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 PerformsLimitFillBuy() { 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, 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(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.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 PerformsLimitFillBuy() { 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, 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(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.Min(order.LimitPrice, security.High), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
/// <summary> /// Seed the security /// </summary> /// <param name="security"><see cref="Security"/> being seeded</param> /// <returns>true if the security was seeded, false otherwise</returns> public bool SeedSecurity(Security security) { try { // Do not seed canonical symbols if (!security.Symbol.IsCanonical()) { var gotData = false; foreach (var seedData in _seedFunction(security)) { gotData = true; security.SetMarketPrice(seedData); Log.Debug($"FuncSecuritySeeder.SeedSecurity(): Seeded security: {seedData.Symbol.Value}: {seedData.GetType()} {seedData.Value}"); } if (!gotData) { Log.Trace($"FuncSecuritySeeder.SeedSecurity(): Unable to seed security: {security.Symbol.Value}"); return(false); } } } catch (Exception exception) { Log.Trace($"FuncSecuritySeeder.SeedSecurity(): Could not seed price for security {security.Symbol}: {exception}"); return(false); } return(true); }
/// <summary> /// Seed the security /// </summary> /// <param name="security"><see cref="Security"/> being seeded</param> /// <returns>true if the security was seeded, false otherwise</returns> public bool SeedSecurity(Security security) { try { // Do not seed canonical symbols if (!security.Symbol.IsCanonical()) { var seedData = _seedFunction(security); if (seedData != null) { security.SetMarketPrice(seedData); Log.Debug($"FuncSecuritySeeder.SeedSecurity(): Seeded security: {seedData.Symbol.Value}: {seedData.Value}"); } else { Log.Trace($"FuncSecuritySeeder.SeedSecurity(): Unable to seed security: {security.Symbol.Value}"); return(false); } } } catch (Exception exception) { Log.Trace($"FuncSecuritySeeder.SeedSecurity(): Could not seed price for security {security.Symbol}: {exception}"); return(false); } return(true); }
/// <summary> /// Initializes the specified security by setting up the models /// </summary> /// <param name="security">The security to be initialized</param> /// <param name="seedSecurity">True to seed the security, false otherwise</param> public virtual void Initialize(Security security, bool seedSecurity) { // set leverage and models security.SetLeverage(_brokerageModel.GetLeverage(security)); security.FillModel = _brokerageModel.GetFillModel(security); security.FeeModel = _brokerageModel.GetFeeModel(security); security.SlippageModel = _brokerageModel.GetSlippageModel(security); security.SettlementModel = _brokerageModel.GetSettlementModel(security, _brokerageModel.AccountType); if (seedSecurity) { // Do not seed canonical symbols if (!security.Symbol.IsCanonical()) { BaseData seedData = _securitySeeder.GetSeedData(security); if (seedData != null) { security.SetMarketPrice(seedData); Log.Trace("BrokerageModelSecurityInitializer.Initialize(): Seeded security: " + seedData.Symbol.Value + ": " + seedData.Value); } else { Log.Trace("BrokerageModelSecurityInitializer.Initialize(): Unable to seed security: " + security.Symbol.Value); } } } }
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 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); }
/// <summary> /// Initializes the specified security by setting up the models /// </summary> /// <param name="security">The security to be initialized</param> public virtual void Initialize(Security security) { // set leverage and models security.SetLeverage(_brokerageModel.GetLeverage(security)); security.FillModel = _brokerageModel.GetFillModel(security); security.FeeModel = _brokerageModel.GetFeeModel(security); security.SlippageModel = _brokerageModel.GetSlippageModel(security); security.SettlementModel = _brokerageModel.GetSettlementModel(security, _brokerageModel.AccountType); BaseData seedData = _securitySeeder.GetSeedData(security); if (seedData != null) { security.SetMarketPrice(seedData); } }
/// <summary> /// Initializes the specified security by setting up the models /// </summary> /// <param name="security">The security to be initialized</param> public virtual void Initialize(Security security) { // set leverage and models security.SetLeverage(_brokerageModel.GetLeverage(security)); security.FillModel = _brokerageModel.GetFillModel(security); security.FeeModel = _brokerageModel.GetFeeModel(security); security.SlippageModel = _brokerageModel.GetSlippageModel(security); security.SettlementModel = _brokerageModel.GetSettlementModel(security, _brokerageModel.AccountType); BaseData seedData = _securitySeeder.GetSeedData(security); if (seedData != null) { security.SetMarketPrice(seedData); } }
/// <summary> /// Initializes the specified security by setting up the models /// </summary> /// <param name="security">The security to be initialized</param> public virtual void Initialize(Security security) { // set leverage and models security.SetLeverage(_brokerageModel.GetLeverage(security)); security.FillModel = _brokerageModel.GetFillModel(security); security.FeeModel = _brokerageModel.GetFeeModel(security); security.SlippageModel = _brokerageModel.GetSlippageModel(security); security.SettlementModel = _brokerageModel.GetSettlementModel(security, _brokerageModel.AccountType); // Do not seed Options and Futures if (security.Symbol.SecurityType != SecurityType.Option && security.Symbol.SecurityType != SecurityType.Future) { BaseData seedData = _securitySeeder.GetSeedData(security); if (seedData != null) { security.SetMarketPrice(seedData); Log.Trace("BrokerageModelSecurityInitializer.Initialize(): Seeded security: " + seedData.Symbol.Value + ": " + seedData.Value); } else { Log.Trace("BrokerageModelSecurityInitializer.Initialize(): Unable to seed security: " + security.Symbol.Value); } } }
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 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); }
private void Update(Security security, decimal close) { security.SetMarketPrice(new TradeBar { Time = DateTime.Now, Symbol = security.Symbol, Open = close, High = close, Low = close, Close = close }); }
private static DateTime InitializeTest(out BasicTemplateAlgorithm algorithm, out Security security, out PartialMarketFillModel model, out MarketOrder order, out OrderTicket ticket) { var referenceTimeNY = new DateTime(2015, 12, 21, 13, 0, 0); var referenceTimeUtc = referenceTimeNY.ConvertToUtc(TimeZones.NewYork); algorithm = new BasicTemplateAlgorithm(); algorithm.SetDateTime(referenceTimeUtc); var transactionHandler = new BacktestingTransactionHandler(); transactionHandler.Initialize(algorithm, new BacktestingBrokerage(algorithm), new TestResultHandler(Console.WriteLine)); Task.Run(() => transactionHandler.Run()); algorithm.Transactions.SetOrderProcessor(transactionHandler); var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Second, TimeZones.NewYork, TimeZones.NewYork, false, false, false); security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config); model = new PartialMarketFillModel(algorithm.Transactions, 2); algorithm.Securities.Add(security); algorithm.Securities[Symbols.SPY].FillModel = model; security.SetMarketPrice(new Tick { Symbol = Symbols.SPY, Value = 100 }); algorithm.SetFinishedWarmingUp(); order = new MarketOrder(Symbols.SPY, 100, referenceTimeUtc) { Id = 1 }; var request = new SubmitOrderRequest(OrderType.Market, security.Type, security.Symbol, order.Quantity, 0, 0, algorithm.UtcTime, null); ticket = algorithm.Transactions.ProcessRequest(request); return referenceTimeUtc; }
public void PerformsStopMarketFillBuy() { var model = new SecurityTransactionModel(); var order = new StopMarketOrder(Symbols.SPY, 100, 101.5m, 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, 101m)); 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, 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); }
private Security InitializeTest(DateTime reference, out SecurityPortfolioManager portfolio) { var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetMarketPrice(new Tick { Value = 100 }); var timeKeeper = new TimeKeeper(reference); var securityManager = new SecurityManager(timeKeeper); securityManager.Add(security); var transactionManager = new SecurityTransactionManager(securityManager); portfolio = new SecurityPortfolioManager(securityManager, transactionManager); portfolio.SetCash("USD", 100 * 1000m, 1m); Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(100*1000m, portfolio.CashBook[CashBook.AccountCurrency].Amount); return security; }
public void PerformsStopMarketFillSell() { var model = new ForexTransactionModel(); var order = new StopMarketOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex); var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, Symbol, Resolution.Minute, true, true, true, true, false, 0); var security = new Security(config, 1); security.SetMarketPrice(DateTime.Now, 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(DateTime.Now, 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); }
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; }
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 PerformsStopLimitFillSell() { var model = new ForexTransactionModel(); var order = new StopLimitOrder(Symbol, -100, 101.75m, 101.50m, DateTime.Now, type: SecurityType.Forex); var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol); var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1); security.SetMarketPrice(DateTime.Now, new IndicatorDataPoint(Symbol, DateTime.Now, 102m)); var fill = model.StopLimitFill(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 IndicatorDataPoint(Symbol, DateTime.Now, 101m)); fill = model.StopLimitFill(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 IndicatorDataPoint(Symbol, DateTime.Now, 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); Assert.AreEqual(OrderStatus.Filled, order.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 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 TestCashFills() { // this test asserts the portfolio behaves according to the Test_Cash algo, see TestData\CashTestingStrategy.csv // also "https://www.dropbox.com/s/oiliumoyqqj1ovl/2013-cash.csv?dl=1" const string fillsFile = "TestData\\test_cash_fills.xml"; const string equityFile = "TestData\\test_cash_equity.xml"; var fills = XDocument.Load(fillsFile).Descendants("OrderEvent").Select(x => new OrderEvent( x.Get<int>("OrderId"), SymbolMap[x.Get<string>("Symbol")], DateTime.MinValue, x.Get<OrderStatus>("Status"), x.Get<int>("FillQuantity") < 0 ? OrderDirection.Sell : x.Get<int>("FillQuantity") > 0 ? OrderDirection.Buy : OrderDirection.Hold, x.Get<decimal>("FillPrice"), x.Get<int>("FillQuantity"), 0m) ).ToList(); var equity = XDocument.Load(equityFile).Descendants("decimal") .Select(x => decimal.Parse(x.Value, CultureInfo.InvariantCulture)) .ToList(); Assert.AreEqual(fills.Count + 1, equity.Count); // we're going to process fills and very our equity after each fill var subscriptions = new SubscriptionManager(TimeKeeper); var securities = new SecurityManager(TimeKeeper); var security = new Security(SecurityExchangeHours, subscriptions.Add(CASH, Resolution.Daily, TimeZones.NewYork, TimeZones.NewYork), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetLeverage(10m); securities.Add(CASH, security); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(equity[0]); for (int i = 0; i < fills.Count; i++) { // before processing the fill we must deduct the cost var fill = fills[i]; var time = DateTime.Today.AddDays(i); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); // the value of 'CASH' increments for each fill, the original test algo did this monthly // the time doesn't really matter though security.SetMarketPrice(new IndicatorDataPoint(CASH, time, i + 1)); portfolio.ProcessFill(fill); Assert.AreEqual(equity[i + 1], portfolio.TotalPortfolioValue, "Failed on " + i); } }
public void PerformsStopMarketFillSell() { 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, 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(Noon, new IndicatorDataPoint(Symbol, 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); 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 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); }
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 UpdatingSecurityPriceTests() { var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), CreateTradeBarConfig()); // Update securuty price with a TradeBar security.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 101m, 103m, 100m, 102m, 100000)); Assert.AreEqual(101m, security.Open); Assert.AreEqual(103m, security.High); Assert.AreEqual(100m, security.Low); Assert.AreEqual(102m, security.Close); Assert.AreEqual(100000, security.Volume); // Update security price with a tick with higher prices security.SetMarketPrice(new Tick(DateTime.Now, Symbols.SPY, 104m, 104m, 104m)); Assert.AreEqual(104m, security.High); Assert.AreEqual(104m, security.Close); // Update security price with a tick with lower prices security.SetMarketPrice(new Tick(DateTime.Now, Symbols.SPY, 99m, 99m, 99m)); Assert.AreEqual(99m, security.Low); Assert.AreEqual(99m, security.Close); }