C# SecurityManager.Update方法代码示例

        public void TestCashFills()
        {
            // this test asserts the portfolio behaves according to the Test_Cash algo, see TestData\CashTestingStrategy.csv
            // also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"

            const string fillsFile = "TestData\\test_cash_fills.xml";
            const string equityFile = "TestData\\test_cash_equity.xml";

            var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent(
                x.Get<int>("OrderId"),
                x.Get<string>("Symbol"),
                x.Get<OrderStatus>("Status"),
                x.Get<decimal>("FillPrice"),
                x.Get<int>("FillQuantity"))
                ).ToList();

            var equity = XDocument.Load(equityFile).Descendants("decimal")
                .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
                .ToList();

            Assert.AreEqual(fills.Count + 1, equity.Count);

            // we're going to process fills and very our equity after each fill
            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add("CASH", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Base, "CASH", Resolution.Daily, "usa", TimeZones.NewYork), leverage: 10));
            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            portfolio.SetCash(equity[0]);

            for (int i = 0; i < fills.Count; i++)
            {
                // before processing the fill we must deduct the cost
                var fill = fills[i];
                var time = DateTime.Today.AddDays(i);

                // the value of 'CASH' increments for each fill, the original test algo did this monthly
                // the time doesn't really matter though
                var updateData = new Dictionary<int, List<BaseData>>();
                updateData.Add(0, new List<BaseData> {new IndicatorDataPoint("CASH", time, i + 1)});
                securities.Update(time, updateData);

                portfolio.ProcessFill(fill);
                Assert.AreEqual(equity[i + 1], portfolio.TotalPortfolioValue, "Failed on " + i);
            }
        }

        public void ForexCashFills()
        {
            // this test asserts the portfolio behaves according to the Test_Cash algo, but for a Forex security,
            // see TestData\CashTestingStrategy.csv; also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1"

            const string fillsFile = "TestData\\test_forex_fills.xml";
            const string equityFile = "TestData\\test_forex_equity.xml";
            const string mchQuantityFile = "TestData\\test_forex_fills_mch_quantity.xml";
            const string jwbQuantityFile = "TestData\\test_forex_fills_jwb_quantity.xml";

            var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent(
                x.Get<int>("OrderId"),
                x.Get<string>("Symbol"),
                x.Get<OrderStatus>("Status"),
                x.Get<decimal>("FillPrice"),
                x.Get<int>("FillQuantity"))
                ).ToList();

            var equity = XDocument.Load(equityFile).Descendants("decimal")
                .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
                .ToList();

            var mchQuantity = XDocument.Load(mchQuantityFile).Descendants("decimal")
                .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
                .ToList();

            var jwbQuantity = XDocument.Load(jwbQuantityFile).Descendants("decimal")
                .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture))
                .ToList();

            Assert.AreEqual(fills.Count + 1, equity.Count);

            // we're going to process fills and very our equity after each fill
            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            portfolio.SetCash(equity[0]);
            portfolio.CashBook.Add("MCH", mchQuantity[0], 0);
            portfolio.CashBook.Add("JWB", jwbQuantity[0], 0);

            var jwbCash = portfolio.CashBook["JWB"];
            var mchCash = portfolio.CashBook["MCH"];
            var usdCash = portfolio.CashBook["USD"];

            var mchJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, jwbCash, subscriptions.Add(SecurityType.Forex, "MCHJWB", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10);
            var mchUsdSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, usdCash, subscriptions.Add(SecurityType.Forex, "MCHUSD", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10);
            var usdJwbSecurity = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen, mchCash, subscriptions.Add(SecurityType.Forex, "USDJWB", Resolution.Minute, "fxcm", TimeZones.NewYork), leverage: 10);

            // no fee model
            mchJwbSecurity.TransactionModel = new SecurityTransactionModel();
            mchUsdSecurity.TransactionModel = new SecurityTransactionModel();
            usdJwbSecurity.TransactionModel = new SecurityTransactionModel();

            securities.Add(mchJwbSecurity);
            securities.Add(usdJwbSecurity);
            securities.Add(mchUsdSecurity);

            portfolio.CashBook.EnsureCurrencyDataFeeds(securities, subscriptions, SecurityExchangeHoursProvider.FromDataFolder());

            for (int i = 0; i < fills.Count; i++)
            {
                // before processing the fill we must deduct the cost
                var fill = fills[i];
                var time = DateTime.Today.AddDays(i);

                // the value of 'MCJWB' increments for each fill, the original test algo did this monthly
                // the time doesn't really matter though
                decimal mchJwb = i + 1;
                decimal mchUsd = (i + 1)/(i + 2m);
                decimal usdJwb = i + 2;
                Assert.AreEqual((double)mchJwb, (double)(mchUsd*usdJwb), 1e-10);
                //Console.WriteLine("Step: " + i + " -- MCHJWB: " + mchJwb);

                var updateData = new Dictionary<int, List<BaseData>>();
                updateData.Add(0, new List<BaseData> {new IndicatorDataPoint("MCHJWB", time, mchJwb)});
                updateData.Add(1, new List<BaseData> {new IndicatorDataPoint("MCHUSD", time, mchUsd)});
                updateData.Add(2, new List<BaseData> {new IndicatorDataPoint("JWBUSD", time, usdJwb)});

                securities.Update(time, updateData);
                portfolio.CashBook.Update(updateData);
                portfolio.ProcessFill(fill);
                //Console.WriteLine("-----------------------");
                //Console.WriteLine(fill);

                //Console.WriteLine("Post step: " + i);
                //foreach (var cash in portfolio.CashBook)
                //{
                //    Console.WriteLine(cash.Value);
                //}
                //Console.WriteLine("CashValue: " + portfolio.CashBook.TotalValueInAccountCurrency);

                Console.WriteLine(i + 1 + "   " + portfolio.TotalPortfolioValue.ToString("C"));
                //Assert.AreEqual((double) equity[i + 1], (double)portfolio.TotalPortfolioValue, 2e-2);
                Assert.AreEqual((double) mchQuantity[i + 1], (double)portfolio.CashBook["MCH"].Quantity);
                Assert.AreEqual((double) jwbQuantity[i + 1], (double)portfolio.CashBook["JWB"].Quantity);

                //Console.WriteLine();
                //Console.WriteLine();
            }
//.........这里部分代码省略.........