public void PerformsStopMarketFillSell()
{
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(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.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 StopMarketOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice)
{
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(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency),
ErrorCurrencyConverter.Instance
);
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 StopMarketOrder(symbol, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
var fill = fillModel.StopMarketFill(security, order);
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.StopMarketFill(security, order);
Assert.AreEqual(orderQuantity, fill.FillQuantity);
Assert.AreEqual(stopPrice, fill.FillPrice);
Assert.AreEqual(OrderStatus.Filled, fill.Status);
Assert.AreEqual(0, fill.OrderFee);
}