public void Initialize()
{
_algorithm = new QCAlgorithm();
_algorithm.SetBrokerageModel(BrokerageName.FxcmBrokerage);
_algorithm.SetCash(100000);
_algorithm.AddSecurity(SecurityType.Forex, Ticker);
_algorithm.SetFinishedWarmingUp();
}
public void SetHoldings_Long_ToZero_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(10000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $25
Update(eurusd, 25);
// So 10000/25 = 400, After Rounding off becomes 0
var actual = algo.CalculateOrderQuantity("EURUSD", 1m);
Assert.AreEqual(0m, actual);
}
public void SetHoldings_Short_RoundOff()
{
var algo = new QCAlgorithm();
algo.AddSecurity(SecurityType.Forex, "EURUSD");
algo.SetCash(100000);
algo.SetBrokerageModel(BrokerageName.FxcmBrokerage);
algo.Securities[Symbols.EURUSD].TransactionModel = new ConstantFeeTransactionModel(0);
Security eurusd = algo.Securities[Symbols.EURUSD];
// Set Price to $26
Update(eurusd, 26);
// So -100000/26 = -3846, After Rounding off becomes -3000
var actual = algo.CalculateOrderQuantity(Symbols.EURUSD, -1m);
Assert.AreEqual(-3000m, actual);
}
