public void CalculateFixedCost()
{
var series = GenerateTimeSeries.From(100, 105, 110, 100, 95, 105);
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0, 1.3d);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1));
Assert.AreEqual(2.6d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(2);
tradingRecord.Operate(3);
Assert.AreEqual(5.2d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(0);
Assert.AreEqual(6.5d, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateLinearCost()
{
var series = GenerateTimeSeries.From(100, 150, 200, 100, 50, 100);
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0.005, 0.2);
var tradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(1));
Assert.AreEqual(12.861, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(2);
tradingRecord.Operate(3);
Assert.AreEqual(24.3473, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
tradingRecord.Operate(5);
Assert.AreEqual(28.2204, transactionCost.Calculate(series, tradingRecord), TaTestsUtils.TaOffset);
}
public void CalculateFixedCostWithOneTrade()
{
var series = GenerateTimeSeries.From(100, 95, 100, 80, 85, 70);
var trade = new Trade();
IAnalysisCriterion transactionCost = new LinearTransactionCostCriterion(1000, 0, 0.75d);
Assert.AreEqual(0, (int)transactionCost.Calculate(series, trade));
trade.Operate(1);
Assert.AreEqual(0.75d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
trade.Operate(3);
Assert.AreEqual(1.5d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
trade.Operate(4);
Assert.AreEqual(1.5d, transactionCost.Calculate(series, trade), TaTestsUtils.TaOffset);
}