public void StopLimitOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice, decimal limitPrice) { var time = new DateTime(2018, 9, 24, 9, 30, 0); var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork); var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA); var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false); var security = new Security( SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(Currencies.USD, 0, 1m), SymbolProperties.GetDefault(Currencies.USD), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache() ); security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345); security.SetMarketPrice(tradeBar); time += TimeSpan.FromMinutes(1); timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); var fillForwardBar = (TradeBar)tradeBar.Clone(true); security.SetMarketPrice(fillForwardBar); var fillModel = new EquityFillModel(); var order = new StopLimitOrder(symbol, orderQuantity, stopPrice, limitPrice, time.ConvertToUtc(TimeZones.NewYork)); var fill = fillModel.Fill(new FillModelParameters( security, order, new MockSubscriptionDataConfigProvider(config), Time.OneHour)).OrderEvent; Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); time += TimeSpan.FromMinutes(1); timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345); security.SetMarketPrice(tradeBar); fill = fillModel.StopLimitFill(security, order); Assert.AreEqual(orderQuantity, fill.FillQuantity); Assert.AreEqual(limitPrice, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(0, fill.OrderFee.Value.Amount); }
public void PerformsStopLimitFillSell() { var model = new EquityFillModel(); var order = new StopLimitOrder(Symbols.SPY, -100, 101.75m, 101.50m, Noon); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security( SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(Currencies.USD, 0, 1m), SymbolProperties.GetDefault(Currencies.USD), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache() ); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m)); var fill = model.Fill(new FillModelParameters( security, order, new MockSubscriptionDataConfigProvider(config), Time.OneHour)).OrderEvent; 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.Fill(new FillModelParameters( security, order, new MockSubscriptionDataConfigProvider(config), Time.OneHour)).OrderEvent; 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(security.Low, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }