Testing clean up & minor fix (#4)

QuantConnect · Jul 18, 2024 · a650870 · a650870
1 parent 4030d2c
commit a650870
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Showing 8 changed files with 37 additions and 81 deletions.
diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageAdditionalTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageAdditionalTests.cs
@@ -54,7 +54,7 @@ private static IEnumerable<Symbol> QuoteSymbolParameters
                 TestGlobals.Initialize();
                 yield return Symbols.AAPL;
                 yield return Symbols.BTCUSD;
-                yield return Symbol.CreateOption(Symbols.AAPL, Symbols.AAPL.ID.Market, OptionStyle.American, OptionRight.Call, 5, new DateTime(2024, 06, 21));
+                yield return Symbol.CreateOption(Symbols.AAPL, Symbols.AAPL.ID.Market, OptionStyle.American, OptionRight.Call, 230, new DateTime(2024, 12, 20));
             }
         }
 

diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageDataQueueHandlerTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageDataQueueHandlerTests.cs
@@ -36,7 +36,7 @@ private static TestCaseData[] TestParameters
                     new TestCaseData(Symbols.ETHUSD, Resolution.Tick, false),
                     new TestCaseData(Symbols.AAPL, Resolution.Minute, false),
                     new TestCaseData(Symbols.AAPL, Resolution.Second, false),
-                    new TestCaseData(Symbol.CreateOption(Symbols.AAPL, Symbols.AAPL.ID.Market, OptionStyle.American, OptionRight.Call, 230, new DateTime(2024, 12, 20)), Resolution.Second, false),
+                    new TestCaseData(Symbol.CreateOption(Symbols.AAPL, Symbols.AAPL.ID.Market, OptionStyle.American, OptionRight.Call, 230, new DateTime(2024, 12, 20)), Resolution.Second, false).Explicit("TODO"),
                 };
             }
         }

diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageFactoryTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageFactoryTests.cs
@@ -14,12 +14,12 @@
 */
 
 using NUnit.Framework;
-using QuantConnect.Interfaces;
 using QuantConnect.Util;
+using QuantConnect.Interfaces;
 
 namespace QuantConnect.Brokerages.Alpaca.Tests
 {
-    [TestFixture, Ignore("This test requires a configured AlpacaBrokerageFactory")]
+    [TestFixture]
     public class AlpacaBrokerageFactoryTests
     {
         [Test]

diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaBrokerageTests.cs
@@ -52,11 +52,11 @@ private static IEnumerable<TestCaseData> EquityOrderParameters
         {
             get
             {
-                var EPU = Symbol.Create("EPU", SecurityType.Equity, Market.USA);
+                var EPU = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
                 yield return new TestCaseData(new MarketOrderTestParameters(EPU));
-                yield return new TestCaseData(new LimitOrderTestParameters(EPU, 40m, 30m));
-                yield return new TestCaseData(new StopMarketOrderTestParameters(EPU, 40m, 30m));
-                yield return new TestCaseData(new StopLimitOrderTestParameters(EPU, 40m, 30m));
+                yield return new TestCaseData(new LimitOrderTestParameters(EPU, 250m, 200m));
+                yield return new TestCaseData(new StopMarketOrderTestParameters(EPU, 250m, 200m));
+                yield return new TestCaseData(new StopLimitOrderTestParameters(EPU, 250m, 200m));
             }
         }
 
@@ -71,8 +71,10 @@ private static IEnumerable<TestCaseData> OptionOrderParameters
                 var option = Symbol.CreateOption(Symbols.AAPL, Symbols.AAPL.ID.Market, OptionStyle.American, OptionRight.Call, 230, new DateTime(2024, 12, 20));
                 yield return new TestCaseData(new MarketOrderTestParameters(option));
                 yield return new TestCaseData(new LimitOrderTestParameters(option, 20m, 10m));
-                yield return new TestCaseData(new StopMarketOrderTestParameters(option, 20m, 10m));
-                yield return new TestCaseData(new StopLimitOrderTestParameters(option, 20m, 10m));
+
+                // see https://docs.alpaca.markets/docs/options-trading-overview
+                yield return new TestCaseData(new StopMarketOrderTestParameters(option, 20m, 10m)).Explicit("Not supported by alpaca");
+                yield return new TestCaseData(new StopLimitOrderTestParameters(option, 20m, 10m)).Explicit("Not supported by alpaca");
             }
         }
 
@@ -90,7 +92,7 @@ private static IEnumerable<TestCaseData> CryptoOrderParameters
             }
         }
 
-        [Test, TestCaseSource(nameof(OptionOrderParameters))]
+        [Test, TestCaseSource(nameof(EquityOrderParameters))]
         public override void CancelOrders(OrderTestParameters parameters)
         {
             base.CancelOrders(parameters);
@@ -168,39 +170,19 @@ public override void ShortFromZero(OrderTestParameters parameters)
             base.ShortFromZero(parameters);
         }
 
-        [Test, TestCaseSource(nameof(OptionOrderParameters))]
-        public void ShortFromZeroOption(OrderTestParameters parameters)
-        {
-            base.ShortFromZero(parameters);
-        }
-
-        [Test, TestCaseSource(nameof(CryptoOrderParameters))]
-        public void ShortFromZeroCrypto(OrderTestParameters parameters)
-        {
-            base.ShortFromZero(parameters);
-        }
-
         [Test, TestCaseSource(nameof(EquityOrderParameters))]
         public override void CloseFromShort(OrderTestParameters parameters)
         {
             base.CloseFromShort(parameters);
         }
 
-        [Test, TestCaseSource(nameof(OptionOrderParameters))]
-        public void CloseFromShortOption(OrderTestParameters parameters)
-        {
-            base.CloseFromShort(parameters);
-        }
-
         [Test, TestCaseSource(nameof(EquityOrderParameters))]
-        [Explicit("Not supported: Different side position if we have bought 1 quantity we can not sell more then 1")]
         public override void ShortFromLong(OrderTestParameters parameters)
         {
             base.ShortFromLong(parameters);
         }
 
         [Test, TestCaseSource(nameof(EquityOrderParameters))]
-        [Explicit("Not supported: Different side position if we have sold -1 quantity we can not bought more then 1")]
         public override void LongFromShort(OrderTestParameters parameters)
         {
             base.LongFromShort(parameters);

diff --git a/QuantConnect.AlpacaBrokerage.Tests/AlpacaExchangeInfoDownloaderTests.cs b/QuantConnect.AlpacaBrokerage.Tests/AlpacaExchangeInfoDownloaderTests.cs
diff --git a/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.HistoryProvider.cs b/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.HistoryProvider.cs
@@ -162,7 +162,7 @@ private IEnumerable<BaseData> GetOptionHistory(HistoryRequest request, string br
                 var alpacaRequest = new HistoricalOptionBarsRequest(brokerageSymbol, request.StartTimeUtc, request.EndTimeUtc, request.Resolution.ConvertLeanResolutionToAlpacaBarTimeFrame());
                 return GetGenericHistoricalTradeBar(request, brokerageSymbol, _optionsHistoricalDataClient, alpacaRequest);
             case TickType.OpenInterest:
-            // TODO
+            // TODO: not supported by alpaca
             default:
                 return null;
         }

diff --git a/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.cs b/QuantConnect.AlpacaBrokerage/AlpacaBrokerage.cs
@@ -424,7 +424,7 @@ public override bool UpdateOrder(Order order)
             }
 
             var brokerageOrderId = order.BrokerId.Last();
-            var pathOrderRequest = new ChangeOrderRequest(new Guid(brokerageOrderId)) { Quantity = Convert.ToInt64(orderQuantity) };
+            var pathOrderRequest = new ChangeOrderRequest(new Guid(brokerageOrderId)) { Quantity = Convert.ToInt64(Math.Abs(orderQuantity)) };
 
             switch (order)
             {

diff --git a/QuantConnect.AlpacaBrokerage/AlpacaBrokerageExtensions.cs b/QuantConnect.AlpacaBrokerage/AlpacaBrokerageExtensions.cs
@@ -72,7 +72,17 @@ private static AlpacaMarket.OrderBase CreateAlpacaSellOrder(this Order order, st
                 var trailOffset = tso.TrailingAsPercentage ? AlpacaMarket.TrailOffset.InPercent(tso.TrailingAmount) : AlpacaMarket.TrailOffset.InDollars(tso.TrailingAmount);
                 return AlpacaMarket.TrailingStopOrder.Sell(brokerageSymbol, quantity, trailOffset);
             case OrderType.Limit:
-                return AlpacaMarket.LimitOrder.Sell(brokerageSymbol, quantity, ((LimitOrder)order).LimitPrice);
+                decimal limitPrice;
+                if (order is StopLimitOrder stopLimitOrder)
+                {
+                    // for cross zero, second part of StopLimit is converted to limit, see 'CrossZeroSecondOrderRequest'
+                    limitPrice = stopLimitOrder.LimitPrice;
+                }
+                else
+                {
+                    limitPrice = ((LimitOrder)order).LimitPrice;
+                }
+                return AlpacaMarket.LimitOrder.Sell(brokerageSymbol, quantity, limitPrice);
             case OrderType.StopMarket:
                 return AlpacaMarket.StopOrder.Sell(brokerageSymbol, quantity, ((StopMarketOrder)order).StopPrice);
             case OrderType.StopLimit:
@@ -101,7 +111,17 @@ private static AlpacaMarket.OrderBase CreateAlpacaBuyOrder(this Order order, str
                 var trailOffset = tso.TrailingAsPercentage ? AlpacaMarket.TrailOffset.InPercent(tso.TrailingAmount) : AlpacaMarket.TrailOffset.InDollars(tso.TrailingAmount);
                 return AlpacaMarket.TrailingStopOrder.Buy(brokerageSymbol, quantity, trailOffset);
             case OrderType.Limit:
-                return AlpacaMarket.LimitOrder.Buy(brokerageSymbol, quantity, ((LimitOrder)order).LimitPrice);
+                decimal limitPrice;
+                if (order is StopLimitOrder stopLimitOrder)
+                {
+                    // for cross zero, second part of StopLimit is converted to limit, see 'CrossZeroSecondOrderRequest'
+                    limitPrice = stopLimitOrder.LimitPrice;
+                }
+                else
+                {
+                    limitPrice = ((LimitOrder)order).LimitPrice;
+                }
+                return AlpacaMarket.LimitOrder.Buy(brokerageSymbol, quantity, limitPrice);
             case OrderType.StopMarket:
                 return AlpacaMarket.StopOrder.Buy(brokerageSymbol, quantity, ((StopMarketOrder)order).StopPrice);
             case OrderType.StopLimit: