wehub-resource-sync
214 lines
10 KiB
C#
214 lines
10 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.Securities;
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using QuantConnect.Orders;
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using QuantConnect.Tests.Brokerages;
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using QuantConnect.Data.Market;
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using System;
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using QuantConnect.Orders.TimeInForces;
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using System.Collections.Generic;
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using QuantConnect.Data;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Tests.Common.Brokerages
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{
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[TestFixture]
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public class TradierBrokerageModelTests
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{
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private TradierBrokerageModel _tradierBrokerageModel = new TradierBrokerageModel();
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private static Security _security = GetSecurity(new DateTime(2025, 05, 28, 10, 0, 0));
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[SetUp]
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public void Init()
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{
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_security.Holdings.SetHoldings(1, 100);
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}
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[Test]
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public void CanSubmitOrderReturnsFalseWhenShortGTCOrder()
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{
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var order = GetOrder();
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order.Setup(x => x.Quantity).Returns(-101);
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Assert.IsFalse(_tradierBrokerageModel.CanSubmitOrder(_security, order.Object, out var message));
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var expectedMessage = new BrokerageMessageEvent(BrokerageMessageType.Warning, "ShortOrderIsGtc", "You cannot place short stock orders with GTC, only day orders are allowed");
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Assert.AreEqual(expectedMessage.Message, message.Message);
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}
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[Test]
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public void CanSubmitOrderReturnsFalseWhenSellShortOrderLastPriceBelow5()
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{
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var order = GetOrder();
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order.Setup(x => x.Quantity).Returns(-101);
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order.Object.Properties.TimeInForce = TimeInForce.Day;
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Assert.IsFalse(_tradierBrokerageModel.CanSubmitOrder(_security, order.Object, out var message));
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var expectedMessage = new BrokerageMessageEvent(BrokerageMessageType.Warning, "SellShortOrderLastPriceBelow5", "Sell Short order cannot be placed for stock priced below $5");
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Assert.AreEqual(expectedMessage.Message, message.Message);
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}
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[Test]
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public void CanSubmitOrderReturnsFalseWhenTimeInForceIsGoodTilDate()
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{
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var order = GetOrder();
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order.Setup(x => x.Quantity).Returns(101);
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order.Object.Properties.TimeInForce = TimeInForce.GoodTilDate(new DateTime());
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Assert.IsFalse(_tradierBrokerageModel.CanSubmitOrder(_security, order.Object, out var message));
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var expectedMessage = new BrokerageMessageEvent(BrokerageMessageType.Warning, "NotSupported", $"This model only supports orders with the following time in force types: {typeof(DayTimeInForce)} and {typeof(GoodTilCanceledTimeInForce)}");
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Assert.AreEqual(expectedMessage.Message, message.Message);
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}
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[TestCase(0.5)]
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[TestCase(10000001)]
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public void CanSubmitOrderReturnsFalseWhenIncorrectOrderQuantity(decimal quantity)
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{
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var order = GetOrder();
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order.Object.Properties.TimeInForce = TimeInForce.Day;
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order.Setup(x => x.Quantity).Returns(quantity);
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Assert.IsFalse(_tradierBrokerageModel.CanSubmitOrder(_security, order.Object, out var message));
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var expectedMessage = new BrokerageMessageEvent(BrokerageMessageType.Warning, "IncorrectOrderQuantity", "Quantity should be between 1 and 10,000,000");
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Assert.AreEqual(expectedMessage.Message, message.Message);
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}
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[Test]
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public void CanSubmitOrderReturnsTrueQuantityIsValidAndNotGTC()
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{
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var order = GetOrder();
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order.Setup(x => x.Quantity).Returns(-100);
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order.Object.Properties.TimeInForce = TimeInForce.Day;
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Assert.IsTrue(_tradierBrokerageModel.CanSubmitOrder(_security, order.Object, out var message));
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}
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[Test]
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public void CanSubmitOrderReturnsTrueWhenQuantityIsValidAndNotGTCAndPriceAbove5()
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{
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var order = new Mock<Order>();
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order.Setup(x => x.Quantity).Returns(-100);
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order.Object.Properties.TimeInForce = TimeInForce.Day;
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var security = GetSecurity(new DateTime(2025, 05, 28, 10, 0, 0));
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security.SetMarketPrice(new Tick(security.LocalTime, security.Symbol, 100, 1000));
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security.Holdings.SetHoldings(6, 100);
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order.Object.Symbol = security.Symbol;
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Assert.IsTrue(_tradierBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
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}
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[Test]
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public void CanSubmitOrderReturnsTrueWhenQuantityIsValidIsMarketOrderAndPriceAbove5()
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{
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var order = new Mock<Order>();
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order.Setup(x => x.Quantity).Returns(-100);
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var security = GetSecurity(new DateTime(2025, 05, 28, 10, 0, 0));
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security.SetMarketPrice(new Tick(security.LocalTime, security.Symbol, 100, 1000));
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security.Holdings.SetHoldings(6, 100);
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order.Object.Symbol = security.Symbol;
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Assert.IsTrue(_tradierBrokerageModel.CanSubmitOrder(security, order.Object, out var message));
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}
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[Test]
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public void CanSubmitOrderReturnsTrueForIndexOptions()
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{
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var symbol = Symbol.Create("SPX", SecurityType.IndexOption, Market.USA);
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var time = new DateTime(2025, 05, 28, 10, 0, 0);
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var tz = TimeZones.NewYork;
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var indexOption = new Option(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, tz, tz, true, false, false),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties("", Currencies.USD, 100, 0.01m, 1),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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var localTimeKeeper = new LocalTimeKeeper(time.ConvertToUtc(tz), tz);
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indexOption.Exchange.SetLocalDateTimeFrontierProvider(localTimeKeeper);
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var order = new LimitOrder(symbol, 1, 100m, time);
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var result = _tradierBrokerageModel.CanSubmitOrder(indexOption, order, out var message);
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Assert.IsTrue(result);
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Assert.IsNull(message);
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}
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private static IEnumerable<TestCaseData> ExtendedHoursTestCases
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{
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get
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{
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var preMarketTime = new DateTime(2025, 05, 28, 8, 0, 0);
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var postMarketTime = new DateTime(2025, 05, 28, 19, 0, 0);
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foreach (var time in new[] { preMarketTime, postMarketTime })
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{
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var equity = GetSecurity(time, marketAlwaysOpen: false);
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yield return new TestCaseData(time, equity, OrderType.Limit, true);
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yield return new TestCaseData(time, equity, OrderType.Market, false);
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yield return new TestCaseData(time, equity, OrderType.StopMarket, false);
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yield return new TestCaseData(time, equity, OrderType.StopLimit, false);
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var option = GetSecurity(time, securityType: SecurityType.Option, marketAlwaysOpen: false);
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yield return new TestCaseData(time, option, OrderType.Limit, false);
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yield return new TestCaseData(time, option, OrderType.Market, false);
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yield return new TestCaseData(time, option, OrderType.StopMarket, false);
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yield return new TestCaseData(time, option, OrderType.StopLimit, false);
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}
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}
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}
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[TestCaseSource(nameof(ExtendedHoursTestCases))]
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public void CanSubmitOrderOnExtendedHours(DateTime time, Security security, OrderType orderType, bool expectedResult)
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{
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var orderProperties = new TradierOrderProperties { OutsideRegularTradingHours = true };
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Order order = orderType switch
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{
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OrderType.Market => new MarketOrder(security.Symbol, 100, time, properties: orderProperties),
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OrderType.Limit => new LimitOrder(security.Symbol, 100, 100, time, properties: orderProperties),
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OrderType.StopMarket => new StopMarketOrder(security.Symbol, 100, 100, time, properties: orderProperties),
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OrderType.StopLimit => new StopLimitOrder(security.Symbol, 100, 100, 100, time, properties: orderProperties),
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_ => throw new ArgumentException($"Unsupported order type: {orderType}", nameof(orderType))
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};
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Assert.AreEqual(expectedResult, _tradierBrokerageModel.CanSubmitOrder(security, order, out var message));
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if (!expectedResult)
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{
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Assert.AreEqual(BrokerageMessageType.Warning, message.Type);
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Assert.AreEqual("ExtendedMarket", message.Code);
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Assert.IsTrue(message.Message.StartsWith("Tradier does not support explicitly placing out-of-regular-hours orders if not currently during the pre or post market session.", StringComparison.InvariantCultureIgnoreCase));
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}
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}
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private Mock<Order> GetOrder()
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{
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var order = new Mock<Order>();
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order.Object.Symbol = _security.Symbol;
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return order;
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}
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private static Security GetSecurity(DateTime time, SecurityType securityType = SecurityType.Equity, bool marketAlwaysOpen = true)
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{
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var security = TestsHelpers.GetSecurity(securityType: securityType, symbol: "IBM", market: Market.USA,
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marketAlwaysOpen: marketAlwaysOpen);
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var localTimeKeeper = new LocalTimeKeeper(time.ConvertToUtc(security.Exchange.TimeZone),
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security.Exchange.TimeZone);
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security.SetLocalTimeKeeper(localTimeKeeper);
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return security;
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}
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}
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}
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