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);
}
/// <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);
}
/// <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())
{
}
/// <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);
}
/// <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()
)
{
}
/// <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);
}
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();
}
