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(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);
}