public void MinuteResolutionSelectedForFuturesOptions()
{
const int periods = 5;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.Chicago);
var timeKeeper = new TimeKeeper(referenceUtc);
var underlyingSymbol = Symbol.Create("ES", SecurityType.Future, Market.CME);
var futureOption = Symbol.CreateOption(
underlyingSymbol,
Market.CME,
OptionStyle.American,
OptionRight.Call,
0,
SecurityIdentifier.DefaultDate);
var underlyingConfig = new SubscriptionDataConfig(typeof(TradeBar), underlyingSymbol, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var futureOptionConfig = new SubscriptionDataConfig(typeof(TradeBar), futureOption, Resolution.Minute, TimeZones.Chicago, TimeZones.Chicago, true, false, false);
var underlyingSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
underlyingConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
var futureOptionSecurity = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.Chicago),
futureOptionConfig,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
underlyingSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
futureOptionSecurity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.Chicago));
var mock = new MockSubscriptionDataConfigProvider();
mock.SubscriptionDataConfigs.Add(underlyingConfig);
mock.SubscriptionDataConfigs.Add(futureOptionConfig);
var model = new StandardDeviationOfReturnsVolatilityModel(periods, Resolution.Minute, TimeSpan.FromMinutes(1));
model.SetSubscriptionDataConfigProvider(mock);
var futureHistoryRequirements = model.GetHistoryRequirements(underlyingSecurity, referenceUtc);
var optionHistoryRequirements = model.GetHistoryRequirements(futureOptionSecurity, referenceUtc);
Assert.IsTrue(futureHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
Assert.IsTrue(optionHistoryRequirements.All(x => x.Resolution == Resolution.Minute));
}
public void PriceReturnsQuoteBarsIfPresent(OrderDirection orderDirection, decimal expected)
{
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 configTradeBar = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
configQuoteBar,
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);
var quoteBar = new QuoteBar(time, symbol,
new Bar(10, 15, 5, 11),
100,
new Bar(20, 25, 15, 21),
100);
security.SetMarketPrice(quoteBar);
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
var testFillModel = new TestFillModel();
testFillModel.SetParameters(new FillModelParameters(security,
null,
configProvider,
TimeSpan.FromDays(1)));
var result = testFillModel.GetPricesPublic(security, orderDirection);
Assert.AreEqual(expected, result.Close);
}
public void GetHistoryRequirementsWorksForTwoDifferentSubscriptions()
{
const int periods = 3;
var reference = new DateTime(2016, 04, 06, 12, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
var security = new Security(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
config,
new Cash(Currencies.USD, 0, 0),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var model = new StandardDeviationOfReturnsVolatilityModel(periods);
var mock = new MockSubscriptionDataConfigProvider(config);
mock.SubscriptionDataConfigs.Add(
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Second,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
false,
true));
model.SetSubscriptionDataConfigProvider(mock);
var result = model.GetHistoryRequirements(security, DateTime.UtcNow).First();
Assert.AreEqual(config.DataNormalizationMode, result.DataNormalizationMode);
Assert.AreEqual(config.Symbol, result.Symbol);
Assert.AreEqual(config.DataTimeZone, result.DataTimeZone);
Assert.AreEqual(true, result.IsCustomData);
Assert.AreEqual(true, result.FillForwardResolution != null);
Assert.AreEqual(true, result.IncludeExtendedMarketHours);
// the StandardDeviationOfReturnsVolatilityModel always uses daily
Assert.AreEqual(Resolution.Daily, result.Resolution);
}
public void PerformsLimitIfTouchedFillSell()
{
var model = new ImmediateFillModel();
var order = new LimitIfTouchedOrder(Symbols.SPY, -100, 101.5m, 105m, Noon);
var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
configTradeBar,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
// Sets price at time zero
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 90m, 90m, 100));
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
var fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => trigger touched but not limit
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 102m, 102m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(101m, 102m, 100m, 100m), 100, // Bid bar
new Bar(103m, 104m, 102m, 102m), 100) // Ask bar
);
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => limit reached, holdings sold
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 103m, 108m, 103m, 105m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(103m, 106m, 103m, 105m), 100, // Bid bar
new Bar(103m, 108m, 103m, 105m), 100) // Ask bar
);
fill = model.LimitIfTouchedFill(security, order);
// this fills worst case scenario
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(order.LimitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
