Ricardo Andrés Marino Rojas
e065c752cc
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* Draft of unit test to reproduce error * Fix bug and regression tests * Remove draft unit test * Check fees in ComboMarketOrderAlgorithm.cs * Fix bug in fees for combo orders - Update regression tests - Solve bug in fees when combo orders had legs with different quantity - Solve bug in fees when combo orders had legs with different security types - Update IB comission rate for options where the price is higher than 0.1 USD * Add explaining comments * Use leg security fee model
95 lines
3.7 KiB
C#
95 lines
3.7 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 QuantConnect.Orders;
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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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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// Regression algorithm to test combo leg limit orders
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/// </summary>
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public class ComboLegLimitOrderAlgorithm : ComboOrderAlgorithm
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{
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protected override IEnumerable<OrderTicket> PlaceComboOrder(List<Leg> legs, int quantity, decimal? limitPrice = null)
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{
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return ComboLegLimitOrder(legs, quantity);
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}
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public override void OnEndOfAlgorithm()
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{
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base.OnEndOfAlgorithm();
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if (FillOrderEvents.Zip(OrderLegs).Any(x => x.Second.OrderPrice < x.First.FillPrice))
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{
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throw new Exception($"Limit price expected to be greater that the fill price for each order. Limit prices: {string.Join(",", OrderLegs.Select(x => x.OrderPrice))} Fill prices: {string.Join(",", FillOrderEvents.Select(x => x.FillPrice))}");
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}
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}
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public override bool CanRunLocally => true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public override Language[] Languages { get; } = { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public override long DataPoints => 475788;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public override int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Trades", "3"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "0"},
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{"Tracking Error", "0"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$10.00"},
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{"Estimated Strategy Capacity", "$58000.00"},
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{"Lowest Capacity Asset", "GOOCV W78ZERHAOVVQ|GOOCV VP83T1ZUHROL"},
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{"Portfolio Turnover", "30.16%"},
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{"OrderListHash", "2b64aec759a089d23ccf9722d6b87ccd"}
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};
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}
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}
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