public void OrderQuantityIsCeiledToNearestMultipleOfLotSizeWhenShortOrderIsRounded()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, -1600, 0, 0, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// Assert
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
// -1600 after round off becomes -1000
Assert.AreEqual(-1000, orderTicket.Quantity);
}
/// <summary>
/// Get an instance of the transaction handler set by the task.
/// </summary>
/// <param name="algorithm">Algorithm instance</param>
/// <param name="job">Algorithm job packet</param>
/// <param name="brokerage">Brokerage instance to avoid access token duplication</param>
/// <param name="results">Results array for sending order events.</param>
/// <returns>Class matching ITransactionHandler interface</returns>
private static ITransactionHandler GetTransactionHandler(IAlgorithm algorithm, IBrokerage brokerage, IResultHandler results, AlgorithmNodePacket job)
{
ITransactionHandler th;
switch (job.TransactionEndpoint)
{
case TransactionHandlerEndpoint.Brokerage:
th = new BrokerageTransactionHandler(algorithm, brokerage);
Log.Trace("Engine.GetTransactionHandler(): Selected Brokerage Transaction Models.");
break;
//Operation from local files:
default:
th = new BacktestingTransactionHandler(algorithm, brokerage as BacktestingBrokerage);
Log.Trace("Engine.GetTransactionHandler(): Selected Backtesting Transaction Models.");
break;
}
return th;
}
public void StopMarketOrderPriceIsRounded()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var price = 1.12129m;
security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, price, price, price));
var orderRequest = new SubmitOrderRequest(OrderType.StopMarket, security.Type, security.Symbol, 1600, 1.12131212m, 1.12131212m, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// Assert
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsSuccess);
Assert.IsTrue(orderTicket.Status == OrderStatus.Submitted);
// 1600 after round off becomes 1000
Assert.AreEqual(1000, orderTicket.Quantity);
// 1.12131212 after round becomes 1.12131
Assert.AreEqual(1.12131m, orderTicket.Get(OrderField.StopPrice));
}
public void OrderIsNotPlacedWhenOrderIsLowerThanLotSize()
{
//Initializes the transaction handler
var transactionHandler = new BrokerageTransactionHandler();
transactionHandler.Initialize(_algorithm, new BacktestingBrokerage(_algorithm), new BacktestingResultHandler());
// Creates the order
var security = _algorithm.Securities[Ticker];
var orderRequest = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, 600, 0, 0, DateTime.Now, "");
// Mock the the order processor
var orderProcessorMock = new Mock<IOrderProcessor>();
orderProcessorMock.Setup(m => m.GetOrderTicket(It.IsAny<int>())).Returns(new OrderTicket(_algorithm.Transactions, orderRequest));
_algorithm.Transactions.SetOrderProcessor(orderProcessorMock.Object);
// Act
var orderTicket = transactionHandler.Process(orderRequest);
Assert.IsTrue(orderTicket.Status == OrderStatus.New);
transactionHandler.HandleOrderRequest(orderRequest);
// 600 after round off becomes 0 -> order is not placed
Assert.IsTrue(orderRequest.Response.IsProcessed);
Assert.IsTrue(orderRequest.Response.IsError);
Assert.IsTrue(orderTicket.Status == OrderStatus.Invalid);
}
