wehub-resource-sync
81 lines
4.0 KiB
C#
81 lines
4.0 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Orders;
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using QuantConnect.Brokerages;
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using QuantConnect.Securities;
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using QuantConnect.Data.Market;
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using QuantConnect.Tests.Common.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 InteractiveBrokersFixModelTests
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{
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[TestCase(OrderType.ComboLimit, SecurityType.FutureOption, SecurityType.Future, false)]
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[TestCase(OrderType.ComboMarket, SecurityType.FutureOption, SecurityType.Future, false)]
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[TestCase(OrderType.ComboLimit, SecurityType.Future, SecurityType.Future, true)]
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[TestCase(OrderType.ComboLimit, SecurityType.FutureOption, SecurityType.FutureOption, true)]
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[TestCase(OrderType.ComboMarket, SecurityType.Future, SecurityType.Future, true)]
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[TestCase(OrderType.ComboMarket, SecurityType.FutureOption, SecurityType.FutureOption, true)]
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[TestCase(OrderType.ComboLegLimit, SecurityType.FutureOption, SecurityType.Future, false)]
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[TestCase(OrderType.ComboLegLimit, SecurityType.Future, SecurityType.Future, false)]
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[TestCase(OrderType.ComboLegLimit, SecurityType.FutureOption, SecurityType.FutureOption, false)]
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public void ComboOrderValidatesSecurityTypes(OrderType orderType, SecurityType securityType1, SecurityType securityType2, bool expected)
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{
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var model = new InteractiveBrokersFixModel();
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var groupManager = new GroupOrderManager(1, 2, 2);
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var leg1 = CreateSecurity(securityType1, 0);
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var leg2 = CreateSecurity(securityType2, 1);
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var order1 = new SubmitOrderRequest(orderType, securityType1, leg1.Symbol, 1, 1, 1, new DateTime(2025, 7, 10), "", groupOrderManager: groupManager);
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order1.SetOrderId(1);
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var leg1Order = Order.CreateOrder(order1);
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var order2 = new SubmitOrderRequest(orderType, securityType2, leg2.Symbol, -1, 1, 1, new DateTime(2025, 7, 10), "", groupOrderManager: groupManager);
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order2.SetOrderId(2);
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var leg2Order = Order.CreateOrder(order2);
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var canSubmit = model.CanSubmitOrder(leg1, leg1Order, out _) && model.CanSubmitOrder(leg2, leg2Order, out _);
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Assert.AreEqual(expected, canSubmit);
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}
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private static Security CreateSecurity(SecurityType securityType, int type)
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{
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var futureSymbol = Symbol.CreateFuture("ES", Market.CME, new DateTime(2025, 12, 19));
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var symbol = securityType == SecurityType.FutureOption
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? Symbol.CreateOption(futureSymbol, Market.CME, OptionStyle.American,
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type == 0 ? OptionRight.Call : OptionRight.Put,
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type == 0 ? 6000m : 5900m, new DateTime(2025, 12, 19))
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: futureSymbol;
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return new Security(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, false, true, false),
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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);
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}
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}
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}
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