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Refactor SetHoldings to return a List<OrderTicket> #8550

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Refactor SetHoldings to return a List<OrderTicket> #8550

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44 changes: 28 additions & 16 deletions Algorithm/QCAlgorithm.Trading.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -1326,23 +1326,27 @@ public void SetMaximumOrders(int max)
/// <param name="liquidateExistingHoldings">True will liquidate existing holdings</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <param name="orderProperties">The order properties to use. Defaults to <see cref="DefaultOrderProperties"/></param>
/// <returns>A list of order tickets.</returns>
/// <seealso cref="MarketOrder(QuantConnect.Symbol, decimal, bool, string, IOrderProperties)"/>
[DocumentationAttribute(TradingAndOrders)]
public void SetHoldings(List<PortfolioTarget> targets, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
public List<OrderTicket> SetHoldings(List<PortfolioTarget> targets, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
var orderTickets = new List<OrderTicket>();
//If they triggered a liquidate
if (liquidateExistingHoldings)
{
Liquidate(GetSymbolsToLiquidate(targets.Select(t => t.Symbol)), tag: tag, orderProperties: orderProperties);
orderTickets = Liquidate(GetSymbolsToLiquidate(targets.Select(t => t.Symbol)), tag: tag, orderProperties: orderProperties);
}

foreach (var portfolioTarget in targets
// we need to create targets with quantities for OrderTargetsByMarginImpact
.Select(target => new PortfolioTarget(target.Symbol, CalculateOrderQuantity(target.Symbol, target.Quantity)))
.OrderTargetsByMarginImpact(this, targetIsDelta: true))
{
SetHoldingsImpl(portfolioTarget.Symbol, portfolioTarget.Quantity, false, tag, orderProperties);
var tickets = SetHoldingsImpl(portfolioTarget.Symbol, portfolioTarget.Quantity, false, tag, orderProperties);
orderTickets.AddRange(tickets);
}
return orderTickets;
}

/// <summary>
Expand All @@ -1353,11 +1357,12 @@ public void SetHoldings(List<PortfolioTarget> targets, bool liquidateExistingHol
/// <param name="liquidateExistingHoldings">liquidate existing holdings if necessary to hold this stock</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <param name="orderProperties">The order properties to use. Defaults to <see cref="DefaultOrderProperties"/></param>
/// <returns>A list of order tickets.</returns>
/// <seealso cref="MarketOrder(QuantConnect.Symbol, decimal, bool, string, IOrderProperties)"/>
[DocumentationAttribute(TradingAndOrders)]
public void SetHoldings(Symbol symbol, double percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
public List<OrderTicket> SetHoldings(Symbol symbol, double percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
SetHoldings(symbol, percentage.SafeDecimalCast(), liquidateExistingHoldings, tag, orderProperties);
return SetHoldings(symbol, percentage.SafeDecimalCast(), liquidateExistingHoldings, tag, orderProperties);
}

/// <summary>
Expand All @@ -1368,11 +1373,12 @@ public void SetHoldings(Symbol symbol, double percentage, bool liquidateExisting
/// <param name="liquidateExistingHoldings">bool liquidate existing holdings if necessary to hold this stock</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <param name="orderProperties">The order properties to use. Defaults to <see cref="DefaultOrderProperties"/></param>
/// <returns>A list of order tickets.</returns>
/// <seealso cref="MarketOrder(QuantConnect.Symbol, decimal, bool, string, IOrderProperties)"/>
[DocumentationAttribute(TradingAndOrders)]
public void SetHoldings(Symbol symbol, float percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
public List<OrderTicket> SetHoldings(Symbol symbol, float percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
SetHoldings(symbol, (decimal)percentage, liquidateExistingHoldings, tag, orderProperties);
return SetHoldings(symbol, (decimal)percentage, liquidateExistingHoldings, tag, orderProperties);
}

/// <summary>
Expand All @@ -1383,11 +1389,12 @@ public void SetHoldings(Symbol symbol, float percentage, bool liquidateExistingH
/// <param name="liquidateExistingHoldings">bool liquidate existing holdings if necessary to hold this stock</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <param name="orderProperties">The order properties to use. Defaults to <see cref="DefaultOrderProperties"/></param>
/// <returns>A list of order tickets.</returns>
/// <seealso cref="MarketOrder(QuantConnect.Symbol, decimal, bool, string, IOrderProperties)"/>
[DocumentationAttribute(TradingAndOrders)]
public void SetHoldings(Symbol symbol, int percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
public List<OrderTicket> SetHoldings(Symbol symbol, int percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
SetHoldings(symbol, (decimal)percentage, liquidateExistingHoldings, tag, orderProperties);
return SetHoldings(symbol, (decimal)percentage, liquidateExistingHoldings, tag, orderProperties);
}

/// <summary>
Expand All @@ -1401,22 +1408,24 @@ public void SetHoldings(Symbol symbol, int percentage, bool liquidateExistingHol
/// <param name="liquidateExistingHoldings">bool flag to clean all existing holdings before setting new faction.</param>
/// <param name="tag">Tag the order with a short string.</param>
/// <param name="orderProperties">The order properties to use. Defaults to <see cref="DefaultOrderProperties"/></param>
/// <returns>A list of order tickets.</returns>
/// <seealso cref="MarketOrder(QuantConnect.Symbol, decimal, bool, string, IOrderProperties)"/>
[DocumentationAttribute(TradingAndOrders)]
public void SetHoldings(Symbol symbol, decimal percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
public List<OrderTicket> SetHoldings(Symbol symbol, decimal percentage, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
SetHoldingsImpl(symbol, CalculateOrderQuantity(symbol, percentage), liquidateExistingHoldings, tag, orderProperties);
return SetHoldingsImpl(symbol, CalculateOrderQuantity(symbol, percentage), liquidateExistingHoldings, tag, orderProperties);
}

/// <summary>
/// Set holdings implementation, which uses order quantities (delta) not percentage nor target final quantity
/// </summary>
private void SetHoldingsImpl(Symbol symbol, decimal orderQuantity, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
private List<OrderTicket> SetHoldingsImpl(Symbol symbol, decimal orderQuantity, bool liquidateExistingHoldings = false, string tag = null, IOrderProperties orderProperties = null)
{
var orderTickets = new List<OrderTicket>();
//If they triggered a liquidate
if (liquidateExistingHoldings)
{
Liquidate(GetSymbolsToLiquidate([symbol]), tag: tag, orderProperties: orderProperties);
orderTickets = Liquidate(GetSymbolsToLiquidate([symbol]), tag: tag, orderProperties: orderProperties);
}

tag ??= "";
Expand All @@ -1435,19 +1444,22 @@ private void SetHoldingsImpl(Symbol symbol, decimal orderQuantity, bool liquidat
if (!Securities.TryGetValue(symbol, out security))
{
Error($"{symbol} not found in portfolio. Request this data when initializing the algorithm.");
return;
return orderTickets;
}

//Check whether the exchange is open to send a market order. If not, send a market on open order instead
OrderTicket ticket;
if (security.Exchange.ExchangeOpen)
{
MarketOrder(symbol, quantity, false, tag, orderProperties);
ticket = MarketOrder(symbol, quantity, false, tag, orderProperties);
}
else
{
MarketOnOpenOrder(symbol, quantity, tag, orderProperties);
ticket = MarketOnOpenOrder(symbol, quantity, tag, orderProperties);
}
orderTickets.Add(ticket);
}
return orderTickets;
}

/// <summary>
Expand Down
55 changes: 55 additions & 0 deletions Tests/Algorithm/AlgorithmTradingTests.cs
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Original file line number Diff line number Diff line change
Expand Up @@ -31,6 +31,7 @@
using QuantConnect.Data;
using QuantConnect.Indicators;
using Python.Runtime;
using QuantConnect.Algorithm.Framework.Portfolio;

namespace QuantConnect.Tests.Algorithm
{
Expand Down Expand Up @@ -1320,6 +1321,51 @@ public void SetHoldings_Long_ToZero_RoundOff()
// Assert.AreEqual(2500, actual);
//}

[TestCaseSource(nameof(SetHoldingReturnsOrderTicketsTestCases))]
public void TestSetHoldingReturnsOrderTickets(IEnumerable<Symbol> symbols, bool liquidateExistingHoldings, int expectedOrderTickets, string tag)
{
symbols = symbols.ToList();
// Initialize the algorithm and add equities to the portfolio
var algo = GetAlgorithm(out _, 1, 0);
var appl = algo.AddEquity("AAPL");
var spy = algo.AddEquity("SPY");
var ibm = algo.AddEquity("IBM");

// Update prices and set initial holdings for the equities
Update(appl, 100);
Update(spy, 200);
Update(ibm, 300);
appl.Holdings.SetHoldings(25, 3);
spy.Holdings.SetHoldings(25, 3);
ibm.Holdings.SetHoldings(25, 3);

List<OrderTicket> orderTickets;
if (symbols.Count() > 1)
{
// Handle multiple symbols by creating portfolio targets
var portfolioTargets = new List<PortfolioTarget>();
foreach (var symbol in symbols)
{
portfolioTargets.Add(new PortfolioTarget(symbol, 0.5m));
}
orderTickets = algo.SetHoldings(portfolioTargets, liquidateExistingHoldings, tag);
}
else
{
// Handle a single symbol or no symbols
if (symbols.Any())
{
orderTickets = algo.SetHoldings(symbols.First(), 1, liquidateExistingHoldings, tag);
}
else
{
orderTickets = algo.SetHoldings(new List<PortfolioTarget>(), liquidateExistingHoldings, tag);
}
}
// Assert the expected number of order tickets
Assert.AreEqual(expectedOrderTickets, orderTickets.Count);
}

[Test]
public void OrderQuantityConversionTest()
{
Expand Down Expand Up @@ -1821,5 +1867,14 @@ private bool HasSufficientBuyingPowerForOrder(decimal orderQuantity, Security se
new object[] { Language.CSharp, null, false, null },
new object[] { Language.Python, null, false, null }
};
private static object[] SetHoldingReturnsOrderTicketsTestCases =
{
new object[] { new List<Symbol>(), true, 3, "(Empty, true)"},
new object[] { new List<Symbol>(), false, 0, "(Empty, false)" },
new object[] { new List<Symbol>() { Symbols.IBM }, true, 3, "(OneSymbol, true)" },
new object[] { new List<Symbol>() { Symbols.IBM }, false, 1, "(OneSymbol, false)" },
new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY }, true, 3, "(MultipleSymbols, true)" },
new object[] { new List<Symbol>() { Symbols.AAPL, Symbols.SPY }, false, 2, "(MultipleSymbols, false)" },
};
}
}