public void PerformsLimitFillSell() { var model = new SecurityTransactionModel(); var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Equity); var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0); var security = new Security(config, 1); security.SetMarketPrice(DateTime.Now, new IndicatorDataPoint(Symbol, DateTime.Now, 101m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(DateTime.Now, new TradeBar(DateTime.Now, Symbol, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void PerformsLimitFillSell() { var model = new SecurityTransactionModel(); var order = new LimitOrder(Symbol, -100, 101.5m, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbol); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetMarketPrice(Noon, new IndicatorDataPoint(Symbol, Noon, 101m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(Noon, new TradeBar(Noon, Symbol, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
/******************************************************** * CONSTRUCTOR/DELEGATE DEFINITIONS *********************************************************/ /// <summary> /// Construct the Market Vehicle /// </summary> public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool useQuantConnectData = false) { //Set Basics: this._symbol = symbol; this._type = type; this._resolution = resolution; this._isFillDataForward = fillDataForward; this._leverage = leverage; this._isExtendedMarketHours = extendedMarketHours; this._isQuantConnectData = useQuantConnectData; //Setup Transaction Model for this Asset switch (type) { case SecurityType.Equity: Model = new EquityTransactionModel(); break; case SecurityType.Forex: Model = new ForexTransactionModel(); break; case SecurityType.Base: Model = new SecurityTransactionModel(); break; } //Holdings for new Vehicle: Cache = new SecurityCache(); Holdings = new SecurityHolding(symbol, Model); Exchange = new SecurityExchange(); }
/******************************************************** * CONSTRUCTOR/DELEGATE DEFINITIONS *********************************************************/ /// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool useQuantConnectData = false) { //Set Basics: _symbol = symbol; _type = type; _resolution = resolution; _isFillDataForward = fillDataForward; _leverage = leverage; _isExtendedMarketHours = extendedMarketHours; _isQuantConnectData = useQuantConnectData; //Setup Transaction Model for this Asset switch (type) { case SecurityType.Equity: Model = new EquityTransactionModel(); DataFilter = new EquityDataFilter(); break; case SecurityType.Forex: Model = new ForexTransactionModel(); DataFilter = new ForexDataFilter(); break; case SecurityType.Base: Model = new SecurityTransactionModel(); DataFilter = new SecurityDataFilter(); break; } //Holdings for new Vehicle: Cache = new SecurityCache(); Holdings = new SecurityHolding(symbol, Model); Exchange = new SecurityExchange(); }
/******************************************************** * CONSTRUCTOR/DELEGATE DEFINITIONS *********************************************************/ /// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(string symbol, SubscriptionDataConfig config, decimal leverage, bool isDynamicallyLoadedData = false) { //Set Basics: _symbol = symbol; _config = config; _isDynamicallyLoadedData = isDynamicallyLoadedData; //Setup Transaction Model for this Asset switch (config.Security) { case SecurityType.Equity: Model = new EquityTransactionModel(); DataFilter = new EquityDataFilter(); break; case SecurityType.Forex: Model = new ForexTransactionModel(); DataFilter = new ForexDataFilter(); break; case SecurityType.Base: Model = new SecurityTransactionModel(); DataFilter = new SecurityDataFilter(); break; } //Holdings for new Vehicle: Cache = new SecurityCache(); Holdings = new SecurityHolding(symbol, _config.Security, leverage, Model); Exchange = new SecurityExchange(); }
/// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage) { _config = config; Cache = new SecurityCache(); Exchange = new SecurityExchange(exchangeHours); DataFilter = new SecurityDataFilter(); PortfolioModel = new SecurityPortfolioModel(); TransactionModel = new SecurityTransactionModel(); MarginModel = new SecurityMarginModel(leverage); Holdings = new SecurityHolding(this); }
/// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage) { _config = config; Cache = new SecurityCache(); Exchange = new SecurityExchange(exchangeHours); DataFilter = new SecurityDataFilter(); PortfolioModel = new SecurityPortfolioModel(); TransactionModel = new SecurityTransactionModel(); MarginModel = new SecurityMarginModel(leverage); Holdings = new SecurityHolding(this); }
public void PerformsMarketFillSell() { var model = new SecurityTransactionModel(); var order = new MarketOrder(Symbols.SPY, -100, Noon); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m)); var fill = model.MarketFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Price, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
/// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, decimal leverage, bool isDynamicallyLoadedData = false) { _config = config; _symbol = config.Symbol; _isDynamicallyLoadedData = isDynamicallyLoadedData; Cache = new SecurityCache(); Exchange = new SecurityExchange(exchangeHours); DataFilter = new SecurityDataFilter(); PortfolioModel = new SecurityPortfolioModel(); TransactionModel = new SecurityTransactionModel(); MarginModel = new SecurityMarginModel(leverage); Holdings = new SecurityHolding(this); }
public void PerformsMarketFillBuy() { var model = new SecurityTransactionModel(); var order = new MarketOrder(Symbols.SPY, 100, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m)); var fill = model.MarketFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Price, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
/// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(SubscriptionDataConfig config, decimal leverage, bool isDynamicallyLoadedData = false) { _config = config; _symbol = config.Symbol; _isDynamicallyLoadedData = isDynamicallyLoadedData; Cache = new SecurityCache(); Exchange = new SecurityExchange(); DataFilter = new SecurityDataFilter(); PortfolioModel = new SecurityPortfolioModel(); TransactionModel = new SecurityTransactionModel(); MarginModel = new SecurityMarginModel(leverage); Holdings = new SecurityHolding(this); }
public void PerformsLimitFillBuy() { var model = new SecurityTransactionModel(); var order = new LimitOrder(Symbols.SPY, 100, 101.5m, Noon); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Min(order.LimitPrice, security.High), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
public void PerformsStopMarketFillBuy() { var model = new SecurityTransactionModel(); var order = new StopMarketOrder(Symbol, 100, 101.5m, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbol); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetMarketPrice(Noon, new IndicatorDataPoint(Symbol, Noon, 101m)); var fill = model.StopMarketFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(Noon, new IndicatorDataPoint(Symbol, Noon, 102.5m)); fill = model.StopMarketFill(security, order); // this fills worst case scenario, so it's min of asset/stop price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(security.Price, order.StopPrice), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void PerformsMarketOnOpenUsingOpenPrice() { var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open var model = new SecurityTransactionModel(); var order = new MarketOnOpenOrder(Symbol, SecurityType.Equity, 100, reference); var config = CreateTradeBarConfig(Symbol); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1) { Exchange = new EquityExchange(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours()) }; var time = reference; security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnOpenFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market opens after 30min, so this is just before market open time = reference.AddMinutes(29); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnOpenFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market opens after 30min time = reference.AddMinutes(30); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnOpenFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Open, fill.FillPrice); }
public void PerformsMarketOnCloseUsingClosingPrice() { var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close var model = new SecurityTransactionModel(); var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference); var config = CreateTradeBarConfig(Symbol); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1) { Exchange = new EquityExchange(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours()) }; var time = reference; security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes after 60min, so this is just before market Close time = reference.AddMinutes(59); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes time = reference.AddMinutes(60); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100)); while (security.Exchange.ExchangeOpen) { time += TimeSpan.FromTicks(1); security.SetMarketPrice(time, null); } Console.WriteLine("Time: " + time); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Close, fill.FillPrice); }
public void PerformsMarketOnCloseUsingClosingPrice() { var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close var model = new SecurityTransactionModel(); var order = new MarketOnCloseOrder(Symbols.SPY, 100, reference); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); var time = reference; TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes after 60min, so this is just before market Close time = reference.AddMinutes(59); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes time = reference.AddMinutes(60); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Close, fill.FillPrice); }
public void PerformsStopLimitFillSell() { var model = new SecurityTransactionModel(); var order = new StopLimitOrder(Symbols.SPY, -100, 101.75m, 101.50m, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m)); var fill = model.StopLimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m)); fill = model.StopLimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.66m)); fill = model.StopLimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(order.LimitPrice, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
public void PerformsMarketOnCloseUsingClosingPrice() { var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close var model = new SecurityTransactionModel(); var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference, 1m); var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0); var security = new Security(config, 1) { Exchange = new EquityExchange() }; var time = reference; security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes after 60min, so this is just before market Close time = reference.AddMinutes(59); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes time = reference.AddMinutes(60); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Close, fill.FillPrice); }
public void PerformsMarketFillBuy() { var model = new SecurityTransactionModel(); var order = new MarketOrder(Symbol, 100, DateTime.Now, type: SecurityType.Equity); var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0); var security = new Security(config, 1); security.SetMarketPrice(DateTime.Now, new IndicatorDataPoint(Symbol, DateTime.Now, 101.123m)); var fill = model.MarketFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Price, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
/******************************************************** * CONSTRUCTOR/DELEGATE DEFINITIONS *********************************************************/ /// <summary> /// Construct a new security vehicle based on the user options. /// </summary> public Security(string symbol, SecurityType type, Resolution resolution, bool fillDataForward, decimal leverage, bool extendedMarketHours, bool isDynamicallyLoadedData = false) { //Set Basics: _symbol = symbol; _type = type; _resolution = resolution; _isFillDataForward = fillDataForward; _leverage = leverage; _isExtendedMarketHours = extendedMarketHours; _isDynamicallyLoadedData = isDynamicallyLoadedData; //Setup Transaction Model for this Asset switch (type) { case SecurityType.Equity: Model = new EquityTransactionModel(); DataFilter = new EquityDataFilter(); break; case SecurityType.Forex: Model = new ForexTransactionModel(); DataFilter = new ForexDataFilter(); break; case SecurityType.Base: Model = new SecurityTransactionModel(); DataFilter = new SecurityDataFilter(); break; } //Holdings for new Vehicle: Cache = new SecurityCache(); Holdings = new SecurityHolding(symbol, type, Model); Exchange = new SecurityExchange(); }