public void SymbolAndUnderlyingSymbolsMapped(string ticker, string mappedTicker, string sid)
{
var symbol = new Symbol(SecurityIdentifier.Parse(sid), ticker);
var symbolChain = symbol;
do
{
Assert.AreEqual(symbolChain.Value, ticker);
symbolChain = symbolChain.Underlying;
}while (symbolChain != null);
symbol = symbol.UpdateMappedSymbol(mappedTicker);
symbolChain = symbol;
do
{
Console.WriteLine(symbolChain.ToString() + "; Value: " + symbolChain.Value);
if (symbolChain.SecurityType == SecurityType.Base || symbolChain.SecurityType.RequiresMapping())
{
Assert.AreEqual(mappedTicker, symbolChain.Value);
}
else
{
Assert.AreNotEqual(mappedTicker, symbolChain.Value);
}
symbolChain = symbolChain.Underlying;
}while (symbolChain != null);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
if (string.IsNullOrEmpty(line))
{
return(null);
}
var split = line.Split(',');
var symbol = new Symbol(SecurityIdentifier.Parse(split[1]), split[0]);
var lastUpdateDate = Parse.TryParseExact(split[2], "yyyyMMdd", DateTimeStyles.None, out var lastUpdateDateParsed)
? lastUpdateDateParsed
: (DateTime?)null;
var weighting = split[3].IsNullOrEmpty()
? (decimal?)null
: Parse.Decimal(split[3], NumberStyles.Any);
var sharesHeld = split[4].IsNullOrEmpty()
? (decimal?)null
: Parse.Decimal(split[4], NumberStyles.Any);
var marketValue = split[5].IsNullOrEmpty()
? (decimal?)null
: Parse.Decimal(split[5], NumberStyles.Any);
return(new ETFConstituentData
{
LastUpdate = lastUpdateDate,
Weight = weighting,
SharesHeld = sharesHeld,
MarketValue = marketValue,
Symbol = symbol,
Time = date
});
}
public void NumberStrikePriceApproachesBoundsWithoutOverflowingSid(string strikeStr)
{
var strike = decimal.Parse(strikeStr, CultureInfo.InvariantCulture);
var equity = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
var option = Symbol.CreateOption(
equity,
Market.USA,
OptionStyle.American,
OptionRight.Call,
strike,
new DateTime(2020, 5, 21));
// The SID specification states that the total width for the properties value
// is at most 20 digits long. If we overflowed the SID, the strike price can and will
// eat from other slots, corrupting the data. If we have no overflow, the SID will
// be constructed properly without corrupting any data, even as we approach the bounds.
// We will assert that all properties contained within the _properties field are valid and not corrupted
var sid = SecurityIdentifier.Parse(option.ID.ToString());
Assert.AreEqual(new DateTime(2020, 5, 21), sid.Date);
Assert.AreEqual(strike, sid.StrikePrice);
Assert.AreEqual(OptionRight.Call, sid.OptionRight);
Assert.AreEqual(OptionStyle.American, sid.OptionStyle);
Assert.AreEqual(Market.USA, sid.Market);
Assert.AreEqual(SecurityType.Option, sid.SecurityType);
Assert.AreEqual(option.ID.Date, sid.Date);
Assert.AreEqual(option.ID.StrikePrice, sid.StrikePrice);
Assert.AreEqual(option.ID.OptionRight, sid.OptionRight);
Assert.AreEqual(option.ID.OptionStyle, sid.OptionStyle);
Assert.AreEqual(option.ID.Market, sid.Market);
Assert.AreEqual(option.ID.SecurityType, sid.SecurityType);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var coarse = new CoarseFundamental
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
Time = date,
Market = config.Market,
Value = csv[2].ToDecimal(),
Volume = csv[3].ToInt64(),
DollarVolume = csv[4].ToDecimal()
};
if (csv.Length > 5)
{
coarse.HasFundamentalData = Convert.ToBoolean(csv[5]);
}
if (csv.Length > 7)
{
coarse.PriceFactor = csv[6].ToDecimal();
coarse.SplitFactor = csv[7].ToDecimal();
}
return(coarse);
}
catch (Exception)
{
return(null);
}
}
/// <summary>
/// Creates a new instance based on the provided serialized order event
/// </summary>
public static OrderEvent FromSerialized(SerializedOrderEvent serializedOrderEvent)
{
var sid = SecurityIdentifier.Parse(serializedOrderEvent.Symbol);
var symbol = new Symbol(sid, sid.Symbol);
var orderFee = OrderFee.Zero;
if (serializedOrderEvent.OrderFeeAmount.HasValue)
{
orderFee = new OrderFee(new CashAmount(serializedOrderEvent.OrderFeeAmount.Value,
serializedOrderEvent.OrderFeeCurrency));
}
var orderEvent = new OrderEvent(serializedOrderEvent.OrderId,
symbol,
DateTime.SpecifyKind(Time.UnixTimeStampToDateTime(serializedOrderEvent.Time), DateTimeKind.Utc),
serializedOrderEvent.Status,
serializedOrderEvent.Direction,
serializedOrderEvent.FillPrice,
serializedOrderEvent.FillQuantity,
orderFee,
serializedOrderEvent.Message)
{
IsAssignment = serializedOrderEvent.IsAssignment,
LimitPrice = serializedOrderEvent.LimitPrice,
StopPrice = serializedOrderEvent.StopPrice,
FillPriceCurrency = serializedOrderEvent.FillPriceCurrency,
Id = serializedOrderEvent.OrderEventId,
Quantity = serializedOrderEvent.Quantity
};
return(orderEvent);
}
/// <summary>
/// Creates a new Order instance from a SerializedOrder instance
/// </summary>
/// <remarks>Used by the <see cref="SerializedOrderJsonConverter"/></remarks>
public static Order FromSerialized(SerializedOrder serializedOrder)
{
var sid = SecurityIdentifier.Parse(serializedOrder.Symbol);
var symbol = new Symbol(sid, sid.Symbol);
TimeInForce timeInForce = null;
var type = System.Type.GetType($"QuantConnect.Orders.TimeInForces.{serializedOrder.TimeInForceType}", throwOnError: false, ignoreCase: true);
if (type != null)
{
timeInForce = (TimeInForce)Activator.CreateInstance(type, true);
if (timeInForce is GoodTilDateTimeInForce)
{
var expiry = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.TimeInForceExpiry.Value);
timeInForce = new GoodTilDateTimeInForce(expiry);
}
}
var createdTime = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.CreatedTime);
var order = CreateOrder(serializedOrder.OrderId, serializedOrder.Type, symbol, serializedOrder.Quantity,
DateTime.SpecifyKind(createdTime, DateTimeKind.Utc),
serializedOrder.Tag,
new OrderProperties {
TimeInForce = timeInForce
},
serializedOrder.LimitPrice ?? 0,
serializedOrder.StopPrice ?? 0,
serializedOrder.TriggerPrice ?? 0);
order.OrderSubmissionData = new OrderSubmissionData(serializedOrder.SubmissionBidPrice,
serializedOrder.SubmissionAskPrice,
serializedOrder.SubmissionLastPrice);
order.BrokerId = serializedOrder.BrokerId;
order.ContingentId = serializedOrder.ContingentId;
order.Price = serializedOrder.Price;
order.PriceCurrency = serializedOrder.PriceCurrency;
order.Status = serializedOrder.Status;
if (serializedOrder.LastFillTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.LastFillTime.Value);
order.LastFillTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
if (serializedOrder.LastUpdateTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.LastUpdateTime.Value);
order.LastUpdateTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
if (serializedOrder.CanceledTime.HasValue)
{
var time = QuantConnect.Time.UnixTimeStampToDateTime(serializedOrder.CanceledTime.Value);
order.CanceledTime = DateTime.SpecifyKind(time, DateTimeKind.Utc);
}
return(order);
}
public void ParsedToStringEqualsValue()
{
var value = SPY_Put_19550.ToString();
Console.WriteLine(value);
var sid2 = SecurityIdentifier.Parse(value);
Assert.AreEqual(SPY_Put_19550, sid2);
}
/// <summary>
/// Create an order from a simple JObject
/// </summary>
/// <param name="jObject"></param>
/// <returns>Order Object</returns>
public static Order CreateOrderFromJObject(JObject jObject)
{
// create order instance based on order type field
var orderType = (OrderType)jObject["Type"].Value <int>();
var order = CreateOrder(orderType, jObject);
// populate common order properties
order.Id = jObject["Id"].Value <int>();
order.Status = (OrderStatus)jObject["Status"].Value <int>();
order.Time = jObject["Time"].Value <DateTime>();
order.Tag = jObject["Tag"].Value <string>();
try { order.Quantity = jObject["Quantity"].Value <int>(); }
catch { order.Quantity = jObject["Quantity"].Value <decimal>(); }
order.Price = jObject["Price"].Value <decimal>();
var securityType = (SecurityType)jObject["SecurityType"].Value <int>();
order.BrokerId = jObject["BrokerId"].Select(x => x.Value <string>()).ToList();
order.ContingentId = jObject["ContingentId"].Value <int>();
string market = Market.USA;
//does data have market?
var suppliedMarket = jObject.SelectTokens("Symbol.ID.Market");
if (suppliedMarket.Any())
{
market = suppliedMarket.Single().Value <string>();
}
else
{
//no data, use default
new DefaultBrokerageModel().DefaultMarkets.TryGetValue(securityType, out market);
}
if (jObject.SelectTokens("Symbol.ID").Any())
{
var sid = SecurityIdentifier.Parse(jObject.SelectTokens("Symbol.ID").Single().Value <string>());
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = new Symbol(sid, ticker);
}
else if (jObject.SelectTokens("Symbol.Value").Any())
{
// provide for backwards compatibility
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = Symbol.Create(ticker, securityType, market);
}
else
{
var tickerstring = jObject["Symbol"].Value <string>();
order.Symbol = Symbol.Create(tickerstring, securityType, market);
}
return(order);
}
public void GetDividends()
{
var date = new DateTime(2018, 05, 11);
var AAPL = new Symbol(SecurityIdentifier.Parse("AAPL R735QTJ8XC9X"), "AAPL");
var dividends = _api.GetDividends(date, date);
var aapl = dividends.Single(s => s.Symbol == AAPL);
Assert.AreEqual(0.73m, aapl.Distribution);
Assert.AreEqual(date, aapl.Time);
Assert.AreEqual(190.03m, aapl.ReferencePrice);
}
public void GetsSplits()
{
var date = new DateTime(2014, 06, 09);
var AAPL = new Symbol(SecurityIdentifier.Parse("AAPL R735QTJ8XC9X"), "AAPL");
var splits = _api.GetSplits(date, date);
var aapl = splits.Single(s => s.Symbol == AAPL);
Assert.AreEqual((1 / 7m).RoundToSignificantDigits(6), aapl.SplitFactor);
Assert.AreEqual(date, aapl.Time);
Assert.AreEqual(SplitType.SplitOccurred, aapl.Type);
Assert.AreEqual(645.57m, aapl.ReferencePrice);
}
/// <summary>
/// Parses a single line of CSV and converts it into an instance
/// </summary>
/// <param name="line">Line of CSV</param>
/// <returns>SecurityDefinition instance</returns>
public static SecurityDefinition FromCsvLine(string line)
{
var csv = line.Split(',');
return(new SecurityDefinition
{
SecurityIdentifier = SecurityIdentifier.Parse(csv[0]),
CUSIP = string.IsNullOrWhiteSpace(csv[1]) ? null : csv[1],
CompositeFIGI = string.IsNullOrWhiteSpace(csv[2]) ? null : csv[2],
SEDOL = string.IsNullOrWhiteSpace(csv[3]) ? null : csv[3],
ISIN = string.IsNullOrWhiteSpace(csv[4]) ? null : csv[4]
});
}
/// <summary>
/// Reads the JSON representation of the object.
/// </summary>
/// <param name="reader">The <see cref="T:Newtonsoft.Json.JsonReader"/> to read from.</param><param name="objectType">Type of the object.</param><param name="existingValue">The existing value of object being read.</param><param name="serializer">The calling serializer.</param>
/// <returns>
/// The object value.
/// </returns>
public override object ReadJson(JsonReader reader, Type objectType, object existingValue, JsonSerializer serializer)
{
var jObject = JObject.Load(reader);
// create order instance based on order type field
var orderType = (OrderType)jObject["Type"].Value <int>();
var order = CreateOrder(orderType, jObject);
// populate common order properties
order.Id = jObject["Id"].Value <int>();
order.Quantity = jObject["Quantity"].Value <int>();
order.Status = (OrderStatus)jObject["Status"].Value <int>();
order.Time = jObject["Time"].Value <DateTime>();
order.Tag = jObject["Tag"].Value <string>();
order.Quantity = jObject["Quantity"].Value <int>();
order.Price = jObject["Price"].Value <decimal>();
order.SecurityType = (SecurityType)jObject["SecurityType"].Value <int>();
order.BrokerId = jObject["BrokerId"].Select(x => x.Value <long>()).ToList();
order.ContingentId = jObject["ContingentId"].Value <int>();
if (jObject.SelectTokens("Symbol.ID").Any())
{
var sid = SecurityIdentifier.Parse(jObject.SelectTokens("Symbol.ID").Single().Value <string>());
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = new Symbol(sid, ticker);
}
else
{
// provide for backwards compatibility
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
SecurityIdentifier sid;
if (order.SecurityType == SecurityType.Equity)
{
sid = GetEquitySid(ticker, order.Time.Date);
}
else if (order.SecurityType == SecurityType.Forex)
{
sid = SecurityIdentifier.GenerateForex(ticker, Market.FXCM);
}
else
{
throw new NotImplementedException("The specified security type has not been implemented yet: " + order.SecurityType);
}
order.Symbol = new Symbol(sid, ticker);
}
return(order);
}
/// <summary>
/// Creates a new ScheduledEventParams instance from a SerializedScheduledEventParams instance
/// </summary>
/// <param name="serializedScheduledEventsParams"></param>
/// <returns></returns>
public static ScheduledEventParams FromSerialized(SerializedScheduledEventParams serializedScheduledEventsParams)
{
string name = serializedScheduledEventsParams.Name;
string tag = serializedScheduledEventsParams.Tag;
var sid = SecurityIdentifier.Parse(serializedScheduledEventsParams.Symbol);
Symbol symbol = new Symbol(sid, sid.Symbol);
DateTime expiry_time = QuantConnect.Time.UnixTimeStampToDateTime(serializedScheduledEventsParams.ExpiryTime);
OrderReason orderReason = serializedScheduledEventsParams.OrderReason;
decimal quantity = serializedScheduledEventsParams.Quantity;
return(new ScheduledEventParams(name, expiry_time, symbol, quantity, orderReason));
}
/// <summary>
/// Create an order from a simple JObject
/// </summary>
/// <param name="jObject"></param>
/// <returns>Order Object</returns>
public static Order CreateOrderFromJObject(JObject jObject)
{
// create order instance based on order type field
var orderType = (OrderType)jObject["Type"].Value <int>();
var order = CreateOrder(orderType, jObject);
// populate common order properties
order.Id = jObject["Id"].Value <int>();
order.Quantity = jObject["Quantity"].Value <int>();
order.Status = (OrderStatus)jObject["Status"].Value <int>();
order.Time = jObject["Time"].Value <DateTime>();
order.Tag = jObject["Tag"].Value <string>();
order.Quantity = jObject["Quantity"].Value <int>();
order.Price = jObject["Price"].Value <decimal>();
var securityType = (SecurityType)jObject["SecurityType"].Value <int>();
order.BrokerId = jObject["BrokerId"].Select(x => x.Value <string>()).ToList();
order.ContingentId = jObject["ContingentId"].Value <int>();
var market = Market.USA;
if (securityType == SecurityType.Forex)
{
market = Market.FXCM;
}
if (jObject.SelectTokens("Symbol.ID").Any())
{
var sid = SecurityIdentifier.Parse(jObject.SelectTokens("Symbol.ID").Single().Value <string>());
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = new Symbol(sid, ticker);
}
else if (jObject.SelectTokens("Symbol.Value").Any())
{
// provide for backwards compatibility
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = Symbol.Create(ticker, securityType, market);
}
else
{
var tickerstring = jObject["Symbol"].Value <string>();
order.Symbol = Symbol.Create(tickerstring, securityType, market);
}
return(order);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
var preselected = new ConstituentsUniverseData
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[1]), csv[0]),
Time = isLiveMode ? date.AddDays(-1) : date
};
return(preselected);
}
catch
{
return(null);
}
}
/// <summary>
/// Creates a new <see cref="Insight"/> object from the specified serialized form
/// </summary>
/// <param name="serializedInsight">The insight DTO</param>
/// <returns>A new insight containing the information specified</returns>
public static Insight FromSerializedInsight(SerializedInsight serializedInsight)
{
var insight = new Insight(
Time.UnixTimeStampToDateTime(serializedInsight.CreatedTime),
new Symbol(SecurityIdentifier.Parse(serializedInsight.Symbol), serializedInsight.Ticker),
TimeSpan.FromSeconds(serializedInsight.Period),
serializedInsight.Type,
serializedInsight.Direction,
serializedInsight.Magnitude,
serializedInsight.Confidence,
serializedInsight.SourceModel,
serializedInsight.Weight
)
{
Id = Guid.Parse(serializedInsight.Id),
CloseTimeUtc = Time.UnixTimeStampToDateTime(serializedInsight.CloseTime),
EstimatedValue = serializedInsight.EstimatedValue,
ReferenceValue = serializedInsight.ReferenceValue,
ReferenceValueFinal = serializedInsight.ReferenceValueFinal,
GroupId = string.IsNullOrEmpty(serializedInsight.GroupId) ? (Guid?)null : Guid.Parse(serializedInsight.GroupId)
};
// only set score values if non-zero or if they're the final scores
if (serializedInsight.ScoreIsFinal)
{
insight.Score.SetScore(InsightScoreType.Magnitude, serializedInsight.ScoreMagnitude, insight.CloseTimeUtc);
insight.Score.SetScore(InsightScoreType.Direction, serializedInsight.ScoreDirection, insight.CloseTimeUtc);
insight.Score.Finalize(insight.CloseTimeUtc);
}
else
{
if (serializedInsight.ScoreMagnitude != 0)
{
insight.Score.SetScore(InsightScoreType.Magnitude, serializedInsight.ScoreMagnitude, insight.CloseTimeUtc);
}
if (serializedInsight.ScoreDirection != 0)
{
insight.Score.SetScore(InsightScoreType.Direction, serializedInsight.ScoreDirection, insight.CloseTimeUtc);
}
}
return(insight);
}
public void ToStringPipeDelimitsUnderlying()
{
var actual = SPY_Put_19550.ToString();
var parts = actual.Split('|');
var option = SecurityIdentifier.Parse(parts[0]);
// verify various values
Assert.AreEqual(OptionRight.Put, option.OptionRight); // put
Assert.AreEqual(new DateTime(2015, 09, 18), option.Date); // oa date 2015.09.18
Assert.AreEqual(OptionStyle.European, option.OptionStyle); // option style
Assert.AreEqual(195.5m, option.StrikePrice); // strike/scale
Assert.AreEqual(Market.USA, option.Market); // market
Assert.AreEqual(SecurityType.Option, option.SecurityType); // security type
Assert.AreEqual("SPY", option.Symbol); // SPY in base36
Assert.IsFalse(option.HasUnderlying);
Assert.Throws <InvalidOperationException>(() => { var x = option.Underlying; });
var equity = SecurityIdentifier.Parse(parts[1]);
Assert.AreEqual(SPY, equity);
}
/// <summary>
/// Reader converts each line of the data source into BaseData objects. Each data type creates its own factory method, and returns a new instance of the object
/// each time it is called.
/// </summary>
/// <param name="config">Subscription data config setup object</param>
/// <param name="line">Line of the source document</param>
/// <param name="date">Date of the requested data</param>
/// <param name="isLiveMode">true if we're in live mode, false for backtesting mode</param>
/// <returns>Instance of the T:BaseData object generated by this line of the CSV</returns>
public override BaseData Reader(SubscriptionDataConfig config, string line, DateTime date, bool isLiveMode)
{
try
{
var csv = line.Split(',');
return(new CoarseFundamental
{
Symbol = new Symbol(SecurityIdentifier.Parse(csv[0]), csv[1]),
Time = date,
Market = config.Market,
Value = csv[2].ToDecimal(),
Volume = csv[3].ToInt64(),
DollarVolume = csv[4].ToDecimal()
});
}
catch (Exception)
{
return(null);
}
}
/// <summary>
/// Creates a new <see cref="Insight"/> object from the specified serialized form
/// </summary>
/// <param name="serializedInsight">The insight DTO</param>
/// <returns>A new insight containing the information specified</returns>
internal static Insight FromSerializedInsight(SerializedInsight serializedInsight)
{
var insight = new Insight(
Time.UnixTimeStampToDateTime(serializedInsight.GeneratedTime),
new Symbol(SecurityIdentifier.Parse(serializedInsight.Symbol), serializedInsight.Ticker),
serializedInsight.Type,
serializedInsight.Direction,
TimeSpan.FromSeconds(serializedInsight.Period),
serializedInsight.Magnitude,
serializedInsight.Confidence
)
{
Id = Guid.Parse(serializedInsight.Id),
CloseTimeUtc = Time.UnixTimeStampToDateTime(serializedInsight.CloseTime),
EstimatedValue = serializedInsight.EstimatedValue,
ReferenceValue = serializedInsight.ReferenceValue
};
// only set score values if non-zero or if they're the final scores
if (serializedInsight.ScoreIsFinal)
{
insight.Score.SetScore(InsightScoreType.Magnitude, serializedInsight.ScoreMagnitude, insight.CloseTimeUtc);
insight.Score.SetScore(InsightScoreType.Direction, serializedInsight.ScoreDirection, insight.CloseTimeUtc);
insight.Score.Finalize(insight.CloseTimeUtc);
}
else
{
if (serializedInsight.ScoreMagnitude != 0)
{
insight.Score.SetScore(InsightScoreType.Magnitude, serializedInsight.ScoreMagnitude, insight.CloseTimeUtc);
}
if (serializedInsight.ScoreDirection != 0)
{
insight.Score.SetScore(InsightScoreType.Direction, serializedInsight.ScoreDirection, insight.CloseTimeUtc);
}
}
return(insight);
}
public void NegativeStrikePriceRoundTrip()
{
var future = Symbol.CreateFuture(
"CL",
Market.NYMEX,
new DateTime(2020, 5, 20));
var option = Symbol.CreateOption(
future,
Market.NYMEX,
OptionStyle.American,
OptionRight.Call,
-50,
new DateTime(2020, 4, 16));
Assert.AreEqual(-50, option.ID.StrikePrice);
// Forces the reconstruction of the strike price to ensure that it's been properly parsed.
var newSid = SecurityIdentifier.Parse(option.ID.ToString());
Assert.AreEqual(-50, newSid.StrikePrice);
}
[TestCase("BTCUSD XJ", "BTCUSD", null)] // Crypto
public void SymbolCanonical(string identifier, string ticker, string expectedValue)
{
var symbol = new Symbol(SecurityIdentifier.Parse(identifier), ticker);
if (expectedValue != null)
{
var result = symbol.Canonical;
Assert.IsNotNull(result);
Assert.AreSame(result, symbol.Canonical);
Assert.IsTrue(result.IsCanonical());
Assert.IsTrue(result.Value.Contains(ticker));
Assert.AreEqual(symbol.SecurityType, result.SecurityType);
Assert.AreEqual(symbol.ID.Market, result.ID.Market);
}
else
{
Assert.Throws <InvalidOperationException>(() =>
{
var canonical = symbol.Canonical;
});
}
}
/// <summary>
/// Create an order from a simple JObject
/// </summary>
/// <param name="jObject"></param>
/// <returns>Order Object</returns>
public static Order CreateOrderFromJObject(JObject jObject)
{
// create order instance based on order type field
var orderType = (OrderType)jObject["Type"].Value <int>();
var order = CreateOrder(orderType, jObject);
// populate common order properties
order.Id = jObject["Id"].Value <int>();
order.Status = (OrderStatus)jObject["Status"].Value <int>();
order.Time = jObject["Time"].Value <DateTime>();
var orderSubmissionData = jObject["OrderSubmissionData"];
if (orderSubmissionData != null && orderSubmissionData.Type != JTokenType.Null)
{
var bidPrice = orderSubmissionData["BidPrice"].Value <decimal>();
var askPrice = orderSubmissionData["AskPrice"].Value <decimal>();
var lastPrice = orderSubmissionData["LastPrice"].Value <decimal>();
order.OrderSubmissionData = new OrderSubmissionData(bidPrice, askPrice, lastPrice);
}
var lastFillTime = jObject["LastFillTime"];
var lastUpdateTime = jObject["LastUpdateTime"];
var canceledTime = jObject["CanceledTime"];
if (canceledTime != null && canceledTime.Type != JTokenType.Null)
{
order.CanceledTime = canceledTime.Value <DateTime>();
}
if (lastFillTime != null && lastFillTime.Type != JTokenType.Null)
{
order.LastFillTime = lastFillTime.Value <DateTime>();
}
if (lastUpdateTime != null && lastUpdateTime.Type != JTokenType.Null)
{
order.LastUpdateTime = lastUpdateTime.Value <DateTime>();
}
var tag = jObject["Tag"];
if (tag != null && tag.Type != JTokenType.Null)
{
order.Tag = tag.Value <string>();
}
else
{
order.Tag = "";
}
order.Quantity = jObject["Quantity"].Value <decimal>();
order.Price = jObject["Price"].Value <decimal>();
var priceCurrency = jObject["PriceCurrency"];
if (priceCurrency != null && priceCurrency.Type != JTokenType.Null)
{
order.PriceCurrency = priceCurrency.Value <string>();
}
var securityType = (SecurityType)jObject["SecurityType"].Value <int>();
order.BrokerId = jObject["BrokerId"].Select(x => x.Value <string>()).ToList();
order.ContingentId = jObject["ContingentId"].Value <int>();
var timeInForce = jObject["Properties"]?["TimeInForce"] ?? jObject["TimeInForce"] ?? jObject["Duration"];
order.Properties.TimeInForce = timeInForce != null
? CreateTimeInForce(timeInForce, jObject)
: TimeInForce.GoodTilCanceled;
string market = null;
//does data have market?
var suppliedMarket = jObject.SelectTokens("Symbol.ID.Market");
if (suppliedMarket.Any())
{
market = suppliedMarket.Single().Value <string>();
}
if (jObject.SelectTokens("Symbol.ID").Any())
{
var sid = SecurityIdentifier.Parse(jObject.SelectTokens("Symbol.ID").Single().Value <string>());
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
order.Symbol = new Symbol(sid, ticker);
}
else if (jObject.SelectTokens("Symbol.Value").Any())
{
// provide for backwards compatibility
var ticker = jObject.SelectTokens("Symbol.Value").Single().Value <string>();
if (market == null && !SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(ticker, securityType, out market))
{
market = DefaultBrokerageModel.DefaultMarketMap[securityType];
}
order.Symbol = Symbol.Create(ticker, securityType, market);
}
else
{
var tickerstring = jObject["Symbol"].Value <string>();
if (market == null && !SymbolPropertiesDatabase.FromDataFolder().TryGetMarket(tickerstring, securityType, out market))
{
market = DefaultBrokerageModel.DefaultMarketMap[securityType];
}
order.Symbol = Symbol.Create(tickerstring, securityType, market);
}
return(order);
}
public void RoundTripNoneParse()
{
Assert.AreEqual(SecurityIdentifier.None, SecurityIdentifier.Parse(SecurityIdentifier.None.ToString()));
}
public void RoundTripEmptyParse()
{
Assert.AreEqual(SecurityIdentifier.Empty, SecurityIdentifier.Parse(SecurityIdentifier.Empty.ToString()));
}
public void PreviousEmptyFormatStillSupported()
{
Assert.AreEqual(SecurityIdentifier.Empty, SecurityIdentifier.Parse(" "));
}
[TestCase("BTCUSD XJ", "BTCUSD", "BTCUSD")] // Crypto
public void SymbolAlias(string identifier, string ticker, string expectedValue)
{
var symbol = new Symbol(SecurityIdentifier.Parse(identifier), ticker);
Assert.AreEqual(expectedValue, symbol.Value);
}
