wehub-resource-sync
229 lines
11 KiB
C#
229 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 System.Collections.Generic;
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using System.Linq;
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using NUnit.Framework;
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using QuantConnect.Brokerages;
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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.Tests.Brokerages;
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using QuantConnect.Securities.CryptoFuture;
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using QuantConnect.Util;
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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 BinanceFuturesFeeModelTests
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{
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[Test]
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public void GetFeeModelTest()
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{
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var model = new BinanceFuturesBrokerageModel(AccountType.Margin);
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Assert.IsInstanceOf<BinanceFuturesFeeModel>(model.GetFeeModel(Securities[0]));
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}
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private static void TestFeeModel(BinanceFuturesFeeModel feeModel, OrderTestParameters parameters, bool shortOrder, decimal expectedFeeFactor)
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{
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var order = shortOrder ? parameters.CreateShortOrder(Quantity) : parameters.CreateLongOrder(Quantity);
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var security = Securities.First(x => x.Symbol == order.Symbol);
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var fee = feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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var expectedFee = expectedFeeFactor * Math.Abs(Quantity) * security.SymbolProperties.ContractMultiplier * security.Price;
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Assert.AreEqual(expectedFee, fee.Value.Amount);
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Assert.AreEqual(security.QuoteCurrency.Symbol, fee.Value.Currency);
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}
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private static decimal GetExpectedFee(Symbol symbol, decimal usdtFee, decimal busdFee)
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{
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var security = Securities.First(x => x.Symbol == symbol);
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return security.QuoteCurrency.Symbol == "USDT" ? usdtFee : busdFee;
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}
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[TestCaseSource(nameof(MakerOrders))]
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public void ReturnShortOrderMakerFees(OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel();
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var expectedMakerFee = GetExpectedFee(parameters.Symbol,
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BinanceFuturesFeeModel.MakerTier1USDTFee, BinanceFuturesFeeModel.MakerTier1BUSDFee);
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TestFeeModel(feeModel, parameters, true, expectedMakerFee);
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}
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[TestCaseSource(nameof(TakerOrders))]
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public void ReturnShortOrderTakerFees(OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel();
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var expectedTakerFee = GetExpectedFee(parameters.Symbol,
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BinanceFuturesFeeModel.TakerTier1USDTFee, BinanceFuturesFeeModel.TakerTier1BUSDFee);
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TestFeeModel(feeModel, parameters, true, expectedTakerFee);
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}
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[TestCaseSource(nameof(MakerOrders))]
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public void ReturnLongOrderMakerFees(OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel();
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var expectedMakerFee = GetExpectedFee(parameters.Symbol,
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BinanceFuturesFeeModel.MakerTier1USDTFee, BinanceFuturesFeeModel.MakerTier1BUSDFee);
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TestFeeModel(feeModel, parameters, false, expectedMakerFee);
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}
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[TestCaseSource(nameof(TakerOrders))]
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public void ReturnLongOrderTakerFees(OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel();
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var expectedTakerFee = GetExpectedFee(parameters.Symbol,
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BinanceFuturesFeeModel.TakerTier1USDTFee, BinanceFuturesFeeModel.TakerTier1BUSDFee);
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TestFeeModel(feeModel, parameters, false, expectedTakerFee);
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}
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[TestCaseSource(nameof(CustomMakerOrders))]
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public void ReturnShortOrderCustomMakerFees(decimal makerUsdtFee, decimal takerUsdtFee, decimal makerBusdFee, decimal takerBusdFee,
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OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel(makerUsdtFee, takerUsdtFee, makerBusdFee, takerBusdFee);
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var expectedMakerFee = GetExpectedFee(parameters.Symbol, makerUsdtFee, makerBusdFee);
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TestFeeModel(feeModel, parameters, true, expectedMakerFee);
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}
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[TestCaseSource(nameof(CustomTakerOrders))]
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public void ReturnShortOrderCustomTakerFees(decimal makerUsdtFee, decimal takerUsdtFee, decimal makerBusdFee, decimal takerBusdFee,
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OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel(makerUsdtFee, takerUsdtFee, makerBusdFee, takerBusdFee);
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var expectedTakerFee = GetExpectedFee(parameters.Symbol, takerUsdtFee, takerBusdFee);
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TestFeeModel(feeModel, parameters, true, expectedTakerFee);
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}
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[TestCaseSource(nameof(CustomMakerOrders))]
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public void ReturnLongOrderCustomMakerFees(decimal makerUsdtFee, decimal takerUsdtFee, decimal makerBusdFee, decimal takerBusdFee,
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OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel(makerUsdtFee, takerUsdtFee, makerBusdFee, takerBusdFee);
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var expectedMakerFee = GetExpectedFee(parameters.Symbol, makerUsdtFee, makerBusdFee);
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TestFeeModel(feeModel, parameters, false, expectedMakerFee);
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}
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[TestCaseSource(nameof(CustomTakerOrders))]
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public void ReturnLongOrderCustomTakerFees(decimal makerUsdtFee, decimal takerUsdtFee, decimal makerBusdFee, decimal takerBusdFee,
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OrderTestParameters parameters)
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{
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var feeModel = new BinanceFuturesFeeModel(makerUsdtFee, takerUsdtFee, makerBusdFee, takerBusdFee);
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var expectedTakerFee = GetExpectedFee(parameters.Symbol, takerUsdtFee, takerBusdFee);
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TestFeeModel(feeModel, parameters, false, expectedTakerFee);
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}
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private static readonly List<Symbol> Symbols = new List<Symbol>
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{
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Symbol.Create("ETHUSDT", SecurityType.CryptoFuture, Market.Binance),
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Symbol.Create("ETHBUSD", SecurityType.CryptoFuture, Market.Binance)
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};
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private static readonly List<CryptoFuture> Securities = Symbols.Select(symbol =>
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{
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CurrencyPairUtil.DecomposeCurrencyPair(symbol, out var baseCurrency, out var quoteCurrency);
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var security = new CryptoFuture(
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symbol,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(quoteCurrency, 0, 1m),
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new Cash(baseCurrency, 0, 1m),
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SymbolProperties.GetDefault(quoteCurrency),
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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, symbol, LowPrice, HighPrice));
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return security;
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}).ToList();
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private static readonly Dictionary<Symbol, OrderSubmissionData> OrderSubmissionData = Securities.ToDictionary(
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security => security.Symbol,
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security => new OrderSubmissionData(security.BidPrice, security.AskPrice, (security.BidPrice + security.AskPrice) / 2)
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);
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private static decimal HighPrice => 1000m;
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private static decimal LowPrice => 100m;
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private static decimal Quantity => 1m;
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private static TestCaseData[] MakerOrders => Symbols
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.Select(symbol => new[]
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{
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new TestCaseData(new LimitOrderTestParameters(symbol, HighPrice, LowPrice)),
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new TestCaseData(new LimitOrderTestParameters(symbol, HighPrice, LowPrice, null, OrderSubmissionData[symbol])),
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new TestCaseData(new LimitOrderTestParameters(symbol, HighPrice, LowPrice, new BinanceOrderProperties())),
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new TestCaseData(new LimitOrderTestParameters(symbol, LowPrice, HighPrice,
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new BinanceOrderProperties() { PostOnly = true }, OrderSubmissionData[symbol])),
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new TestCaseData(new LimitOrderTestParameters(symbol, HighPrice, LowPrice,
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new BinanceOrderProperties() { PostOnly = true }))
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})
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.SelectMany(x => x)
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.ToArray();
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private static TestCaseData[] TakerOrders => Symbols
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.Select(symbol => new[]
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{
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new TestCaseData(new MarketOrderTestParameters(symbol)),
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new TestCaseData(new MarketOrderTestParameters(symbol, new BinanceOrderProperties() { PostOnly = true })),
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new TestCaseData(new LimitOrderTestParameters(symbol, LowPrice, HighPrice, null, OrderSubmissionData[symbol]))
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})
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.SelectMany(x => x)
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.ToArray();
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private static TestCaseData[] CustomMakerOrders => Symbols
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.Select(symbol => new[]
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{
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new TestCaseData(0.0002m, 0.0004m, 0.00012m, 0.0003m,
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new LimitOrderTestParameters(symbol, HighPrice, LowPrice)),
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new TestCaseData(0.00016m, 0.0004m, 0.00012m, 0.0003m,
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new LimitOrderTestParameters(symbol, HighPrice, LowPrice, null, OrderSubmissionData[symbol])),
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new TestCaseData(0.00014m, 0.00035m, 0.00012m, 0.0003m,
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new LimitOrderTestParameters(symbol, HighPrice, LowPrice, new BinanceOrderProperties())),
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new TestCaseData(0.00012m, 0.00032m, 0.00012m, 0.0003m,
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new LimitOrderTestParameters(symbol, LowPrice, HighPrice, new BinanceOrderProperties() { PostOnly = true },
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OrderSubmissionData[symbol])),
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new TestCaseData(0.0001m, 0.0003m, 0.0001m, 0.0003m,
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new LimitOrderTestParameters(symbol, HighPrice, LowPrice, new BinanceOrderProperties() { PostOnly = true }))
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})
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.SelectMany(x => x)
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.ToArray();
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private static TestCaseData[] CustomTakerOrders => Symbols
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.Select(symbol => new[]
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{
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new TestCaseData(0.00016m, 0.0004m, 0.00012m, 0.0003m,
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new MarketOrderTestParameters(symbol)),
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new TestCaseData(0.00014m, 0.00035m, 0.00012m, 0.0003m,
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new MarketOrderTestParameters(symbol, new BinanceOrderProperties { PostOnly = true })),
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new TestCaseData(0.00012m, 0.00032m, 0.00012m, 0.0003m,
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new LimitOrderTestParameters(symbol, LowPrice, HighPrice, null, OrderSubmissionData[symbol]))
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})
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.SelectMany(x => x)
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.ToArray();
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}
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}
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