Esempio n. 1
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 public void ConstructorExtractsQuoteCurrency()
 {
     var symbol = Symbol.Create("DE30EUR", SecurityType.Cfd, Market.Oanda);
     var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.Utc, TimeZones.NewYork, true, true, true);
     var symbolProperties = new SymbolProperties("Dax German index", "EUR", 1, 1, 1);
     var cfd = new QuantConnect.Securities.Cfd.Cfd(SecurityExchangeHours.AlwaysOpen(config.DataTimeZone), new Cash("EUR", 0, 0), config, symbolProperties);
     Assert.AreEqual("EUR", cfd.QuoteCurrency.Symbol);
 }
Esempio n. 2
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        /// <summary>
        /// Construct a new security vehicle based on the user options.
        /// </summary>
        protected Security(SubscriptionDataConfig config,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            SecurityExchange exchange,
            SecurityCache cache,
            ISecurityPortfolioModel portfolioModel,
            IFillModel fillModel,
            IFeeModel feeModel,
            ISlippageModel slippageModel,
            ISettlementModel settlementModel,
            ISecurityMarginModel marginModel,
            ISecurityDataFilter dataFilter
            )
        {

            if (symbolProperties == null)
            {
                throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
            }

            if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
            {
                throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
            }

            _config = config;
            QuoteCurrency = quoteCurrency;
            SymbolProperties = symbolProperties;
            Cache = cache;
            Exchange = exchange;
            DataFilter = dataFilter;
            PortfolioModel = portfolioModel;
            MarginModel = marginModel;
            FillModel = fillModel;
            FeeModel = feeModel;
            SlippageModel = slippageModel;
            SettlementModel = settlementModel;
            Holdings = new SecurityHolding(this);
        }
Esempio n. 3
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 /// <summary>
 /// Construct a new security vehicle based on the user options.
 /// </summary>
 public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties)
     : this(config,
         quoteCurrency,
         symbolProperties,
         new SecurityExchange(exchangeHours),
         new SecurityCache(),
         new SecurityPortfolioModel(),
         new ImmediateFillModel(),
         new InteractiveBrokersFeeModel(),
         new SpreadSlippageModel(),
         new ImmediateSettlementModel(),
         new SecurityMarginModel(1m),
         new SecurityDataFilter())
 {
 }
Esempio n. 4
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 /// <summary>
 /// Temporary convenience constructor
 /// </summary>
 protected Security(SubscriptionDataConfig config,
     Cash quoteCurrency,
     SymbolProperties symbolProperties,
     SecurityExchange exchange,
     SecurityCache cache,
     ISecurityPortfolioModel portfolioModel,
     IFillModel fillModel,
     IFeeModel feeModel,
     ISlippageModel slippageModel,
     ISettlementModel settlementModel,
     IVolatilityModel volatilityModel,
     ISecurityMarginModel marginModel,
     ISecurityDataFilter dataFilter
     )
     : this(config.Symbol,
         quoteCurrency,
         symbolProperties,
         exchange,
         cache,
         portfolioModel,
         fillModel,
         feeModel,
         slippageModel,
         settlementModel,
         volatilityModel,
         marginModel,
         dataFilter
         )
 {
     SubscriptionsBag.Add(config);
 }
Esempio n. 5
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 /// <summary>
 /// Construct a new security vehicle based on the user options.
 /// </summary>
 public Security(Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties)
     : this(symbol,
         quoteCurrency,
         symbolProperties,
         new SecurityExchange(exchangeHours),
         new SecurityCache(),
         new SecurityPortfolioModel(),
         new ImmediateFillModel(),
         new InteractiveBrokersFeeModel(),
         new SpreadSlippageModel(),
         new ImmediateSettlementModel(),
         Securities.VolatilityModel.Null,
         new SecurityMarginModel(1m),
         new SecurityDataFilter()
         )
 {
 }
Esempio n. 6
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        /// <summary>
        /// Construct a new security vehicle based on the user options.
        /// </summary>
        protected Security(Symbol symbol,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            SecurityExchange exchange,
            SecurityCache cache,
            ISecurityPortfolioModel portfolioModel,
            IFillModel fillModel,
            IFeeModel feeModel,
            ISlippageModel slippageModel,
            ISettlementModel settlementModel,
            IVolatilityModel volatilityModel,
            ISecurityMarginModel marginModel,
            ISecurityDataFilter dataFilter,
            IPriceVariationModel priceVariationModel
            )
        {

            if (symbolProperties == null)
            {
                throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
            }

            if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
            {
                throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
            }

            _symbol = symbol;
            SubscriptionsBag = new ConcurrentBag<SubscriptionDataConfig>();
            QuoteCurrency = quoteCurrency;
            SymbolProperties = symbolProperties;
            IsTradable = true;
            Cache = cache;
            Exchange = exchange;
            DataFilter = dataFilter;
            PriceVariationModel = priceVariationModel;
            PortfolioModel = portfolioModel;
            MarginModel = marginModel;
            FillModel = fillModel;
            FeeModel = feeModel;
            SlippageModel = slippageModel;
            SettlementModel = settlementModel;
            VolatilityModel = volatilityModel;
            Holdings = new SecurityHolding(this);
        }
Esempio n. 7
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        private static TestCaseData[] GetValueTestParameters()
        {
            const decimal delta = 1m;
            const decimal price = 1.2345m;
            const int quantity = 100;
            const decimal pricePlusDelta = price + delta;
            const decimal priceMinusDelta = price - delta;
            var tz = TimeZones.NewYork;

            var time = new DateTime(2016, 2, 4, 16, 0, 0).ConvertToUtc(tz);

            var equity = new Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            equity.SetMarketPrice(new Tick {Value = price});

            var gbpCash = new Cash("GBP", 0, 1.46m);
            var properties = SymbolProperties.GetDefault(gbpCash.Symbol);
            var forex = new Forex(SecurityExchangeHours.AlwaysOpen(tz), gbpCash, new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false), properties);
            forex.SetMarketPrice(new Tick {Value= price});

            var eurCash = new Cash("EUR", 0, 1.12m);
            properties = new SymbolProperties("Euro-Bund", eurCash.Symbol, 10, 0.1m, 1);
            var cfd = new Cfd(SecurityExchangeHours.AlwaysOpen(tz), eurCash, new SubscriptionDataConfig(typeof(TradeBar), Symbols.DE10YBEUR, Resolution.Minute, tz, tz, true, false, false), properties);
            cfd.SetMarketPrice(new Tick { Value = price });
            var multiplierTimesConversionRate = properties.ContractMultiplier*eurCash.ConversionRate;

            return new List<ValueTestParameters>
            {
                // equity orders
                new ValueTestParameters("EquityLongMarketOrder", equity, new MarketOrder(Symbols.SPY, quantity, time), quantity*price),
                new ValueTestParameters("EquityShortMarketOrder", equity, new MarketOrder(Symbols.SPY, -quantity, time), -quantity*price),
                new ValueTestParameters("EquityLongLimitOrder", equity, new LimitOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
                new ValueTestParameters("EquityShortLimit Order", equity, new LimitOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
                new ValueTestParameters("EquityLongStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta),
                new ValueTestParameters("EquityShortStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta),
                new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
                new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, pricePlusDelta, time), quantity*price),
                new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
                new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, priceMinusDelta, time), -quantity*price),

                // forex orders
                new ValueTestParameters("ForexLongMarketOrder", forex, new MarketOrder(Symbols.EURGBP, quantity, time), quantity*price*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexShortMarketOrder", forex, new MarketOrder(Symbols.EURGBP, -quantity, time), -quantity*price*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexLongLimitOrder", forex, new LimitOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexShortLimit Order", forex, new LimitOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexLongStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexShortStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, pricePlusDelta, time), quantity*price*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
                new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, priceMinusDelta, time), -quantity*price*forex.QuoteCurrency.ConversionRate),
                
                // cfd orders
                new ValueTestParameters("CfdLongMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, quantity, time), quantity*price*multiplierTimesConversionRate),
                new ValueTestParameters("CfdShortMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, -quantity, time), -quantity*price*multiplierTimesConversionRate),
                new ValueTestParameters("CfdLongLimitOrder", cfd, new LimitOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdShortLimit Order", cfd, new LimitOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdLongStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdShortStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, pricePlusDelta, time), quantity*price*multiplierTimesConversionRate),
                new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
                new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, priceMinusDelta, time), -quantity*price*multiplierTimesConversionRate),

            }.Select(x => new TestCaseData(x).SetName(x.Name)).ToArray();
        }