wehub-resource-sync
117 lines
4.3 KiB
C#
117 lines
4.3 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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*/
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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.Securities;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Securities.Crypto;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Common.Orders.Fees
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{
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[TestFixture]
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public class AlpacaFeeModelTests
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{
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private readonly IFeeModel _feeModel = new AlpacaFeeModel();
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[Test]
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public void ZeroFee()
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{
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var security = SecurityTests.GetSecurity();
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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var fee = _feeModel.GetOrderFee(
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new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, 1, DateTime.UtcNow)
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)
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);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(0m, fee.Value.Amount);
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void CryptoTakerFee(OrderDirection orderDirection)
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{
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var btcusd = GetCryptoSecurity();
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var fee = _feeModel.GetOrderFee(
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new OrderFeeParameters(
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btcusd,
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new MarketOrder(btcusd.Symbol, orderDirection == OrderDirection.Sell ? -2 : 2, DateTime.UtcNow)
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)
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);
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if (orderDirection == OrderDirection.Buy)
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{
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Assert.AreEqual(btcusd.BaseCurrency.Symbol, fee.Value.Currency);
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Assert.AreEqual(0.005m, fee.Value.Amount);
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}
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else
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{
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Assert.AreEqual(btcusd.QuoteCurrency.Symbol, fee.Value.Currency);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(200m, fee.Value.Amount);
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}
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}
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[TestCase(OrderDirection.Buy)]
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[TestCase(OrderDirection.Sell)]
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public void CryptoMakerFee(OrderDirection orderDirection)
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{
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var btcusd = GetCryptoSecurity();
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var fee = _feeModel.GetOrderFee(
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new OrderFeeParameters(
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btcusd,
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new LimitOrder(btcusd.Symbol, orderDirection == OrderDirection.Sell ? -2 : 2, 50000, DateTime.UtcNow)
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)
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);
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if (orderDirection == OrderDirection.Buy)
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{
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Assert.AreEqual(btcusd.BaseCurrency.Symbol, fee.Value.Currency);
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Assert.AreEqual(0.003m, fee.Value.Amount);
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}
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else
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{
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Assert.AreEqual(btcusd.QuoteCurrency.Symbol, fee.Value.Currency);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(120m, fee.Value.Amount);
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}
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}
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private static Crypto GetCryptoSecurity()
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{
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var btcusd = new Crypto(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new Cash(Currencies.USD, 0, 1),
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new Cash("BTC", 0, 40000),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, TimeZones.Utc, TimeZones.Utc, true, false, false),
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new SymbolProperties("BTCUSD", Currencies.USD, 1, 0.01m, 0.00000001m, string.Empty),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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btcusd.SetMarketPrice(new Tick(DateTime.UtcNow, btcusd.Symbol, 40000, 40000));
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return btcusd;
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}
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}
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}
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