Пример #1
0
        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));
        }
Пример #2
0
        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));
        }