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);
}
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 PerformsMarketOnCloseUsingClosingPrice()
{
var reference = DateTime.Today.AddHours(15);// 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 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.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 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, 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.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 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);
}
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,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
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);
}
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 PerformsMarketFillSell()
{
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);
}
