[InlineData("COTTON", 0, 500, 0.01, CurrencyType.USD, 71.40, 1, 500)] //High tick value and a high contract size
//Test to see all pipvalue calculations
public void PipValueCalcutionsCFD(string symbol, decimal tickvalue, decimal contractsize, decimal ticksize, CurrencyType basecurrency, decimal tick, decimal basevalue, decimal value)
{
//Arrange
SimAccount naccount = new SimAccount("testing", "test account", 1000, 100);
TickImpl ntick = new TickImpl(symbol);
ntick.Bid = tick;
ntick.Ask = tick;
ntick.BidSize = int.MaxValue;
ntick.AskSize = ntick.BidSize;
TickImpl ntickbase = new TickImpl("USD" + basecurrency.ToString());
ntickbase.Ask = basevalue;
ntickbase.Bid = basevalue;
ntickbase.BidSize = int.MaxValue;
ntickbase.AskSize = int.MaxValue;
CFDSecurity nsecurity = new CFDSecurity(symbol);
nsecurity.TickValue = tickvalue;
nsecurity.ContractSize = contractsize;
nsecurity.TickSize = ticksize;
nsecurity.Currency = basecurrency;
//add security
naccount.Securities.AddSecurity(nsecurity);
//Act
naccount.OnTick(ntickbase);
naccount.OnTick(ntick);
naccount.OnTick(ntick);
//Assert
naccount.Securities[symbol].PipValue.Should().BeApproximately(value, .00001M);
}
public void AccountBalanceUpdateForex()
{
//Arrange
SimAccount testaccount = new SimAccount("SIM1", "Menno's Account", initialbalance, leverage);
ForexSecurity ts = new ForexSecurity(sym);
ts.LotSize = 1000;
ts.ContractSize = ts.LotSize;
ts.PipSize = 0.0001M;
ts.TickSize = ts.PipSize / 10;
testaccount.Securities.AddSecurity(ts);
TickImpl tick = TickImpl.NewQuote(sym, p, p, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
TickImpl secondtick = TickImpl.NewQuote(sym, p + inc, p + inc, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
List <Trade> fills = new List <Trade>(new Trade[] {
// go long
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1000 @ $1
// increase bet
new TradeImpl(sym, p + inc, s * 2)
{
Security = ts, Account = testaccount, Commission = 2
}, // 2000 @ $1.1
// take some profits
new TradeImpl(sym, p + inc * 2, s * -1)
{
Security = ts, Account = testaccount, Commission = 1
}, // -1000 @ $1.2 (profit = 1000 * (1.2 - 1.0) = 200)
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, s * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // -2000 @ $1.2 (profit = 2000 * (1.2 - 1.1) = 200)
// go short
new TradeImpl(sym, p, s * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // -2000 @ $1
// decrease bet
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1000 @ $1
// exit (round turn)
new TradeImpl(sym, p + inc, s)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1000 @ $1 (loss = 1000 * (1.2 - 1.0) = 100)
// do another entry
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
} // 100 @ 100
});
//Act, fill all trades
testaccount.OnTick(tick);
testaccount.OnTick(secondtick);
foreach (var t in fills)
{
testaccount.OnFill(t);
}
//Assert
Assert.True(testaccount.Balance == 10300);
Assert.True(testaccount.Margin == 11);
Assert.True(testaccount.MarginLevel == (testaccount.Equity / testaccount.Margin) * 100);
}
public void LowMarginLevel()
{
//Arrange
SimAccount testaccount = new SimAccount("SIM1", "Menno's Account", initialbalance, leverage);
ForexSecurity ts = new ForexSecurity(sym);
ts.LotSize = 1000;
ts.PipSize = 0.0001M;
ts.TickSize = ts.PipSize / 10;
testaccount.Securities.AddSecurity(ts);
TickImpl tick = TickImpl.NewQuote(sym, p, p, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
TickImpl secondtick = TickImpl.NewQuote(sym, p + inc, p + inc, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
List <Trade> fills = new List <Trade>(new Trade[] {
// go long
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
}, // 100 @ $100
// increase bet
new TradeImpl(sym, p + inc, s * 2)
{
Security = ts, Account = testaccount, Commission = 2
}, // 300 @ $100.066666
// take some profits
new TradeImpl(sym, p + inc * 2, s * -1)
{
Security = ts, Account = testaccount, Commission = 1
}, // 200 @ 100.0666 (profit = 100 * (100.20 - 100.0666) = 13.34) / maxMIU(= 300*100.06666) = .04% ret
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, s * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // 0 @ 0
// go short
new TradeImpl(sym, p, s * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // -200 @ 100
// decrease bet
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
}, // -100 @100
// exit (round turn)
new TradeImpl(sym, p + inc, s * 5000)
{
Security = ts, Account = testaccount, Commission = 1
}, // 0 @ 0 (gross profit = -0.10*100 = -$10)
// do another entry
new TradeImpl(sym, p, s)
{
Security = ts, Account = testaccount, Commission = 1
} // 100 @ 100
});
//Act, fill all trades
testaccount.OnTick(tick);
testaccount.OnTick(secondtick);
foreach (var t in fills)
{
testaccount.OnFill(t);
}
//Assert
Assert.True(testaccount.Balance == 10300);
Assert.True(testaccount.Margin == 55000);
//Lower than 20% (Margin Call)
Assert.True(testaccount.MarginLevel < 20M);
}
public void AccountBalanceUpdateCFD()
{
//Arrange
SimAccount testaccount = new SimAccount("SIM1", "Menno's Account", initialbalance, leverage);
CFDSecurity ts = new CFDSecurity(sym);
ts.LotSize = 100;
ts.ContractSize = 50;
ts.PipSize = 0.1M;
ts.TickSize = ts.PipSize;
ts.TickValue = 5;
ts.Currency = CurrencyType.USD;
int size = 100;
testaccount.Securities.AddSecurity(ts);
TickImpl tick = TickImpl.NewQuote(sym, p, p, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
TickImpl secondtick = TickImpl.NewQuote(sym, p + inc, p + inc, int.MaxValue, int.MaxValue, ts.DestEx, ts.DestEx);
List <Trade> fills = new List <Trade>(new Trade[] {
// go long
new TradeImpl(sym, p, size)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1 @ $1
// increase bet
new TradeImpl(sym, p + inc, size * 2)
{
Security = ts, Account = testaccount, Commission = 2
}, // 2 @ $1.1
// take some profits
new TradeImpl(sym, p + inc * 2, size * -1)
{
Security = ts, Account = testaccount, Commission = 1
}, // -1 @ $1.2 (profit = 1 * (1.2 - 1.0) * 50 = 100)
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, size * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // -2 @ $1.2 (profit = 2 * (1.2 - 1.1) * 50 = 200)
// go short
new TradeImpl(sym, p, size * -2)
{
Security = ts, Account = testaccount, Commission = 2
}, // -2 @ $1
// decrease bet
new TradeImpl(sym, p, size)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1 @ $1
// exit (round turn)
new TradeImpl(sym, p + inc, size)
{
Security = ts, Account = testaccount, Commission = 1
}, // 1 @ $1 (loss = 1000 * (1.2 - 1.0) * 50 = 100)
// do another entry
new TradeImpl(sym, p, size)
{
Security = ts, Account = testaccount, Commission = 1
} // 1 @ $1
});
//Act, fill all trades
testaccount.OnTick(tick);
testaccount.OnTick(secondtick);
foreach (var t in fills)
{
testaccount.OnFill(t);
}
//Assert
Assert.True(testaccount.Balance == 10015);
Assert.True(testaccount.Margin == 0);
Assert.True(testaccount.MarginLevel == 1001500);
}
