public void PerformsMarketOnCloseUsingClosingPrice()
{
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
var model = new SecurityTransactionModel();
var order = new MarketOnCloseOrder(Symbols.SPY, 100, reference);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var time = reference;
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100));
var fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes after 60min, so this is just before market Close
time = reference.AddMinutes(59);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes
time = reference.AddMinutes(60);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Close, fill.FillPrice);
}
public void PerformsMarketOnCloseUsingClosingPrice()
{
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
var model = new SecurityTransactionModel();
var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference);
var config = CreateTradeBarConfig(Symbol);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1)
{
Exchange = new EquityExchange(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours())
};
var time = reference;
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100));
var fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes after 60min, so this is just before market Close
time = reference.AddMinutes(59);
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes
time = reference.AddMinutes(60);
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100));
while (security.Exchange.ExchangeOpen)
{
time += TimeSpan.FromTicks(1);
security.SetMarketPrice(time, null);
}
Console.WriteLine("Time: " + time);
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Close, fill.FillPrice);
}
public void PerformsMarketOnCloseUsingClosingPrice()
{
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
var model = new SecurityTransactionModel();
var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference, 1m);
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0);
var security = new Security(config, 1) { Exchange = new EquityExchange() };
var time = reference;
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100));
var fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes after 60min, so this is just before market Close
time = reference.AddMinutes(59);
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(0, fill.FillQuantity);
// market closes
time = reference.AddMinutes(60);
security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Close, fill.FillPrice);
}
