public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash("USD", 1000, 1);
var symbolProperties = SymbolProperties.GetDefault("USD");
var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Forex(exchangeHours, quoteCash, config, symbolProperties);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
}
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash("USD", 1000, 1);
var symbolProperties = SymbolProperties.GetDefault("USD");
var security = new Forex(symbol, exchangeHours, quoteCash, symbolProperties);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
}
public void GtdSameDayTimeInForceForexOrderAfter5PMExpiresAt5PMNextDay()
{
// set time to 6:00:00 PM (NY time)
var utcTime = new DateTime(2018, 4, 27, 18, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(Currencies.USD, 0, 1m),
new SubscriptionDataConfig(
typeof(QuoteBar),
Symbols.EURUSD,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
true
),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// set time to midnight (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 4:59:59 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 5:00:00 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceForexOrderBeforeExpiresAt5PMOnExpiryDate()
{
// set time to 10:00:00 AM (NY time)
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.EURUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 27th 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash(Currencies.USD, 1000, 1);
var symbolProperties = SymbolProperties.GetDefault(Currencies.USD);
var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Forex(exchangeHours, quoteCash, config, symbolProperties, ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null);
var reference = DateTime.Now;
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var brokerageModel = new FxcmBrokerageModel();
var fillModel = brokerageModel.GetFillModel(security);
const decimal bidPrice = 1.13739m;
const decimal askPrice = 1.13746m;
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
var quantity = direction == OrderDirection.Buy ? 1 : -1;
var order = new MarketOrder(symbol, quantity, DateTime.Now);
var fill = fillModel.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
