Delayed Settlement Cash Not Freed for Removed Assets (#7727)

* Delay security removal when there are pending settlements * Add unit test * Minor fixes * Minor fix * Replace HasUnsettledFunds method with UnsettledCash in ISettlementModel * Minor fix * Minor fix * Address peer review Replace ISettlementModel UnsettledCash property with GetUnsettledCash method that returns a CashAmount instead of a decimal to include the currency * Minor fix * Address peer review
QuantConnect · Feb 5, 2024 · 98a3fd4 · 98a3fd4
1 parent ef728bc
commit 98a3fd4
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Showing 13 changed files with 338 additions and 34 deletions.
diff --git a/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs b/Algorithm.CSharp/DelayedSettlementAfterManualSecurityRemovalAlgorithm.cs
@@ -0,0 +1,146 @@
+/*
+ * 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.Collections.Generic;
+using QuantConnect.Interfaces;
+using System.Linq;
+using System;
+using QuantConnect.Securities;
+using QuantConnect.Securities.Option;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Algorithm asserting that delayed cash settlement is applied even when the option contract is manually removed
+    /// </summary>
+    public class DelayedSettlementAfterManualSecurityRemovalAlgorithm : QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        private Symbol _optionSymbol;
+
+        public override void Initialize()
+        {
+            SetStartDate(2015, 12, 24);
+            SetEndDate(2015, 12, 31);
+            SetCash(100000);
+
+            var equity = AddEquity("GOOG");
+
+            _optionSymbol = OptionChainProvider.GetOptionContractList(equity.Symbol, Time)
+                .OrderByDescending(symbol => symbol.ID.Date)
+                .First(optionContract => optionContract.ID.OptionRight == OptionRight.Call);
+            var option = AddOptionContract(_optionSymbol);
+
+            option.SetSettlementModel(new DelayedSettlementModel(Option.DefaultSettlementDays, Option.DefaultSettlementTime));
+
+            Schedule.On(DateRules.On(StartDate), TimeRules.BeforeMarketClose(_optionSymbol, 30), () =>
+            {
+                MarketOrder(_optionSymbol, 1);
+            });
+
+            Schedule.On(DateRules.On(StartDate), TimeRules.BeforeMarketClose(_optionSymbol, 1), () =>
+            {
+                RemoveOptionContract(_optionSymbol);
+            });
+
+            var expectedSettlementDate = new DateTime(2015, 12, 28);
+
+            Schedule.On(DateRules.On(expectedSettlementDate), TimeRules.AfterMarketOpen(_optionSymbol), () =>
+            {
+                if (Portfolio.UnsettledCash == 0)
+                {
+                    throw new Exception($"Expected unsettled cash to be non-zero at {Time}");
+                }
+            });
+
+            Schedule.On(DateRules.On(expectedSettlementDate), TimeRules.BeforeMarketClose(_optionSymbol), () =>
+            {
+                if (Portfolio.UnsettledCash != 0)
+                {
+                    throw new Exception($"Expected unsettled cash to be zero at {Time}");
+                }
+            });
+        }
+
+        public override void OnEndOfAlgorithm()
+        {
+            if (Transactions.OrdersCount != 2)
+            {
+                throw new Exception($"Expected 2 orders, found {Transactions.OrdersCount}");
+            }
+
+            if (Portfolio.Invested)
+            {
+                throw new Exception("Expected no holdings at end of algorithm");
+            }
+
+            if (Portfolio.UnsettledCash != 0)
+            {
+                throw new Exception($"Expected no unsettled cash at end of algorithm, found {Portfolio.UnsettledCash}");
+            }
+        }
+
+        /// <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>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 7122;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 0;
+
+        /// <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", "-0.36%"},
+            {"Compounding Annual Return", "-15.857%"},
+            {"Drawdown", "0.400%"},
+            {"Expectancy", "-1"},
+            {"Net Profit", "-0.362%"},
+            {"Sharpe Ratio", "0"},
+            {"Sortino Ratio", "0"},
+            {"Probabilistic Sharpe Ratio", "0%"},
+            {"Loss Rate", "100%"},
+            {"Win Rate", "0%"},
+            {"Profit-Loss Ratio", "0"},
+            {"Alpha", "0"},
+            {"Beta", "0"},
+            {"Annual Standard Deviation", "0"},
+            {"Annual Variance", "0"},
+            {"Information Ratio", "2.537"},
+            {"Tracking Error", "0.104"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "$2.00"},
+            {"Estimated Strategy Capacity", "$150000.00"},
+            {"Lowest Capacity Asset", "GOOCV WRCOZDXBITL2|GOOCV VP83T1ZUHROL"},
+            {"Portfolio Turnover", "1.06%"},
+            {"OrderListHash", "490dd9430dec6cb3daadcca495ff5f12"}
+        };
+    }
+}
diff --git a/Algorithm.CSharp/SetCustomSettlementModelRegressionAlgorithm.cs b/Algorithm.CSharp/SetCustomSettlementModelRegressionAlgorithm.cs
@@ -15,7 +15,6 @@
 
 using QuantConnect.Data;
 using QuantConnect.Securities;
-using QuantConnect.Brokerages;
 using System;
 using QuantConnect.Interfaces;
 using System.Collections.Generic;
@@ -133,5 +132,13 @@ public void Scan(ScanSettlementModelParameters settlementParameters)
                 settlementParameters.Portfolio.CashBook[_currency].AddAmount(-_amount);
             }
         }
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        public CashAmount GetUnsettledCash()
+        {
+            return default;
+        }
     }
 }
diff --git a/Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py b/Algorithm.Python/CustomSettlementModelRegressionAlgorithm.py
@@ -51,6 +51,9 @@ def Scan(self, parameters):
         if parameters.UtcTime == datetime(2013, 10, 6):
             parameters.Portfolio.CashBook[self.currency].AddAmount(-self.amount)
 
+    def GetUnsettledCash(self):
+        return None
+
 class CustomBrokerageModelWithCustomSettlementModel(CustomBrokerageModel):
     def GetSettlementModel(self, security):
         return CustomSettlementModel()
diff --git a/Common/Python/SettlementModelPythonWrapper.cs b/Common/Python/SettlementModelPythonWrapper.cs
@@ -31,7 +31,7 @@ public class SettlementModelPythonWrapper : ISettlementModel
         /// <param name="model">Settlement Python Model</param>
         public SettlementModelPythonWrapper(PyObject model)
         {
-            _model = model;
+            _model = model.ValidateImplementationOf<ISettlementModel>();
         }
 
         /// <summary>
@@ -57,5 +57,22 @@ public void Scan(ScanSettlementModelParameters settlementParameters)
                 _model.Scan(settlementParameters);
             }
         }
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        public CashAmount GetUnsettledCash()
+        {
+            using (Py.GIL())
+            {
+                var result = _model.GetUnsettledCash();
+                if (result == null)
+                {
+                    return default;
+                }
+
+                return result;
+            }
+        }
     }
 }
diff --git a/Common/Securities/AccountCurrencyImmediateSettlementModel.cs b/Common/Securities/AccountCurrencyImmediateSettlementModel.cs
@@ -19,13 +19,13 @@ namespace QuantConnect.Securities
     /// Represents the model responsible for applying cash settlement rules
     /// </summary>
     /// <remarks>This model converts the amount to the account currency and applies cash settlement immediately</remarks>
-    public class AccountCurrencyImmediateSettlementModel : ISettlementModel
+    public class AccountCurrencyImmediateSettlementModel : ImmediateSettlementModel
     {
         /// <summary>
         /// Applies cash settlement rules
         /// </summary>
         /// <param name="applyFundsParameters">The funds application parameters</param>
-        public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
+        public override void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
         {
             var currency = applyFundsParameters.CashAmount.Currency;
             var amount = applyFundsParameters.CashAmount.Amount;
@@ -34,13 +34,5 @@ public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
 
             portfolio.CashBook[portfolio.CashBook.AccountCurrency].AddAmount(amountInAccountCurrency);
         }
-
-        /// <summary>
-        /// Scan for pending settlements
-        /// </summary>
-        /// <param name="settlementParameters">The settlement parameters</param>
-        public void Scan(ScanSettlementModelParameters settlementParameters)
-        {
-        }
     }
 }
diff --git a/Common/Securities/CashAmount.cs b/Common/Securities/CashAmount.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *

diff --git a/Common/Securities/DelayedSettlementModel.cs b/Common/Securities/DelayedSettlementModel.cs
@@ -1,11 +1,11 @@
 /*
  * 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"); 
+ *
+ * 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.
@@ -15,6 +15,7 @@
 
 using System;
 using System.Collections.Generic;
+using System.Linq;
 
 namespace QuantConnect.Securities
 {
@@ -26,6 +27,7 @@ public class DelayedSettlementModel : ISettlementModel
     {
         private readonly int _numberOfDays;
         private readonly TimeSpan _timeOfDay;
+        private CashBook _cashBook;
 
         /// <summary>
         /// The list of pending funds waiting for settlement time
@@ -85,6 +87,12 @@ public void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsParameters)
 
                 portfolio.CashBook[currency].AddAmount(amount);
             }
+
+            // We just keep it to use currency conversion in GetUnsettledCash method
+            if (_cashBook == null)
+            {
+                _cashBook = portfolio.UnsettledCashBook;
+            }
         }
 
         /// <summary>
@@ -110,5 +118,24 @@ public void Scan(ScanSettlementModelParameters settlementParameters)
                 }
             }
         }
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        public CashAmount GetUnsettledCash()
+        {
+            var accountCurrency = _cashBook != null ? _cashBook.AccountCurrency : Currencies.USD;
+
+            lock (_unsettledCashAmounts)
+            {
+                if (_unsettledCashAmounts.Count == 0)
+                {
+                    return default;
+                }
+
+                return new CashAmount(_unsettledCashAmounts.Sum(x => _cashBook.ConvertToAccountCurrency(x.Amount, x.Currency)), accountCurrency);
+            }
+
+        }
     }
 }
diff --git a/Common/Securities/ISettlementModel.cs b/Common/Securities/ISettlementModel.cs
@@ -1,11 +1,11 @@
 /*
  * 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"); 
+ *
+ * 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.
@@ -31,5 +31,10 @@ public interface ISettlementModel
         /// </summary>
         /// <param name="settlementParameters">The settlement parameters</param>
         void Scan(ScanSettlementModelParameters settlementParameters);
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        CashAmount GetUnsettledCash();
     }
 }
diff --git a/Common/Securities/ImmediateSettlementModel.cs b/Common/Securities/ImmediateSettlementModel.cs
@@ -1,11 +1,11 @@
 /*
  * 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"); 
+ *
+ * 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.
@@ -39,5 +39,13 @@ public virtual void ApplyFunds(ApplyFundsSettlementModelParameters applyFundsPar
         public virtual void Scan(ScanSettlementModelParameters settlementParameters)
         {
         }
+
+        /// <summary>
+        /// Gets the unsettled cash amount for the security
+        /// </summary>
+        public virtual CashAmount GetUnsettledCash()
+        {
+            return default;
+        }
     }
 }
diff --git a/Engine/DataFeeds/PendingRemovalsManager.cs b/Engine/DataFeeds/PendingRemovalsManager.cs
@@ -1,4 +1,4 @@
-/*
+/*
  * QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
  * Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
  *
@@ -61,6 +61,14 @@ private bool IsSafeToRemove(Security member, Universe universe)
                     // covers the options use case
                     return false;
                 }
+
+                // don't remove if there are unsettled positions
+                var unsettledCash = member.SettlementModel.GetUnsettledCash();
+                if (unsettledCash != default && unsettledCash.Amount > 0)
+                {
+                    return false;
+                }
+
                 return true;
             }