public void ReducePositionWithExistingInsight(OrderDirection direction) { var insightGenerator = new OrderBasedInsightGenerator(); var holding = new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)); var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? 2 : -2, OrderFee.Zero ), holding); Assert.AreEqual(1, insight.Confidence); Assert.AreEqual(direction == OrderDirection.Buy ? InsightDirection.Up : InsightDirection.Down, insight.Direction); holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2); insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? -1 : 1, OrderFee.Zero ), holding); Assert.AreEqual(0.5, insight.Confidence); Assert.AreEqual(direction == OrderDirection.Buy ? InsightDirection.Up : InsightDirection.Down, insight.Direction); holding.SetHoldings(1, direction == OrderDirection.Buy ? 1 : -1); insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? -0.5m: 0.5m, OrderFee.Zero ), holding); Assert.AreEqual(0.25, insight.Confidence); Assert.AreEqual(direction == OrderDirection.Buy ? InsightDirection.Up : InsightDirection.Down, insight.Direction); }
public void NoExistingHoldings(OrderDirection direction) { var insightGenerator = new OrderBasedInsightGenerator(); var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? 1 : -1, OrderFee.Zero ), new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol))); Assert.AreEqual(1, insight.Confidence); Assert.AreEqual(direction == OrderDirection.Buy ? InsightDirection.Up : InsightDirection.Down, insight.Direction); }
public void GeneratedPeriodAndCloseTimeAreSet(OrderDirection direction) { var insightGenerator = new OrderBasedInsightGenerator(); var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? 1 : -1, OrderFee.Zero ), new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol))); Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc); Assert.AreEqual(Time.EndOfTime, insight.CloseTimeUtc); Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period); }
public void ClosePosition(OrderDirection direction) { var insightGenerator = new OrderBasedInsightGenerator(); var holding = new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)); holding.SetHoldings(1, direction == OrderDirection.Buy ? -1 : 1); var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? 1 : -1, OrderFee.Zero ), holding); Assert.AreEqual(1, insight.Confidence); Assert.AreEqual(InsightDirection.Flat, insight.Direction); }
public void ExistingInsightCloseTimeIsUpdated(OrderDirection direction) { var insightGenerator = new OrderBasedInsightGenerator(); var holding = new SecurityHolding(_security, new IdentityCurrencyConverter(_security.QuoteCurrency.Symbol)); var insight = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2013, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? 2 : -2, OrderFee.Zero ), holding); Assert.AreEqual(new DateTime(2013, 1, 1), insight.GeneratedTimeUtc); holding.SetHoldings(1, direction == OrderDirection.Buy ? 2 : -2); var insight2 = insightGenerator.GenerateInsightFromFill(new OrderEvent( 1, Symbols.SPY, new DateTime(2015, 1, 1), OrderStatus.Filled, direction, 1, direction == OrderDirection.Buy ? -1 : 1, OrderFee.Zero ), holding); Assert.AreEqual(insight2.GeneratedTimeUtc, insight.CloseTimeUtc); // period will not change Assert.AreEqual(Time.EndOfTimeTimeSpan, insight.Period); }