/* * 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.Orders; using QuantConnect.Brokerages; using QuantConnect.Securities; using QuantConnect.Data.Market; using QuantConnect.Tests.Common.Securities; namespace QuantConnect.Tests.Common.Brokerages { [TestFixture, Parallelizable(ParallelScope.All)] public class InteractiveBrokersFixModelTests { [TestCase(OrderType.ComboLimit, SecurityType.FutureOption, SecurityType.Future, false)] [TestCase(OrderType.ComboMarket, SecurityType.FutureOption, SecurityType.Future, false)] [TestCase(OrderType.ComboLimit, SecurityType.Future, SecurityType.Future, true)] [TestCase(OrderType.ComboLimit, SecurityType.FutureOption, SecurityType.FutureOption, true)] [TestCase(OrderType.ComboMarket, SecurityType.Future, SecurityType.Future, true)] [TestCase(OrderType.ComboMarket, SecurityType.FutureOption, SecurityType.FutureOption, true)] [TestCase(OrderType.ComboLegLimit, SecurityType.FutureOption, SecurityType.Future, false)] [TestCase(OrderType.ComboLegLimit, SecurityType.Future, SecurityType.Future, false)] [TestCase(OrderType.ComboLegLimit, SecurityType.FutureOption, SecurityType.FutureOption, false)] public void ComboOrderValidatesSecurityTypes(OrderType orderType, SecurityType securityType1, SecurityType securityType2, bool expected) { var model = new InteractiveBrokersFixModel(); var groupManager = new GroupOrderManager(1, 2, 2); var leg1 = CreateSecurity(securityType1, 0); var leg2 = CreateSecurity(securityType2, 1); var order1 = new SubmitOrderRequest(orderType, securityType1, leg1.Symbol, 1, 1, 1, new DateTime(2025, 7, 10), "", groupOrderManager: groupManager); order1.SetOrderId(1); var leg1Order = Order.CreateOrder(order1); var order2 = new SubmitOrderRequest(orderType, securityType2, leg2.Symbol, -1, 1, 1, new DateTime(2025, 7, 10), "", groupOrderManager: groupManager); order2.SetOrderId(2); var leg2Order = Order.CreateOrder(order2); var canSubmit = model.CanSubmitOrder(leg1, leg1Order, out _) && model.CanSubmitOrder(leg2, leg2Order, out _); Assert.AreEqual(expected, canSubmit); } private static Security CreateSecurity(SecurityType securityType, int type) { var futureSymbol = Symbol.CreateFuture("ES", Market.CME, new DateTime(2025, 12, 19)); var symbol = securityType == SecurityType.FutureOption ? Symbol.CreateOption(futureSymbol, Market.CME, OptionStyle.American, type == 0 ? OptionRight.Call : OptionRight.Put, type == 0 ? 6000m : 5900m, new DateTime(2025, 12, 19)) : futureSymbol; return new Security( SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, false, true, false), new Cash(Currencies.USD, 0, 1m), SymbolProperties.GetDefault(Currencies.USD), ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null, new SecurityCache() ); } } }