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Minor fixes and new unit tests
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@jhonabreul
jhonabreul committed Jan 25, 2024
1 parent b7b9dde commit e4abba7
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Showing 4 changed files with 80 additions and 52 deletions.
2 changes: 1 addition & 1 deletion Algorithm.CSharp/SplitEquityRegressionAlgorithm.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -184,7 +184,7 @@ public override void OnEndOfAlgorithm()
{"Estimated Strategy Capacity", "$0"},
{"Lowest Capacity Asset", ""},
{"Portfolio Turnover", "0%"},
{"OrderListHash", "df486042c4e80663af46c355cb08b220"}
{"OrderListHash", "16b303d07fd2993a588b91c64091bae3"}
};
}
}
12 changes: 6 additions & 6 deletions Algorithm.Python/LimitIfTouchedRegressionAlgorithm.py
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Expand Up @@ -22,9 +22,9 @@
### <meta name="tag" content="limit if touched order"/>
class LimitIfTouchedRegressionAlgorithm(QCAlgorithm):
_expectedEvents = deque([
"Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 399 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 144.6434 USD LimitPrice: 144.3551 TriggerPrice: 143.61 OrderFee: 1 USD",
"Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 156 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 145.6636 USD LimitPrice: 145.6434 TriggerPrice: 144.89 OrderFee: 1 USD",
"Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 380 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: 146.7185 USD LimitPrice: 146.6723 TriggerPrice: 145.92 OrderFee: 1 USD" ])
"Time: 10/10/2013 13:31:00 OrderID: 72 EventID: 399 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $144.6434 LimitPrice: $144.3551 TriggerPrice: $143.61 OrderFee: 1 USD",
"Time: 10/10/2013 15:57:00 OrderID: 73 EventID: 156 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $145.6636 LimitPrice: $145.6434 TriggerPrice: $144.89 OrderFee: 1 USD",
"Time: 10/11/2013 15:37:00 OrderID: 74 EventID: 380 Symbol: SPY Status: Filled Quantity: -1 FillQuantity: -1 FillPrice: $146.7185 LimitPrice: $146.6723 TriggerPrice: $145.92 OrderFee: 1 USD" ])

def Initialize(self):
self.SetStartDate(2013, 10, 7)
Expand All @@ -51,11 +51,11 @@ def OnData(self, data):
return

new_quantity = int(self._request.Quantity - self._negative)
self._request.UpdateQuantity(new_quantity, f"LIT - Quantity: {new_quantity}")
self._request.UpdateQuantity(new_quantity, f"LIT - Quantity: {new_quantity}")
self._request.UpdateTriggerPrice(Extensions.RoundToSignificantDigits(self._request.Get(OrderField.TriggerPrice), 5));

def OnOrderEvent(self, orderEvent):
if orderEvent.Status == OrderStatus.Filled:
expected = self._expectedEvents.popleft()
if orderEvent.ToString() != expected:
raise Exception(f"orderEvent {orderEvent.Id} differed from {expected}")
if str(orderEvent) != expected:
raise Exception(f"orderEvent {orderEvent.Id} differed from {expected}. Actual {orderEvent}")
45 changes: 0 additions & 45 deletions Tests/Common/Orders/OrderTests.cs
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Expand Up @@ -44,51 +44,6 @@ public void GetValueTest(ValueTestParameters parameters)
Assert.AreEqual(parameters.ExpectedValue, value);
}

[Test]
[TestCase(null)]
[TestCase("")]
public void LimitOrder_SetsDefaultTag(string tag)
{
var order = new LimitOrder(Symbols.SPY, 1m, 123.4567m, DateTime.Today, tag);
Assert.AreEqual(string.Empty, order.Tag);
}

[Test]
[TestCase(null)]
[TestCase("")]
public void StopLimitOrder_SetsDefaultTag(string tag)
{
var order = new StopLimitOrder(Symbols.SPY, 1m, 123.4567m, 234.5678m, DateTime.Today, tag);
Assert.AreEqual(string.Empty, order.Tag);
}

[Test]
[TestCase(null)]
[TestCase("")]
public void StopMarketOrder_SetsDefaultTag(string tag)
{
var order = new StopMarketOrder(Symbols.SPY, 1m, 123.4567m, DateTime.Today, tag);
Assert.AreEqual(string.Empty, order.Tag);
}

[Test]
[TestCase(null)]
[TestCase("")]
public void TrailingStopOrder_SetsDefaultTag(string tag)
{
var order = new TrailingStopOrder(Symbols.SPY, 1m, 0.1m, true, DateTime.Today, tag);
Assert.AreEqual(Messages.TrailingStopOrder.Tag(order), order.Tag);
}

[Test]
[TestCase(null)]
[TestCase("")]
public void LimitIfTouchedOrder_SetsDefaultTag(string tag)
{
var order = new LimitIfTouchedOrder(Symbols.SPY, 1m, 123.4567m,122.4567m, DateTime.Today, tag);
Assert.AreEqual(string.Empty, order.Tag);
}

[TestCase(OrderDirection.Sell, 300, 0.1, true, 270)]
[TestCase(OrderDirection.Sell, 300, 30, false, 270)]
[TestCase(OrderDirection.Buy, 300, 0.1, true, 330)]
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73 changes: 73 additions & 0 deletions Tests/Engine/BrokerageTransactionHandlerTests/BrokerageTransactionHandlerTests.cs
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Expand Up @@ -63,6 +63,79 @@ public void Initialize()
Assert.IsNotNull(_handleOptionNotification);
}

private static SubmitOrderRequest MakeOrderRequest(Security security, OrderType orderType, DateTime date)
{
var groupOrderManager = new GroupOrderManager(1, 1, 100, orderType == OrderType.ComboLimit ? 100 : 0);

return orderType switch
{
OrderType.Market => new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 1, 0, 0, date, ""),
OrderType.Limit => new SubmitOrderRequest(OrderType.Limit, security.Type, security.Symbol, 1, 0, 290, date, ""),
OrderType.StopMarket => new SubmitOrderRequest(OrderType.StopMarket, security.Type, security.Symbol, 1, 305, 0, date, ""),
OrderType.StopLimit => new SubmitOrderRequest(OrderType.StopLimit, security.Type, security.Symbol, 1, 305, 295, date, ""),
OrderType.MarketOnOpen => new SubmitOrderRequest(OrderType.MarketOnOpen, security.Type, security.Symbol, 1, 0, 0, date, ""),
OrderType.MarketOnClose => new SubmitOrderRequest(OrderType.MarketOnClose, security.Type, security.Symbol, 1, 0, 0, date, ""),
OrderType.LimitIfTouched => new SubmitOrderRequest(OrderType.LimitIfTouched, security.Type, security.Symbol, 1, 0, 300, 305, date, ""),
OrderType.OptionExercise => new SubmitOrderRequest(OrderType.OptionExercise, security.Type, security.Symbol, 1, 0, 0, date, ""),
OrderType.ComboMarket => new SubmitOrderRequest(OrderType.ComboMarket, security.Type, security.Symbol, 1, 0, 0, date, "", groupOrderManager: groupOrderManager),
OrderType.ComboLimit => new SubmitOrderRequest(OrderType.ComboLimit, security.Type, security.Symbol, 1, 295, 0, date, "", groupOrderManager: groupOrderManager),
OrderType.ComboLegLimit => new SubmitOrderRequest(OrderType.ComboLegLimit, security.Type, security.Symbol, 1, 295, 0, date, "", groupOrderManager: groupOrderManager),
OrderType.TrailingStop => new SubmitOrderRequest(OrderType.TrailingStop, security.Type, security.Symbol, 1, 305, 0, 305, date, ""),
_ => throw new ArgumentOutOfRangeException(nameof(orderType), orderType, null)
};
}

[Test]
public void OrderTagIsSetToTheDefaultOne([Values] OrderType orderType)
{
var reference = new DateTime(2024, 01, 25, 10, 0, 0);

// Initialize the algorithm
var algorithm = new TestAlgorithm { HistoryProvider = new EmptyHistoryProvider() };
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
algorithm.SetCash(100000);
var security = (Security)algorithm.AddEquity("SPY");
algorithm.SetFinishedWarmingUp();

//Initializes the transaction handler
var transactionHandler = new TestBrokerageTransactionHandler();
using var brokerage = new BacktestingBrokerage(algorithm);
transactionHandler.Initialize(algorithm, brokerage, new BacktestingResultHandler());

// Set up security
security.SetMarketPrice(new Tick(reference, security.Symbol, 300, 300));
if (orderType == OrderType.OptionExercise)
{
algorithm.AddOption(security.Symbol);
security = algorithm.AddOptionContract(Symbol.CreateOption(security.Symbol, Market.USA, OptionStyle.American, OptionRight.Call,
300, reference.AddDays(4).Date));
security.SetMarketPrice(new Tick(reference, security.Symbol, 10, 10));
}

// Creates the order
var orderRequest = MakeOrderRequest(security, orderType, reference);

// Mock the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(algorithm.Transactions, orderRequest));
algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);

// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);

// Assert
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.AreEqual(OrderStatus.Submitted, orderTicket.Status);

// Assert the order tag is set to the default one
var order = transactionHandler.GetOpenOrders().Single();
Assert.AreEqual(orderType, order.Type);
Assert.AreEqual(order.GetDefaultTag(), order.Tag);
}

[Test]
public void OrderQuantityIsFlooredToNearestMultipleOfLotSizeWhenLongOrderIsRounded()
{
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