public void PerformsLimitFillSell()
{
var model = new ForexTransactionModel();
var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(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(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 PerformsLimitFillBuy()
{
var model = new EquityTransactionModel();
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.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbol, Noon, 102m));
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(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.Min(order.LimitPrice, security.High), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(OrderStatus.Filled, order.Status);
}
public void UpdatesAfterCorrectPeriodElapses()
{
const int periods = 3;
var periodSpan = Time.OneMinute;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof (TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
security.VolatilityModel = model;
var first = new IndicatorDataPoint(reference, 1);
security.SetMarketPrice(first);
Assert.AreEqual(0m, model.Volatility);
const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
security.SetMarketPrice(second);
Assert.AreEqual(value, model.Volatility);
// update should not be applied since not enough time has passed
var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
security.SetMarketPrice(third);
Assert.AreEqual(value, model.Volatility);
var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
security.SetMarketPrice(fourth);
Assert.AreEqual(0.5m, model.Volatility);
}
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);
}
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);
}
public void PerformsStopMarketFillSell()
{
var model = new ForexTransactionModel();
var order = new StopMarketOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 102m));
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(new IndicatorDataPoint(Symbol, DateTime.Now, 101m));
fill = model.StopMarketFill(security, order);
var slip = model.GetSlippageApproximation(security, order);
// this fills worst case scenario, so it's min of asset/stop price
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(Math.Min(security.Price - slip, order.StopPrice), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(OrderStatus.Filled, order.Status);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var order = new MarketOrder(Symbol, -100, DateTime.Now, type: SecurityType.Forex);
var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101.123m));
var fill = model.MarketFill(security, order);
var slip = model.GetSlippageApproximation(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price - slip, 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(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, 101m));
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.Max(order.LimitPrice, security.Low), 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(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 PerformsMarketOnOpenUsingOpenPrice()
{
var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
var model = new SecurityTransactionModel();
var order = new MarketOnOpenOrder(Symbols.SPY, SecurityType.Equity, 100, reference);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
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.MarketOnOpenFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market opens after 30min, so this is just before market open
time = reference.AddMinutes(29);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 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);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 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 PerformsStopMarketFillSell()
{
var model = new SecurityTransactionModel();
var order = new StopMarketOrder(Symbols.SPY, -100, 101.5m, 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.StopMarketFill(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.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.Min(security.Price, order.StopPrice), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
private static Security CreateSecurity(DateTime newLocalTime)
{
var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
return security;
}
public void PerformsStopLimitFillBuy()
{
var model = new SecurityTransactionModel();
var order = new StopLimitOrder(Symbols.SPY, 100, 101.5m, 101.75m, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 100m));
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, 102m));
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);
}
private static Security CreateSecurity(DateTime newLocalTime)
{
var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig());
security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
return security;
}