wehub-resource-sync
284 lines
13 KiB
C#
284 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.Tests.Brokerages;
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using System;
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using System.Collections.Generic;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities;
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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 CoinbaseBrokerageModelTests
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{
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private readonly CoinbaseBrokerageModel _coinbaseBrokerageModel = new CoinbaseBrokerageModel();
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[Test]
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public void GetLeverageTest()
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{
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Assert.AreEqual(1, _coinbaseBrokerageModel.GetLeverage(TestsHelpers.GetSecurity()));
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}
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[Test]
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public void GetFeeModelTest()
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{
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Assert.IsInstanceOf<CoinbaseFeeModel>(_coinbaseBrokerageModel.GetFeeModel(TestsHelpers.GetSecurity()));
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}
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[Test]
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public void GetBuyingPowerModelTest()
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{
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Assert.IsInstanceOf<CashBuyingPowerModel>(_coinbaseBrokerageModel.GetBuyingPowerModel(TestsHelpers.GetSecurity()));
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}
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[Test]
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public void CanUpdateOrderTest()
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{
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BrokerageMessageEvent message;
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Assert.AreEqual(false, _coinbaseBrokerageModel.CanUpdateOrder(TestsHelpers.GetSecurity(), Mock.Of<Order>(),
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new UpdateOrderRequest(DateTime.UtcNow, 1, new UpdateOrderFields()), out message));
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}
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[TestCase(true)]
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[TestCase(false)]
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public void CanSubmitOrder_WhenBrokerageIdIsCorrect(bool isUpdate)
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{
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BrokerageMessageEvent message;
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var order = new Mock<Order>();
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order.Setup(x => x.Quantity).Returns(10.0m);
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if (isUpdate)
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{
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order.Object.BrokerId = new List<string>() {"abc123"};
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}
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Assert.AreEqual(!isUpdate, _coinbaseBrokerageModel.CanSubmitOrder(TestsHelpers.GetSecurity(), order.Object, out message));
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}
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[TestCase(0.01, true)]
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[TestCase(0.0000000015, false)]
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public void CanSubmitOrder_WhenQuantityIsLargeEnough(decimal orderQuantity, bool isValidOrderQuantity)
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{
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BrokerageMessageEvent message;
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var order = new Mock<Order>();
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order.Setup(x => x.Quantity).Returns(orderQuantity);
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Assert.AreEqual(isValidOrderQuantity, _coinbaseBrokerageModel.CanSubmitOrder(TestsHelpers.GetSecurity(market: Market.Coinbase), order.Object, out message));
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}
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[TestCase(SecurityType.Crypto, true)]
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[TestCase(SecurityType.Option, false)]
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[TestCase(SecurityType.Cfd, false)]
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[TestCase(SecurityType.Forex, false)]
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[TestCase(SecurityType.Future, false)]
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[TestCase(SecurityType.Equity, false)]
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public void CanOnlySubmitCryptoOrders(SecurityType securityType, bool isValidSecurityType)
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{
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BrokerageMessageEvent message;
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var order = new Mock<Order>();
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order.Setup(x => x.Quantity).Returns(10.0m);
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Assert.AreEqual(isValidSecurityType, _coinbaseBrokerageModel.CanSubmitOrder(TestsHelpers.GetSecurity(1.0m, securityType), order.Object, out message));
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}
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[TestCase(OrderType.Market, 2019, 2, 1, 0, 0, 0, true)]
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[TestCase(OrderType.Limit, 2019, 2, 1, 0, 0, 0, true)]
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[TestCase(OrderType.MarketOnClose, 2019, 2, 1, 0, 0, 0, false)]
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[TestCase(OrderType.MarketOnOpen, 2019, 2, 1, 0, 0, 0, false)]
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[TestCase(OrderType.StopLimit, 2019, 2, 1, 0, 0, 0, true)]
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[TestCase(OrderType.StopMarket, 2019, 2, 1, 0, 0, 0, true)]
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[TestCase(OrderType.StopMarket, 2019, 3, 23, 0, 59, 59, true)]
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[TestCase(OrderType.StopMarket, 2019, 3, 23, 1, 0, 0, false)]
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public void CanSubmit_CertainOrderTypes(OrderType orderType, int year, int month, int day, int hour, int minute, int second, bool isValidOrderType)
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{
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var utcTime = new DateTime(year, month, day, hour, minute, second);
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BrokerageMessageEvent message;
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var security = TestsHelpers.GetSecurity();
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var order = Order.CreateOrder(new SubmitOrderRequest(orderType, SecurityType.Crypto, security.Symbol, 10.0m, 1.0m, 10.0m, utcTime, "Test Order"));
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Assert.AreEqual(isValidOrderType, _coinbaseBrokerageModel.CanSubmitOrder(security, order, out message));
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}
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[Test]
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public void FeeModelReturnsCorrectOrderFeeForTakerMarketOrder()
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{
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var security = TestsHelpers.GetSecurity();
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security.FeeModel = new CoinbaseFeeModel();
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security.SetMarketPrice(new TradeBar { Symbol = security.Symbol, Close = 5000m });
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var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, 1, DateTime.MinValue)));
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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}
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[Test]
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public void FeeModelReturnsCorrectOrderFeeForMakerLimitOrdersTickResolution()
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{
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var security = TestsHelpers.GetSecurity(resolution: Resolution.Tick);
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security.FeeModel = new CoinbaseFeeModel();
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security.SetMarketPrice(new Tick { Symbol = security.Symbol, Value = 5000m });
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var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 4999.99m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(0, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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security.SetMarketPrice(new Tick { Symbol = security.Symbol, BidPrice = 5000m, AskPrice = 5000.01m, TickType = TickType.Quote });
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 5000m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(0, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, -1, 5000.01m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(0, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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}
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[Test]
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public void FeeModelReturnsCorrectOrderFeeForTakerLimitOrdersTickResolution()
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{
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var security = TestsHelpers.GetSecurity(resolution: Resolution.Tick);
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security.FeeModel = new CoinbaseFeeModel();
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security.SetMarketPrice(new Tick { Symbol = security.Symbol, Value = 5000m });
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var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 5000.01m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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// marketable buy limit fill at 5000
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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security.SetMarketPrice(new Tick { Symbol = security.Symbol, BidPrice = 5000m, AskPrice = 5000.01m, TickType = TickType.Quote });
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 5000.01m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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// marketable buy limit fill at 5000.01
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Assert.AreEqual(15.00003m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, -1, 5000m, DateTime.MinValue)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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// marketable sell limit fill at 5000
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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}
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[Test]
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public void FeeModelReturnsCorrectOrderFeeForMakerLimitOrdersMinuteResolution()
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{
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var time = new DateTime(2018, 4, 10);
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var security = TestsHelpers.GetSecurity();
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security.FeeModel = new CoinbaseFeeModel();
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security.SetMarketPrice(new TradeBar { Symbol = security.Symbol, Close = 5000m, EndTime = time.AddSeconds(75) });
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var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 4999.99m, time)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(0, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, -1, 5000.01m, time)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(0, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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}
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[Test]
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public void FeeModelReturnsCorrectOrderFeeForTakerLimitOrdersMinuteResolution()
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{
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var time = new DateTime(2018, 4, 10);
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var security = TestsHelpers.GetSecurity();
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security.FeeModel = new CoinbaseFeeModel();
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security.SetMarketPrice(new TradeBar { Symbol = security.Symbol, Close = 5000m, EndTime = time.AddMinutes(1) });
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var orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 5000m, time)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, 1, 5050m, time)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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orderFee = security.FeeModel.GetOrderFee(new OrderFeeParameters(
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security, new LimitOrder(security.Symbol, -1, 4950m, time)
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{
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OrderSubmissionData = new OrderSubmissionData(security.BidPrice, security.AskPrice, security.Price)
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}));
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Assert.AreEqual(15m, orderFee.Value.Amount);
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Assert.AreEqual(Currencies.USD, orderFee.Value.Currency);
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}
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[Test]
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public void ThrowsWhenCalledWithMarginAccountType()
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{
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Assert.Throws<ArgumentException>(() =>
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{
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new CoinbaseBrokerageModel(AccountType.Margin);
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}, "The Coinbase brokerage does not currently support Margin trading.");
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}
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}
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}
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