public void CalculateOrderFeeForCfd()
{
var tz = TimeZones.NewYork;
var security = new Cfd(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("EUR", 0, 0),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m, string.Empty),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));
var feeModel = new AlphaStreamsFeeModel();
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
Assert.AreEqual(0, fee.Value.Amount);
}
public void GetOrderFeeThrowsForUnsupportedSecurityType()
{
Assert.Throws <ArgumentException>(
() =>
{
var tz = TimeZones.NewYork;
var security = new Cfd(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("EUR", 0, 0),
new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));
var feeModel = new AlphaStreamsFeeModel();
feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
});
}
/// <summary>
/// Decomposes the specified currency pair into a base and quote currency provided as out parameters
/// </summary>
/// <param name="currencyPair">The input currency pair to be decomposed</param>
/// <param name="baseCurrency">The output base currency</param>
/// <param name="quoteCurrency">The output quote currency</param>
/// <param name="defaultQuoteCurrency">Optionally can provide a default quote currency</param>
public static void DecomposeCurrencyPair(Symbol currencyPair, out string baseCurrency, out string quoteCurrency, string defaultQuoteCurrency = Currencies.USD)
{
IsValidSecurityType(currencyPair?.SecurityType, throwException: true);
var securityType = currencyPair.SecurityType;
if (securityType == SecurityType.Forex)
{
Forex.DecomposeCurrencyPair(currencyPair.Value, out baseCurrency, out quoteCurrency);
return;
}
var symbolProperties = SymbolPropertiesDatabase.Value.GetSymbolProperties(
currencyPair.ID.Market,
currencyPair,
currencyPair.SecurityType,
defaultQuoteCurrency);
if (securityType == SecurityType.Cfd)
{
Cfd.DecomposeCurrencyPair(currencyPair, symbolProperties, out baseCurrency, out quoteCurrency);
}
else
{
Crypto.DecomposeCurrencyPair(currencyPair, symbolProperties, out baseCurrency, out quoteCurrency);
}
}
protected void imgAceptar_Click(object sender, ImageClickEventArgs e)
{
ArrayList verificador = new ArrayList();
Sesion session = new Sesion();
session = (Sesion)Session["Sesion" + Session.SessionID];
Cfd cdf = new Cfd();
if (!string.IsNullOrEmpty(cmbAnhio.SelectedValue) && cmbAnhio.SelectedValue != "-1")
{
cdf.FiltroAnhio = Convert.ToInt32(cmbAnhio.SelectedValue);
}
else
{
Alerta("Seleccione un año válido");
return;
}
if (!string.IsNullOrEmpty(cmbMes.SelectedValue) && cmbMes.SelectedValue != "-1")
{
cdf.FiltroMes = Convert.ToInt32(cmbMes.SelectedValue);
}
else
{
Alerta("Seleccione un mes válido");
return;
}
if (rbTodos.Checked)
{
cdf.OrdenActivos = "T";
}
else if (rbActivo.Checked)
{
cdf.OrdenActivos = "A";
}
else
{
cdf.OrdenActivos = "C";
}
CN_RepCfd clsProGenPoliza = new CN_RepCfd();
clsProGenPoliza.Consultar(session, cdf, ref verificador);
if (verificador.Count > 0)
{
//Alerta("Se generó correctamente el archivo en la ubicación: C:\\polizavta.txt");
Descargar(verificador);
return;
}
else
{
Alerta("No se pudo crear el archivo, no se encontraron registros");
}
return;
}
/// <summary>
/// Decomposes the specified currency pair into a base and quote currency provided as out parameters
/// </summary>
/// <param name="currencyPair">The input currency pair to be decomposed</param>
/// <param name="baseCurrency">The output base currency</param>
/// <param name="quoteCurrency">The output quote currency</param>
public static void DecomposeCurrencyPair(Symbol currencyPair, out string baseCurrency, out string quoteCurrency)
{
if (currencyPair == null)
{
throw new ArgumentException("Currency pair must not be null");
}
var securityType = currencyPair.SecurityType;
if (securityType != SecurityType.Forex &&
securityType != SecurityType.Cfd &&
securityType != SecurityType.Crypto)
{
throw new ArgumentException($"Unsupported security type: {securityType}");
}
if (securityType == SecurityType.Forex)
{
Forex.DecomposeCurrencyPair(currencyPair.Value, out baseCurrency, out quoteCurrency);
return;
}
var symbolProperties = SymbolPropertiesDatabase.Value.GetSymbolProperties(
currencyPair.ID.Market,
currencyPair,
currencyPair.SecurityType,
Currencies.USD);
if (securityType == SecurityType.Cfd)
{
Cfd.DecomposeCurrencyPair(currencyPair, symbolProperties, out baseCurrency, out quoteCurrency);
}
else
{
Crypto.DecomposeCurrencyPair(currencyPair, symbolProperties, out baseCurrency, out quoteCurrency);
}
}
/// <summary>
/// CFD Holding Class constructor
/// </summary>
/// <param name="security">The CFD security being held</param>
public CfdHolding(Cfd security)
: base(security)
{
}
/// <summary>
/// CFD Holding Class constructor
/// </summary>
/// <param name="security">The CFD security being held</param>
/// <param name="currencyConverter">A currency converter instance</param>
public CfdHolding(Cfd security, ICurrencyConverter currencyConverter)
: base(security, currencyConverter)
{
}
private static TestCaseData[] GetValueTestParameters()
{
const decimal delta = 1m;
const decimal price = 1.2345m;
const int quantity = 100;
const decimal pricePlusDelta = price + delta;
const decimal priceMinusDelta = price - delta;
var tz = TimeZones.NewYork;
var time = new DateTime(2016, 2, 4, 16, 0, 0).ConvertToUtc(tz);
var equity = new Equity(SecurityExchangeHours.AlwaysOpen(tz), new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
equity.SetMarketPrice(new Tick {
Value = price
});
var gbpCash = new Cash("GBP", 0, 1.46m);
var properties = SymbolProperties.GetDefault(gbpCash.Symbol);
var forex = new Forex(SecurityExchangeHours.AlwaysOpen(tz), gbpCash, new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false), properties);
forex.SetMarketPrice(new Tick {
Value = price
});
var eurCash = new Cash("EUR", 0, 1.12m);
properties = new SymbolProperties("Euro-Bund", eurCash.Symbol, 10, 0.1m);
var cfd = new Cfd(SecurityExchangeHours.AlwaysOpen(tz), eurCash, new SubscriptionDataConfig(typeof(TradeBar), Symbols.DE10YBEUR, Resolution.Minute, tz, tz, true, false, false), properties);
cfd.SetMarketPrice(new Tick {
Value = price
});
var multiplierTimesConversionRate = properties.ContractMultiplier * eurCash.ConversionRate;
return(new List <ValueTestParameters>
{
// equity orders
new ValueTestParameters("EquityLongMarketOrder", equity, new MarketOrder(Symbols.SPY, quantity, time), quantity * price),
new ValueTestParameters("EquityShortMarketOrder", equity, new MarketOrder(Symbols.SPY, -quantity, time), -quantity * price),
new ValueTestParameters("EquityLongLimitOrder", equity, new LimitOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityShortLimit Order", equity, new LimitOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityLongStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityShortStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, pricePlusDelta, time), quantity * price),
new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, priceMinusDelta, time), -quantity * price),
// forex orders
new ValueTestParameters("ForexLongMarketOrder", forex, new MarketOrder(Symbols.EURGBP, quantity, time), quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortMarketOrder", forex, new MarketOrder(Symbols.EURGBP, -quantity, time), -quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongLimitOrder", forex, new LimitOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortLimit Order", forex, new LimitOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, pricePlusDelta, time), quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, priceMinusDelta, time), -quantity * price * forex.QuoteCurrency.ConversionRate),
// cfd orders
new ValueTestParameters("CfdLongMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, quantity, time), quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, -quantity, time), -quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongLimitOrder", cfd, new LimitOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortLimit Order", cfd, new LimitOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, pricePlusDelta, time), quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, priceMinusDelta, time), -quantity * price * multiplierTimesConversionRate),
}.Select(x => new TestCaseData(x).SetName(x.Name)).ToArray());
}
private static TestCaseData[] GetValueTestParameters()
{
const decimal delta = 1m;
const decimal price = 1.2345m;
const int quantity = 100;
const decimal pricePlusDelta = price + delta;
const decimal priceMinusDelta = price - delta;
var tz = TimeZones.NewYork;
var time = new DateTime(2016, 2, 4, 16, 0, 0).ConvertToUtc(tz);
var equity = new Equity(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
equity.SetMarketPrice(new Tick {
Value = price
});
var gbpCash = new Cash("GBP", 0, 1.46m);
var properties = SymbolProperties.GetDefault(gbpCash.Symbol);
var forex = new Forex(
SecurityExchangeHours.AlwaysOpen(tz),
gbpCash,
new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
properties,
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
forex.SetMarketPrice(new Tick {
Value = price
});
var eurCash = new Cash("EUR", 0, 1.12m);
properties = new SymbolProperties("Euro-Bund", eurCash.Symbol, 10, 0.1m, 1, string.Empty);
var cfd = new Cfd(
SecurityExchangeHours.AlwaysOpen(tz),
eurCash,
new SubscriptionDataConfig(typeof(TradeBar), Symbols.DE10YBEUR, Resolution.Minute, tz, tz, true, false, false),
properties,
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
cfd.SetMarketPrice(new Tick {
Value = price
});
var multiplierTimesConversionRate = properties.ContractMultiplier * eurCash.ConversionRate;
var option = new Option(
SecurityExchangeHours.AlwaysOpen(tz),
new SubscriptionDataConfig(
typeof(TradeBar),
Symbols.SPY_P_192_Feb19_2016,
Resolution.Minute,
tz,
tz,
true,
false,
false
),
new Cash(Currencies.USD, 0, 1m),
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
option.SetMarketPrice(new Tick {
Value = price
});
return(new List <ValueTestParameters>
{
// equity orders
new ValueTestParameters("EquityLongMarketOrder", equity, new MarketOrder(Symbols.SPY, quantity, time), quantity * price),
new ValueTestParameters("EquityShortMarketOrder", equity, new MarketOrder(Symbols.SPY, -quantity, time), -quantity * price),
new ValueTestParameters("EquityLongLimitOrder", equity, new LimitOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityShortLimit Order", equity, new LimitOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityLongStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityShortStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, pricePlusDelta, time), quantity * price),
new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, priceMinusDelta, time), -quantity * price),
new ValueTestParameters("EquityLongLimitIfTouchedOrder", equity, new LimitIfTouchedOrder(Symbols.SPY, quantity, 1.5m * pricePlusDelta, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("EquityShortLimitIfTouchedOrder", equity, new LimitIfTouchedOrder(Symbols.SPY, -quantity, .5m * priceMinusDelta, pricePlusDelta, time), -quantity * pricePlusDelta),
// forex orders
new ValueTestParameters("ForexLongMarketOrder", forex, new MarketOrder(Symbols.EURGBP, quantity, time), quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortMarketOrder", forex, new MarketOrder(Symbols.EURGBP, -quantity, time), -quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongLimitOrder", forex, new LimitOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortLimit Order", forex, new LimitOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, pricePlusDelta, time), quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, priceMinusDelta, time), -quantity * price * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexLongLimitIfTouchedOrder", forex, new LimitIfTouchedOrder(Symbols.EURGBP, quantity, 1.5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * forex.QuoteCurrency.ConversionRate),
new ValueTestParameters("ForexShortLimitIfTouchedOrder", forex, new LimitIfTouchedOrder(Symbols.EURGBP, -quantity, .5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * forex.QuoteCurrency.ConversionRate),
// cfd orders
new ValueTestParameters("CfdLongMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, quantity, time), quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, -quantity, time), -quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongLimitOrder", cfd, new LimitOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortLimit Order", cfd, new LimitOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, pricePlusDelta, time), quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, priceMinusDelta, time), -quantity * price * multiplierTimesConversionRate),
new ValueTestParameters("CfdShortLimitIfTouchedOrder", cfd, new LimitIfTouchedOrder(Symbols.DE10YBEUR, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta * multiplierTimesConversionRate),
new ValueTestParameters("CfdLongLimitIfTouchedOrder", cfd, new LimitIfTouchedOrder(Symbols.DE10YBEUR, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta * multiplierTimesConversionRate),
// equity/index option orders
new ValueTestParameters("OptionLongMarketOrder", option, new MarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, time), quantity * price),
new ValueTestParameters("OptionShortMarketOrder", option, new MarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, time), -quantity * price),
new ValueTestParameters("OptionLongLimitOrder", option, new LimitOrder(Symbols.SPY_P_192_Feb19_2016, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("OptionShortLimit Order", option, new LimitOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("OptionLongStopLimitOrder", option, new StopLimitOrder(Symbols.SPY_P_192_Feb19_2016, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("OptionShortStopLimitOrder", option, new StopLimitOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("OptionLongStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("OptionLongStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, pricePlusDelta, time), quantity * price),
new ValueTestParameters("OptionShortStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("OptionShortStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, priceMinusDelta, time), -quantity * price),
new ValueTestParameters("OptionShortLimitIfTouchedOrder", option, new LimitIfTouchedOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, 1.5m * pricePlusDelta, pricePlusDelta, time), -quantity * pricePlusDelta),
new ValueTestParameters("OptionLongLimitIfTouchedOrder", option, new LimitIfTouchedOrder(Symbols.SPY_P_192_Feb19_2016, quantity, .5m * priceMinusDelta, priceMinusDelta, time), quantity * priceMinusDelta),
new ValueTestParameters("OptionExerciseOrderPut", option, new OptionExerciseOrder(Symbols.SPY_P_192_Feb19_2016, quantity, time), quantity * option.Symbol.ID.StrikePrice),
new ValueTestParameters("OptionAssignmentOrderPut", option, new OptionExerciseOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, time), -quantity * option.Symbol.ID.StrikePrice),
new ValueTestParameters("OptionExerciseOrderCall", option, new OptionExerciseOrder(Symbols.SPY_C_192_Feb19_2016, quantity, time), quantity * option.Symbol.ID.StrikePrice),
new ValueTestParameters("OptionAssignmentOrderCall", option, new OptionExerciseOrder(Symbols.SPY_C_192_Feb19_2016, -quantity, time), -quantity * option.Symbol.ID.StrikePrice),
}.Select(x => new TestCaseData(x).SetName(x.Name)).ToArray());
}
/// <summary>
/// CFD Holding Class constructor
/// </summary>
/// <param name="security">The CFD security being held</param>
public CfdHolding(Cfd security)
: base(security)
{
}
