public void PerformsLimitFillSell() { var model = new SecurityTransactionModel(); var order = new LimitOrder(Symbols.SPY, -100, 101.5m, Noon); 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)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m)); var fill = model.LimitFill(security, order); Assert.AreEqual(0, fill.FillQuantity); Assert.AreEqual(0, fill.FillPrice); Assert.AreEqual(OrderStatus.None, fill.Status); security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 101m, 102.3m, 100)); fill = model.LimitFill(security, order); // this fills worst case scenario, so it's at the limit price Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }
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 SellOnThursdaySettleOnTuesday() { var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); // settlement at T+3, 8:00 AM var model = new DelayedSettlementModel(3, TimeSpan.FromHours(8)); var config = CreateTradeBarConfig(Symbols.SPY); var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency)); portfolio.SetCash(3000); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); // Sell on Thursday var timeUtc = Noon.AddDays(3).ConvertToUtc(TimeZones.NewYork); model.ApplyFunds(portfolio, security, timeUtc, "USD", 1000); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Friday, still unsettled timeUtc = timeUtc.AddDays(1); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Saturday, still unsettled timeUtc = timeUtc.AddDays(1); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Sunday, still unsettled timeUtc = timeUtc.AddDays(1); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Monday, still unsettled timeUtc = timeUtc.AddDays(1); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Tuesday at 7:55 AM, still unsettled timeUtc = timeUtc.AddDays(1).AddHours(-4).AddMinutes(-5); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(3000, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Tuesday at 8 AM, now settled timeUtc = timeUtc.AddMinutes(5); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(4000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); }
public void EquitySellAppliesSettlementCorrectly() { var securityExchangeHours = SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(); var securities = new SecurityManager(TimeKeeper); var transactions = new SecurityTransactionManager(securities); var portfolio = new SecurityPortfolioManager(securities, transactions); portfolio.SetCash(1000); securities.Add(Symbols.AAPL, new VigiothCapital.QuantTrader.Securities.Equity.Equity(securityExchangeHours, CreateTradeBarDataConfig(SecurityType.Equity, Symbols.AAPL), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency))); var security = securities[Symbols.AAPL]; security.SettlementModel = new DelayedSettlementModel(3, TimeSpan.FromHours(8)); Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(1000, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); // Buy on Monday var timeUtc = new DateTime(2015, 10, 26, 15, 30, 0); var orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc)); var fill = new OrderEvent(1, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Buy, 100, 10, orderFee); portfolio.ProcessFill(fill); Assert.AreEqual(10, security.Holdings.Quantity); Assert.AreEqual(-1, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); // Sell on Tuesday, cash unsettled timeUtc = timeUtc.AddDays(1); orderFee = security.FeeModel.GetOrderFee(security, new MarketOrder(Symbols.AAPL, 10, timeUtc)); fill = new OrderEvent(2, Symbols.AAPL, timeUtc, OrderStatus.Filled, OrderDirection.Sell, 100, -10, orderFee); portfolio.ProcessFill(fill); Assert.AreEqual(0, security.Holdings.Quantity); Assert.AreEqual(-2, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Thursday, still cash unsettled timeUtc = timeUtc.AddDays(2); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(-2, portfolio.Cash); Assert.AreEqual(1000, portfolio.UnsettledCash); // Friday at open, cash settled var marketOpen = securityExchangeHours.MarketHours[timeUtc.DayOfWeek].GetMarketOpen(TimeSpan.Zero, false); Assert.IsTrue(marketOpen.HasValue); timeUtc = timeUtc.AddDays(1).Date.Add(marketOpen.Value).ConvertToUtc(securityExchangeHours.TimeZone); portfolio.ScanForCashSettlement(timeUtc); Assert.AreEqual(998, portfolio.Cash); Assert.AreEqual(0, portfolio.UnsettledCash); }
public void PerformsMarketFillSell() { var model = new SecurityTransactionModel(); var order = new MarketOrder(Symbols.SPY, -100, Noon); 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)); security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m)); var fill = model.MarketFill(security, order); Assert.AreEqual(order.Quantity, fill.FillQuantity); Assert.AreEqual(security.Price, fill.FillPrice); Assert.AreEqual(OrderStatus.Filled, fill.Status); }