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 config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Forex(exchangeHours, quoteCash, config, 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);
}
public void CalculateOrderFeeForLongOrShortForexNonUsd(int quantity)
{
var conversionRate = 1.2m;
var tz = TimeZones.NewYork;
var security = new Forex(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("GBP", 0, conversionRate),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("EURGBP", "GBP", 1, 0.01m, 0.00000001m, string.Empty),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var feeModel = new AlphaStreamsFeeModel();
var fee = feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(0.000002m * security.Price * Math.Abs(quantity) * conversionRate, fee.Value.Amount);
}
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);
}
public void Initialize()
{
_equity = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
_equity.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 100m, 100m, 100m, 100m, 1));
_equityBuyOrder = new MarketOrder(Symbols.SPY, 1, DateTime.Now);
_forex = new Forex(
Symbols.EURUSD,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(Currencies.USD, 0, 1m),
SymbolProperties.GetDefault(Currencies.USD),
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
_forex.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.EURUSD, 100m, 100m, 100m, 100m, 0));
_forexBuyOrder = new MarketOrder(Symbols.EURUSD, 1000, DateTime.Now);
}
public void ForexFee_NonUSD()
{
var tz = TimeZones.NewYork;
var security = new Forex(
SecurityExchangeHours.AlwaysOpen(tz),
new Cash("GBP", 0, 0),
new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
new SymbolProperties("EURGBP", "GBP", 1, 0.01m, 0.00000001m),
ErrorCurrencyConverter.Instance
);
security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
var fee = _feeModel.GetOrderFee(
new OrderFeeParameters(
security,
new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
)
);
Assert.AreEqual(Currencies.USD, fee.Value.Currency);
Assert.AreEqual(2m, fee.Value.Amount);
}
public void Initialize()
{
_equity = new Equity(
Symbols.SPY,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_equity.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 100m, 100m, 100m, 100m, 1));
_equityBuyOrder = new MarketOrder(Symbols.SPY, 1, DateTime.Now);
_forex = new Forex(
Symbols.EURUSD,
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(CashBook.AccountCurrency, 0, 1m),
SymbolProperties.GetDefault(CashBook.AccountCurrency));
_forex.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.EURUSD, 100m, 100m, 100m, 100m, 0));
_forexBuyOrder = new MarketOrder(Symbols.EURUSD, 1000, DateTime.Now);
}
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
{
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
var quoteCash = new Cash(Currencies.USD, 1000, 1);
var symbolProperties = SymbolProperties.GetDefault(Currencies.USD);
var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
var security = new Forex(exchangeHours, quoteCash, config, symbolProperties, ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null);
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.Fill(new FillModelParameters(
security,
order,
new MockSubscriptionDataConfigProvider(config),
Time.OneHour)).OrderEvent;
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
Assert.AreEqual(expected, fill.FillPrice);
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
}
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());
}
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, 1);
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();
}
