quantconnect--lean/Tests/Common/Brokerages/FxcmBrokerageModelTests.cs

/*
 * 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.Brokerages;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Orders;
using QuantConnect.Securities;

namespace QuantConnect.Tests.Common.Brokerages
{
    [TestFixture, Parallelizable(ParallelScope.All)]
    public class FxcmBrokerageModelTests
    {
        private static Symbol _eurUsd = Symbol.Create("EURUSD", SecurityType.Forex, Market.FXCM);
        private SymbolPropertiesDatabase _symbolPropertiesDatabase;

        [OneTimeSetUp]
        public void Setup()
        {
            _symbolPropertiesDatabase = SymbolPropertiesDatabase.FromDataFolder();
        }

        [TestCaseSource(nameof(GetOrderTestData))]
        public void ValidatesOrders(OrderType orderType, Symbol symbol, decimal quantity, decimal stopPrice, decimal limitPrice, bool isValid)
        {
            var security = CreateSecurity(symbol);
            security.SetMarketPrice(new Tick { Value = symbol == _eurUsd ? 1m : 10000m });

            var request = new SubmitOrderRequest(orderType, symbol.SecurityType, symbol, quantity, stopPrice, limitPrice, DateTime.UtcNow, "");
            var order = Order.CreateOrder(request);

            var model = new FxcmBrokerageModel();

            BrokerageMessageEvent messageEvent;
            Assert.AreEqual(isValid, model.CanSubmitOrder(security, order, out messageEvent));
        }

        private Security CreateSecurity(Symbol symbol)
        {
            var quoteCurrency = symbol.Value.Substring(symbol.Value.Length - 3);
            var properties = _symbolPropertiesDatabase.GetSymbolProperties(
                symbol.ID.Market,
                symbol,
                symbol.SecurityType,
                quoteCurrency);

            return new Security(
                SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                new SubscriptionDataConfig(
                    typeof(QuoteBar),
                    symbol,
                    Resolution.Minute,
                    TimeZones.NewYork,
                    TimeZones.NewYork,
                    false,
                    false,
                    false
                ),
                new Cash(symbol.SecurityType == SecurityType.Equity ? properties.QuoteCurrency : quoteCurrency, 0, 1m),
                properties,
                ErrorCurrencyConverter.Instance,
                RegisteredSecurityDataTypesProvider.Null,
                new SecurityCache()
            );
        }

        private static TestCaseData[] GetOrderTestData()
        {
            var de30EUR = Symbol.Create("DE30EUR", SecurityType.Cfd, Market.FXCM); ;
            return new[]
            {
                // invalid security type
                new TestCaseData(OrderType.Market, Symbols.SPY, 1m, 0m, 0m, false),
                new TestCaseData(OrderType.Market, Symbols.BTCUSD, 1m, 0m, 0m, false),

                // invalid order type
                new TestCaseData(OrderType.MarketOnOpen, _eurUsd, 1m, 0m, 0m, false),
                new TestCaseData(OrderType.MarketOnClose, _eurUsd, 1m, 0m, 0m, false),
                new TestCaseData(OrderType.StopLimit, _eurUsd, 1m, 0m, 0m, false),

                // invalid lot size
                new TestCaseData(OrderType.Market, _eurUsd, 1m, 0m, 0m, false),
                new TestCaseData(OrderType.Market, de30EUR, 0.5m, 0m, 0m, false),

                // valid lot size
                new TestCaseData(OrderType.Market, _eurUsd, 1000m, 0m, 0m, true),
                new TestCaseData(OrderType.Market, de30EUR, 1m, 0m, 0m, true),

                // invalid limit buy price
                new TestCaseData(OrderType.Limit, _eurUsd, 1000m, 0m, 1.0001m, false),
                new TestCaseData(OrderType.Limit, _eurUsd, 1000m, 0m, 0.4999m, false),
                new TestCaseData(OrderType.Limit, de30EUR, 1m, 0m, 10000.1m, false),
                new TestCaseData(OrderType.Limit, de30EUR, 1m, 0m, 4999m, false),

                // valid limit buy price
                new TestCaseData(OrderType.Limit, _eurUsd, 1000m, 0m, 1m, true),
                new TestCaseData(OrderType.Limit, _eurUsd, 1000m, 0m, 0.5m, true),
                new TestCaseData(OrderType.Limit, de30EUR, 1m, 0m, 10000m, true),
                new TestCaseData(OrderType.Limit, de30EUR, 1m, 0m, 5000m, true),

                // invalid limit sell price
                new TestCaseData(OrderType.Limit, _eurUsd, -1000m, 0m, 0.9999m, false),
                new TestCaseData(OrderType.Limit, _eurUsd, -1000m, 0m, 1.5001m, false),
                new TestCaseData(OrderType.Limit, de30EUR, -1m, 0m, 9999.9m, false),
                new TestCaseData(OrderType.Limit, de30EUR, -1m, 0m, 15000.1m, false),

                // valid limit sell price
                new TestCaseData(OrderType.Limit, _eurUsd, -1000m, 0m, 1m, true),
                new TestCaseData(OrderType.Limit, _eurUsd, -1000m, 0m, 1.5m, true),
                new TestCaseData(OrderType.Limit, de30EUR, -1m, 0m, 10000m, true),
                new TestCaseData(OrderType.Limit, de30EUR, -1m, 0m, 15000m, true),

                // invalid stop buy price
                new TestCaseData(OrderType.StopMarket, _eurUsd, 1000m, 0.9999m, 0m, false),
                new TestCaseData(OrderType.StopMarket, _eurUsd, 1000m, 1.5001m, 0m, false),
                new TestCaseData(OrderType.StopMarket, de30EUR, 1m, 9999.9m, 0m, false),
                new TestCaseData(OrderType.StopMarket, de30EUR, 1m, 15000.1m, 0m, false),

                // valid stop buy price
                new TestCaseData(OrderType.StopMarket, _eurUsd, 1000m, 1m, 0m, true),
                new TestCaseData(OrderType.StopMarket, _eurUsd, 1000m, 1.5m, 0m, true),
                new TestCaseData(OrderType.StopMarket, de30EUR, 1m, 10000m, 0m, true),
                new TestCaseData(OrderType.StopMarket, de30EUR, 1m, 15000m, 0m, true),

                // invalid stop sell price
                new TestCaseData(OrderType.StopMarket, _eurUsd, -1000m, 1.0001m, 0m, false),
                new TestCaseData(OrderType.StopMarket, _eurUsd, -1000m, 0.4999m, 0m, false),
                new TestCaseData(OrderType.StopMarket, de30EUR, -1m, 10000.1m, 0m, false),
                new TestCaseData(OrderType.StopMarket, de30EUR, -1m, 4999m, 0m, false),

                // valid stop sell price
                new TestCaseData(OrderType.StopMarket, _eurUsd, -1000m, 1m, 0m, true),
                new TestCaseData(OrderType.StopMarket, _eurUsd, -1000m, 0.5m, 0m, true),
                new TestCaseData(OrderType.StopMarket, de30EUR, -1m, 10000m, 0m, true),
                new TestCaseData(OrderType.StopMarket, de30EUR, -1m, 5000m, 0m, true)
            };
        }
    }
}