wehub-resource-sync
112 lines
4.0 KiB
C#
112 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.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.Crypto;
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namespace QuantConnect.Tests.Common.Orders.Fees
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{
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[TestFixture]
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class BitfinexFeeModelTests
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{
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private Crypto _btcusd;
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private Crypto _btceur;
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private readonly IFeeModel _feeModel = new BitfinexFeeModel();
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[SetUp]
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public void Initialize()
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{
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var tz = TimeZones.NewYork;
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_btcusd = new Crypto(
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SecurityExchangeHours.AlwaysOpen(tz),
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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, tz, tz, 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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_btceur = new Crypto(
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SecurityExchangeHours.AlwaysOpen(tz),
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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, tz, tz, 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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}
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[TestCase(1)]
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[TestCase(-1)]
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public void ReturnsFeeInQuoteCurrencyInAccountCurrency(decimal quantity)
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{
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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, quantity, DateTime.UtcNow)
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)
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);
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if (quantity > 0)
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{
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Assert.AreEqual("BTC", fee.Value.Currency);
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// 1 (quantity) * 0.002 (taker fee)
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Assert.AreEqual(0.002m, fee.Value.Amount);
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}
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else
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{
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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// 100 (price) * 0.002 (taker fee)
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Assert.AreEqual(0.2m, fee.Value.Amount);
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}
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}
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[TestCase(1)]
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[TestCase(-1)]
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public void ReturnsFeeInQuoteCurrencyInOtherCurrency(decimal quantity)
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{
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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, quantity, DateTime.UtcNow)
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)
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);
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if (quantity > 0)
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{
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Assert.AreEqual("BTC", fee.Value.Currency);
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// 1 (quantity) * 0.002 (taker fee)
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Assert.AreEqual(0.002m, fee.Value.Amount);
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}
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else
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{
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Assert.AreEqual("EUR", fee.Value.Currency);
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// 100 (price) * 0.002 (taker fee)
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Assert.AreEqual(0.2m, fee.Value.Amount);
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}
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}
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}
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}
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