public void CalculateOrderFeeForLongOrShortFutures(int quantity)
{
var tz = TimeZones.NewYork;
var security = new Future(Symbols.Fut_SPY_Feb19_2016,
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("USD", 0, 0),
SymbolProperties.GetDefault("USD"),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
}
public void CalculateOrderFeeForCfd()
{
var tz = TimeZones.NewYork;
var security = new Cfd(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("EUR", 0, 0),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m, string.Empty),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));
var feeModel = new AlphaStreamsFeeModel();
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
Assert.AreEqual(0, fee.Value.Amount);
}
public void ReturnsFeeInQuoteCurrencyInOtherCurrency()
{
Crypto btceur = new Crypto(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash("EUR", 0, 10),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false),
new SymbolProperties("BTCEUR", "EUR", 1, 0.01m, 0.00000001m, string.Empty),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
btceur.SetMarketPrice(new Tick(DateTime.UtcNow, btceur.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
btceur,
new MarketOrder(btceur.Symbol, 1, DateTime.UtcNow)
)
);
Assert.AreEqual("EUR", fee.Value.Currency);
Assert.AreEqual(0.2m, fee.Value.Amount);
}
public void CalculateOrderFeeForLongOrShortForexNonUsd(int quantity)
{
var conversionRate = 1.2m;
var tz = TimeZones.NewYork;
var security = new Forex(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("GBP", 0, conversionRate),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("EURGBP", "GBP", 1, 0.01m, 0.00000001m, string.Empty),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(0.000002m * security.Price * Math.Abs(quantity) * conversionRate, fee.Value.Amount);
}
public void GetOrderFeeThrowsForUnsupportedSecurityType()
{
Assert.Throws <ArgumentException>(
() =>
{
var tz = TimeZones.NewYork;
var security = new Cfd(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("EUR", 0, 0),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));
var feeModel = new AlphaStreamsFeeModel();
feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
});
}
public void CalculateEquityFeeInUSD()
{
var feeModel = new AlphaStreamsFeeModel();
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1000, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(5m, fee.Value.Amount);
}
public void CalculateOrderFeeForLongOrShortEquity(int quantity)
{
var security = SecurityTests.GetSecurity();
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
var expected = 0m * security.Price * quantity;
Assert.AreEqual(expected, fee.Value.Amount);
}
public void GetMinimumOrderFeeForLongOrShortOptions(int quantity)
{
var tz = TimeZones.NewYork;
var security = new Option(Symbols.SPY_C_192_Feb19_2016,
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("USD", 0, 0),
new OptionSymbolProperties(SymbolProperties.GetDefault("USD")),
ErrorCurrencyConverter.Instance
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var parameters = new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
);
var fee = feeModel.GetOrderFee(parameters);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
}
