wehub-resource-sync
83 lines
4.3 KiB
C#
83 lines
4.3 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using QuantConnect.Orders;
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using QuantConnect.Logging;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Brokerages
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{
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public abstract class BaseOrderTestParameters
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{
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/// <summary>
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/// Calculates the adjusted limit price for an order based on its direction
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/// and a price adjustment factor, ensuring the price moves toward being filled.
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/// </summary>
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/// <param name="orderDirection">The direction of the order (Buy or Sell).</param>
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/// <param name="previousLimitPrice">The previous limit price of the order.</param>
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/// <param name="targetMarketPrice">The target market price used to adjust the limit price.</param>
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/// <param name="priceAdjustmentFactor">The factor by which the price is adjusted.</param>
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/// <returns>The new, adjusted limit price.</returns>
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/// <exception cref="ArgumentOutOfRangeException">Thrown if the order direction is not Buy or Sell.</exception>
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protected virtual decimal CalculateAdjustedLimitPrice(OrderDirection orderDirection, decimal previousLimitPrice, decimal targetMarketPrice, decimal priceAdjustmentFactor)
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{
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var adjustmentLimitPrice = orderDirection switch
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{
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OrderDirection.Buy => Math.Max(previousLimitPrice * priceAdjustmentFactor, targetMarketPrice * priceAdjustmentFactor),
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OrderDirection.Sell => Math.Min(previousLimitPrice / priceAdjustmentFactor, targetMarketPrice / priceAdjustmentFactor),
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_ => throw new NotSupportedException("Unsupported order direction: " + orderDirection)
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};
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Log.Trace($"{nameof(CalculateAdjustedLimitPrice)}: {orderDirection} | Prev: {previousLimitPrice}, Target: {targetMarketPrice}, AdjustmentFactor: {priceAdjustmentFactor}, Result: {adjustmentLimitPrice}");
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return adjustmentLimitPrice;
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}
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/// <summary>
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/// Rounds the given price to the nearest increment defined by the underlying symbol's minimum price variation.
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/// </summary>
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/// <param name="price">The original price to round.</param>
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/// <param name="minimumPriceVariation">The minimum tick size or price increment for the symbol.</param>
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/// <returns>The price rounded to the nearest valid increment.</returns>
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protected virtual decimal RoundPrice(decimal price, decimal minimumPriceVariation)
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{
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var roundOffPlaces = minimumPriceVariation.GetDecimalPlaces();
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var roundedPrice = Math.Round(price / roundOffPlaces) * roundOffPlaces;
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Log.Trace($"{nameof(BaseOrderTestParameters)}.{nameof(RoundPrice)}: Price = {price}, Minimum Price increment = {minimumPriceVariation}, Rounded price = {roundedPrice}");
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return roundedPrice;
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}
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protected void ApplyUpdateOrderRequests(IReadOnlyCollection<Order> orders, UpdateOrderFields fields)
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{
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foreach (var order in orders)
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{
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ApplyUpdateOrderRequest(order, fields);
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}
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}
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protected void ApplyUpdateOrderRequest(Order order, UpdateOrderFields fields)
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{
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order.ApplyUpdateOrderRequest(new UpdateOrderRequest(DateTime.UtcNow, order.Id, fields));
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}
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/// <summary>
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/// Base class for defining order test parameters.
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/// Implement <see cref="ToString"/> to provide a descriptive name
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/// for displaying the test case in <c>Visual Studio Test Explorer</c>.
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/// </summary>
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/// <returns>A string representing the test parameters for display purposes.</returns>
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public abstract override string ToString();
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}
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}
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