public void PerformsLimitFillSell() { var model = new ForexTransactionModel(); var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex); var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol); var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(new TradeBar(DateTime.Now, Symbol, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void PerformsLimitFillBuy() { var model = new EquityTransactionModel(); var order = new LimitOrder(Symbol, 100, 101.5m, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbol); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbol, Noon, 102m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(new TradeBar(Noon, Symbol, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Min(order.LimitPrice, security.High), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void UpdatesAfterCorrectPeriodElapses() { const int periods = 3; var periodSpan = Time.OneMinute; var reference = new DateTime(2016, 04, 06, 12, 0, 0); var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork); var timeKeeper = new TimeKeeper(referenceUtc); var config = new SubscriptionDataConfig(typeof (TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false); var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD")); security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods); security.VolatilityModel = model; var first = new IndicatorDataPoint(reference, 1); security.SetMarketPrice(first); Assert.AreEqual(0m, model.Volatility); const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5 var second = new IndicatorDataPoint(reference.AddMinutes(1), 2); security.SetMarketPrice(second); Assert.AreEqual(value, model.Volatility); // update should not be applied since not enough time has passed var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000); security.SetMarketPrice(third); Assert.AreEqual(value, model.Volatility); var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m); security.SetMarketPrice(fourth); Assert.AreEqual(0.5m, model.Volatility); }
public void PerformsMarketFillSell() { var model = new SecurityTransactionModel(); 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)); 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); }
public void PerformsMarketFillBuy() { var model = new SecurityTransactionModel(); var order = new MarketOrder(Symbols.SPY, 100, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); 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); }
public void PerformsStopMarketFillSell() { var model = new ForexTransactionModel(); var order = new StopMarketOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex); var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol); var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 102m)); var fill = model.StopMarketFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); Assert.AreEqual(OrderStatus.None, order.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101m)); fill = model.StopMarketFill(security, order); var slip = model.GetSlippageApproximation(security, order); // this fills worst case scenario, so it's min of asset/stop price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Min(security.Price - slip, order.StopPrice), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void PerformsMarketFillSell() { var model = new ForexTransactionModel(); var order = new MarketOrder(Symbol, -100, DateTime.Now, type: SecurityType.Forex); var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol); var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101.123m)); var fill = model.MarketFill(security, order); var slip = model.GetSlippageApproximation(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Price - slip, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); Assert.AreEqual(OrderStatus.Filled, order.Status); }
public void PerformsLimitFillSell() { var model = new SecurityTransactionModel(); var order = new LimitOrder(Symbols.SPY, -100, 101.5m, Noon); 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)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
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 PerformsMarketOnOpenUsingOpenPrice() { var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open var model = new SecurityTransactionModel(); var order = new MarketOnOpenOrder(Symbols.SPY, SecurityType.Equity, 100, reference); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); 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.MarketOnOpenFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market opens after 30min, so this is just before market open time = reference.AddMinutes(29); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnOpenFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market opens after 30min time = reference.AddMinutes(30); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnOpenFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Open, fill.FillPrice); }
public void PerformsStopMarketFillSell() { var model = new SecurityTransactionModel(); var order = new StopMarketOrder(Symbols.SPY, -100, 101.5m, Noon, type: SecurityType.Equity); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m)); var fill = model.StopMarketFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m)); fill = model.StopMarketFill(security, order); // this fills worst case scenario, so it's min of asset/stop price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Min(security.Price, order.StopPrice), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
private static Security CreateSecurity(DateTime newLocalTime) { var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.Exchange.SetLocalDateTimeFrontier(newLocalTime); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m)); return security; }
public void PerformsStopLimitFillBuy() { var model = new SecurityTransactionModel(); var order = new StopLimitOrder(Symbols.SPY, 100, 101.5m, 101.75m, Noon); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 100m)); var fill = model.StopLimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m)); fill = model.StopLimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.66m)); fill = model.StopLimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(order.LimitPrice, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
private static Security CreateSecurity(DateTime newLocalTime) { var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig()); security.Exchange.SetLocalDateTimeFrontier(newLocalTime); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m)); return security; }