Exemplo n.º 1
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        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 security = new Forex(symbol, exchangeHours, quoteCash, 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);
        }
Exemplo n.º 2
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 public void ComputesValueInBaseCurrency()
 {
     const int quantity = 100;
     const decimal conversionRate = 1/100m;
     var cash = new Cash("JPY", quantity, conversionRate);
     Assert.AreEqual(quantity*conversionRate, cash.ValueInAccountCurrency);
 }
Exemplo n.º 3
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 public void ConstructorSetsProperties()
 {
     const string symbol = "JPY";
     const int quantity = 1;
     const decimal conversionRate = 1.2m;
     var cash = new Cash(symbol, quantity, conversionRate);
     Assert.AreEqual(symbol, cash.Symbol);
     Assert.AreEqual(quantity, cash.Amount);
     Assert.AreEqual(conversionRate, cash.ConversionRate);
 }
Exemplo n.º 4
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        public void EnsureCurrencyDataFeedAddsSubscription()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var abcConfig = subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, abcConfig, 1m));
            cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen);
            Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == Symbols.USDJPY));
            Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == Symbols.USDJPY));
        }
Exemplo n.º 5
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        public void EnsureCurrencyDataFeedAddsSubscription()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager();
            var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute);
            var securities = new SecurityManager();
            securities.Add("ABC", new Security(abcConfig, 1m));
            cash.EnsureCurrencyDataFeed(securities, subscriptions);
            Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
            Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
        }
Exemplo n.º 6
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        public void UpdateModifiesConversionRateAsInvertedValue()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone), 1m));

            // we need to get subscription index
            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);

            var last = 120m;
            cash.Update(new Tick(DateTime.Now, Symbols.USDJPY, last, 119.95m, 120.05m));

            // jpy is inverted, so compare on the inverse
            Assert.AreEqual(1 / last, cash.ConversionRate);
        }
Exemplo n.º 7
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        public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            const Resolution minimumResolution = Resolution.Second;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone), 1m));
            securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
            Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
        }
Exemplo n.º 8
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 /// <summary>
 /// Temporary convenience constructor
 /// </summary>
 protected Security(SubscriptionDataConfig config,
     Cash quoteCurrency,
     SymbolProperties symbolProperties,
     SecurityExchange exchange,
     SecurityCache cache,
     ISecurityPortfolioModel portfolioModel,
     IFillModel fillModel,
     IFeeModel feeModel,
     ISlippageModel slippageModel,
     ISettlementModel settlementModel,
     IVolatilityModel volatilityModel,
     ISecurityMarginModel marginModel,
     ISecurityDataFilter dataFilter
     )
     : this(config.Symbol,
         quoteCurrency,
         symbolProperties,
         exchange,
         cache,
         portfolioModel,
         fillModel,
         feeModel,
         slippageModel,
         settlementModel,
         volatilityModel,
         marginModel,
         dataFilter
         )
 {
     SubscriptionsBag.Add(config);
 }
Exemplo n.º 9
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 public void ConstructorThrowsOnSymbolTooShort()
 {
     var cash = new Cash("s", 0, 0);
 }
Exemplo n.º 10
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 public void ConstructorCapitalizedSymbol()
 {
     var cash = new Cash("low", 0, 0);
     Assert.AreEqual("LOW", cash.Symbol);
 }
Exemplo n.º 11
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        public void EnsureInternalCurrencyDataFeedsForNonUsdQuoteCurrencyGetAdded()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cashJPY = new Cash("JPY", quantity, conversionRate);
            var cashGBP = new Cash("GBP", quantity, conversionRate);
            var cashBook = new CashBook();
            cashBook.Add("JPY", cashJPY);
            cashBook.Add("GBP", cashGBP);

            var symbol = Symbol.Create("GBPJPY", SecurityType.Forex, Market.FXCM);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(symbol, new Security(SecurityExchangeHours, subscriptions.Add(symbol, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));

            cashJPY.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
            var config1 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
            Assert.IsTrue(config1.IsInternalFeed);

            cashGBP.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
            var config2 = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.GBPUSD);
            Assert.IsTrue(config2.IsInternalFeed);
        }
Exemplo n.º 12
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        public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            const Resolution minimumResolution = Resolution.Second;
            var cash = new Cash("JPY", quantity, conversionRate);
            var cashBook = new CashBook();
            cashBook.Add("JPY", cash);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.SPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.SPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));
            securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, minimumResolution, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
            Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY).Resolution);
        }
Exemplo n.º 13
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        public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            const Resolution minimumResolution = Resolution.Second;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager();
            var securities = new SecurityManager();
            securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute), 1m));
            securities.Add("BCD", new Security(subscriptions.Add(SecurityType.Equity, "BCD", minimumResolution), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions);
            Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
        }
Exemplo n.º 14
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        public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager();
            var securities = new SecurityManager();
            securities.Add("ABC", new Security(subscriptions.Add(SecurityType.Forex, "ABC", Resolution.Minute), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions);
            var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
            Assert.IsTrue(config.IsInternalFeed);
        }
Exemplo n.º 15
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        public void EnsureCurrencyDataFeedAddsSubscription()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var abcConfig = subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "fxcm", TimeZones.NewYork);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, abcConfig, 1m));
            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
            Assert.AreEqual(1, subscriptions.Subscriptions.Count(x => x.Symbol == "USDJPY"));
            Assert.AreEqual(1, securities.Values.Count(x => x.Symbol == "USDJPY"));
        }
Exemplo n.º 16
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        public void UpdateModifiesConversionRate()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("GBP", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add("GBPUSD", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "GBPUSD", Resolution.Minute, "fxcm", TimeZone), 1m));

            // we need to get subscription index
            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);

            var last = 1.5m;
            cash.Update(new Tick(DateTime.Now, "GBPUSD", last, last * 1.009m, last * 0.009m));

            // jpy is inverted, so compare on the inverse
            Assert.AreEqual(last, cash.ConversionRate);
        }
Exemplo n.º 17
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        public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add("USDJPY", new Security(SecurityExchangeHours, subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute, "fxcm", TimeZone), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
            var config = subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY");
            Assert.IsFalse(config.IsInternalFeed);
        }
Exemplo n.º 18
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 /// <summary>
 /// Construct a new security vehicle based on the user options.
 /// </summary>
 public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties)
     : this(config,
            quoteCurrency,
            symbolProperties,
            new SecurityExchange(exchangeHours),
            new SecurityCache(),
            new SecurityPortfolioModel(),
            new ImmediateFillModel(),
            new InteractiveBrokersFeeModel(),
            new SpreadSlippageModel(),
            new ImmediateSettlementModel(),
            Securities.VolatilityModel.Null,
            new SecurityMarginModel(1m),
            new SecurityDataFilter(),
            new SecurityPriceVariationModel())
 {
 }
Exemplo n.º 19
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 /// <summary>
 /// Construct a new security vehicle based on the user options.
 /// </summary>
 public Security(SecurityExchangeHours exchangeHours, SubscriptionDataConfig config, Cash quoteCurrency, SymbolProperties symbolProperties)
     : this(config,
         quoteCurrency,
         symbolProperties,
         new SecurityExchange(exchangeHours),
         new SecurityCache(),
         new SecurityPortfolioModel(),
         new ImmediateFillModel(),
         new InteractiveBrokersFeeModel(),
         new SpreadSlippageModel(),
         new ImmediateSettlementModel(),
         new SecurityMarginModel(1m),
         new SecurityDataFilter())
 {
 }
Exemplo n.º 20
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        /// <summary>
        /// Construct a new security vehicle based on the user options.
        /// </summary>
        protected Security(SubscriptionDataConfig config,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            SecurityExchange exchange,
            SecurityCache cache,
            ISecurityPortfolioModel portfolioModel,
            IFillModel fillModel,
            IFeeModel feeModel,
            ISlippageModel slippageModel,
            ISettlementModel settlementModel,
            ISecurityMarginModel marginModel,
            ISecurityDataFilter dataFilter
            )
        {

            if (symbolProperties == null)
            {
                throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
            }

            if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
            {
                throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
            }

            _config = config;
            QuoteCurrency = quoteCurrency;
            SymbolProperties = symbolProperties;
            Cache = cache;
            Exchange = exchange;
            DataFilter = dataFilter;
            PortfolioModel = portfolioModel;
            MarginModel = marginModel;
            FillModel = fillModel;
            FeeModel = feeModel;
            SlippageModel = slippageModel;
            SettlementModel = settlementModel;
            Holdings = new SecurityHolding(this);
        }
Exemplo n.º 21
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        public void UpdateModifiesConversionRateAsInvertedValue()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager();
            var securities = new SecurityManager();
            securities.Add("USDJPY", new Security(subscriptions.Add(SecurityType.Forex, "USDJPY", Resolution.Minute), 1m));

            // we need to get subscription index
            cash.EnsureCurrencyDataFeed(securities, subscriptions);

            var last = 120m;
            var data = new Dictionary<int, List<BaseData>>();
            data.Add(0, new List<BaseData>
            {
                new Tick(DateTime.Now, "USDJPY", last, 119.95m, 120.05m)
            });

            cash.Update(data);

            // jpy is inverted, so compare on the inverse
            Assert.AreEqual(1 / last, cash.ConversionRate);
        }
Exemplo n.º 22
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        public void EnsureCurrencyDataFeedDoesNotMarkIsCurrencyDataFeedForExistantSubscriptions()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);
            var cashBook = new CashBook();
            cashBook.Add("JPY", cash);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.USDJPY, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.USDJPY, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
            var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
            Assert.IsFalse(config.IsInternalFeed);
        }
Exemplo n.º 23
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        public void EnsureCurrencyDataFeedsAddsSubscriptionAtMinimumResolution()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            const Resolution minimumResolution = Resolution.Second;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add("ABC", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Equity, "ABC", Resolution.Minute, "usa", TimeZones.NewYork), 1m));
            securities.Add("BCD", new Security(SecurityExchangeHours.AlwaysOpen, subscriptions.Add(SecurityType.Forex, "BCD", minimumResolution, "fxcm", TimeZones.NewYork), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
            Assert.AreEqual(minimumResolution, subscriptions.Subscriptions.Single(x => x.Symbol == "USDJPY").Resolution);
        }
Exemplo n.º 24
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        public void UpdateModifiesConversionRate()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("GBP", quantity, conversionRate);
            var cashBook = new CashBook();
            cashBook.Add("GBP", cash);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.GBPUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.GBPUSD, Resolution.Minute, TimeZone, TimeZone), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)));

            // we need to get subscription index
            cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);

            var last = 1.5m;
            cash.Update(new Tick(DateTime.Now, Symbols.GBPUSD, last, last * 1.009m, last * 0.009m));

            // jpy is inverted, so compare on the inverse
            Assert.AreEqual(last, cash.ConversionRate);
        }
Exemplo n.º 25
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        /// <summary>
        /// Construct a new security vehicle based on the user options.
        /// </summary>
        protected Security(Symbol symbol,
            Cash quoteCurrency,
            SymbolProperties symbolProperties,
            SecurityExchange exchange,
            SecurityCache cache,
            ISecurityPortfolioModel portfolioModel,
            IFillModel fillModel,
            IFeeModel feeModel,
            ISlippageModel slippageModel,
            ISettlementModel settlementModel,
            IVolatilityModel volatilityModel,
            ISecurityMarginModel marginModel,
            ISecurityDataFilter dataFilter,
            IPriceVariationModel priceVariationModel
            )
        {

            if (symbolProperties == null)
            {
                throw new ArgumentNullException("symbolProperties", "Security requires a valid SymbolProperties instance.");
            }

            if (symbolProperties.QuoteCurrency != quoteCurrency.Symbol)
            {
                throw new ArgumentException("symbolProperties.QuoteCurrency must match the quoteCurrency.Symbol");
            }

            _symbol = symbol;
            SubscriptionsBag = new ConcurrentBag<SubscriptionDataConfig>();
            QuoteCurrency = quoteCurrency;
            SymbolProperties = symbolProperties;
            IsTradable = true;
            Cache = cache;
            Exchange = exchange;
            DataFilter = dataFilter;
            PriceVariationModel = priceVariationModel;
            PortfolioModel = portfolioModel;
            MarginModel = marginModel;
            FillModel = fillModel;
            FeeModel = feeModel;
            SlippageModel = slippageModel;
            SettlementModel = settlementModel;
            VolatilityModel = volatilityModel;
            Holdings = new SecurityHolding(this);
        }
Exemplo n.º 26
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 public void ConstructorThrowsOnSymbolTooLong()
 {
     var cash = new Cash("too long", 0, 0);
 }
Exemplo n.º 27
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        public void EnsureCurrencyDataFeedMarksIsCurrencyDataFeedForNewSubscriptions()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var subscriptions = new SubscriptionManager(TimeKeeper);
            var securities = new SecurityManager(TimeKeeper);
            securities.Add(Symbols.EURUSD, new Security(SecurityExchangeHours, subscriptions.Add(Symbols.EURUSD, Resolution.Minute, TimeZone), 1m));

            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
            var config = subscriptions.Subscriptions.Single(x => x.Symbol == Symbols.USDJPY);
            Assert.IsTrue(config.IsInternalFeed);
        }
Exemplo n.º 28
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        public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var securities = new SecurityManager();
            var subscriptions = new SubscriptionManager();
            cash.EnsureCurrencyDataFeed(securities, subscriptions);
        }
Exemplo n.º 29
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 /// <summary>
 /// Construct a new security vehicle based on the user options.
 /// </summary>
 public Security(Symbol symbol, SecurityExchangeHours exchangeHours, Cash quoteCurrency, SymbolProperties symbolProperties)
     : this(symbol,
         quoteCurrency,
         symbolProperties,
         new SecurityExchange(exchangeHours),
         new SecurityCache(),
         new SecurityPortfolioModel(),
         new ImmediateFillModel(),
         new InteractiveBrokersFeeModel(),
         new SpreadSlippageModel(),
         new ImmediateSettlementModel(),
         Securities.VolatilityModel.Null,
         new SecurityMarginModel(1m),
         new SecurityDataFilter()
         )
 {
 }
Exemplo n.º 30
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        public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);
            var cashBook = new CashBook();
            cashBook.Add("JPY", cash);

            var securities = new SecurityManager(TimeKeeper);
            var subscriptions = new SubscriptionManager(TimeKeeper);
            cash.EnsureCurrencyDataFeed(securities, subscriptions, MarketHoursDatabase.AlwaysOpen, SymbolPropertiesDatabase.FromDataFolder(), MarketMap, cashBook);
        }
Exemplo n.º 31
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        public void EnsureCurrencyDataFeedAddsSubscriptionThrowsWhenZeroSubscriptionsPresent()
        {
            const int quantity = 100;
            const decimal conversionRate = 1 / 100m;
            var cash = new Cash("JPY", quantity, conversionRate);

            var securities = new SecurityManager(TimeKeeper);
            var subscriptions = new SubscriptionManager(TimeKeeper);
            cash.EnsureCurrencyDataFeed(securities, subscriptions, SecurityExchangeHoursProvider.AlwaysOpen);
        }