public void PerformsLimitFillSell()
{
var model = new ForexTransactionModel();
var order = new LimitOrder(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, 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 ForexTransactionModel();
var order = new LimitOrder(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, 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 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 PerformsStopLimitFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new StopLimitOrder(Symbols.USDJPY, -100, 101.75m, 101.50m, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, DateTime.Now, 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.USDJPY, 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);
}
public void PerformsLimitFillBuy()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new LimitOrder(Symbol, 100, 101.5m, DateTime.Now, type: SecurityType.Forex);
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);
}
public void PerformsStopMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new StopMarketOrder(Symbols.USDJPY, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
}
public void PerformsStopMarketFillBuy()
{
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, 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(new IndicatorDataPoint(Symbol, DateTime.Now, 102.5m));
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.Max(security.Price + slip, order.StopPrice), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(OrderStatus.Filled, order.Status);
}
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);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new MarketOrder(Symbols.USDJPY, -100, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new MarketOrder(Symbols.USDJPY, -100, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var order = new MarketOrder(Symbol, -100, 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, 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 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 PerformsLimitFillBuy()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new LimitOrder(Symbols.USDJPY, 100, 101.5m, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
security.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.USDJPY, 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 PerformsStopLimitFillBuy()
{
var model = new ForexTransactionModel();
var order = new StopLimitOrder(Symbol, 100, 101.5m, 101.75m, 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, 100m));
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(new IndicatorDataPoint(Symbol, DateTime.Now, 102m));
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(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);
}
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);
}
/********************************************************
* 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();
}
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.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);
}
public void PerformsStopLimitFillBuy()
{
var model = new ForexTransactionModel();
var order = new StopLimitOrder(Symbol, 100, 101.5m, 101.75m, 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, 100m));
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, 102m));
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);
}
public void PerformsStopMarketFillBuy()
{
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, 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(DateTime.Now, new IndicatorDataPoint(Symbol, DateTime.Now, 102.5m));
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.Max(security.Price + slip, order.StopPrice), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(OrderStatus.Filled, order.Status);
}
public void PerformsStopLimitFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new StopLimitOrder(Symbol, -100, 101.75m, 101.50m, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(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);
security.SetMarketPrice(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);
security.SetMarketPrice(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);
}
public void PerformsStopMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new StopMarketOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
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);
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);
}
public void PerformsMarketFillBuy()
{
var model = new ForexTransactionModel();
var order = new MarketOrder(Symbol, 100, 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, 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);
}
