public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new MarketOrder(Symbols.USDJPY, -100, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var security = CreateSecurity();
var order = new MarketOrder(Symbols.USDJPY, -100, DateTime.Now, type: SecurityType.Forex);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.USDJPY, 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);
}
public void PerformsMarketFillSell()
{
var model = new ForexTransactionModel();
var order = new MarketOrder(Symbol, -100, DateTime.Now, type: SecurityType.Forex);
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, Symbol, Resolution.Minute, true, true, true, true, false, 0);
var security = new Security(config, 1);
security.SetMarketPrice(DateTime.Now, 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 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 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 PerformsMarketFillBuy()
{
var model = new ForexTransactionModel();
var order = new MarketOrder(Symbol, 100, DateTime.Now, type: SecurityType.Forex);
var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Forex, Symbol, Resolution.Minute, true, true, true, true, false, 0);
var security = new Security(config, 1);
security.SetMarketPrice(DateTime.Now, 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);
}