public void PerformsMarketOnCloseUsingClosingPrice()
{
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
var model = new ImmediateFillModel();
var order = new MarketOnCloseOrder(Symbols.SPY, 100, reference);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var time = reference;
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100, config.Increment));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
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 - config.Increment, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100, config.Increment));
fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
// market closes
time = reference.AddMinutes(60);
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100, config.Increment));
fill = model.MarketOnCloseFill(security, order);
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Close, fill.FillPrice);
}
public void PerformsStopLimitFillSell()
{
var model = new ImmediateFillModel();
var order = new StopLimitOrder(Symbols.SPY, -100, 101.75m, 101.50m, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
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(security.Low, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void MarketOrderFillWithStalePriceHasWarningMessage()
{
var model = new ImmediateFillModel();
var order = new MarketOrder(Symbols.SPY, -100, Noon.ConvertToUtc(TimeZones.NewYork).AddMinutes(61));
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.IsTrue(fill.Message.Contains("Warning: fill at stale price"));
}
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(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
// The fill model should use the tick.Price
Assert.AreEqual(fill.FillPrice, 100m);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
public void PerformsMarketFillBuy()
{
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(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(security.Price, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void PerformsLimitFillBuy()
{
var model = new ImmediateFillModel();
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config))).OrderEvent;
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 ImmediateFillModelDoesNotUseTicksWhenThereIsNoTickSubscription()
{
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);
// Minute subscription
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, 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));
// 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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config))).OrderEvent;
// The fill model should use the tick.Price
Assert.AreEqual(fill.FillPrice, 1.0m);
Assert.AreEqual(0, fill.OrderFee);
}
public void PerformsMarketOnOpenUsingOpenPrice()
{
var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
var model = new ImmediateFillModel();
var order = new MarketOnOpenOrder(Symbols.SPY, 100, reference);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config))).OrderEvent;
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config))).OrderEvent;
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 StopLimitOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice, decimal limitPrice)
{
var time = new DateTime(2018, 9, 24, 9, 30, 0);
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
var fillForwardBar = (TradeBar)tradeBar.Clone(true);
security.SetMarketPrice(fillForwardBar);
var fillModel = new ImmediateFillModel();
var order = new StopLimitOrder(symbol, orderQuantity, stopPrice, limitPrice, time.ConvertToUtc(TimeZones.NewYork));
var fill = fillModel.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
time += TimeSpan.FromMinutes(1);
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
security.SetMarketPrice(tradeBar);
fill = fillModel.StopLimitFill(security, order);
Assert.AreEqual(orderQuantity, fill.FillQuantity);
Assert.AreEqual(limitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
public void PerformsStopMarketFillBuy()
{
var model = new ImmediateFillModel();
var order = new StopMarketOrder(Symbols.SPY, 100, 101.5m, Noon);
var config = CreateTradeBarConfig(Symbols.SPY);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
config,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance
);
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m));
var fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102.5m));
fill = model.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
// this fills worst case scenario, so it's min of asset/stop price
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(Math.Max(security.Price, order.StopPrice), fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}
public void PerformsLimitIfTouchedFillSell()
{
var model = new ImmediateFillModel();
var order = new LimitIfTouchedOrder(Symbols.SPY, -100, 101.5m, 105m, Noon);
var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
var security = new Security(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
configTradeBar,
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null,
new SecurityCache()
);
// Sets price at time zero
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 90m, 90m, 100));
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
var fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => trigger touched but not limit
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 102m, 102m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(101m, 102m, 100m, 100m), 100, // Bid bar
new Bar(103m, 104m, 102m, 102m), 100) // Ask bar
);
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
fill = model.Fill(new FillModelParameters(
security,
order,
configProvider,
Time.OneHour)).OrderEvent;
Assert.AreEqual(0, fill.FillQuantity);
Assert.AreEqual(0, fill.FillPrice);
Assert.AreEqual(OrderStatus.None, fill.Status);
// Time jump => limit reached, holdings sold
security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 103m, 108m, 103m, 105m, 100));
security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
new Bar(103m, 106m, 103m, 105m), 100, // Bid bar
new Bar(103m, 108m, 103m, 105m), 100) // Ask bar
);
fill = model.LimitIfTouchedFill(security, order);
// this fills worst case scenario
Assert.AreEqual(order.Quantity, fill.FillQuantity);
Assert.AreEqual(order.LimitPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
}