public void PerformsLimitFillSell()
{
var model = new SecurityTransactionModel();
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, 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, 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);
}
public void PerformsStopMarketFillSell()
{
var model = new SecurityTransactionModel();
var order = new StopMarketOrder(Symbols.SPY, -100, 101.5m, 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, 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);
}
public void PerformsMarketOnCloseUsingClosingPrice()
{
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
var model = new SecurityTransactionModel();
var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference);
var config = CreateTradeBarConfig(Symbol);
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, Symbol, 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, Symbol, 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, Symbol, 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 FundsAreSettledImmediately()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
var model = new ImmediateSettlementModel();
var config = CreateTradeBarConfig();
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
portfolio.SetCash(1000);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
Assert.AreEqual(2000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "USD", -500);
Assert.AreEqual(1500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
Assert.AreEqual(2500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void PerformsLimitFillBuy()
{
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),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));
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.Min(order.LimitPrice, security.High), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void SellOnThursdaySettleOnTuesday()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(null, securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
// settlement at T+3, 8:00 AM
var model = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
portfolio.SetCash(3000);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Thursday
var timeUtc = Noon.AddDays(3).ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Saturday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Sunday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Monday, still unsettled
timeUtc = timeUtc.AddDays(1);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Tuesday at 7:55 AM, still unsettled
timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(3000, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Tuesday at 8 AM, now settled
timeUtc = timeUtc.AddMinutes(5);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(4000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void EquitySellAppliesSettlementCorrectly()
{
var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
securities.Add(Symbols.AAPL, new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
var security = securities[Symbols.AAPL];
security.SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Buy on Monday
var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
var orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
var fill = new OrderEvent(1, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, orderFee);
portfolio.ProcessFill(fill);
Assert.AreEqual(10, security.Holdings.Quantity);
Assert.AreEqual(-1, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Tuesday, cash unsettled
timeUtc = timeUtc.AddDays(1);
orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc));
fill = new OrderEvent(2, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, orderFee);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, security.Holdings.Quantity);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Thursday, still cash unsettled
timeUtc = timeUtc.AddDays(2);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday at open, cash settled
var marketOpen = securityExchangeHours.MarketHours[timeUtc.DayOfWeek].GetMarketOpen(TimeSpan.Zero, false);
Assert.IsTrue(marketOpen.HasValue);
timeUtc = timeUtc.AddDays(1).Date.Add(marketOpen.Value).ConvertToUtc(securityExchangeHours.TimeZone);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
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 FundsAreSettledInAccountCurrency()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(null, securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
var model = new AccountCurrencyImmediateSettlementModel();
portfolio.SetCash(1000);
portfolio.SetCash("EUR", 0, 1.1m);
var config = CreateTradeBarConfig(Symbols.DE30EUR);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
portfolio.CashBook["EUR"],
SymbolProperties.GetDefault("EUR"),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, "EUR", 1000);
// 1000 + 1000 * 1.1 = 2100
Assert.AreEqual(2100, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "EUR", -500);
// 2100 - 500 * 1.1 = 1550
Assert.AreEqual(1550, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, "EUR", 1000);
// 1550 + 1000 * 1.1 = 2650
Assert.AreEqual(2650, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
public void EquitySellAppliesSettlementCorrectly()
{
var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours();
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
portfolio.SetCash(1000);
securities.Add("AAPL", new QuantConnect.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, "AAPL"), 1));
securities["AAPL"].SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8));
Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Buy on Monday
var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0);
var fill = new OrderEvent(1, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(10, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(-1, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
// Sell on Tuesday, cash unsettled
timeUtc = timeUtc.AddDays(1);
fill = new OrderEvent(2, "AAPL", timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, 0);
portfolio.ProcessFill(fill);
Assert.AreEqual(0, securities["AAPL"].Holdings.Quantity);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Thursday, still cash unsettled
timeUtc = timeUtc.AddDays(2);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(-2, portfolio.Cash);
Assert.AreEqual(1000, portfolio.UnsettledCash);
// Friday at open, cash settled
timeUtc = timeUtc.AddDays(1).Date.Add(securityExchangeHours.MarketHours[timeUtc.DayOfWeek].MarketOpen).ConvertToUtc(securityExchangeHours.TimeZone);
portfolio.ScanForCashSettlement(timeUtc);
Assert.AreEqual(998, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
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, 100, reference);
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));
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 FundsAreSettledImmediately()
{
var securities = new SecurityManager(TimeKeeper);
var transactions = new SecurityTransactionManager(null, securities);
var portfolio = new SecurityPortfolioManager(securities, transactions);
var model = new ImmediateSettlementModel();
var config = CreateTradeBarConfig();
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
portfolio.SetCash(1000);
Assert.AreEqual(1000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, 1000);
Assert.AreEqual(2000, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, -500);
Assert.AreEqual(1500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
model.ApplyFunds(portfolio, security, timeUtc, Currencies.USD, 1000);
Assert.AreEqual(2500, portfolio.Cash);
Assert.AreEqual(0, portfolio.UnsettledCash);
}
