public void OrderProcessedInLooper(OrderType orderType, double stopPrice, double limitPrice, bool hasNullLastFillTime = false)
{
var equityPoints = new SortedList <DateTime, double>
{
{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
{ new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
};
var series = new Series <DateTime, double>(equityPoints);
var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
orderType,
SecurityType.Equity,
Symbols.SPY,
1,
(decimal)stopPrice,
(decimal)limitPrice,
new DateTime(2019, 1, 3, 5, 0, 5),
string.Empty
));
var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
orderType,
SecurityType.Equity,
Symbols.SPY,
-1,
(decimal)stopPrice,
(decimal)limitPrice,
new DateTime(2019, 1, 4, 5, 0, 5),
string.Empty
));
if (!hasNullLastFillTime)
{
entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
}
entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
Order marketOnFillOrder = null;
if (hasNullLastFillTime)
{
marketOnFillOrder = entryOrder.Clone();
marketOnFillOrder.GetType().GetProperty("Status").SetValue(marketOnFillOrder, OrderStatus.Filled);
marketOnFillOrder.GetType().GetProperty("Time").SetValue(marketOnFillOrder, new DateTime(2019, 1, 3, 6, 0, 5));
}
exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
var looper = PortfolioLooper.FromOrders(series, orders);
var pointInTimePortfolio = looper.ToList();
Assert.AreEqual(3, pointInTimePortfolio.Count);
Assert.AreEqual(100000, pointInTimePortfolio[0].TotalPortfolioValue);
Assert.AreEqual(80000, pointInTimePortfolio[1].TotalPortfolioValue);
Assert.AreEqual(80000, pointInTimePortfolio[2].TotalPortfolioValue);
}
public void EmptyEquitySeriesDoesNotCrash()
{
var equityPoints = new SortedList <DateTime, double>
{
{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 }
};
var series = new Series <DateTime, double>(equityPoints);
var order = new MarketOrder(Symbols.SPY, 1m, new DateTime(2019, 1, 3, 5, 0, 0));
// Force an order ID >= 1 on the order, otherwise the test will fail
// because the order will be filtered out.
order.GetType().GetProperty("Id").SetValue(order, 1);
var orders = new List <Order>
{
order
};
Assert.DoesNotThrow(() => PortfolioLooper.FromOrders(series, orders).ToList());
}
public void OptionOrderDoesNotThrow()
{
var equityPoints = new SortedList <DateTime, double>
{
{ new DateTime(2019, 1, 3, 5, 0, 5), 100000 },
{ new DateTime(2019, 1, 4, 5, 0, 5), 90000 },
};
var series = new Series <DateTime, double>(equityPoints);
var equity = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var optionSid = SecurityIdentifier.GenerateOption(
equity.ID.Date,
equity.ID,
equity.ID.Market,
200m,
OptionRight.Call,
OptionStyle.American);
var option = new Symbol(optionSid, optionSid.Symbol);
var entryOrder = Order.CreateOrder(new SubmitOrderRequest(
OrderType.Market,
SecurityType.Option,
option,
1,
0m,
0m,
new DateTime(2019, 1, 3, 5, 0, 5),
string.Empty
));
var exitOrder = Order.CreateOrder(new SubmitOrderRequest(
OrderType.Market,
SecurityType.Option,
option,
-1,
0m,
0m,
new DateTime(2019, 1, 4, 5, 0, 5),
string.Empty
));
entryOrder.LastFillTime = new DateTime(2019, 1, 3, 5, 0, 5);
exitOrder.LastFillTime = new DateTime(2019, 1, 4, 5, 0, 5);
entryOrder.GetType().GetProperty("Id").SetValue(entryOrder, 1);
entryOrder.GetType().GetProperty("Price").SetValue(entryOrder, 100000m);
Order marketOnFillOrder = null;
exitOrder.GetType().GetProperty("Id").SetValue(exitOrder, 2);
exitOrder.GetType().GetProperty("Price").SetValue(exitOrder, 80000m);
exitOrder.GetType().GetProperty("Status").SetValue(exitOrder, OrderStatus.Filled);
var orders = new[] { entryOrder, marketOnFillOrder, exitOrder }.Where(x => x != null);
var looper = PortfolioLooper.FromOrders(series, orders);
Assert.DoesNotThrow(() =>
{
foreach (var pointInTimePortfolio in looper)
{
Assert.AreEqual(option, pointInTimePortfolio.Order.Symbol);
Assert.AreEqual(option.Underlying, pointInTimePortfolio.Order.Symbol.Underlying);
}
});
}
