/*

* 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 System.Collections.Generic;

using QuantConnect.Data;

using QuantConnect.Brokerages;

using QuantConnect.Orders.Fees;

using QuantConnect.Orders;

using QuantConnect.Interfaces;

using QuantConnect.Securities;

namespace QuantConnect.Algorithm.CSharp

{

/// <summary>

/// Regression test algorithm where custom a <see cref="FeeModel"/> does not use Account the Currency

/// </summary>

public class FeeModelNotUsingAccountCurrency : QCAlgorithm, IRegressionAlgorithmDefinition

{

private Security _security;

// Adding this so we only trade once, so math is easier and clear

private bool _alreadyTraded;

private int _initialEurCash = 10000;

private decimal _orderFeesInAccountCurrency;

/// <summary>

/// Initialise the data and resolution required, as well as the cash and start-end dates for your algorithm. All algorithms must initialized.

/// </summary>

public override void Initialize()

{

SetStartDate(2018, 4, 4); // Set Start Date

SetEndDate(2018, 4, 4); // Set End Date

// Set Strategy Cash (USD) to 0. This is required for

// SetHoldings(_security.Symbol, 1) not to fail

SetCash(0);

// EUR/USD conversion rate will be updated dynamically

// Note: the conversion rates are required in backtesting (for now) because of this issue:

// https://github.com/QuantConnect/Lean/issues/1859

SetCash("EUR", _initialEurCash, 1.23m);

SetBrokerageModel(BrokerageName.GDAX, AccountType.Cash);

_security = AddCrypto("BTCEUR");

// This is required because in our custom model, NonAccountCurrencyCustomFeeModel,

// fees will be charged in ETH (not Base, nor Quote, not account currency).

// Setting the cash allows the system to add a data subscription to fetch required conversion rates.

SetCash("ETH", 0, 0m);

_security.FeeModel = new NonAccountCurrencyCustomFeeModel();

}

/// <summary>

/// OnData event is the primary entry point for your algorithm. Each new data point will be pumped in here.

/// </summary>

/// <param name="data">Slice object keyed by symbol containing the stock data</param>

public override void OnData(Slice data)

{

if (!Portfolio.Invested && !_alreadyTraded)

{

_alreadyTraded = true;

SetHoldings(_security.Symbol, 1);

Debug("Purchased Stock");

}

else

{

Liquidate(_security.Symbol);

}

}

public override void OnOrderEvent(OrderEvent orderEvent)

{

Debug(Time + " " + orderEvent);

_orderFeesInAccountCurrency +=

Portfolio.CashBook.ConvertToAccountCurrency(orderEvent.OrderFee.Value).Amount;

}

public override void OnEndOfAlgorithm()

{

Log($"TotalPortfolioValue: {Portfolio.TotalPortfolioValue}");

Log($"CashBook: {Portfolio.CashBook}");

Log($"Holdings.TotalCloseProfit: {_security.Holdings.TotalCloseProfit()}");

// Fees will be applied to the corresponding Cash currency. 1 ETH * 2 trades

if (Portfolio.CashBook["ETH"].Amount != -2)

{

throw new Exception("Unexpected ETH cash amount: " +

$"{Portfolio.CashBook["ETH"].Amount}");

}

if (Portfolio.CashBook["USD"].Amount != 0)

{

throw new Exception("Unexpected USD cash amount: " +

$"{Portfolio.CashBook["USD"].Amount}");

}

if (Portfolio.CashBook["BTC"].Amount != 0)

{

throw new Exception("Unexpected BTC cash amount: " +

$"{Portfolio.CashBook["BTC"].Amount}");

}

if (Portfolio.CashBook.ContainsKey(Currencies.NullCurrency))

{

throw new Exception("Unexpected NullCurrency cash");

}

var closedTrade = TradeBuilder.ClosedTrades[0];

var profitInQuoteCurrency = (closedTrade.ExitPrice - closedTrade.EntryPrice)

* closedTrade.Quantity;

if (Portfolio.CashBook["EUR"].Amount != _initialEurCash + profitInQuoteCurrency)

{

throw new Exception("Unexpected EUR cash amount: " +

$"{Portfolio.CashBook["EUR"].Amount}");

}

if (closedTrade.TotalFees != _orderFeesInAccountCurrency)

{

throw new Exception($"Unexpected closed trades total fees {closedTrade.TotalFees}");

}

if (_security.Holdings.TotalFees != _orderFeesInAccountCurrency)

{

throw new Exception($"Unexpected closed trades total fees {closedTrade.TotalFees}");

}

}

internal class NonAccountCurrencyCustomFeeModel : FeeModel

{

public override OrderFee GetOrderFee(OrderFeeParameters parameters)

{

return new OrderFee(new CashAmount(1m, "ETH"));

}

}

/// <summary>

/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.

/// </summary>

public bool CanRunLocally { get; } = true;

/// <summary>

/// This is used by the regression test system to indicate which languages this algorithm is written in.

/// </summary>

public Language[] Languages { get; } = { Language.CSharp };

/// <summary>

/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm

/// </summary>

public Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>

{

{"Total Trades", "2"},

{"Average Win", "0%"},

{"Average Loss", "-6.67%"},

{"Compounding Annual Return", "-100.000%"},

{"Drawdown", "3.500%"},

{"Expectancy", "-1"},

{"Net Profit", "-6.428%"},

{"Sharpe Ratio", "-11.232"},

{"Loss Rate", "100%"},

{"Win Rate", "0%"},

{"Profit-Loss Ratio", "0"},

{"Alpha", "-16.193"},

{"Beta", "1173.18"},

{"Annual Standard Deviation", "0.721"},

{"Annual Variance", "0.52"},

{"Information Ratio", "-11.251"},

{"Tracking Error", "0.72"},

{"Treynor Ratio", "-0.007"},

{"Total Fees", "$804.33"}

};

}

}