wehub-resource-sync
326 lines
13 KiB
C#
326 lines
13 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 Moq;
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using NUnit.Framework;
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using QuantConnect.Brokerages;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Tests.Brokerages;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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using QuantConnect.Securities.CryptoFuture;
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namespace QuantConnect.Tests.Common.Brokerages
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{
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[TestFixture, Parallelizable(ParallelScope.All)]
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public class BybitBrokerageModelTests
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{
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private static readonly Symbol BTCUSDT = Symbol.Create("BTCUSDT", SecurityType.Crypto, Market.Bybit);
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private static readonly Symbol BTCUSDT_Future = Symbol.Create("BTCUSDT", SecurityType.CryptoFuture, Market.Bybit);
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private Security _crypto;
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private Security _cryptoFuture;
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protected virtual BybitBrokerageModel BybitBrokerageModel => new();
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[SetUp]
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public void Init()
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{
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_crypto = GetSecurity(BTCUSDT);
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_cryptoFuture = GetSecurity(BTCUSDT_Future);
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}
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private static Security GetSecurity(Symbol symbol)
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{
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return TestsHelpers.GetSecurity(symbol: symbol.Value,
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securityType: symbol.SecurityType,
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market: symbol.ID.Market,
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quoteCurrency: "USDT");
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}
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private static decimal GetMinOrderSize(Symbol symbol)
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{
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var crypto = GetSecurity(symbol);
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return crypto.SymbolProperties.MinimumOrderSize ?? 0;
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}
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private static IEnumerable<TestCaseData> MarketOrderSizeTestCases
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{
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get
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{
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yield return new TestCaseData(0.01m, true);
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yield return new TestCaseData(0.000001m, false);
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yield return new TestCaseData(GetMinOrderSize(BTCUSDT), true);
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}
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}
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[TestCaseSource(nameof(MarketOrderSizeTestCases))]
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public void CanSubmitMarketOrder_OrderSizeIsLargeEnough(decimal orderQuantity, bool isValidOrderQuantity)
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{
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var order = new Mock<MarketOrder>();
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order.Setup(x => x.Quantity).Returns(orderQuantity);
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_crypto.Cache.AddData(new Tick
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{
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AskPrice = 50001,
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BidPrice = 49999,
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Time = DateTime.UtcNow,
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Symbol = BTCUSDT,
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TickType = TickType.Quote,
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AskSize = 1,
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BidSize = 1
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});
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Assert.AreEqual(isValidOrderQuantity, BybitBrokerageModel.CanSubmitOrder(_crypto, order.Object, out var message));
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Assert.AreEqual(isValidOrderQuantity, message == null);
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if (!isValidOrderQuantity)
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{
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Assert.AreEqual(Messages.DefaultBrokerageModel.InvalidOrderQuantity(_crypto, order.Object.Quantity), message.Message);
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}
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}
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private static IEnumerable<TestCaseData> LimitOrderSizeTestCases
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{
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get
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{
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yield return new TestCaseData(0.01m, 4500m, true);
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yield return new TestCaseData(0.000001m, 4500m, false);
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yield return new TestCaseData(GetMinOrderSize(BTCUSDT), 4500m, true);
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}
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}
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[TestCaseSource(nameof(LimitOrderSizeTestCases))]
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public void CanSubmitLimitOrder_OrderSizeIsLargeEnough(decimal orderQuantity, decimal limitPrice, bool isValidOrderQuantity)
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{
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var order = new Mock<LimitOrder>
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{
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Object =
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{
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LimitPrice = limitPrice
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}
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};
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order.Setup(x => x.Quantity).Returns(orderQuantity);
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Assert.AreEqual(isValidOrderQuantity, BybitBrokerageModel.CanSubmitOrder(_crypto, order.Object, out var message));
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Assert.AreEqual(isValidOrderQuantity, message == null);
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if (!isValidOrderQuantity)
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{
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Assert.AreEqual(Messages.DefaultBrokerageModel.InvalidOrderQuantity(_crypto, order.Object.Quantity), message.Message);
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}
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}
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[TestCase(0.002, 5500, 5500, true)]
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[TestCase(0.000001, 5500, 5500, false)]
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[TestCase(0.002, 5500, 4500, true)]
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[TestCase(0.003, 4500, 5500, true)]
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[TestCase(0.003, 5500, 4500, true)]
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public void CanSubmitStopLimitOrder_OrderSizeIsLargeEnough(decimal orderQuantity, decimal stopPrice, decimal limitPrice, bool isValidOrderQuantity)
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{
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var order = new Mock<StopLimitOrder>
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{
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Object =
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{
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StopPrice = stopPrice,
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LimitPrice = limitPrice
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}
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};
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order.Setup(x => x.Quantity).Returns(orderQuantity);
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Assert.AreEqual(isValidOrderQuantity, BybitBrokerageModel.CanSubmitOrder(_crypto, order.Object, out var message));
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Assert.AreEqual(isValidOrderQuantity, message == null);
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if (!isValidOrderQuantity)
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{
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Assert.AreEqual(Messages.DefaultBrokerageModel.InvalidOrderQuantity(_crypto, order.Object.Quantity), message.Message);
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}
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}
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[Test]
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public void CanSubmitMarketOrder_IfPriceNotInitialized()
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{
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var order = new Mock<MarketOrder>();
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order.Setup(x => x.Quantity).Returns(1m);
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var security = TestsHelpers.GetSecurity(symbol: BTCUSDT.Value, market: BTCUSDT.ID.Market, quoteCurrency: "USDT");
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Assert.AreEqual(true, BybitBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
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Assert.Null(message);
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}
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[TestCase(0.002, 5500, true)]
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[TestCase(0.000001, 5500, false)]
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[TestCase(0.002, 4500, true)]
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[TestCase(0.002, 5500, true)]
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[TestCase(0.003, 4500, true)]
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[TestCase(0.003, 5500, true)]
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public void CanSubmitStopMarketOrder_OrderSizeIsLargeEnough(decimal orderQuantity, decimal stopPrice, bool isValidOrderQuantity)
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{
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var order = new Mock<StopMarketOrder>
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{
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Object =
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{
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StopPrice = stopPrice
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}
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};
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order.Setup(x => x.Quantity).Returns(orderQuantity);
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var security = TestsHelpers.GetSecurity(symbol: BTCUSDT.Value, market: BTCUSDT.ID.Market, quoteCurrency: "USDT");
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Assert.AreEqual(isValidOrderQuantity, BybitBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
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Assert.AreEqual(isValidOrderQuantity, message == null);
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if (!isValidOrderQuantity)
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{
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Assert.AreEqual(Messages.DefaultBrokerageModel.InvalidOrderQuantity(_crypto, order.Object.Quantity),message.Message);
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}
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}
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[TestCase(SecurityType.Crypto, AccountType.Cash, ExpectedResult = 1)]
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[TestCase(SecurityType.Crypto, AccountType.Margin, ExpectedResult = 10)]
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[TestCase(SecurityType.CryptoFuture, AccountType.Cash, ExpectedResult = 1)]
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[TestCase(SecurityType.CryptoFuture, AccountType.Margin, ExpectedResult = 10)]
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public decimal ReturnsCorrectLeverage(SecurityType securityType, AccountType accountType)
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{
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var security = securityType == SecurityType.Crypto ? _crypto : _cryptoFuture;
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return new BybitBrokerageModel(accountType).GetLeverage(security);
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}
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[TestCase(SecurityType.Crypto, AccountType.Cash, typeof(CashBuyingPowerModel))]
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[TestCase(SecurityType.Crypto, AccountType.Margin, typeof(SecurityMarginModel))]
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[TestCase(SecurityType.CryptoFuture, AccountType.Cash, typeof(CryptoFutureMarginModel))]
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[TestCase(SecurityType.CryptoFuture, AccountType.Margin, typeof(CryptoFutureMarginModel))]
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public void ReturnsCorrectBuyingPowerModel(SecurityType securityType, AccountType accountType, Type expectedMarginModelType)
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{
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var security = securityType == SecurityType.Crypto ? _crypto : _cryptoFuture;
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Assert.IsInstanceOf(expectedMarginModelType, new BybitBrokerageModel(accountType).GetBuyingPowerModel(security));
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}
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[TestCase(SecurityType.Crypto, typeof(BybitFeeModel))]
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[TestCase(SecurityType.CryptoFuture, typeof(BybitFuturesFeeModel))]
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[TestCase(SecurityType.Base, typeof(ConstantFeeModel))]
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public void ReturnCorrectFeeModel(SecurityType securityType, Type expectedFeeModelType)
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{
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var security = securityType switch
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{
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SecurityType.Crypto => _crypto,
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SecurityType.CryptoFuture => _cryptoFuture,
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_ => TestsHelpers.GetSecurity(symbol: "BTCUSDT", securityType: SecurityType.Base, market: Market.Bybit, quoteCurrency: "USDT")
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};
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Assert.IsInstanceOf(expectedFeeModelType, BybitBrokerageModel.GetFeeModel(security));
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}
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[Test]
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public virtual void CryptoMapped()
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{
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var defaultMarkets = BybitBrokerageModel.DefaultMarkets;
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Assert.AreEqual(Market.Bybit, defaultMarkets[SecurityType.Crypto]);
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Assert.AreEqual(Market.Bybit, defaultMarkets[SecurityType.CryptoFuture]);
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}
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[TestCase(SecurityType.Crypto, false)]
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[TestCase(SecurityType.CryptoFuture, true)]
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public void CannotUpdateOrder_IfSecurityIsNotCryptoFuture(SecurityType securityType, bool canUpdate)
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{
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var order = new Mock<MarketOrder>
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{
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Object =
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{
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Id = 1,
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Quantity = 1,
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Status = OrderStatus.Submitted
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}
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};
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var updateRequest = new UpdateOrderRequest(DateTime.UtcNow, 1, new UpdateOrderFields { Quantity = 2 });
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var security = securityType == SecurityType.Crypto ? _crypto : _cryptoFuture;
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Assert.AreEqual(canUpdate, BybitBrokerageModel.CanUpdateOrder(security, order.Object, updateRequest, out var message));
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if (!canUpdate)
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{
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Assert.AreEqual(message.Message, Messages.DefaultBrokerageModel.OrderUpdateNotSupported);
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}
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}
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[TestCase(OrderStatus.New, true)]
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[TestCase(OrderStatus.Submitted, true)]
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[TestCase(OrderStatus.PartiallyFilled, true)]
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[TestCase(OrderStatus.UpdateSubmitted, true)]
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[TestCase(OrderStatus.Canceled, false)]
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[TestCase(OrderStatus.Filled, false)]
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[TestCase(OrderStatus.Invalid, false)]
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[TestCase(OrderStatus.None, false)]
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[TestCase(OrderStatus.CancelPending, false)]
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public void CannotUpdateOrder_IfWrongOrderStatus(OrderStatus status, bool canUpdate)
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{
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var order = new LimitOrder(BTCUSDT, 1, 1000, DateTime.Now) { Status = status };
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var request = new UpdateOrderRequest(DateTime.UtcNow, 1, new UpdateOrderFields());
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Assert.AreEqual(canUpdate, BybitBrokerageModel.CanUpdateOrder(_cryptoFuture, order, request, out var message));
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if (!canUpdate)
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{
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Assert.AreEqual("NotSupported", message.Code);
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}
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}
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[TestCase(0.1, true)]
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[TestCase(0.000001, false)]
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public void CanUpdateOrder_OrderSizeIsLargeEnough(decimal newOrderQuantity, bool isLargeEnough)
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{
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var order = new LimitOrder(BTCUSDT, 1, 1000, DateTime.Now) { Status = OrderStatus.New };
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var request = new UpdateOrderRequest(DateTime.UtcNow, 1, new UpdateOrderFields { Quantity = newOrderQuantity });
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Assert.AreEqual(isLargeEnough, BybitBrokerageModel.CanUpdateOrder(_cryptoFuture, order, request, out var message));
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if (!isLargeEnough)
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{
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Assert.AreEqual(Messages.DefaultBrokerageModel.InvalidOrderQuantity(_cryptoFuture, request.Quantity.Value), message.Message);
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}
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}
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[TestFixture]
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public class Margin
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{
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private readonly Symbol _btcusdt = Symbol.Create("BTCUSDT", SecurityType.Crypto, Market.Bybit);
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private Security _security;
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private static BybitBrokerageModel BybitBrokerageModel => new(AccountType.Margin);
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[SetUp]
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public void Init()
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{
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_security = TestsHelpers.GetSecurity(symbol: _btcusdt.Value, market: _btcusdt.ID.Market, quoteCurrency: "USDT");
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}
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[Test]
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public void ReturnsSecurityMarginModel_ForMarginAccount()
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{
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Assert.IsInstanceOf<SecurityMarginModel>(BybitBrokerageModel.GetBuyingPowerModel(_security));
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}
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[Test]
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public virtual void Returns10m_IfMarginAccount()
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{
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Assert.AreEqual(10m, BybitBrokerageModel.GetLeverage(_security));
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}
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}
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}
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}
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