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Copy pathAlgorithmTradingTests.cs
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1135 lines (977 loc) · 44.1 KB
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using NUnit.Framework;
using QuantConnect.Algorithm;
using QuantConnect.Data.Market;
using QuantConnect.Securities;
using QuantConnect.Brokerages;
namespace QuantConnect.Tests.Algorithm
{
[TestFixture]
public class AlgorithmTradingTests
{
public TestCaseData[] TestParameters
{
get
{
return new[]
{
new TestCaseData(1m),
new TestCaseData(2m),
new TestCaseData(100m),
};
}
}
public TestCaseData[] TestParametersDifferentMargins
{
get
{
return new[]
{
new TestCaseData(0.5m, 0.25m),
};
}
}
/*****************************************************/
// Isostatic market conditions tests.
/*****************************************************/
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToLong(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 0);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToLong_SmallConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 1);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
// $1 in fees, so 1 share less than 2k from SetHoldings_ZeroToLong
Assert.AreEqual(1999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToLong_HighConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 10000);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
// 10k in fees = 400 shares (400*25), so 400 less than 2k from SetHoldings_ZeroToLong
Assert.AreEqual(1600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToShort(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 0);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToShort_SmallConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 1);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-1999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ZeroToShort_HighConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 10000);
//Set price to $25 & Target 50%
Update(msft, 25);
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-1600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToLonger(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);
//Calculate the new holdings:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
Assert.AreEqual(1000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToLonger_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);
//Calculate the new holdings:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
Assert.AreEqual(999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToLonger_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);
//Calculate the new holdings:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.75m);
Assert.AreEqual(600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongerToLong(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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(-1000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongerToLong_SmallConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 1);
//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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(-999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongerToLong_HighConstantFeeStructure(decimal leverage)
{
Security msft;
var algo = GetAlgorithm(out msft, leverage, 10000);
//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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(-600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToZero(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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(-2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToZero_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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(-2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToZero_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);
//Sell all 2000 held:
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(-2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToShort(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);
//Sell all 2000 held + -2000 to get to -50%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-4000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToShort_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);
//Sell all 2000 held + -1999 to get to -50%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-3999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_LongToShort_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);
//Sell all 2000 held + -1600 to get to -50%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-3600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_HalfLongToFullShort(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);
//Sell all 2000 held + -4000 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-6000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_HalfLongToFullShort_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);
//Sell all 2000 held + -3999 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-5999, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_HalfLongToFullShort_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);
//Sell all 2000 held + -3600 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-5600, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ShortToZero(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(150000);
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
//Buy 2000 to get to 0 holdings.
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ShortToZero_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(150000);
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
//Buy 2000 to get to 0 holdings.
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(2000, actual);
}
[Test, TestCaseSource("TestParameters")]
public void SetHoldings_ShortToZero_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(150000);
algo.Portfolio[Symbols.MSFT].SetHoldings(25, -2000);
//Buy 2000 to get to 0 holdings.
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0m);
Assert.AreEqual(2000, actual);
}
[Test, TestCaseSource("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)
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
Assert.AreEqual(-1000, actual);
}
[Test, TestCaseSource("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)
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
Assert.AreEqual(-999, actual);
}
[Test, TestCaseSource("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)
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.75m);
Assert.AreEqual(-600, actual);
}
[Test, TestCaseSource("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);
// TPV: 150k - 50k = 100k*.5=50k @ 25 = 2000, so we need 4000 since we start at -2k
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(4000, actual);
}
[Test, TestCaseSource("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);
// TPV: 150k - 50k = 100k*.5=50k @ 25 = 2000, so we need 4000 since we start at -2k
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(3999, actual);
}
[Test, TestCaseSource("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);
// TPV: 150k - 50k = 100k*.5=50k @ 25 = 2000, so we need 4000 since we start at -2k
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, 0.5m);
Assert.AreEqual(3600, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-4000, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-3999, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-3600, actual);
}
[Test, TestCaseSource("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);
//Sell all 2000 held + -4000 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-6000, actual);
}
[Test, TestCaseSource("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);
//Sell all 2000 held + -3999 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-5999, actual);
}
[Test, TestCaseSource("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);
//Sell all 2000 held + -3600 to get to -100%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -1m);
Assert.AreEqual(-5600, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
Assert.AreEqual(-10000, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
Assert.AreEqual(-9999, actual);
}
[Test, TestCaseSource("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%
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -2m);
Assert.AreEqual(-9200, actual);
}
/*****************************************************/
// Rising market conditions tests.
/*****************************************************/
[Test, TestCaseSource("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);
//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 $25k so 50% of $150k: $25k / $50-share = -500 shares
Assert.AreEqual(-500, actual);
}
[Test, TestCaseSource("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);
//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 $25k so 50% of $150k: $25k / $50-share = -500 shares, -1 in fees
Assert.AreEqual(-499, actual);
}
[Test, TestCaseSource("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);
//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 $25k so 50% of $150k: $25k / $50-share = -500 shares, -200 in fees
Assert.AreEqual(-300, actual);
}
[Test, TestCaseSource("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);
//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, TestCaseSource("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);
//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, -1 in fees = 49
Assert.AreEqual(249, actual);
}
[Test, TestCaseSource("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);
//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, -10k in fees = 50
Assert.AreEqual(50, actual);
}
[Test, TestCaseSource("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);
//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, TestCaseSource("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);
//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, TestCaseSource("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);
// 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 1250
Assert.AreEqual(1250, actual);
}
[Test, TestCaseSource("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);
//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, TestCaseSource("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);
// 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);
// 500 will makes us 50% tpv, we hold -2000, so 2500 buy
Assert.AreEqual(2500, actual);
}
/*****************************************************/
// Falling market conditions tests.
/*****************************************************/
[Test, TestCaseSource("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);
// Cash: 150k
// MSFT: -25k
// TPV : 125k
// -50% of 125 = (62.5k) @ 12.5/share = -5000
// to get to -5000 we'll need to short another 3000
var actual = algo.CalculateOrderQuantity(Symbols.MSFT, -0.5m);
Assert.AreEqual(-3000, actual);
}
/*************************************************************************/
// Rounding the order quantity to the nearest multiple of lot size test
/*************************************************************************/
[Test]
public void SetHoldings_Long_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(100000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $26
Update(eurusd, 26);
// So 100000/26 = 3846, After Rounding off becomes 3000
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, 1m);
Assert.AreEqual(3000m, actual);
}
[Test]
public void SetHoldings_Short_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(100000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $26
Update(eurusd, 26);
// So -100000/26 = -3846, After Rounding off becomes -3000
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, -1m);
Assert.AreEqual(-3000m, actual);
}
[Test]
public void SetHoldings_Long_ToZero_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(10000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $25
Update(eurusd, 25);
// So 10000/25 = 400, After Rounding off becomes 0
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, 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);
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