public void ImmediateFillModelUsesPriceForTicksWhenBidAskSpreadsAreNotAvailable()
{
var noon = new DateTime(2014, 6, 24, 12, 0, 0);
var timeKeeper = new TimeKeeper(noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(Tick), Symbols.SPY, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, noon, 101.123m));
// Add both a tradebar and a tick to the security cache
// This is the case when a tick is seeded with minute data in an algorithm
security.Cache.AddData(new TradeBar(DateTime.MinValue, symbol, 1.0m, 1.0m, 1.0m, 1.0m, 1.0m));
security.Cache.AddData(new Tick(config, "42525000,1000000,100,A,@,0", DateTime.MinValue));
var fillModel = new ImmediateFillModel();
var order = new MarketOrder(symbol, 1000, DateTime.Now);
var fill = fillModel.MarketFill(security, order);
// The fill model should use the tick.Price
Assert.AreEqual(fill.FillPrice, 100m);
Assert.AreEqual(0, fill.OrderFee);
}
public void PerformsMarketFillSell()
{
var model = new ImmediateFillModel();
var order = new MarketOrder(Symbols.SPY, -100, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
var fill = model.MarketFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
