Addressed new comments review

QuantConnect · Jan 21, 2025 · 2fc8f99 · 2fc8f99
1 parent 9bbba46
commit 2fc8f99
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Showing 3 changed files with 62 additions and 6 deletions.
diff --git a/Algorithm.CSharp/LiquidateRegressionAlgorithm.cs b/Algorithm.CSharp/LiquidateRegressionAlgorithm.cs
@@ -59,12 +59,21 @@ public virtual void Rebalance()
                 throw new RegressionTestException("There should be an open order for SPY.");
             }
             // Liquidate SPY orders and verify cancellation
-            SetHoldings(_spy, 1, true);
+            var orderProperties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
+            SetHoldings(_spy, 1, true, "LiquidatedTest", orderProperties);
             var spyCancelOrder = Transactions.GetOrderById(spyOrder.Id);
             if (spyCancelOrder.Status != OrderStatus.Canceled)
             {
                 throw new RegressionTestException("The SPY order should be cancelled.");
             }
+            if (spyCancelOrder.Tag != "LiquidatedTest")
+            {
+                throw new RegressionTestException("The SPY order should have the tag LiquidatedTest.");
+            }
+            if (spyCancelOrder.Properties.TimeInForce != TimeInForce.GoodTilCanceled)
+            {
+                throw new RegressionTestException("The SPY order should have the TimeInForce set to GoodTilCanceled.");
+            }
 
             // Liquidate all remaining holdings immediately
             PerformLiquidation();
@@ -125,7 +134,7 @@ public override void OnEndOfAlgorithm()
         /// <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>
+        public virtual Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
         {
             {"Total Orders", "8"},
             {"Average Win", "0%"},
@@ -153,7 +162,7 @@ public override void OnEndOfAlgorithm()
             {"Estimated Strategy Capacity", "$0"},
             {"Lowest Capacity Asset", ""},
             {"Portfolio Turnover", "0%"},
-            {"OrderListHash", "f03dec5648d761ca660e0ea51403aa92"}
+            {"OrderListHash", "8d47e98571918500e95df416bfe21fdf"}
         };
     }
 }
diff --git a/Algorithm.CSharp/RegressionTests/LiquidateUsingSetHoldingsRegressionAlgorithm.cs b/Algorithm.CSharp/RegressionTests/LiquidateUsingSetHoldingsRegressionAlgorithm.cs
@@ -14,7 +14,9 @@
 */
 
 using System.Collections.Generic;
+using System.Linq;
 using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Orders;
 
 namespace QuantConnect.Algorithm.CSharp.RegressionTests
 {
@@ -25,7 +27,50 @@ public class LiquidateUsingSetHoldingsRegressionAlgorithm : LiquidateRegressionA
     {
         public override void PerformLiquidation()
         {
-            SetHoldings(new List<PortfolioTarget>(), true);
+            var properties = new OrderProperties { TimeInForce = TimeInForce.GoodTilCanceled };
+            SetHoldings(new List<PortfolioTarget>(), true, "LiquidatedTest", properties);
+            var orders = Transactions.GetOrders().ToList();
+            var orderTags = orders.Where(e => e.Tag == "LiquidatedTest").ToList();
+            if (orderTags.Count != orders.Count)
+            {
+                throw new RegressionTestException("The tag was not set on all orders");
+            }
+            var orderProperties = orders.Where(e => e.Properties.TimeInForce == TimeInForce.GoodTilCanceled).ToList();
+            if (orderProperties.Count != orders.Count)
+            {
+                throw new RegressionTestException("The properties were not set on all orders");
+            }
         }
+
+        public override Dictionary<string, string> ExpectedStatistics => new Dictionary<string, string>
+        {
+            {"Total Orders", "8"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000"},
+            {"End Equity", "100000"},
+            {"Net Profit", "0%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "0%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "-10.398"},
+            {"Tracking Error", "0.045"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$0.00"},
+            {"Estimated Strategy Capacity", "$0"},
+            {"Lowest Capacity Asset", ""},
+            {"Portfolio Turnover", "0%"},
+            {"OrderListHash", "25c4614305b6849ddec931fdf453af55"}
+        };
     }
 }
diff --git a/Algorithm/QCAlgorithm.Trading.cs b/Algorithm/QCAlgorithm.Trading.cs
@@ -1332,7 +1332,8 @@ public void SetHoldings(List<PortfolioTarget> targets, bool liquidateExistingHol
             //If they triggered a liquidate
             if (liquidateExistingHoldings)
             {
-                Liquidate();
+                var liquidateTag = string.IsNullOrWhiteSpace(tag) ? "Liquidated" : tag;
+                Liquidate(tag: liquidateTag, orderProperties: orderProperties);
             }
 
             foreach (var portfolioTarget in targets
@@ -1415,7 +1416,8 @@ private void SetHoldingsImpl(Symbol symbol, decimal orderQuantity, bool liquidat
             //If they triggered a liquidate
             if (liquidateExistingHoldings)
             {
-                Liquidate(symbol);
+                var liquidateTag = string.IsNullOrWhiteSpace(tag) ? "Liquidated" : tag;
+                Liquidate(symbol, tag: liquidateTag, orderProperties: orderProperties);
             }
 
             //Calculate total unfilled quantity for open market orders