public void PerformsMarketOnCloseUsingClosingPrice() { var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close var model = new SecurityTransactionModel(); var order = new MarketOnCloseOrder(Symbols.SPY, 100, reference); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork)); var time = reference; TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes after 60min, so this is just before market Close time = reference.AddMinutes(59); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes time = reference.AddMinutes(60); TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork)); security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Close, fill.FillPrice); }
public void PerformsMarketOnCloseUsingClosingPrice() { var reference = DateTime.Today.AddHours(15);// before market close var model = new SecurityTransactionModel(); var order = new MarketOnCloseOrder(Symbol, SecurityType.Equity, 100, reference, 1m); var config = new SubscriptionDataConfig(typeof(TradeBar), SecurityType.Equity, Symbol, Resolution.Minute, true, true, true, true, false, 0); var security = new Security(config, 1) { Exchange = new EquityExchange() }; var time = reference; security.SetMarketPrice(time, new TradeBar(time, Symbol, 1m, 2m, 0.5m, 1.33m, 100)); var fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes after 60min, so this is just before market Close time = reference.AddMinutes(59); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.33m, 2.75m, 1.15m, 1.45m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(0, fill.FillQuantity); // market closes time = reference.AddMinutes(60); security.SetMarketPrice(time, new TradeBar(time, Symbol, 1.45m, 2.0m, 1.1m, 1.40m, 100)); fill = model.MarketOnCloseFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Close, fill.FillPrice); }