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chore: import upstream snapshot with attribution

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2026-07-13 13:02:50 +08:00
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Tests/Common/Securities/PriceVariationModelsTests.cs
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/*
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
*
* Licensed under the Apache License, Version 2.0 (the "License");
* you may not use this file except in compliance with the License.
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
*
* Unless required by applicable law or agreed to in writing, software
* distributed under the License is distributed on an "AS IS" BASIS,
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
* See the License for the specific language governing permissions and
* limitations under the License.
*/
using System;
using NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities;
namespace QuantConnect.Tests.Common.Securities.Equity
{
[TestFixture]
public class PriceVariationModelsTests
{
[TestCase("SPY", SecurityType.Equity, Market.USA, DataNormalizationMode.Adjusted)]
[TestCase("SPY", SecurityType.Equity, Market.USA, DataNormalizationMode.SplitAdjusted)]
[TestCase("EURUSD", SecurityType.Forex, Market.FXCM, DataNormalizationMode.Adjusted)]
[TestCase("EURUSD", SecurityType.Forex, Market.FXCM, DataNormalizationMode.SplitAdjusted)]
[TestCase("ZO", SecurityType.Future, Market.CBOT, DataNormalizationMode.Adjusted)]
public void CheckSecurityMinimumPriceVariation(string ticker, SecurityType securityType, string market, DataNormalizationMode mode)
{
var symbol = Symbol.Create(ticker, securityType, market);
var security = GetSecurity(symbol, mode);
var expected = security.SymbolProperties.MinimumPriceVariation;
var adjutedEquity = mode == DataNormalizationMode.Adjusted && securityType == SecurityType.Equity;
security.SetMarketPrice(new IndicatorDataPoint(symbol, DateTime.Now, 10m));
var actual = security.PriceVariationModel.GetMinimumPriceVariation(
new GetMinimumPriceVariationParameters(security, security.Price));
Assert.AreEqual(adjutedEquity ? 0 : expected, actual);
security.SetMarketPrice(new IndicatorDataPoint(symbol, DateTime.Now, 1m));
actual = security.PriceVariationModel.GetMinimumPriceVariation(
new GetMinimumPriceVariationParameters(security, security.Price));
Assert.AreEqual(adjutedEquity ? 0 : expected, actual);
// Special case, if stock price less than $1, minimum price variation is $0.0001
if (securityType == SecurityType.Equity) expected = 0.0001m;
security.SetMarketPrice(new IndicatorDataPoint(symbol, DateTime.Now, .99m));
actual = security.PriceVariationModel.GetMinimumPriceVariation(
new GetMinimumPriceVariationParameters(security, security.Price));
Assert.AreEqual(adjutedEquity ? 0 : expected, actual);
}
[TestCase("ZO", SecurityType.Future, Market.CBOT, DataNormalizationMode.Adjusted, new float[] { 3.7025f, 3.72f, 3.6875f, 3.6425f, 3.5225f, 3.5125f, 3.47f, 3.46f, 3.445f, 3.4625f, 3.435f, 3.3575f })]
public void CheckMinimumPriceVariationWithData(string ticker, SecurityType securityType, string market, DataNormalizationMode mode, float[] data)
{
var symbol = Symbol.Create(ticker, securityType, market);
var security = GetSecurity(symbol, mode);
var minimumPriceVariation = (float)security.SymbolProperties.MinimumPriceVariation;
var lastPrice = data[0];
for(var index = 1; index< data.Length; index++)
{
Assert.IsTrue(Math.Round(Math.Abs(data[index] - lastPrice) % minimumPriceVariation) == 0);
lastPrice = data[index];
}
}
[TestCase(0.9, 1.123456789, 0.01)]
[TestCase(0.9, 0.987654321, 0.0001)]
[TestCase(0.9, 0.999999999, 0.0001)]
[TestCase(0.9, 1, 0.01)]
[TestCase(0.9, 1.000000001, 0.01)]
[TestCase(1.1, 1.123456789, 0.01)]
[TestCase(1.1, 0.987654321, 0.0001)]
[TestCase(1.1, 0.999999999, 0.0001)]
[TestCase(1.1, 1, 0.01)]
[TestCase(1.1, 1.000000001, 0.01)]
public void MinimumPriceVariationChangesWithOrderPrice(decimal securityPrice, decimal orderPrice, decimal expected)
{
var symbol = Symbol.Create("YGTY", SecurityType.Equity, Market.USA);
var security = GetSecurity(symbol, DataNormalizationMode.Raw);
security.SetMarketPrice(new Tick { Value = securityPrice });
var actual = security.PriceVariationModel.GetMinimumPriceVariation(
new GetMinimumPriceVariationParameters(security, orderPrice));
Assert.AreEqual(expected, actual);
}
private Security GetSecurity(Symbol symbol, DataNormalizationMode mode)
{
var symbolProperties = SymbolPropertiesDatabase.FromDataFolder()
.GetSymbolProperties(symbol.ID.Market, symbol, symbol.ID.SecurityType, Currencies.USD);
Security security;
if (symbol.ID.SecurityType == SecurityType.Equity)
{
security = new QuantConnect.Securities.Equity.Equity(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new SubscriptionDataConfig(
typeof(TradeBar),
symbol,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
false
),
new Cash(Currencies.USD, 0, 1m),
symbolProperties,
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
}
else
{
security = new QuantConnect.Securities.Forex.Forex(
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
new Cash(Currencies.USD, 0, 1m),
new Cash(Currencies.EUR, 0, 1m),
new SubscriptionDataConfig(
typeof(TradeBar),
symbol,
Resolution.Minute,
TimeZones.NewYork,
TimeZones.NewYork,
true,
true,
false
),
symbolProperties,
ErrorCurrencyConverter.Instance,
RegisteredSecurityDataTypesProvider.Null
);
}
var TimeKeeper = new TimeKeeper(DateTime.Now.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
security.SetDataNormalizationMode(mode);
return security;
}
}
}