
|
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 3000);
|
|
|
|
// //Price rises to $50.
|
|
// Update(msft, 50));
|
|
|
|
// //Now: 3000 * 50 = $150k Holdings, $25k Cash: $175k. MSFT is 86% of holdings.
|
|
// //Calculate the order for 50% MSFT:
|
|
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// //Need to sell to 50% = 87.5k target from $150k = 62.5 / $50-share = 1250
|
|
// Assert.AreEqual(-1250, actual);
|
|
//}
|
|
|
|
|
|
//[Test]
|
|
//public void SetHoldings_LongToShort_PriceRise()
|
|
//{
|
|
// var algo = GetAlgorithm();
|
|
// //Set price to $25
|
|
// Update(msft, 25));
|
|
// //Half cash spent on 2000 MSFT shares.
|
|
// algo.Portfolio.SetCash(50000);
|
|
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, 2000);
|
|
|
|
// //Price rises to $50.
|
|
// Update(msft, 50));
|
|
|
|
// //Now: 2000 * 50 = $100k Holdings, $50k Cash: $150k. MSFT is 66% of holdings.
|
|
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
|
|
|
|
// // Need to hold -75k from $100k = delta: $175k / $50-share = -3500 shares.
|
|
// Assert.AreEqual(-3500, actual);
|
|
//}
|
|
|
|
//[Test]
|
|
//public void SetHoldings_ShortToShorter_PriceRise()
|
|
//{
|
|
// var algo = GetAlgorithm();
|
|
// //Set price to $25
|
|
// Update(msft, 25));
|
|
// //Half cash spent on -2000 MSFT shares.
|
|
// algo.Portfolio.SetCash(50000);
|
|
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
// //Price rises to $50.
|
|
// Update(msft, 50));
|
|
|
|
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
|
|
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
|
|
|
|
// //Want to hold -75% of MSFT: 50k total, -37.5k / $50-share = -750 TOTAL.
|
|
// // Currently -2000, so net order +1250.
|
|
// Assert.AreEqual(1250, actual);
|
|
//}
|
|
|
|
//[Test]
|
|
//public void SetHoldings_ShortToLong_PriceRise()
|
|
//{
|
|
// var algo = GetAlgorithm();
|
|
// //Set price to $25
|
|
// Update(msft, 25));
|
|
// //Half cash spent on -2000 MSFT shares.
|
|
// algo.Portfolio.SetCash(50000);
|
|
// algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
|
|
|
|
// //Price rises to $50.
|
|
// Update(msft, 50));
|
|
|
|
// //Now: 2000 * 50 = $0k Net Holdings, $50k Cash: $50k. MSFT is 0% of holdings.
|
|
// var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
|
|
|
|
// //We want to be 50% long, this is currently +2000 holdings + 50% 50k = $25k/ $50-share=500
|
|
// Assert.AreEqual(2500, actual);
|
|
//}
|
|
|
|
[Test]
|
|
public void OrderQuantityConversionTest()
|
|
{
|
|
Security msft;
|
|
var algo = GetAlgorithm(out msft, 1, 0);
|
|
|
|
//Set price to $25
|
|
Update(msft, 25);
|
|
|
|
algo.Portfolio.SetCash(150000);
|
|
|
|
var mock = new Mock<ITransactionHandler>();
|
|
var request = new Mock<SubmitOrderRequest>(null, null, null, null, null, null, null, null, null);
|
|
mock.Setup(m => m.Process(It.IsAny<OrderRequest>())).Returns(new OrderTicket(null, request.Object));
|
|
mock.Setup(m => m.GetOpenOrders(It.IsAny<Func<Order, bool>>())).Returns(new List<Order>());
|
|
algo.Transactions.SetOrderProcessor(mock.Object);
|
|
|
|
algo.Buy(Symbols.MSFT, 1);
|
|
algo.Buy(Symbols.MSFT, 1.0);
|
|
algo.Buy(Symbols.MSFT, 1.0m);
|
|
algo.Buy(Symbols.MSFT, 1.0f);
|
|
|
|
algo.Sell(Symbols.MSFT, 1);
|
|
algo.Sell(Symbols.MSFT, 1.0);
|
|
algo.Sell(Symbols.MSFT, 1.0m);
|
|
algo.Sell(Symbols.MSFT, 1.0f);
|
|
|
|
algo.Order(Symbols.MSFT, 1);
|
|
algo.Order(Symbols.MSFT, 1.0);
|
|
algo.Order(Symbols.MSFT, 1.0m);
|
|
algo.Order(Symbols.MSFT, 1.0f);
|
|
|
|
algo.MarketOrder(Symbols.MSFT, 1);
|
|
algo.MarketOrder(Symbols.MSFT, 1.0);
|
|
algo.MarketOrder(Symbols.MSFT, 1.0m);
|
|
algo.MarketOrder(Symbols.MSFT, 1.0f);
|
|
|
|
algo.MarketOnOpenOrder(Symbols.MSFT, 1);
|
|
algo.MarketOnOpenOrder(Symbols.MSFT, 1.0);
|
|
algo.MarketOnOpenOrder(Symbols.MSFT, 1.0m);
|
|
|
|
algo.MarketOnCloseOrder(Symbols.MSFT, 1);
|
|
algo.MarketOnCloseOrder(Symbols.MSFT, 1.0);
|
|
algo.MarketOnCloseOrder(Symbols.MSFT, 1.0m);
|
|
|
|
algo.LimitOrder(Symbols.MSFT, 1, 1);
|
|
algo.LimitOrder(Symbols.MSFT, 1.0, 1);
|
|
algo.LimitOrder(Symbols.MSFT, 1.0m, 1);
|
|
|
|
algo.StopMarketOrder(Symbols.MSFT, 1, 1);
|
|
algo.StopMarketOrder(Symbols.MSFT, 1.0, 1);
|
|
algo.StopMarketOrder(Symbols.MSFT, 1.0m, 1);
|
|
|
|
algo.StopLimitOrder(Symbols.MSFT, 1, 1, 2);
|
|
algo.StopLimitOrder(Symbols.MSFT, 1.0, 1, 2);
|
|
algo.StopLimitOrder(Symbols.MSFT, 1.0m, 1, 2);
|
|
|
|
algo.SetHoldings(Symbols.MSFT, 1);
|
|
algo.SetHoldings(Symbols.MSFT, 1.0);
|
|
algo.SetHoldings(Symbols.MSFT, 1.0m);
|
|
algo.SetHoldings(Symbols.MSFT, 1.0f);
|
|
|
|
int expected = 32;
|
|
Assert.AreEqual(expected, algo.Transactions.LastOrderId);
|
|
}
|
|
|
|
|
|
private QCAlgorithm GetAlgorithm(out Security msft, decimal leverage, decimal fee)
|
|
{
|
|
//Initialize algorithm
|
|
var algo = new QCAlgorithm();
|
|
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
|
|
algo.AddSecurity(SecurityType.Equity, "MSFT");
|
|
algo.SetCash(100000);
|
|
algo.SetFinishedWarmingUp();
|
|
algo.Securities[Symbols.MSFT].FeeModel = new ConstantFeeModel(fee);
|
|
_fakeOrderProcessor = new FakeOrderProcessor();
|
|
algo.Transactions.SetOrderProcessor(_fakeOrderProcessor);
|
|
msft = algo.Securities[Symbols.MSFT];
|
|
msft.SetLeverage(leverage);
|
|
return algo;
|
|
}
|
|
|
|
private QCAlgorithm GetAlgorithm(out Security msft, decimal initialMarginRequirement, decimal maintenanceMarginRequirement, decimal fee)
|
|
{
|
|
//Initialize algorithm
|
|
var algo = new QCAlgorithm();
|
|
algo.SubscriptionManager.SetDataManager(new DataManagerStub(algo));
|
|
algo.AddSecurity(SecurityType.Equity, "MSFT");
|
|
algo.SetCash(100000);
|
|
algo.SetFinishedWarmingUp();
|
|
algo.Securities[Symbols.MSFT].FeeModel = new ConstantFeeModel(fee);
|
|
_fakeOrderProcessor = new FakeOrderProcessor();
|
|
algo.Transactions.SetOrderProcessor(_fakeOrderProcessor);
|
|
msft = algo.Securities[Symbols.MSFT];
|
|
msft.BuyingPowerModel = new SecurityMarginModel(initialMarginRequirement, maintenanceMarginRequirement, 0);
|
|
return algo;
|
|
}
|
|
|
|
private void Update(Security security, decimal close)
|
|
{
|
|
security.SetMarketPrice(new TradeBar
|
|
{
|
|
Time = DateTime.Now,
|
|
Symbol = security.Symbol,
|
|
Open = close,
|
|
High = close,
|
|
Low = close,
|
|
Close = close
|
|
});
|
|
}
|
|
|
|
private bool HasSufficientBuyingPowerForOrder(decimal orderQuantity, Security security, IAlgorithm algo)
|
|
{
|
|
var order = new MarketOrder(security.Symbol, orderQuantity, DateTime.UtcNow);
|
|
_fakeOrderProcessor.AddTicket(order.ToOrderTicket(algo.Transactions));
|
|
var hashSufficientBuyingPower = security.BuyingPowerModel.HasSufficientBuyingPowerForOrder(algo.Portfolio,
|
|
security, new MarketOrder(security.Symbol, orderQuantity, DateTime.UtcNow));
|
|
return hashSufficientBuyingPower.IsSufficient;
|
|
}
|
|
}
|
|
} |