public void Setup()
{
var sunday = new LocalMarketHours(DayOfWeek.Sunday, new TimeSpan(17, 0, 0), TimeSpan.FromTicks(Time.OneDay.Ticks - 1));
var monday = LocalMarketHours.OpenAllDay(DayOfWeek.Monday);
var tuesday = LocalMarketHours.OpenAllDay(DayOfWeek.Tuesday);
var wednesday = LocalMarketHours.OpenAllDay(DayOfWeek.Wednesday);
var thursday = LocalMarketHours.OpenAllDay(DayOfWeek.Thursday);
var friday = new LocalMarketHours(DayOfWeek.Friday, TimeSpan.Zero, new TimeSpan(17, 0, 0));
var earlyCloses = new Dictionary <DateTime, TimeSpan>();
var lateOpens = new Dictionary <DateTime, TimeSpan>();
_exchangeHours = new SecurityExchangeHours(TimeZones.NewYork, USHoliday.Dates.Select(x => x.Date), new[]
{
sunday, monday, tuesday, wednesday, thursday, friday
}.ToDictionary(x => x.DayOfWeek), earlyCloses, lateOpens);
_liveTradingDataFeed = new TestableLiveTradingDataFeed();
var jobPacket = new LiveNodePacket()
{
DeployId = "",
Brokerage = BrokerageName.OandaBrokerage.ToString(),
DataQueueHandler = "LiveDataQueue"
};
var algo = new TestAlgorithm();
var marketHoursDatabase = MarketHoursDatabase.FromDataFolder();
var symbolPropertiesDataBase = SymbolPropertiesDatabase.FromDataFolder();
var dataManager = new DataManager(_liveTradingDataFeed,
new UniverseSelection(
algo,
new SecurityService(algo.Portfolio.CashBook, marketHoursDatabase, symbolPropertiesDataBase, algo, RegisteredSecurityDataTypesProvider.Null)),
algo,
algo.TimeKeeper,
marketHoursDatabase,
true,
RegisteredSecurityDataTypesProvider.Null);
algo.SubscriptionManager.SetDataManager(dataManager);
var synchronizer = new LiveSynchronizer();
synchronizer.Initialize(algo, dataManager);
_liveTradingDataFeed.Initialize(algo, jobPacket, new LiveTradingResultHandler(), new LocalDiskMapFileProvider(),
null, new DefaultDataProvider(), dataManager, synchronizer);
algo.Initialize();
_config = SecurityTests.CreateTradeBarConfig();
}
public void WontRemoveBecauseTarget_Check()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
security.Holdings.Target = new PortfolioTarget(security.Symbol, 10);
Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe));
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet <Symbol>(), universe).Any());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First());
}
public void ReturnedRemoved_Add()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
var result = pendingRemovals.TryRemoveMember(security, universe);
Assert.IsTrue(result.Any());
Assert.AreEqual(universe, result.First().Universe);
Assert.AreEqual(security, result.First().Security);
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet <Symbol>(), universe).Any());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
}
public void WontRemoveBecauseOpenOrder_Check()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
Assert.IsNull(pendingRemovals.TryRemoveMember(security, universe));
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(new HashSet <Symbol>(), universe).Any());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(1, pendingRemovals.PendingRemovals.Values.Count());
Assert.AreEqual(universe, pendingRemovals.PendingRemovals.Keys.First());
Assert.AreEqual(security, pendingRemovals.PendingRemovals.Values.First().First());
}
public void USAEquityFeeInUSD()
{
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var fee = _feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1000, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(5m, fee.Value.Amount);
}
public void CalculateEquityMinimumFeeInUSD()
{
var feeModel = new AlphaStreamsFeeModel();
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(1m, fee.Value.Amount);
}
public void WontBeReturnedBecauseReSelected()
{
var orderProvider = new FakeOrderProcessor();
var pendingRemovals = new PendingRemovalsManager(orderProvider);
var security = SecurityTests.GetSecurity();
var universe = new TestUniverse();
orderProvider.AddOrder(new LimitOrder(security.Symbol, 1, 1, DateTime.UtcNow));
pendingRemovals.TryRemoveMember(security, universe);
Assert.IsFalse(pendingRemovals.CheckPendingRemovals(
new HashSet <Symbol> {
security.Symbol
}, universe).Any());
// internally it was removed because it was reselected
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Keys.Count());
Assert.AreEqual(0, pendingRemovals.PendingRemovals.Values.Count());
}
public void CalculateOrderFeeForLongOrShortEquity(int quantity)
{
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
var expected = 0m * security.Price * quantity;
Assert.AreEqual(expected, fee.Value.Amount);
}
public void SetUp()
{
_config = SecurityTests.CreateTradeBarConfig();
_security = SecurityTests.GetSecurity();
orderDateTime = new DateTime(2017, 2, 2, 13, 0, 0);
orderEvent = new OrderEvent(
99,
_security.Symbol,
orderDateTime,
OrderStatus.Submitted,
OrderDirection.Buy,
1,
1,
new OrderFee(new CashAmount(1, Currencies.USD))
);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
_security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
}
public static void Main()
{
string baseAddress = "http://localhost:9022";
HttpSelfHostConfiguration config = new HttpSelfHostConfiguration(baseAddress);
config.Routes.MapHttpRoute("DefaultApi", "api/{controller}/{action}/{id}", new { action = RouteParameter.Optional, id = RouteParameter.Optional });
SecurityTests.UpdateConfiguration(config);
HttpSelfHostServer server = new HttpSelfHostServer(config);
server.OpenAsync();
SecurityTests tests = new SecurityTests();
tests.BaseAddress = baseAddress;
tests.Client = new System.Net.Http.HttpClient();
foreach (var data in SecurityTests.DoSAttackData)
{
tests.TestDosAttackWithMultipleThreads(data[0] as string);
}
}
public TestUniverse()
: base(SecurityTests.CreateTradeBarConfig())
{
}
