wehub-resource-sync
95 lines
3.8 KiB
C#
95 lines
3.8 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.Interfaces;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Brokerages
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{
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/// <summary>
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/// Helper class to abstract test cases from individual order types
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/// </summary>
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public abstract class OrderTestParameters : BaseOrderTestParameters
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{
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public Symbol Symbol { get; private set; }
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public SecurityType SecurityType { get; private set; }
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public IOrderProperties Properties { get; private set; }
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public OrderSubmissionData OrderSubmissionData { get; internal set; }
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public SymbolPropertiesDatabase SPDB { get; internal set; }
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protected OrderTestParameters(Symbol symbol, IOrderProperties properties = null, OrderSubmissionData orderSubmissionData = null)
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{
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Symbol = symbol;
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SecurityType = symbol.ID.SecurityType;
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Properties = properties;
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OrderSubmissionData = orderSubmissionData;
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SPDB = SymbolPropertiesDatabase.FromDataFolder();
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}
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public MarketOrder CreateLongMarketOrder(decimal quantity)
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{
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return new MarketOrder(Symbol, Math.Abs(quantity), DateTime.Now, properties: Properties)
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{
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Status = OrderStatus.New,
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OrderSubmissionData = OrderSubmissionData,
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PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
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};
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}
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public MarketOrder CreateShortMarketOrder(decimal quantity)
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{
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return new MarketOrder(Symbol, -Math.Abs(quantity), DateTime.Now, properties: Properties)
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{
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Status = OrderStatus.New,
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OrderSubmissionData = OrderSubmissionData,
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PriceCurrency = GetSymbolProperties(Symbol).QuoteCurrency
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};
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}
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/// <summary>
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/// Creates a sell order of this type
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/// </summary>
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public abstract Order CreateShortOrder(decimal quantity);
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/// <summary>
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/// Creates a long order of this type
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/// </summary>
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public abstract Order CreateLongOrder(decimal quantity);
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/// <summary>
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/// Modifies the order so it is more likely to fill
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/// </summary>
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public abstract bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice);
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/// <summary>
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/// The status to expect when submitting this order, typically just Submitted,
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/// unless market order, then Filled
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/// </summary>
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public abstract OrderStatus ExpectedStatus { get; }
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/// <summary>
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/// The status to expect when cancelling this order
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/// </summary>
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public abstract bool ExpectedCancellationResult { get; }
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/// <summary>
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/// True to continue modifying the order until it is filled, false otherwise
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/// </summary>
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public virtual bool ModifyUntilFilled => true;
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protected SymbolProperties GetSymbolProperties(Symbol symbol)
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{
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return SPDB.GetSymbolProperties(symbol.ID.Market, symbol, SecurityType, Currencies.USD);
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}
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}
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}
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