public void OldBaseFillModel_MarketOnCloseFill(bool isMarketAlwaysOpen)
{
var model = new TestFillModelInheritBaseClass();
var security = SecurityTests.GetSecurity(isMarketAlwaysOpen);
var reference = new DateTime(2022, 4, 5, 10, 0, 0);
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
var timeKeeper = new TimeKeeper(referenceUtc);
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
var args = new FillModelParameters(security, new MarketOnCloseOrder(security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config), Time.OneHour);
if (isMarketAlwaysOpen)
{
Assert.Throws <InvalidOperationException>(() => model.Fill(args));
}
else
{
var result = model.Fill(args);
Assert.True(model.MarketOnCloseFillWasCalled);
Assert.IsNotNull(result);
Assert.True(model.GetPricesWasCalled);
Assert.AreEqual(12345, result.OrderEvent.FillPrice);
}
}
public void OldBaseFillModel_MarketOnCloseFill()
{
var model = new TestFillModelInheritBaseClass();
var result = model.Fill(
new FillModelParameters(_security,
new MarketOnCloseOrder(_security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config)));
Assert.True(model.MarketOnCloseFillWasCalled);
Assert.IsNotNull(result);
Assert.True(model.GetPricesWasCalled);
Assert.AreEqual(12345, result.OrderEvent.FillPrice);
}
public void OldBaseFillModel_MarketOnOpenFill()
{
var model = new TestFillModelInheritBaseClass();
_security.SetMarketPrice(new Tick(orderDateTime, _security.Symbol, 88, 88)
{
TickType = TickType.Trade
});
var result = model.Fill(
new FillModelParameters(_security,
new MarketOnOpenOrder(_security.Symbol, 1, orderDateTime),
new MockSubscriptionDataConfigProvider(_config),
Time.OneHour));
Assert.True(model.MarketOnOpenFillWasCalled);
Assert.IsNotNull(result);
Assert.True(model.GetPricesWasCalled);
Assert.AreEqual(12345, result.OrderEvent.FillPrice);
}
