public void ChangeDataNormalizationMode()
{
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY,
Open = 100,
High = 200,
Low = 300,
Close = 400
};
var factor = 0.5m;
var sumOfDividends = 100m;
var adjustedTb = tb.Clone(tb.IsFillForward).Adjust(factor);
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.Utc);
var offsetProvider = new TimeZoneOffsetProvider(TimeZones.Utc, new DateTime(2020, 5, 21), new DateTime(2020, 5, 22));
var emitTimeUtc = offsetProvider.ConvertToUtc(tb.EndTime);
_config.SumOfDividends = sumOfDividends;
var subscriptionData = new PrecalculatedSubscriptionData(
_config,
tb,
adjustedTb,
DataNormalizationMode.Adjusted,
emitTimeUtc);
_config.DataNormalizationMode = DataNormalizationMode.Raw;
Assert.AreEqual(tb.Open, (subscriptionData.Data as TradeBar).Open);
Assert.AreEqual(tb.High, (subscriptionData.Data as TradeBar).High);
Assert.AreEqual(tb.Low, (subscriptionData.Data as TradeBar).Low);
Assert.AreEqual(tb.Close, (subscriptionData.Data as TradeBar).Close);
_config.DataNormalizationMode = DataNormalizationMode.Adjusted;
Assert.AreEqual(tb.Open * factor, (subscriptionData.Data as TradeBar).Open);
Assert.AreEqual(tb.High * factor, (subscriptionData.Data as TradeBar).High);
Assert.AreEqual(tb.Low * factor, (subscriptionData.Data as TradeBar).Low);
Assert.AreEqual(tb.Close * factor, (subscriptionData.Data as TradeBar).Close);
_config.DataNormalizationMode = DataNormalizationMode.TotalReturn;
Assert.Throws <ArgumentException>(() =>
{
var data = subscriptionData.Data;
}
);
_config.DataNormalizationMode = DataNormalizationMode.SplitAdjusted;
Assert.Throws <ArgumentException>(() =>
{
var data = subscriptionData.Data;
}
);
}
public void StopLimitOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice, decimal limitPrice)
{
var time = new DateTime(2018, 9, 24, 9, 30, 0);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
var fillForwardBar = (TradeBar)tradeBar.Clone(true);
security.SetMarketPrice(fillForwardBar);
var fillModel = new ImmediateFillModel();
var order = new StopLimitOrder(symbol, orderQuantity, stopPrice, limitPrice, time.ConvertToUtc(TimeZones.NewYork));
var fill = fillModel.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
fill = fillModel.StopLimitFill(security, order);
Assert.AreEqual(orderQuantity, fill.FillQuantity);
Assert.AreEqual(limitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
public void StopMarketOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice)
{
var time = new DateTime(2018, 9, 24, 9, 30, 0);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
var fillForwardBar = (TradeBar)tradeBar.Clone(true);
security.SetMarketPrice(fillForwardBar);
var fillModel = new ImmediateFillModel();
var order = new StopMarketOrder(symbol, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
var fill = fillModel.StopMarketFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
fill = fillModel.StopMarketFill(security, order);
Assert.AreEqual(orderQuantity, fill.FillQuantity);
Assert.AreEqual(stopPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(0, fill.OrderFee);
}
public void AdjustTradeBar()
{
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY,
Open = 100,
High = 200,
Low = 300,
Close = 400
};
var adjustedTb = tb.Clone(tb.IsFillForward).Adjust(_factor);
Assert.AreEqual(tb.Open * _factor, (adjustedTb as TradeBar).Open);
Assert.AreEqual(tb.High * _factor, (adjustedTb as TradeBar).High);
Assert.AreEqual(tb.Low * _factor, (adjustedTb as TradeBar).Low);
Assert.AreEqual(tb.Close * _factor, (adjustedTb as TradeBar).Close);
}
public void AdjustTradeBarUsingConfig()
{
var tb = new TradeBar
{
Time = new DateTime(2020, 5, 21, 8, 9, 0),
Period = TimeSpan.FromHours(1),
Symbol = Symbols.SPY,
Open = 100,
High = 200,
Low = 300,
Close = 400,
Volume = 1000
};
var adjustedTb = tb.Clone(tb.IsFillForward).Normalize(_config.PriceScaleFactor, _config.DataNormalizationMode, _config.SumOfDividends);
Assert.AreEqual(tb.Open * _factor, (adjustedTb as TradeBar).Open);
Assert.AreEqual(tb.High * _factor, (adjustedTb as TradeBar).High);
Assert.AreEqual(tb.Low * _factor, (adjustedTb as TradeBar).Low);
Assert.AreEqual(tb.Close * _factor, (adjustedTb as TradeBar).Close);
Assert.AreEqual(tb.Volume / _factor, (adjustedTb as TradeBar).Volume);
}
public void IgnoresNonTickDataWithSameTimestamps()
{
var reference = new DateTime(2015, 09, 23);
var identity = new IdentityDataConsolidator <TradeBar>();
int count = 0;
identity.DataConsolidated += (sender, data) =>
{
count++;
};
var tradeBar = new TradeBar {
EndTime = reference
};
identity.Update(tradeBar);
tradeBar = (TradeBar)tradeBar.Clone();
identity.Update(tradeBar);
Assert.AreEqual(1, count);
}