Jhonathan Abreu
c8890c3da9
* Fix multiple option strategies liquidation When holding multiple position groups of the same underlying, reverting one of the groups was not possible because of the presence of the other position groups, which caused no matching groups to be formed for the order. * Make OptionStrategyPositionGroupResolver not group single position * Revert make OptionStrategyPositionGroupResolver not group single position
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", "$75.00"},
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{"Estimated Strategy Capacity", "$100000.00"},
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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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