public void MalformedContractSymbolCreatesFutureContract(string symbol)
{
var malformedContract = new Contract
{
IncludeExpired = false,
Currency = "USD",
Symbol = symbol,
SecType = IB.SecurityType.Future
};
var expectedContract = new Contract
{
Symbol = "ES",
LastTradeDateOrContractMonth = "20210319",
SecType = IB.SecurityType.Future,
IncludeExpired = false,
Currency = "USD"
};
var mapper = new InteractiveBrokersSymbolMapper(new LocalDiskMapFileProvider());
var actualContract = mapper.ParseMalformedContractFutureSymbol(malformedContract, SymbolPropertiesDatabase.FromDataFolder());
Assert.AreEqual(expectedContract.Symbol, actualContract.Symbol);
Assert.AreEqual(expectedContract.Multiplier, actualContract.Multiplier);
Assert.AreEqual(expectedContract.LastTradeDateOrContractMonth, actualContract.LastTradeDateOrContractMonth);
Assert.AreEqual(expectedContract.Right, actualContract.Right);
Assert.AreEqual(expectedContract.Strike, actualContract.Strike);
Assert.AreEqual(expectedContract.Exchange, actualContract.Exchange);
Assert.AreEqual(expectedContract.SecType, actualContract.SecType);
Assert.AreEqual(expectedContract.IncludeExpired, actualContract.IncludeExpired);
Assert.AreEqual(expectedContract.Currency, actualContract.Currency);
}
public void MapCorrectBrokerageSymbol(string ticker, string ibSymbol)
{
var mapper = new InteractiveBrokersSymbolMapper(new LocalDiskMapFileProvider());
var symbol = Symbol.Create(ticker, SecurityType.Equity, Market.USA);
var brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual(ibSymbol, brokerageSymbol);
}
public void FuturesOptionsWithUnderlyingContractMonthMappedByRuleResolvesUnderlyingGetLeanSymbol(int year, int month, int day)
{
var futuresChainProvider = new BacktestingFutureChainProvider(TestGlobals.DataProvider);
var mapper = new InteractiveBrokersSymbolMapper(TestGlobals.MapFileProvider);
var expectedUnderlyingSymbol = Symbol.CreateFuture("GC", Market.COMEX, new DateTime(2021, 4, 28));
var futureOption = mapper.GetLeanSymbol("OG", SecurityType.FutureOption, Market.COMEX, new DateTime(year, month, day));
Assert.AreEqual(expectedUnderlyingSymbol, futureOption.Underlying);
}
public void ReturnsCorrectBrokerageSymbol()
{
var mapper = new InteractiveBrokersSymbolMapper();
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
var brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("EURUSD", brokerageSymbol);
symbol = Symbol.Create("AAPL", SecurityType.Equity, Market.USA);
brokerageSymbol = mapper.GetBrokerageSymbol(symbol);
Assert.AreEqual("AAPL", brokerageSymbol);
}
public void ReturnsCorrectLeanSymbol()
{
var mapper = new InteractiveBrokersSymbolMapper();
var symbol = mapper.GetLeanSymbol("EURUSD", SecurityType.Forex, Market.FXCM);
Assert.AreEqual("EURUSD", symbol.Value);
Assert.AreEqual(SecurityType.Forex, symbol.ID.SecurityType);
Assert.AreEqual(Market.FXCM, symbol.ID.Market);
symbol = mapper.GetLeanSymbol("AAPL", SecurityType.Equity, Market.USA);
Assert.AreEqual("AAPL", symbol.Value);
Assert.AreEqual(SecurityType.Equity, symbol.ID.SecurityType);
Assert.AreEqual(Market.USA, symbol.ID.Market);
}
public void ThrowsOnNullOrEmptyOrInvalidSymbol()
{
var mapper = new InteractiveBrokersSymbolMapper(new LocalDiskMapFileProvider());
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol(null, SecurityType.Forex, Market.FXCM));
Assert.Throws <ArgumentException>(() => mapper.GetLeanSymbol("", SecurityType.Forex, Market.FXCM));
var symbol = Symbol.Empty;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = null;
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
symbol = Symbol.Create("ABC_XYZ", SecurityType.Forex, Market.FXCM);
Assert.Throws <ArgumentException>(() => mapper.GetBrokerageSymbol(symbol));
}
public void MalformedContractSymbolCreatesOptionContract(string symbol)
{
var malformedContract = new Contract
{
IncludeExpired = false,
Currency = "USD",
Multiplier = "100",
Symbol = symbol,
SecType = IB.SecurityType.Option,
};
var expectedContract = new Contract
{
Symbol = "SPY",
Multiplier = "100",
LastTradeDateOrContractMonth = "20210618",
Right = IB.RightType.Put,
Strike = 345.0,
Exchange = "Smart",
SecType = IB.SecurityType.Option,
IncludeExpired = false,
Currency = "USD"
};
var actualContract = InteractiveBrokersSymbolMapper.ParseMalformedContractOptionSymbol(malformedContract);
Assert.AreEqual(expectedContract.Symbol, actualContract.Symbol);
Assert.AreEqual(expectedContract.Multiplier, actualContract.Multiplier);
Assert.AreEqual(expectedContract.LastTradeDateOrContractMonth, actualContract.LastTradeDateOrContractMonth);
Assert.AreEqual(expectedContract.Right, actualContract.Right);
Assert.AreEqual(expectedContract.Strike, actualContract.Strike);
Assert.AreEqual(expectedContract.Exchange, actualContract.Exchange);
Assert.AreEqual(expectedContract.SecType, actualContract.SecType);
Assert.AreEqual(expectedContract.IncludeExpired, actualContract.IncludeExpired);
Assert.AreEqual(expectedContract.Currency, actualContract.Currency);
}
public void CreatesExpectedFuturesContracts()
{
var symbolMapper = new InteractiveBrokersSymbolMapper();
using (var ib = new InteractiveBrokersBrokerage(new QCAlgorithm(), new OrderProvider(), new SecurityProvider(), new AggregationManager()))
{
ib.Connect();
Assert.IsTrue(ib.IsConnected);
var ibMarkets = new Dictionary <string, string>
{
{ Market.CME, "GLOBEX" },
{ Market.NYMEX, "NYMEX" },
{ Market.COMEX, "NYMEX" },
{ Market.CBOT, "ECBOT" },
{ Market.ICE, "NYBOT" },
{ Market.CBOE, "CFE" }
};
var tickersByMarket = new Dictionary <string, string[]>
{
{
Market.CBOE,
new[]
{
"VX"
}
},
{
Market.CBOT,
new[]
{
"AW",
//"BCF",
//"BWF",
"EH",
"F1U",
"KE",
"TN",
"UB",
"YM",
"ZB",
"ZC",
"ZF",
"ZL",
"ZM",
"ZN",
"ZO",
"ZS",
"ZT",
"ZW",
}
},
{
Market.CME,
new[]
{
"6A",
"6B",
"6C",
"6E",
"6J",
"6L",
"6M",
"6N",
"6R",
"6S",
"6Z",
//"ACD",
//"AJY",
//"ANE",
"BIO",
"BTC",
"CB",
//"CJY",
//"CNH",
"CSC",
//"DC",
"DY",
"E7",
//"EAD",
//"ECD",
//"EI",
"EMD",
"ES",
//"ESK",
"GD",
"GDK",
"GE",
"GF",
//"GNF",
"HE",
//"IBV",
"J7",
//"LBS",
"LE",
"NKD",
"NQ",
"RTY",
}
},
{
Market.COMEX,
new[]
{
//"AUP",
//"EDP",
"GC",
"HG",
"SI",
}
},
{
Market.ICE,
new[]
{
"B",
"CC",
"CT",
"DX",
"G",
"KC",
"OJ",
"SB",
}
},
{
Market.NYMEX,
new[]
{
//"1S",
//"22",
//"A0D",
//"A0F",
//"A1L",
//"A1M",
//"A1R",
//"A32",
//"A3G",
//"A7E",
//"A7I",
//"A7Q",
//"A8J",
//"A8K",
//"A8O",
//"A91",
//"A9N",
//"AA6",
//"AA8",
//"ABS",
"ABT",
//"AC0",
//"AD0",
//"ADB",
//"AE5",
//"AGA",
//"AJL",
//"AJS",
//"AKL",
//"AKZ",
//"APS",
//"AR0",
"ARE",
//"AVZ",
//"AYV",
//"AYX",
//"AZ1",
//"B0",
//"B7H",
"BK",
//"BOO",
//"BR7",
"BZ",
"CL",
//"CRB",
//"CSW",
"CSX",
//"CU",
//"D1N",
//"DCB",
//"E6",
//"EN",
//"EPN",
//"EVC",
"EWG",
//"EWN",
"EXR",
//"FO",
"FRC",
//"FSS",
//"GCU",
//"HCL",
"HH",
"HO",
"HP",
"HRC",
//"HTT",
"NG",
"PA",
"PL",
"RB",
//"YO",
}
}
};
foreach (var kvp in tickersByMarket)
{
var market = kvp.Key;
var tickers = kvp.Value;
foreach (var ticker in tickers)
{
var contract = new Contract
{
Symbol = symbolMapper.GetBrokerageRootSymbol(ticker),
Currency = Currencies.USD,
Exchange = null,
SecType = "FUT"
};
Log.Trace($"Market: {market} - Future Ticker: {ticker}");
var results = ib.FindContracts(contract, contract.Symbol);
foreach (var contractDetails in results.Where(x => ibMarkets.Values.Contains(x.Contract.Exchange)))
{
var message = $" - ContractDetails: {contractDetails.Contract} {contractDetails.ContractMonth}";
Log.Trace(message);
Assert.AreEqual(ibMarkets[market], contractDetails.Contract.Exchange, message);
}
}
}
}
}
