Fix bug ImmediateExecutionModel when using Crypto (#8355)

* First draft of the solution

* Add missing algorithm

* Improve regression tests

* Nit change

* Address requests

* Nit change

* Address minor requests

* Nit changes

* Nit suggestion

Algorithm.CSharp/ImmediateExecutionModelWorksWithBinanceFeeModel.cs

@@ -0,0 +1,119 @@
+/*
+ * 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 QuantConnect.Algorithm.Framework.Alphas;
+using QuantConnect.Algorithm.Framework.Execution;
+using QuantConnect.Algorithm.Framework.Portfolio;
+using QuantConnect.Algorithm.Framework.Selection;
+using QuantConnect.Interfaces;
+using QuantConnect.Orders;
+using System;
+using System.Collections.Generic;
+
+namespace QuantConnect.Algorithm.CSharp
+{
+    /// <summary>
+    /// Regression algorithm to test ImmediateExecutionModel places orders with the
+    /// correct quantity (taking into account the fee's) so that the fill quantity
+    /// is the expected one.
+    /// </summary>
+    public class ImmediateExecutionModelWorksWithBinanceFeeModel: QCAlgorithm, IRegressionAlgorithmDefinition
+    {
+        public override void Initialize()
+        {
+            SetStartDate(2022, 12, 13);
+            SetEndDate(2022, 12, 14);
+            SetAccountCurrency("BUSD");
+            SetCash("BUSD", 100000, 1);
+
+            UniverseSettings.Resolution = Resolution.Minute;
+
+            var symbols = new List<Symbol>() { QuantConnect.Symbol.Create("BTCBUSD", SecurityType.Crypto, Market.Binance) };
+            SetUniverseSelection(new ManualUniverseSelectionModel(symbols));
+            SetAlpha(new ConstantAlphaModel(InsightType.Price, InsightDirection.Up, TimeSpan.FromMinutes(20), 0.025, null));
+
+            SetPortfolioConstruction(new EqualWeightingPortfolioConstructionModel(Resolution.Minute));
+            SetExecution(new ImmediateExecutionModel());
+            SetBrokerageModel(Brokerages.BrokerageName.Binance, AccountType.Margin);
+        }
+
+        public override void OnOrderEvent(OrderEvent orderEvent)
+        {
+            if (orderEvent.Status == OrderStatus.Filled)
+            {
+                if (Math.Abs(orderEvent.Quantity - 5.8m) > 0.01m)
+                {
+                    throw new RegressionTestException($"The expected quantity was {5.8m} but the quantity from the order was {orderEvent.Quantity}");
+                }
+            }
+        }
+
+        public bool CanRunLocally => true;
+
+        /// <summary>
+        /// This is used by the regression test system to indicate which languages this algorithm is written in.
+        /// </summary>
+        public List<Language> Languages { get; } = new() { Language.CSharp, Language.Python };
+
+        /// <summary>
+        /// Data Points count of all timeslices of algorithm
+        /// </summary>
+        public long DataPoints => 2882;
+
+        /// <summary>
+        /// Data Points count of the algorithm history
+        /// </summary>
+        public int AlgorithmHistoryDataPoints => 60;
+
+        /// <summary>
+        /// Final status of the algorithm
+        /// </summary>
+        public AlgorithmStatus AlgorithmStatus => AlgorithmStatus.Completed;
+
+        /// <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 Orders", "1"},
+            {"Average Win", "0%"},
+            {"Average Loss", "0%"},
+            {"Compounding Annual Return", "0%"},
+            {"Drawdown", "0%"},
+            {"Expectancy", "0"},
+            {"Start Equity", "100000.00"},
+            {"End Equity", "103411.39"},
+            {"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", "0"},
+            {"Tracking Error", "0"},
+            {"Treynor Ratio", "0"},
+            {"Total Fees", "BUSD99.75"},
+            {"Estimated Strategy Capacity", "BUSD600000.00"},
+            {"Lowest Capacity Asset", "BTCBUSD 18N"},
+            {"Portfolio Turnover", "48.18%"},
+            {"OrderListHash", "2ad07f12d7c80fd4a904269d62794e9e"}
+        };
+    }
+}

Algorithm.Python/ImmediateExecutionModelWorksWithBinanceFeeModel.py

@@ -0,0 +1,51 @@
+# 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.
+
+# region imports
+from AlgorithmImports import *
+from Execution.ImmediateExecutionModel import ImmediateExecutionModel
+from QuantConnect.Orders import OrderEvent
+# endregion
+
+### <summary>
+### Regression algorithm to test ImmediateExecutionModel places orders with the
+### correct quantity (taking into account the fee's) so that the fill quantity
+### is the expected one.
+### </summary>
+class ImmediateExecutionModelWorksWithBinanceFeeModel(QCAlgorithm):
+
+    def Initialize(self):
+        # *** initial configurations and backtest ***
+        self.SetStartDate(2022, 12, 13)  # Set Start Date
+        self.SetEndDate(2022, 12, 14)  # Set End Date
+        self.SetAccountCurrency("BUSD") # Set Account Currency
+        self.SetCash("BUSD", 100000, 1)  # Set Strategy Cash
+
+        self.universe_settings.resolution = Resolution.MINUTE
+
+        symbols = [ Symbol.create("BTCBUSD", SecurityType.CRYPTO, Market.BINANCE) ]
+
+        # set algorithm framework models
+        self.set_universe_selection(ManualUniverseSelectionModel(symbols))
+        self.set_alpha(ConstantAlphaModel(InsightType.PRICE, InsightDirection.UP, timedelta(minutes = 20), 0.025, None))
+
+        self.set_portfolio_construction(EqualWeightingPortfolioConstructionModel(Resolution.MINUTE))
+        self.set_execution(ImmediateExecutionModel())
+
+
+        self.SetBrokerageModel(BrokerageName.Binance, AccountType.Margin)
+
+    def on_order_event(self, order_event: OrderEvent) -> None:
+        if order_event.status == OrderStatus.FILLED:
+            if abs(order_event.quantity - 5.8) > 0.01:
+                raise Exception(f"The expected quantity was 5.8 but the quantity from the order was {order_event.quantity}")

Algorithm/Execution/ImmediateExecutionModel.cs

@@ -44,7 +44,8 @@ public override void Execute(QCAlgorithm algorithm, IPortfolioTarget[] targets)
                     var security = algorithm.Securities[target.Symbol];
 
                     // calculate remaining quantity to be ordered
-                    var quantity = OrderSizing.GetUnorderedQuantity(algorithm, target, security);
+                    var quantity = OrderSizing.GetUnorderedQuantity(algorithm, target, security, true);
+
                     if (quantity != 0)
                     {
                         if (security.BuyingPowerModel.AboveMinimumOrderMarginPortfolioPercentage(security, quantity,

Algorithm/Execution/ImmediateExecutionModel.py

@@ -32,7 +32,8 @@ def execute(self, algorithm, targets):
             for target in self.targets_collection.order_by_margin_impact(algorithm):
                 security = algorithm.securities[target.symbol]
                 # calculate remaining quantity to be ordered
-                quantity = OrderSizing.get_unordered_quantity(algorithm, target, security)
+                quantity = OrderSizing.get_unordered_quantity(algorithm, target, security, True)
+
                 if quantity != 0:
                     above_minimum_portfolio = BuyingPowerModelExtensions.above_minimum_order_margin_portfolio_percentage(
                         security.buying_power_model,

Common/Extensions.cs

@@ -59,6 +59,7 @@
 using QuantConnect.Securities.Option;
 using QuantConnect.Statistics;
 using Newtonsoft.Json.Linq;
+using QuantConnect.Orders.Fees;
 
 namespace QuantConnect
 {
@@ -4378,6 +4379,19 @@ public static bool IsCustomDataType(Symbol symbol, Type type)
             return type.Namespace != typeof(Bar).Namespace || Extensions.GetCustomDataTypeFromSymbols(new Symbol[] { symbol }) != null;
         }
 
+        /// <summary>
+        /// Returns the amount of fee's charged by executing a market order with the given arguments
+        /// </summary>
+        /// <param name="security">Security for which we would like to make a market order</param>
+        /// <param name="quantity">Quantity of the security we are seeking to trade</param>
+        /// <param name="time">Time the order was placed</param>
+        /// <param name="marketOrder">This out parameter will contain the market order constructed</param>
+        public static CashAmount GetMarketOrderFees(Security security, decimal quantity, DateTime time, out MarketOrder marketOrder)
+        {
+            marketOrder = new MarketOrder(security.Symbol, quantity, time);
+            return security.FeeModel.GetOrderFee(new OrderFeeParameters(security, marketOrder)).Value;
+        }
+
         private static Symbol ConvertToSymbol(PyObject item, bool dispose)
         {
             if (PyString.IsStringType(item))

Common/Orders/OrderSizing.cs

@@ -18,6 +18,7 @@
 using QuantConnect.Algorithm.Framework.Portfolio;
 using QuantConnect.Interfaces;
 using QuantConnect.Securities;
+using QuantConnect.Securities.Crypto;
 
 namespace QuantConnect.Orders
 {
@@ -84,14 +85,27 @@ public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarge
         /// <param name="algorithm">The algorithm instance</param>
         /// <param name="target">The portfolio target</param>
         /// <param name="security">The target security</param>
+        /// <param name="accountForFees">True for taking into account the fee's in the order quantity.
+        /// False, otherwise.</param>
         /// <returns>The signed remaining quantity to be ordered</returns>
-        public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target, Security security)
+        public static decimal GetUnorderedQuantity(IAlgorithm algorithm, IPortfolioTarget target, Security security, bool accountForFees = false)
         {
             var holdings = security.Holdings.Quantity;
             var openOrderQuantity = algorithm.Transactions.GetOpenOrderTickets(target.Symbol)
                 .Aggregate(0m, (d, t) => d + t.Quantity - t.QuantityFilled);
             var quantity = target.Quantity - holdings - openOrderQuantity;
 
+            // Adjust the order quantity taking into account the fee's
+            if (accountForFees && security.Symbol.SecurityType == SecurityType.Crypto && quantity > 0)
+            {
+                var orderFee = Extensions.GetMarketOrderFees(security, quantity, algorithm.UtcTime, out _);
+                var baseCurrency = ((Crypto)security).BaseCurrency.Symbol;
+                if (baseCurrency == orderFee.Currency)
+                {
+                    quantity += orderFee.Amount;
+                }
+            }
+
             return AdjustByLotSize(security, quantity);
         }
 

Common/Securities/SecurityHolding.cs

@@ -485,13 +485,11 @@ public virtual decimal TotalCloseProfit(bool includeFees = true, decimal? exitPr
             }
 
             // this is in the account currency
-            var marketOrder = new MarketOrder(_security.Symbol, -quantityToUse, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone));
+            var orderFee = Extensions.GetMarketOrderFees(_security, -quantityToUse, _security.LocalTime.ConvertToUtc(_security.Exchange.TimeZone), out var marketOrder);
 
             var feesInAccountCurrency = 0m;
             if (includeFees)
             {
-                var orderFee = _security.FeeModel.GetOrderFee(
-                    new OrderFeeParameters(_security, marketOrder)).Value;
                 feesInAccountCurrency = _currencyConverter.ConvertToAccountCurrency(orderFee).Amount;
             }