public void GtdSameDayTimeInForceForexOrderAfter5PMExpiresAt5PMNextDay()
{
// set time to 6:00:00 PM (NY time)
var utcTime = new DateTime(2018, 4, 27, 18, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(Currencies.USD, 0, 1m),
new SubscriptionDataConfig(
typeof(QuoteBar),
Symbols.EURUSD,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
true
),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// set time to midnight (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 4:59:59 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// set time to 5:00:00 PM next day (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(23));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceForexOrderBeforeExpiresAt5PMOnExpiryDate()
{
// set time to 10:00:00 AM (NY time)
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Forex(
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.EURUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 27th 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddHours(7));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 4:59:59 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st 5:00:00 PM (NY time)
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceCryptoOrderExpiresAtMidnightUtcAfterExpiryDate()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
var security = new Crypto(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new Cash(CashBook.AccountCurrency, 0, 1m),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.BTCUSD, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, true, true),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.BTCUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th before midnight
localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 28th at midnight
localTimeKeeper.UpdateTime(utcTime.AddHours(14));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st before midnight
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 2nd at midnight
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdTimeInForceEquityOrderExpiresAtMarketCloseOnExpiryDate()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Equity(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, true),
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, 0);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
// April 27th before market close
localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// April 27th at market close
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at 10 AM
localTimeKeeper.UpdateTime(utcTime.AddDays(4));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st before market close
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
// May 1st at market close
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void DayTimeInForceEquityOrderExpiresAtMarketClose()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
var security = new Equity(
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
true
),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.Day;
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}
public void GtdSameDayTimeInForceCryptoOrderExpiresAtMidnightUtc()
{
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
var security = new Crypto(
SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
new Cash(Currencies.USD, 0, 1m),
new SubscriptionDataConfig(
typeof(QuoteBar),
Symbols.BTCUSD,
Resolution.Minute,
TimeZones.Utc,
TimeZones.Utc,
true,
true,
true
),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
security.SetLocalTimeKeeper(localTimeKeeper);
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
var orderProperties = new OrderProperties {
TimeInForce = timeInForce
};
var order = new LimitOrder(Symbols.BTCUSD, 10, 100, utcTime, "", orderProperties);
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
localTimeKeeper.UpdateTime(utcTime.AddHours(14));
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
}