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Refactor liquidation logic (#8544)
* Create regression tests and refactor liquidation logic - Implemented regression tests for order creation and liquidation scenarios - Removed LiquidateExistingHoldings method - Replaced LiquidateExistingHoldings with the general Liquidate method * Addressed review comments * Addressed new comments review * Update default value for 'tag' * Update ExpectedStatistics * Identify and liquidate portfolio symbols not included in targets * Create a new regression test * Fix minor comments * Move regression tests to the correct folder
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‎Algorithm.CSharp/LiquidateAllExceptSpecifiedSymbolRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp.RegressionTests
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{
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/// <summary>
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/// Tests liquidating all portfolio holdings except a specific symbol, verifying canceled orders and correct tags.
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/// </summary>
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public class LiquidateAllExceptSpecifiedSymbolRegressionAlgorithm : LiquidateRegressionAlgorithm
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{
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public override void Rebalance()
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{
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// Place a MarketOrder
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MarketOrder(Ibm, 10);
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// Place a LimitOrder to sell 1 share at a price below the current market price
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LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
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// Liquidate the remaining symbols in the portfolio, except for SPY
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var orderProperties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
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SetHoldings(Spy, 1, true, "LiquidatedTest", orderProperties);
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}
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public override void OnEndOfAlgorithm()
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{
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// Retrieve all orders from the Transactions for analysis
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var orders = Transactions.GetOrders().ToList();
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// Count orders that were canceled
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var canceledOrdersCount = orders.Where(order => order.Status == OrderStatus.Canceled).Count();
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// Expectation 1: There should be exactly 4 canceled orders.
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// This occurs because Rebalance is called twice, and each call to Rebalance
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// (e.g., LimitOrder or MarketOrder) that get canceled due to the Liquidate call in SetHoldings.
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if (canceledOrdersCount != 4)
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{
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throw new RegressionTestException($"Expected 4 canceled orders, but found {canceledOrdersCount}.");
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}
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// Count orders that were not canceled
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var nonCanceledOrdersCount = orders.Where(order => order.Status != OrderStatus.Canceled).Count();
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// Expectation 2: There should be exactly 1 non-canceled order after the Liquidate call.
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// This occurs because all holdings except SPY are liquidated, and a new order is placed for SPY.
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if (nonCanceledOrdersCount != 1)
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{
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throw new RegressionTestException($"Expected 1 non-canceled order, but found {nonCanceledOrdersCount}.");
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}
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// Verify all tags are "LiquidatedTest"
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var invalidTags = orders.Where(order => order.Tag != "LiquidatedTest").ToList();
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if (invalidTags.Count != 0)
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{
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var invalidTagsDetails = string.Join(", ", invalidTags.Select(order => $"OrderID {order.Id}, Tag: {order.Tag}"));
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throw new RegressionTestException($"All orders should have the tag 'LiquidatedTest', but found invalid tags: {invalidTagsDetails}.");
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}
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}
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "5"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "36.497%"},
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{"Drawdown", "0.200%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100569.90"},
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{"Net Profit", "0.570%"},
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{"Sharpe Ratio", "9.031"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "86.638%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "-0.003"},
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{"Beta", "0.559"},
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{"Annual Standard Deviation", "0.028"},
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{"Annual Variance", "0.001"},
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{"Information Ratio", "-8.867"},
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{"Tracking Error", "0.023"},
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{"Treynor Ratio", "0.447"},
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{"Total Fees", "$1.95"},
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{"Estimated Strategy Capacity", "$850000000.00"},
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{"Lowest Capacity Asset", "SPY R735QTJ8XC9X"},
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{"Portfolio Turnover", "14.23%"},
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{"OrderListHash", "611f320cf76c36e8cdcb1938e4154682"}
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};
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}
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}

‎Algorithm.CSharp/LiquidateRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp
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{
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/// <summary>
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/// A regression test algorithm that places market and limit orders, then liquidates all holdings,
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/// ensuring orders are canceled and the portfolio is empty.
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/// </summary>
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public class LiquidateRegressionAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
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{
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protected Symbol Spy { get; private set; }
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protected Symbol Ibm { get; private set; }
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public override void Initialize()
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{
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SetStartDate(2018, 1, 4);
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SetEndDate(2018, 1, 10);
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Spy = AddEquity("SPY", Resolution.Daily).Symbol;
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Ibm = AddEquity("IBM", Resolution.Daily).Symbol;
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// Schedule Rebalance method to be called on specific dates
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Schedule.On(DateRules.On(2018, 1, 5), TimeRules.Midnight, Rebalance);
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Schedule.On(DateRules.On(2018, 1, 8), TimeRules.Midnight, Rebalance);
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}
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public virtual void Rebalance()
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{
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// Place a MarketOrder
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MarketOrder(Ibm, 10);
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// Place a LimitOrder to sell 1 share at a price below the current market price
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LimitOrder(Ibm, 1, Securities[Ibm].Price - 5);
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LimitOrder(Spy, 1, Securities[Spy].Price - 5);
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// Liquidate all remaining holdings immediately
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PerformLiquidation();
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}
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public virtual void PerformLiquidation()
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{
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Liquidate();
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}
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public override void OnEndOfAlgorithm()
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{
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// Check if there are any orders that should have been canceled
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var orders = Transactions.GetOrders().ToList();
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var nonCanceledOrdersCount = orders.Where(e => e.Status != OrderStatus.Canceled).Count();
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if (nonCanceledOrdersCount > 0)
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{
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throw new RegressionTestException($"There are {nonCanceledOrdersCount} orders that should have been cancelled");
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}
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// Check if there are any holdings left in the portfolio
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foreach (var kvp in Portfolio)
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{
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var symbol = kvp.Key;
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var holdings = kvp.Value;
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if (holdings.Quantity != 0)
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{
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throw new RegressionTestException($"There are {holdings.Quantity} holdings of {symbol} in the portfolio");
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}
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}
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}
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/// <summary>
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/// Final status of the algorithm
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/// </summary>
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public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
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/// <summary>
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/// This is used by the regression test system to indicate if the open source Lean repository has the required data to run this algorithm.
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/// </summary>
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public bool CanRunLocally { get; } = true;
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/// <summary>
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/// This is used by the regression test system to indicate which languages this algorithm is written in.
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/// </summary>
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public List<Language> Languages { get; } = new() { Language.CSharp };
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/// <summary>
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/// Data Points count of all timeslices of algorithm
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/// </summary>
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public long DataPoints => 53;
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/// <summary>
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/// Data Points count of the algorithm history
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/// </summary>
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public int AlgorithmHistoryDataPoints => 0;
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/// <summary>
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/// This is used by the regression test system to indicate what the expected statistics are from running the algorithm
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/// </summary>
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public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-10.398"},
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{"Tracking Error", "0.045"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "9423c872a626fb856b7c377686c28d85"}
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};
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}
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}

‎Algorithm.CSharp/LiquidateUsingSetHoldingsRegressionAlgorithm.cs‎

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/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System.Collections.Generic;
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using System.Linq;
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using QuantConnect.Algorithm.Framework.Portfolio;
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using QuantConnect.Orders;
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namespace QuantConnect.Algorithm.CSharp.RegressionTests
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{
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/// <summary>
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/// A regression test algorithm that uses SetHoldings to liquidate the portfolio by setting holdings to zero.
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/// </summary>
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public class LiquidateUsingSetHoldingsRegressionAlgorithm : LiquidateRegressionAlgorithm
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{
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public override void PerformLiquidation()
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{
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var properties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
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SetHoldings(new List<PortfolioTarget>(), true, "LiquidatedTest", properties);
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var orders = Transactions.GetOrders().ToList();
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var orderTags = orders.Where(e => e.Tag == "LiquidatedTest").ToList();
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if (orderTags.Count != orders.Count)
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{
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throw new RegressionTestException("The tag was not set on all orders");
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}
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var orderProperties = orders.Where(e => e.Properties.TimeInForce == TimeInForce.GoodTilCanceled).ToList();
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if (orderProperties.Count != orders.Count)
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{
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throw new RegressionTestException("The properties were not set on all orders");
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}
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}
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public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
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{
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{"Total Orders", "6"},
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{"Average Win", "0%"},
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{"Average Loss", "0%"},
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{"Compounding Annual Return", "0%"},
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{"Drawdown", "0%"},
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{"Expectancy", "0"},
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{"Start Equity", "100000"},
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{"End Equity", "100000"},
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{"Net Profit", "0%"},
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{"Sharpe Ratio", "0"},
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{"Sortino Ratio", "0"},
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{"Probabilistic Sharpe Ratio", "0%"},
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{"Loss Rate", "0%"},
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{"Win Rate", "0%"},
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{"Profit-Loss Ratio", "0"},
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{"Alpha", "0"},
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{"Beta", "0"},
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{"Annual Standard Deviation", "0"},
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{"Annual Variance", "0"},
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{"Information Ratio", "-10.398"},
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{"Tracking Error", "0.045"},
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{"Treynor Ratio", "0"},
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{"Total Fees", "$0.00"},
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{"Estimated Strategy Capacity", "$0"},
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{"Lowest Capacity Asset", ""},
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{"Portfolio Turnover", "0%"},
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{"OrderListHash", "2cdbee112f22755f26f640c97c305aae"}
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};
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}
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}

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