public void CanUpdateOrderTest()
{
BrokerageMessageEvent message;
Assert.AreEqual(false, _unit.CanUpdateOrder(GDAXTestsHelpers.GetSecurity(), Mock.Of <QuantConnect.Orders.Order>(),
new QuantConnect.Orders.UpdateOrderRequest(DateTime.UtcNow, 1, new QuantConnect.Orders.UpdateOrderFields()), out message));
}
public void FeeModelReturnsCorrectOrderFeeForMakerLimitOrdersMinuteResolution()
{
var time = new DateTime(2018, 4, 10);
var security = GDAXTestsHelpers.GetSecurity();
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new TradeBar {
Symbol = security.Symbol, Close = 5000m, EndTime = time.AddSeconds(75)
});
var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
security, new LimitOrder(security.Symbol, 1, 4999.99m, time)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
}));
Assert.AreEqual(0, orderFee.Value.Amount);
Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
security, new LimitOrder(security.Symbol, -1, 5000.01m, time)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
}));
Assert.AreEqual(0, orderFee.Value.Amount);
Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
}
public void FeeModelReturnsCorrectOrderFeeForTakerLimitOrdersMinuteResolution()
{
var time = new DateTime(2018, 4, 10);
var security = GDAXTestsHelpers.GetSecurity();
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new TradeBar {
Symbol = security.Symbol, Close = 5000m, EndTime = time.AddMinutes(1)
});
var orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5000m, time)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(15m, orderFee);
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5050m, time)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(15m, orderFee);
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, -1, 4950m, time)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(15m, orderFee);
}
public void FeeModelReturnsCorrectOrderFeeForTakerLimitOrdersTickResolution()
{
var security = GDAXTestsHelpers.GetSecurity(resolution: Resolution.Tick);
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new Tick {
Symbol = security.Symbol, Value = 5000m
});
var orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5000.01m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
// marketable buy limit fill at 5000
Assert.AreEqual(15m, orderFee);
security.SetMarketPrice(new Tick {
Symbol = security.Symbol, BidPrice = 5000m, AskPrice = 5000.01m, TickType = TickType.Quote
});
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5000.01m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
// marketable buy limit fill at 5000.01
Assert.AreEqual(15.00003m, orderFee);
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, -1, 5000m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
// marketable sell limit fill at 5000
Assert.AreEqual(15m, orderFee);
}
public void FeeModelReturnsCorrectOrderFeeForMakerLimitOrdersTickResolution()
{
var security = GDAXTestsHelpers.GetSecurity(resolution: Resolution.Tick);
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new Tick {
Symbol = security.Symbol, Value = 5000m
});
var orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 4999.99m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(0, orderFee);
security.SetMarketPrice(new Tick {
Symbol = security.Symbol, BidPrice = 5000m, AskPrice = 5000.01m
});
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5000m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(0, orderFee);
orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, -1, 5000.01m, DateTime.MinValue)
{
OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
});
Assert.AreEqual(0, orderFee);
}
public void CanSubmit_CertainOrderTypes(OrderType orderType, bool isValidOrderType)
{
BrokerageMessageEvent message;
var security = GDAXTestsHelpers.GetSecurity();
var order = Order.CreateOrder(new SubmitOrderRequest(orderType, SecurityType.Crypto, security.Symbol, 10.0m, 1.0m, 10.0m, DateTime.Now, "Test Order"));
Assert.AreEqual(isValidOrderType, _unit.CanSubmitOrder(security, order, out message));
}
public void CanOnlySubmitCryptoOrders(SecurityType securityType, bool isValidSecurityType)
{
BrokerageMessageEvent message;
var order = new Mock <QuantConnect.Orders.Order>();
order.Object.Quantity = 10.0m;
Assert.AreEqual(isValidSecurityType, _unit.CanSubmitOrder(GDAXTestsHelpers.GetSecurity(1.0m, securityType), order.Object, out message));
}
public void CanSubmitOrder_WhenQuantityIsLargeEnough(decimal orderQuantity, bool isValidOrderQuantity)
{
BrokerageMessageEvent message;
var order = new Mock <QuantConnect.Orders.Order>();
order.Object.Quantity = orderQuantity;
Assert.AreEqual(isValidOrderQuantity, _unit.CanSubmitOrder(GDAXTestsHelpers.GetSecurity(), order.Object, out message));
}
public void CanSubmit_CertainOrderTypes(OrderType orderType, int year, int month, int day, int hour, int minute, int second, bool isValidOrderType)
{
var utcTime = new DateTime(year, month, day, hour, minute, second);
BrokerageMessageEvent message;
var security = GDAXTestsHelpers.GetSecurity();
var order = Order.CreateOrder(new SubmitOrderRequest(orderType, SecurityType.Crypto, security.Symbol, 10.0m, 1.0m, 10.0m, utcTime, "Test Order"));
Assert.AreEqual(isValidOrderType, _unit.CanSubmitOrder(security, order, out message));
}
public void FeeModelReturnsCorrectOrderFeeForMakerOrder()
{
var security = GDAXTestsHelpers.GetSecurity();
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new TradeBar {
Symbol = security.Symbol, Close = 5000m
});
var orderFee = security.FeeModel.GetOrderFee(security, new LimitOrder(security.Symbol, 1, 5000m, DateTime.MinValue));
Assert.AreEqual(0, orderFee);
}
public void CanSubmitOrderTest(bool isUpdate)
{
BrokerageMessageEvent message;
var order = new Mock <QuantConnect.Orders.Order>();
if (isUpdate)
{
order.Object.BrokerId = new List <string>()
{
"abc123"
};
}
Assert.AreEqual(!isUpdate, _unit.CanSubmitOrder(GDAXTestsHelpers.GetSecurity(), order.Object, out message));
}
public void FeeModelReturnsCorrectOrderFeeForTakerMarketOrder()
{
var security = GDAXTestsHelpers.GetSecurity();
security.FeeModel = new GDAXFeeModel();
security.SetMarketPrice(new TradeBar {
Symbol = security.Symbol, Close = 5000m
});
var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.MinValue)));
Assert.AreEqual(15m, orderFee.Value.Amount);
Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
}
public void GetFeeModelTest()
{
Assert.IsInstanceOf <GDAXFeeModel>(_unit.GetFeeModel(GDAXTestsHelpers.GetSecurity()));
}
public void GetLeverageTest()
{
Assert.AreEqual(3, _unit.GetLeverage(GDAXTestsHelpers.GetSecurity()));
}
public void GetBuyingPowerModelTest()
{
Assert.IsInstanceOf <CashBuyingPowerModel>(_unit.GetBuyingPowerModel(GDAXTestsHelpers.GetSecurity()));
}
