public void AlphaStreamsSlippageModel_ForexTest()
{
var model = new AlphaStreamsSlippageModel();
var expected = 0;
var actual = model.GetSlippageApproximation(_forex, _forexBuyOrder);
Assert.AreEqual(expected, actual);
}
public void AlphaStreamsSlippageModel_EquityTest()
{
decimal slippagePercent = 0.001m;
var model = new AlphaStreamsSlippageModel();
var expected = _equity.Price * slippagePercent;
var actual = model.GetSlippageApproximation(_equity, _equityBuyOrder);
Assert.AreEqual(expected, actual);
}
public void AlphaStreamsSlippageModel_HardCodedEquityTest()
{
Symbol symbol = Symbol.Create("DGAZ", SecurityType.Equity, Market.USA);
Equity equity = new Equity(
symbol,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 100m, 100m, 100m, 100m, 1));
Order equityBuyOrder = new MarketOrder(symbol, 1, DateTime.Now);
var model = new AlphaStreamsSlippageModel();
var actual = model.GetSlippageApproximation(equity, equityBuyOrder);
Assert.AreEqual(0.135m, actual);
}