public void LastPriceFxDataIsInvertedWhenNecessary()
{
var inst = new Instrument {
Symbol = "USD.CAD", ID = 1, AssetCategory = AssetClass.Cash
};
var startDate = new DateTime(2000, 1, 1);
var fxrSetStub = new DbSetStub <FXRate>();
fxrSetStub.Add(new FXRate {
FromCurrencyID = 2, ToCurrencyID = 1, Date = startDate, Rate = 1.1m
});
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "CAD"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
decimal fxRate;
var price = _datasourcer.GetLastPrice(inst, out fxRate);
Assert.AreEqual(1m / 1.1m, price);
}
public async void CashInstrumentLocalRequestsUseFxRates()
{
DateTime startDate = new DateTime(2000, 1, 1);
DateTime endDate = new DateTime(2000, 1, 3);
var inst = new Instrument {
ID = 1, Symbol = "EUR.USD", AssetCategory = AssetClass.Cash, QDMSInstrumentID = 2
};
var fxrSetStub = new DbSetStub <FXRate>();
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "EUR"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
_externalSourceMock.Setup(
x => x.GetData(It.IsAny <Instrument>(),
It.IsAny <DateTime>(),
It.IsAny <DateTime>(),
It.IsAny <BarSize>()))
.ReturnsAsync(new List <OHLCBar>());
await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
_contextMock.Verify(x => x.FXRates);
}
public async void FxDataIsInvertedWhenNecessary()
{
var inst = new Instrument {
Symbol = "USD.CAD", ID = 1, AssetCategory = AssetClass.Cash
};
var startDate = new DateTime(2000, 1, 1);
var endDate = new DateTime(2000, 1, 1);
var fxrSetStub = new DbSetStub <FXRate>();
fxrSetStub.Add(new FXRate {
FromCurrencyID = 2, ToCurrencyID = 1, Date = startDate, Rate = 1.1m
});
var currencySetStub = new DbSetStub <Currency>();
currencySetStub.Add(new Currency {
ID = 2, Name = "CAD"
});
_contextMock.Setup(x => x.Currencies).Returns(currencySetStub);
_contextMock.Setup(x => x.FXRates).Returns(fxrSetStub);
var data = await _datasourcer.GetData(inst, startDate, endDate).ConfigureAwait(true);
Assert.AreEqual(1m / 1.1m, data[0].Close);
}
public void CashTransactionsAreCorrectlyIncludedInPnL()
{
_t.Orders.Add(new Order {
Quantity = 10, Instrument = _inst, Price = 100, FXRateToBase = 1, BuySell = "BUY", TradeDate = new DateTime(2000, 1, 1)
});
_t.CashTransactions.Add(new CashTransaction {
Instrument = _inst, InstrumentID = 1, FXRateToBase = 1, Amount = 5, TransactionDate = new DateTime(2000, 1, 2)
});
_dbSetStub.Add(new EquitySummary
{
Date = new DateTime(2000, 1, 2),
Total = 10000
});
_repository.UpdateStats(_t, true);
Assert.AreEqual(5, _t.ResultDollars);
Assert.AreEqual(5, _t.ResultDollarsLong);
Assert.AreEqual(0, _t.ResultDollarsShort);
}