internal void CanSerializeAndDeserialize_OrderFilledEvents()
{
// Arrange
var order = new StubOrderBuilder()
.WithQuantity(Quantity.Create(100000))
.BuildStopLimitOrder();
var filled = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
order.Id,
new ExecutionId("E123456"),
new PositionIdBroker("P123456"),
order.Symbol,
order.OrderSide,
order.Quantity,
Price.Create(2m, 1),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var packed = this.serializer.Serialize(filled);
var unpacked = (OrderFilled)this.serializer.Deserialize(packed);
// Assert
Assert.Equal(filled, unpacked);
this.Output.WriteLine(Convert.ToBase64String(packed));
}
private void FillOrder(Order order, DateTime time, int price, int quantity, bool isAggressor)
{
order.FilledQuantity += quantity;
order.RemainingQuantity -= quantity;
order.Status = order.RemainingQuantity == 0 ? OrderStatus.Filled : OrderStatus.PartiallyFilled;
OrderFilled?.Invoke(this, new OrderFilledEventArgs(order, time, price, quantity, isAggressor));
}
private void When(OrderFilled @event)
{
this.executionIds.Add(@event.ExecutionId);
this.PositionIdBroker = @event.PositionIdBroker;
this.FilledQuantity = @event.FilledQuantity;
this.AveragePrice = @event.AveragePrice;
this.Slippage = this.CalculateSlippage();
this.SetIsCompleteTrue();
}
internal void ApplyEvents_OrderFilledFromShortPositionToLong_ReturnsCorrectMarketPositionAndQuantity()
{
// Arrange
var orderFill1 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(1000000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var position = new Position(new PositionId("P-123456"), orderFill1);
var orderFill2 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123457"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Buy,
Quantity.Create(500000),
Price.Create(1.00001m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var orderFill3 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123458"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Buy,
Quantity.Create(1000000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
position.Apply(orderFill2);
position.Apply(orderFill3);
// Assert
Assert.Equal(MarketPosition.Long, position.MarketPosition);
Assert.Equal(Quantity.Create(500000), position.Quantity);
}
private void OnMessage(OrderFilled @event)
{
this.EventCount++;
this.Logger.LogInformation(LogId.Trading, $"{Received}{Event} {@event}.");
this.ProcessOrderEvent(@event);
this.HandleOrderFillEvent(@event);
this.ClearModifyBuffer(@event.OrderId);
this.CancelExpiryBackup(@event.OrderId);
this.SendToEventPublisher(@event);
}
internal void ApplyEvents_MultipleFillsInOpenDirection_ReturnsCorrectValues()
{
// Arrange
var orderFill1 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(100000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var orderFill2 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-1234561"),
new ExecutionId("E-1234561"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(100000),
Price.Create(1.00001m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var position = new Position(new PositionId("P-123456"), orderFill1);
var tick = StubQuoteTickProvider.Create(new Symbol("AUDUSD", new Venue("FXCM")));
// Act
position.Apply(orderFill2);
// Assert
Assert.Equal(1.000005m, position.AverageOpenPrice);
Assert.Equal(MarketPosition.Short, position.MarketPosition);
Assert.Equal(Quantity.Create(200000), position.Quantity);
Assert.Equal(decimal.Zero, position.RealizedPoints);
Assert.Equal(0, position.RealizedReturn);
Assert.Equal(Money.Zero(position.BaseCurrency), position.RealizedPnl);
Assert.Equal(0.199945m, position.UnrealizedPoints(tick));
Assert.Equal(0.19994400027999865, position.UnrealizedReturn(tick));
Assert.Equal(Money.Create(39989m, position.BaseCurrency), position.UnrealizedPnl(tick));
Assert.Equal(0.199945m, position.TotalPoints(tick));
Assert.Equal(0.19994400027999865, position.TotalReturn(tick));
Assert.Equal(Money.Create(39989m, position.BaseCurrency), position.TotalPnl(tick));
}
internal void Position_OrderFilledSellCase_ReturnsCorrectValues()
{
// Arrange
var orderFill = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUD/USD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(1000),
Price.Create(2000m, 2),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
var position = new Position(new PositionId("P-123456"), orderFill);
// Assert
Assert.Equal(new Symbol("AUD/USD", new Venue("FXCM")), position.Symbol);
Assert.Equal(new OrderId("O-123456"), position.FromOrderId);
Assert.Equal(new OrderId("O-123456"), position.LastOrderId);
Assert.Equal(new ExecutionId("E-123456"), position.LastExecutionId);
Assert.Equal(new PositionIdBroker("ET-123456"), position.IdBroker);
Assert.Equal(new OrderId("O-123456"), position.GetOrderIds()[0]);
Assert.Equal(new ExecutionId("E-123456"), position.GetExecutionIds()[0]);
Assert.Equal(2000, position.AverageOpenPrice);
Assert.Null(position.AverageClosePrice);
Assert.Null(position.ClosedTime);
Assert.Null(position.OpenDuration);
Assert.Equal(OrderSide.Sell, position.EntryDirection);
Assert.Equal(Quantity.Create(1000), position.Quantity);
Assert.Equal(Quantity.Create(1000), position.PeakQuantity);
Assert.Equal(MarketPosition.Short, position.MarketPosition);
Assert.Equal(StubZonedDateTime.UnixEpoch(), position.OpenedTime);
Assert.Equal(1, position.EventCount);
Assert.Equal(orderFill, position.LastEvent);
Assert.Equal(0m, position.RealizedPoints);
Assert.Equal(0, position.RealizedReturn);
Assert.Equal(Money.Zero(position.BaseCurrency), position.RealizedPnl);
Assert.True(position.IsOpen);
Assert.True(position.IsShort);
Assert.False(position.IsClosed);
Assert.False(position.IsLong);
Assert.Equal(StubZonedDateTime.UnixEpoch(), position.LastUpdated);
Assert.Equal(orderFill, position.LastEvent);
Assert.Equal(orderFill, position.InitialEvent);
}
internal void ApplyEvents_OrderFilledFromAlreadyShort_ReturnsCorrectMarketPositionAndQuantity()
{
// Arrange
var orderFill11 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUD/USD", new Venue("FXCM")),
OrderSide.Sell,
Quantity.Create(5000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var position = new Position(new PositionId("P-123456"), orderFill11);
var orderFill2 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Buy,
Quantity.Create(5000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch() + Duration.FromMinutes(1),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
position.Apply(orderFill2);
// Assert
Assert.Equal(MarketPosition.Flat, position.MarketPosition);
Assert.Equal(Duration.FromMinutes(1), position.OpenDuration);
Assert.Equal(Quantity.Create(0), position.Quantity);
Assert.Equal(orderFill2, position.LastEvent);
Assert.True(position.IsClosed);
Assert.False(position.IsOpen);
Assert.False(position.IsShort);
Assert.False(position.IsLong);
}
internal void ApplyEvents_OrderFilledFromLongPositionToFlat_ReturnsCorrectMarketPositionAndQuantity()
{
// Arrange
var orderFill1 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
new Symbol("AUDUSD", new Venue("FXCM")),
OrderSide.Buy,
Quantity.Create(100000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var position = new Position(new PositionId("P-123456"), orderFill1);
var orderFill2 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123456"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Buy,
Quantity.Create(200000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var orderFill3 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123457"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Sell,
Quantity.Create(50000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
var orderFill4 = new OrderFilled(
AccountId.FromString("FXCM-02851908-DEMO"),
new OrderId("O-123458"),
new ExecutionId("E-123456"),
new PositionIdBroker("ET-123456"),
position.Symbol,
OrderSide.Sell,
Quantity.Create(250000),
Price.Create(1.00000m, 5),
Currency.USD,
StubZonedDateTime.UnixEpoch(),
Guid.NewGuid(),
StubZonedDateTime.UnixEpoch());
// Act
position.Apply(orderFill2);
position.Apply(orderFill3);
position.Apply(orderFill4);
// Assert
Assert.Equal(MarketPosition.Short, position.MarketPosition);
Assert.Equal(Quantity.Create(100000), position.Quantity);
Assert.Null(position.ClosedTime);
Assert.Equal(1.00000m, position.AverageClosePrice);
Assert.Equal(orderFill4, position.LastEvent);
Assert.True(position.IsShort);
Assert.True(position.IsOpen);
Assert.False(position.IsClosed);
Assert.False(position.IsLong);
}
private void OnMessage(OrderFilled @event)
{
this.ReceivedObjects.Add(@event);
}
private void OnMessage(OrderFilled @event)
{
this.SendToBus(@event);
}
