Address Missing StableCoin Pairs in Crypto Exchanges (QuantConnect#5488)

* Allow USDC in cashbook without USDC-USD pair

* Cover more stablecoin cases unique to our crypto brokers

* Add unit test

* Cleanup and expand test cases

* Add USDCEUR and USDCGBP to GDAX Symbols

* Add missing tickers to SPDB

* Cleanup test

Common/Currencies.cs

@@ -96,6 +96,26 @@ public static class Currencies
             {"USDT", "USDT"}
         };
 
+        /// <summary>
+        /// Define some StableCoins that don't have direct pairs for base currencies in our SPDB
+        /// This is because some CryptoExchanges do not define direct pairs with the stablecoins they offer.
+        ///
+        /// We use this to allow setting cash amounts for these stablecoins without needing a conversion
+        /// security.
+        /// </summary>
+        public static HashSet<Symbol> StableCoinsWithoutPairs = new HashSet<Symbol>
+        {
+            // Binance StableCoins Missing 1-1 Pairs
+            Symbol.Create("USDCUSD", SecurityType.Crypto, Market.Binance), // USD -> USDC
+            Symbol.Create("BGBPGBP", SecurityType.Crypto, Market.Binance), // GBP -> BGBP
+
+            // Coinbase StableCoins Missing 1-1 Pairs
+            Symbol.Create("USDCUSD", SecurityType.Crypto, Market.GDAX), // USD -> USDC
+
+            // Bitfinex StableCoins Missing 1-1 Pairs
+            Symbol.Create("EURSEUR", SecurityType.Crypto, Market.Bitfinex), // EUR -> EURS
+        };
+
         /// <summary>
         /// Gets the currency symbol for the specified currency code
         /// </summary>

Common/Securities/Cash.cs

@@ -282,6 +282,16 @@ public SubscriptionDataConfig EnsureCurrencyDataFeed(SecurityManager securities,
                 }
             }
 
+            // Special case for crypto markets without direct pairs (They wont be found by the above)
+            // This allows us to add cash for "StableCoins" that are 1-1 with our account currency without needing a conversion security.
+            // Check out the StableCoinsWithoutPairs static var for those that are missing their 1-1 conversion pairs
+            if (Currencies.StableCoinsWithoutPairs.Contains(QuantConnect.Symbol.Create(normal, SecurityType.Crypto, marketMap[SecurityType.Crypto])))
+            {
+                ConversionRateSecurity = null;
+                ConversionRate = 1.0m;
+                return null;
+            }
+
             // if this still hasn't been set then it's an error condition
             throw new ArgumentException($"In order to maintain cash in {Symbol} you are required to add a " +
                 $"subscription for Forex pair {Symbol}{accountCurrency} or {accountCurrency}{Symbol}"

Data/symbol-properties/symbol-properties-database.csv

@@ -444,6 +444,8 @@ gdax,UMAEUR,crypto,UMA-Euro,EUR,1,0.001,0.001,UMA-EUR
 gdax,UMAGBP,crypto,UMA-British Pound,GBP,1,0.001,0.001,UMA-GBP
 gdax,UMAUSD,crypto,UMA-United States Dollar,USD,1,0.001,0.001,UMA-USD
 gdax,UNIUSD,crypto,Uniswap-United States Dollar,USD,1,0.0001,0.000001,UNI-USD
+gdax,USDCEUR,crypto,USDC-Eur,EUR,1,0.001,0.01,USDC-EUR
+gdax,USDCGBP,crypto,USDC-GBP,GBP,1,0.001,0.01,USDC-GBP
 gdax,WBTCBTC,crypto,Wrapped Bitcoin-Bitcoin,BTC,1,0.0001,0.00000001,WBTC-BTC
 gdax,WBTCUSD,crypto,Wrapped Bitcoin-United States Dollar,USD,1,0.01,0.00000001,WBTC-USD
 gdax,XLMBTC,crypto,Stellar-Bitcoin,BTC,1,0.00000001,1,XLM-BTC

Tests/Common/Securities/CashTests.cs

@@ -601,9 +601,89 @@ public void EnsureCurrencyDataFeedDoesNothingWithUnsupportedCurrency()
             Assert.IsEmpty(added);
         }
 
+        [TestCaseSource(nameof(cryptoBrokerageStableCoinCases))]
+        public void CryptoStableCoinMappingIsCorrect(IBrokerageModel brokerageModel, string accountCurrency, string stableCoin, bool shouldThrow, Symbol expectedConversionSymbol)
+        {
+            var cashBook = new CashBook() {AccountCurrency = accountCurrency};
+            var cash = new Cash(stableCoin, 10m, 1m);
+            cashBook.Add(cash.Symbol, cash);
+
+            var subscriptions = new SubscriptionManager();
+            var dataManager = new DataManagerStub(TimeKeeper);
+            subscriptions.SetDataManager(dataManager);
+            var securities = new SecurityManager(TimeKeeper);
+
+            // Verify the behavior throws or doesn't throw depending on the case
+            if (shouldThrow)
+            {
+                Assert.Throws<ArgumentException>(() =>
+                {
+                    cash.EnsureCurrencyDataFeed(securities, subscriptions, brokerageModel.DefaultMarkets, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
+                });
+            }
+            else
+            {
+                Assert.DoesNotThrow(() =>
+                {
+                    cash.EnsureCurrencyDataFeed(securities, subscriptions, brokerageModel.DefaultMarkets, SecurityChanges.None, dataManager.SecurityService, cashBook.AccountCurrency);
+                });
+            }
+
+            // Verify the conversion symbol is correct
+            if (expectedConversionSymbol == null)
+            {
+                Assert.IsNull(cash.ConversionRateSecurity);
+            }
+            else
+            {
+                Assert.AreEqual(expectedConversionSymbol, cash.ConversionRateSecurity.Symbol);
+            }
+        }
+
         private static TimeKeeper TimeKeeper
         {
             get { return new TimeKeeper(DateTime.Now, new[] { TimeZone }); }
         }
+
+        // Crypto brokerage model stable coin and account currency cases
+        // The last var is expectedConversionSymbol, and is null when we expect there
+        // not to be a conversion security for our tests output
+        private static object[] cryptoBrokerageStableCoinCases =
+        {
+            // *** Bitfinex ***
+            // Trades USDC, EURS, and USDT
+            // USDC Cases
+            new object[] { new BitfinexBrokerageModel(), Currencies.USD, "USDC", false, Symbol.Create("USDCUSD", SecurityType.Crypto, Market.Bitfinex) },
+            new object[] { new BitfinexBrokerageModel(), Currencies.EUR, "USDC", true, null }, // No USDCEUR, does throw!
+            new object[] { new BitfinexBrokerageModel(), Currencies.GBP, "USDC", true, null }, // No USDCGBP, does throw!
+
+            // EURS Cases
+            new object[] { new BitfinexBrokerageModel(), Currencies.USD, "EURS", false, Symbol.Create("EURSUSD", SecurityType.Crypto, Market.Bitfinex) },
+            new object[] { new BitfinexBrokerageModel(), Currencies.EUR, "EURS", false, null }, // No EURSEUR, but does not throw! Conversion 1-1
+            new object[] { new BitfinexBrokerageModel(), Currencies.GBP, "EURS", true, null }, // No EURSGBP, does throw!
+
+            // USDT (Tether) Cases
+            new object[] { new BitfinexBrokerageModel(), Currencies.USD, "USDT", false, Symbol.Create("USDTUSD", SecurityType.Crypto, Market.Bitfinex) },
+            new object[] { new BitfinexBrokerageModel(), Currencies.EUR, "USDT", true, null }, // No USDTEUR, does throw!
+            new object[] { new BitfinexBrokerageModel(), Currencies.GBP, "USDT", true, null }, // No USDTGBP, does throw!
+
+            // *** GDAX ***
+            // Trades USDC and USDT* (*Not yet trading live, but expected soon)
+            // USDC Cases
+            new object[] { new GDAXBrokerageModel(), Currencies.USD, "USDC", false, null }, // No USDCUSD, but does not throw! Conversion 1-1
+            new object[] { new GDAXBrokerageModel(), Currencies.EUR, "USDC", false, Symbol.Create("USDCEUR", SecurityType.Crypto, Market.GDAX) },
+            new object[] { new GDAXBrokerageModel(), Currencies.GBP, "USDC", false, Symbol.Create("USDCGBP", SecurityType.Crypto, Market.GDAX) }, 
+
+            // *** Binance ***
+            // USDC Cases
+            new object[] { new BinanceBrokerageModel(), Currencies.USD, "USDC", false, null }, // No USDCUSD, but does not throw! Conversion 1-1
+            new object[] { new BinanceBrokerageModel(), Currencies.EUR, "USDC", true, null }, // No USDCEUR, does throw!
+            new object[] { new BinanceBrokerageModel(), Currencies.GBP, "USDC", true, null }, // No USDCGBP, does throw!
+
+            // BGBP Cases
+            new object[] { new BinanceBrokerageModel(), Currencies.USD, "BGBP", true, null }, // No BGBPUSD, does throw!
+            new object[] { new BinanceBrokerageModel(), Currencies.EUR, "BGBP", true, null }, // No BGBPEUR, does throw!
+            new object[] { new BinanceBrokerageModel(), Currencies.GBP, "BGBP", false, null }, // No BGBPGBP, but does not throw! Conversion 1-1
+        };
     }
 }