public void Upsert_Simple_Order_With_Unknown_Instrument()
{
var testScope = $"Orders-UnknownInstrument-TestScope";
var order = $"Order-{Guid.NewGuid().ToString()}";
var orderId = new ResourceId(testScope, order);
// We want to make a request for a single order. We'll map the internal security id to an Unknown placeholder
// if we can't translate it.
var initialRequest = new OrderSetRequest(
orderRequests: new List <OrderRequest>
{
new OrderRequest(
id: orderId,
quantity: 100,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = "LUID_SomeNonexistentInstrument"
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>
{
{ $"Order/{testScope}/TIF", new PerpetualProperty($"Order/{testScope}/TIF", new PropertyValue("GTC")) },
{ $"Order/{testScope}/OrderBook", new PerpetualProperty($"Order/{testScope}/OrderBook", new PropertyValue("UK Test Orders")) },
{ $"Order/{testScope}/PortfolioManager", new PerpetualProperty($"Order/{testScope}/PortfolioManager", new PropertyValue("F Bar")) },
{ $"Order/{testScope}/Account", new PerpetualProperty($"Order/{testScope}/Account", new PropertyValue("J Wilson")) },
{ $"Order/{testScope}/Strategy", new PerpetualProperty($"Order/{testScope}/Strategy", new PropertyValue("RiskArb")) },
},
side: "Buy",
orderBookId: new ResourceId(testScope, "OrdersTestBook")
)
});
// We can ask the Orders API to upsert this order for us
var upsertResult = _ordersApi.UpsertOrders(initialRequest);
// The return gives us a list of orders upserted, and LusidInstrument for each has been mapped to a LUID
// using the instrument identifiers passed
Assert.That(upsertResult.Values.Count == 1);
Assert.That(upsertResult.Values.All(rl => rl.Id.Code.Equals(order)));
Assert.That(upsertResult.Values.All(rl => rl.LusidInstrumentId.Equals("LUID_ZZZZZZZZ")));
}
public void Upsert_And_Retrieve_Simple_Orders()
{
var testScope = $"Orders-Filter-TestScope";
var order1 = $"Order-{Guid.NewGuid().ToString()}";
var order2 = $"Order-{Guid.NewGuid().ToString()}";
var order3 = $"Order-{Guid.NewGuid().ToString()}";
var orderId1 = new ResourceId(testScope, order1);
var orderId2 = new ResourceId(testScope, order2);
var orderId3 = new ResourceId(testScope, order3);
// We want to make a request to upsert several orders. The internal security id will be mapped on upsert
// from the instrument identifiers passed. We can filter on a number of parameters on query.
var request = new OrderSetRequest(
orderRequests: new List <OrderRequest>
{
new OrderRequest(
id: orderId1,
quantity: 99,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = _instrumentIds.First()
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>
{
{ $"Order/{testScope}/TIF", new PerpetualProperty($"Order/{testScope}/TIF", new PropertyValue("GTC")) },
{ $"Order/{testScope}/OrderBook", new PerpetualProperty($"Order/{testScope}/OrderBook", new PropertyValue("UK Test Orders")) },
{ $"Order/{testScope}/PortfolioManager", new PerpetualProperty($"Order/{testScope}/PortfolioManager", new PropertyValue("F Bar")) },
{ $"Order/{testScope}/Account", new PerpetualProperty($"Order/{testScope}/Account", new PropertyValue("ZB123")) },
{ $"Order/{testScope}/Strategy", new PerpetualProperty($"Order/{testScope}/Strategy", new PropertyValue("RiskArb")) },
},
side: "Buy",
orderBookId: new ResourceId(testScope, "OrdersTestBook")
),
new OrderRequest(
id: orderId2,
quantity: 200,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = _instrumentIds.First()
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>
{
{ $"Order/{testScope}/TIF", new PerpetualProperty($"Order/{testScope}/TIF", new PropertyValue("GTC")) },
{ $"Order/{testScope}/OrderBook", new PerpetualProperty($"Order/{testScope}/OrderBook", new PropertyValue("UK Test Orders")) },
{ $"Order/{testScope}/PortfolioManager", new PerpetualProperty($"Order/{testScope}/PortfolioManager", new PropertyValue("F Bar")) },
{ $"Order/{testScope}/Account", new PerpetualProperty($"Order/{testScope}/Account", new PropertyValue("J Wilson")) },
{ $"Order/{testScope}/Strategy", new PerpetualProperty($"Order/{testScope}/Strategy", new PropertyValue("UK Growth")) },
},
side: "Sell",
orderBookId: new ResourceId(testScope, "AnotherOrdersTestBook")
),
new OrderRequest(
id: orderId3,
quantity: 300,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = _instrumentIds.Skip(1).Take(1).Single()
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>
{
{ $"Order/{testScope}/TIF", new PerpetualProperty($"Order/{testScope}/TIF", new PropertyValue("GTC")) },
{ $"Order/{testScope}/OrderBook", new PerpetualProperty($"Order/{testScope}/OrderBook", new PropertyValue("UK Test Orders 2")) },
{ $"Order/{testScope}/PortfolioManager", new PerpetualProperty($"Order/{testScope}/PortfolioManager", new PropertyValue("F Bar")) },
{ $"Order/{testScope}/Account", new PerpetualProperty($"Order/{testScope}/Account", new PropertyValue("J Wilson")) },
{ $"Order/{testScope}/Strategy", new PerpetualProperty($"Order/{testScope}/Strategy", new PropertyValue("RiskArb")) },
},
side: "Buy",
orderBookId: new ResourceId(testScope, "OrdersTestBook")
)
});
// We can ask the Orders API to upsert these orders for us
var upsertResult = _ordersApi.UpsertOrders(request);
// The return gives us a list of orders upserted, and LusidInstrument for each has been mapped to a LUID
// using the instrument identifiers passed
Assert.That(upsertResult.Values.Count, Is.EqualTo(3));
Assert.That(upsertResult.Values.Single(rl => rl.Id.Code.Equals(order1)).LusidInstrumentId, Is.EqualTo(_instrumentIds.First()));
var t = upsertResult.Values.First().Version.AsAtDate;
var order1Filter = $"{order1}";
var order2Filter = $"{order2}";
var order3Filter = $"{order3}";
var quantityFilter = _ordersApi.ListOrders(asAt:
t,
filter: $"Quantity gt 100 and Id.Scope eq '{testScope}' and Id.Code in ('{order1}', '{order2}', '{order3}')");
Assert.That(quantityFilter.Values.Count, Is.EqualTo(2));
Assert.That(quantityFilter.Values.All(rl => rl.Quantity > 100));
/*
* Other filters are also possible:
*
*
* var propertyFilter = _ordersApi.ListOrders(asAt: t, filter: $"Properties[Order/{testScope}/OrderBook] eq 'UK Test Orders 2'");
*
* Assert.That(propertyFilter.Values.Count, Is.EqualTo(1));
* Assert.That(propertyFilter.Values.Single(rl => rl.Id.Code.Equals(order3)).Properties[$"Order/{testScope}/OrderBook"].Value.LabelValue, Is.EqualTo("UK Test Orders 2"));
*
* var instrumentFilter = _ordersApi.ListOrders(asAt: t, filter: $"LusidInstrumentId eq '{_instrumentIds.First()}' and Id.Scope eq '{testScope}'");
*
* Assert.That(instrumentFilter.Values.Count, Is.EqualTo(2));
* Assert.That(instrumentFilter.Values.All(rl => rl.LusidInstrumentId.Equals(_instrumentIds[0])));
*
* var sideFilter = _ordersApi.ListOrders(asAt: t, filter: $"Side eq 'Sell' and Id.Scope eq '{testScope}'");
*
* Assert.That(sideFilter.Values.Count, Is.EqualTo(1));
* Assert.That(sideFilter.Values.All(rl => rl.Side.Equals("Sell")));
*
* var orderBookFilter = _ordersApi.ListOrders(asAt: t, filter: $"OrderBookId.Code eq 'AnotherOrdersTestBook'");
*
* Assert.That(orderBookFilter.Values.Count, Is.EqualTo(1));
* Assert.That(orderBookFilter.Values.All(rl => rl.OrderBookId.Code.Equals("AnotherOrdersTestBook")));
*/
}
public void Update_Simple_Order()
{
var testScope = $"Orders-Simple-TestScope";
var order = $"Order-{Guid.NewGuid().ToString()}";
var orderId = new ResourceId(testScope, order);
// We want to make a request for a single order. The internal security id will be mapped on upsert
// from the instrument identifiers passed. Properties
var request = new OrderSetRequest(
orderRequests: new List <OrderRequest>
{
new OrderRequest(
id: orderId,
quantity: 100,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = _instrumentIds.First()
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>(),
side: "Buy",
orderBookId: new ResourceId(testScope, "OrdersTestBook")
)
});
var upsertResult = _ordersApi.UpsertOrders(request);
// The return gives us a list of orders upserted, and LusidInstrument for each has been mapped to a LUID
// using the instrument identifiers passed
Assert.That(upsertResult.Values.Count == 1);
Assert.That(upsertResult.Values.All(rl => rl.Id.Code.Equals(order)));
Assert.That(upsertResult.Values.All(rl => rl.LusidInstrumentId.Equals(_instrumentIds.First())));
Assert.That(upsertResult.Values.All(rl => rl.Quantity == 100));
Assert.That(upsertResult.Values.All(rl => !rl.Properties.Any()));
// We can update that Order with a new Quantity, and some extra parameters
var updateRequest = new OrderSetRequest(
orderRequests: new List <OrderRequest>
{
new OrderRequest(
id: orderId,
quantity: 500,
// These instrument identifiers should all map to the same instrument. If the instance of
// LUSID has the specified instruments registered these identifiers will get resolved to
// an actual internal instrument on upsert; otherwise, they'll be resolved to instrument or
// currency unknown.
instrumentIdentifiers: new Dictionary <string, string>()
{
["Instrument/default/LusidInstrumentId"] = _instrumentIds.First()
},
// [Experimental] Currently this portfolio doesn't need to exist. As the domain model evolves
// this reference might disappear, or might become a strict reference to an existing portfolio
portfolioId: new ResourceId(testScope, "OrdersTestPortfolio"),
properties: new Dictionary <string, PerpetualProperty>
{
{ $"Order/{testScope}/TIF", new PerpetualProperty($"Order/{testScope}/TIF", new PropertyValue("GTC")) },
{ $"Order/{testScope}/OrderBook", new PerpetualProperty($"Order/{testScope}/OrderBook", new PropertyValue("UK Test Orders")) },
{ $"Order/{testScope}/PortfolioManager", new PerpetualProperty($"Order/{testScope}/PortfolioManager", new PropertyValue("F Bar")) },
{ $"Order/{testScope}/Account", new PerpetualProperty($"Order/{testScope}/Account", new PropertyValue("J Wilson")) },
{ $"Order/{testScope}/Strategy", new PerpetualProperty($"Order/{testScope}/Strategy", new PropertyValue("RiskArb")) },
},
side: "Buy",
orderBookId: new ResourceId(testScope, "OrdersTestBook")
)
});
upsertResult = _ordersApi.UpsertOrders(updateRequest);
// The return gives us a list of orders upserted, and LusidInstrument for each has been mapped to a LUID
// using the instrument identifiers passed. We can see that the quantity has been udpated, and properties added
Assert.That(upsertResult.Values.Count == 1);
Assert.That(upsertResult.Values.All(rl => rl.Id.Code.Equals(order)));
Assert.That(upsertResult.Values.All(rl => rl.LusidInstrumentId.Equals(_instrumentIds.First())));
Assert.That(upsertResult.Values.All(rl => rl.Quantity == 500));
Assert.That(upsertResult.Values.All(rl => rl.Properties.Count() == 5));
}