public void ReducePositionWithExistingInsight(OrderDirection direction)
{
var insightGenerator = new OrderBasedInsightGenerator();
var holding = new SecurityHolding(_security,
new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? 2 : -2,
OrderFee.Zero
), holding);
Assert.AreEqual(1, insight.Confidence);
Assert.AreEqual(direction == OrderDirection.Buy
? InsightDirection.Up : InsightDirection.Down, insight.Direction);
holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2);
insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? -1 : 1,
OrderFee.Zero
), holding);
Assert.AreEqual(0.5, insight.Confidence);
Assert.AreEqual(direction == OrderDirection.Buy
? InsightDirection.Up : InsightDirection.Down, insight.Direction);
holding.SetHoldings(1, direction == OrderDirection.Buy ? 1 : -1);
insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? -0.5m: 0.5m,
OrderFee.Zero
), holding);
Assert.AreEqual(0.25, insight.Confidence);
Assert.AreEqual(direction == OrderDirection.Buy
? InsightDirection.Up : InsightDirection.Down, insight.Direction);
}
public void NoExistingHoldings(OrderDirection direction)
{
var insightGenerator = new OrderBasedInsightGenerator();
var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? 1 : -1,
OrderFee.Zero
),
new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)));
Assert.AreEqual(1, insight.Confidence);
Assert.AreEqual(direction == OrderDirection.Buy
? InsightDirection.Up : InsightDirection.Down, insight.Direction);
}
public void GeneratedPeriodAndCloseTimeAreSet(OrderDirection direction)
{
var insightGenerator = new OrderBasedInsightGenerator();
var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? 1 : -1,
OrderFee.Zero
),
new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)));
Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc);
Assert.AreEqual(Time.EndOfTime, insight.CloseTimeUtc);
Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period);
}
public void ClosePosition(OrderDirection direction)
{
var insightGenerator = new OrderBasedInsightGenerator();
var holding =
new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
holding.SetHoldings(1, direction == OrderDirection.Buy ? -1 : 1);
var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? 1 : -1,
OrderFee.Zero
), holding);
Assert.AreEqual(1, insight.Confidence);
Assert.AreEqual(InsightDirection.Flat, insight.Direction);
}
public void ExistingInsightCloseTimeIsUpdated(OrderDirection direction)
{
var insightGenerator = new OrderBasedInsightGenerator();
var holding = new SecurityHolding(_security,
new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol));
var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2013, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? 2 : -2,
OrderFee.Zero
), holding);
Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc);
holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2);
var insight2 = insightGenerator.GenerateInsightFromFill(new OrderEvent(
1,
Symbols.SPY,
new DateTime(2015, 1, 1),
OrderStatus.Filled,
direction,
1,
direction == OrderDirection.Buy ? -1 : 1,
OrderFee.Zero
), holding);
Assert.AreEqual(insight2.GeneratedTimeUtc, insight.CloseTimeUtc);
// period will not change
Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period);
}
