wehub-resource-sync
297 lines
11 KiB
C#
297 lines
11 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.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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using QuantConnect.Securities.Cfd;
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using QuantConnect.Securities.Forex;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.Option;
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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 AlphaStreamsFeeModelTests
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{
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[Test]
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public void CalculateEquityMinimumFeeInUSD()
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{
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var feeModel = new AlphaStreamsFeeModel();
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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(1m, fee.Value.Amount);
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}
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[Test]
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public void CalculateEquityFeeInUSD()
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{
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var feeModel = new AlphaStreamsFeeModel();
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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, 1000, 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(5m, fee.Value.Amount);
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}
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[TestCase(-1)]
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[TestCase(1)]
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public void CalculateOrderFeeForLongOrShortFutures(int quantity)
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{
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var tz = TimeZones.NewYork;
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var security = new Future(Symbols.Fut_SPY_Feb19_2016,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("USD", 0, 0),
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SymbolProperties.GetDefault("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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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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var parameters = new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
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);
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var fee = feeModel.GetOrderFee(parameters);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
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}
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[TestCase(-1)]
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[TestCase(1)]
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public void CalculateOrderFeeForLongOrShortOptions(int quantity)
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{
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var tz = TimeZones.NewYork;
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var security = new Option(Symbols.SPY_C_192_Feb19_2016,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("USD", 0, 0),
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new OptionSymbolProperties(SymbolProperties.GetDefault("USD")),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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null
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);
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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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var parameters = new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
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);
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var fee = feeModel.GetOrderFee(parameters);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
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}
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[TestCase(-1)]
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[TestCase(1)]
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public void GetMinimumOrderFeeForLongOrShortOptions(int quantity)
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{
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var tz = TimeZones.NewYork;
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var security = new Option(Symbols.SPY_C_192_Feb19_2016,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("USD", 0, 0),
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new OptionSymbolProperties(SymbolProperties.GetDefault("USD")),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache(),
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null
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);
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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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var parameters = new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
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);
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var fee = feeModel.GetOrderFee(parameters);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(Math.Abs(quantity) * 0.50m, fee.Value.Amount);
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}
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[TestCase(-1000)]
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[TestCase(1000)]
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public void CalculateOrderFeeForLongOrShortForex(int quantity)
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{
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var tz = TimeZones.NewYork;
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var security = new Forex(
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("USD", 0, 1),
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new Cash("EUR", 0, 0),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURUSD, Resolution.Minute, tz, tz, true, false, false),
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new SymbolProperties("EURUSD", "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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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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var parameters = new OrderFeeParameters(
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security,
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new MarketOrder(security.Symbol, quantity, DateTime.UtcNow)
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);
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var fee = feeModel.GetOrderFee(parameters);
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(0.000002m * security.Price * Math.Abs(quantity), fee.Value.Amount);
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}
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[TestCase(-1000000)]
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[TestCase(1000000)]
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public void CalculateOrderFeeForLongOrShortForexNonUsd(int quantity)
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{
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var conversionRate = 1.2m;
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var tz = TimeZones.NewYork;
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var security = new Forex(
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("GBP", 0, conversionRate),
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new Cash("EUR", 0, 0),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
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new SymbolProperties("EURGBP", "GBP", 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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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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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, quantity, 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(0.000002m * security.Price * Math.Abs(quantity) * conversionRate, fee.Value.Amount);
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}
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[Test]
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public void CalculateReturnsFeeInQuotecurrencyInAccountCurrency()
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{
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Crypto btcusd = new Crypto(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(Currencies.USD, 0, 1),
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new Cash("BTC", 0, 0),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCUSD, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, 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, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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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, 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(0.2m, fee.Value.Amount);
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}
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[Test]
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public void ReturnsFeeInQuoteCurrencyInOtherCurrency()
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{
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Crypto btceur = new Crypto(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash("EUR", 0, 10),
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new Cash("BTC", 0, 0),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.BTCEUR, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false),
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new SymbolProperties("BTCEUR", "EUR", 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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btceur.SetMarketPrice(new Tick(DateTime.UtcNow, btceur.Symbol, 100, 100));
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var feeModel = new AlphaStreamsFeeModel();
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var fee = feeModel.GetOrderFee(
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new OrderFeeParameters(
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btceur,
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new MarketOrder(btceur.Symbol, 1, DateTime.UtcNow)
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)
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);
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Assert.AreEqual("EUR", fee.Value.Currency);
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Assert.AreEqual(0.2m, fee.Value.Amount);
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}
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[Test]
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public void CalculateOrderFeeForCfd()
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{
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var tz = TimeZones.NewYork;
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var security = new Cfd(
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("EUR", 0, 0),
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new SubscriptionDataConfig(typeof(QuoteBar), Symbols.DE30EUR, Resolution.Minute, tz, tz, true, false, false),
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new SymbolProperties("DE30EUR", "EUR", 1, 0.01m, 1m, string.Empty),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, 12000, 12000));
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var feeModel = new AlphaStreamsFeeModel();
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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(0, fee.Value.Amount);
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}
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}
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}
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