wehub-resource-sync
448 lines
25 KiB
C#
448 lines
25 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.Linq;
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using Moq;
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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.Crypto;
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using QuantConnect.Securities.Forex;
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using QuantConnect.Securities.Future;
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using QuantConnect.Securities.FutureOption;
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using QuantConnect.Securities.Option;
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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 InteractiveBrokersFeeModelTests
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{
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private readonly IFeeModel _feeModel = new InteractiveBrokersFeeModel();
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[Test]
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public void USAEquityMinimumFeeInUSD()
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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(1m, fee.Value.Amount);
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}
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[Test]
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public void USAEquityFeeInUSD()
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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, 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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[TestCaseSource(nameof(USAFuturesFeeTestCases))]
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public void USAFutureFee(Symbol symbol, decimal expectedFee)
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{
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var tz = TimeZones.NewYork;
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var future = new Future(symbol,
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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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var security = (Security) (symbol.SecurityType == SecurityType.Future
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? future
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: new FutureOption(symbol,
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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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future));
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var time = new DateTime(2022, 8, 18);
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security.SetMarketPrice(new Tick(time, security.Symbol, 100, 100));
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, new MarketOrder(security.Symbol, 1000, time)));
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Assert.AreEqual(Currencies.USD, fee.Value.Currency);
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Assert.AreEqual(1000 * expectedFee, fee.Value.Amount);
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}
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[TestCase("USD", 70000, 0.00002 * 70000)]
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[TestCase("USD", 100000, 0.00002 * 100000)]
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[TestCase("USD", 10000, 1)] // The calculated fee will be under 1, but the minimum fee is 1 USD
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[TestCase("JPY", 3000000, 0.00002 * 3000000)]
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[TestCase("JPY", 1000000, 40)]// The calculated fee will be under 40, but the minimum fee is 40 JPY
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[TestCase("HKD", 600000, 0.00002 * 600000)]
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[TestCase("HKD", 200000, 10)]// The calculated fee will be under 10, but the minimum fee is 10 HKD
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public void CalculatesCFDFee(string quoteCurrency, decimal price, decimal expectedFee)
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{
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var security = new Cfd(Symbols.DE10YBEUR,
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new Cash(quoteCurrency, 0, 0),
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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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security.QuoteCurrency.ConversionRate = 1;
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security.SetMarketPrice(new Tick(DateTime.UtcNow, security.Symbol, price, price));
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var order = new MarketOrder(security.Symbol, 1, DateTime.UtcNow);
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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Assert.AreEqual(quoteCurrency, fee.Value.Currency);
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Assert.AreEqual(expectedFee, fee.Value.Amount);
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}
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[TestCase(false)]
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[TestCase(true)]
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public void HongKongFutureFee(bool canonical)
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{
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var symbol = Symbols.CreateFutureSymbol(Futures.Indices.HangSeng, SecurityIdentifier.DefaultDate);
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if (!canonical)
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{
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symbol = Symbols.CreateFutureSymbol(Futures.Indices.HangSeng,
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FuturesExpiryFunctions.FuturesExpiryFunction(symbol)(new DateTime(2021, 12, 1)));
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}
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var entry = MarketHoursDatabase.FromDataFolder().GetEntry(symbol.ID.Market, symbol, symbol.SecurityType);
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var properties = SymbolPropertiesDatabase.FromDataFolder()
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.GetSymbolProperties(symbol.ID.Market, symbol, symbol.SecurityType, null);
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var security = new Future(symbol, entry.ExchangeHours,
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new Cash(properties.QuoteCurrency, 0, 0),
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properties,
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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(new DateTime(2021, 12, 1), 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, new DateTime(2021, 12, 1))
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)
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);
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Assert.AreEqual(Currencies.HKD, fee.Value.Currency);
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Assert.AreEqual(1000 * 40m, fee.Value.Amount);
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}
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[TestCase(OrderType.ComboMarket, 0.01, 250)]
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[TestCase(OrderType.ComboLimit, 0.01, 250)]
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[TestCase(OrderType.ComboLegLimit, 0.01, 250)]
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[TestCase(OrderType.Limit, 0.01, 250)]
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[TestCase(OrderType.StopLimit, 0.01, 250)]
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[TestCase(OrderType.LimitIfTouched, 0.01, 250)]
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[TestCase(OrderType.StopMarket, 0.01, 250)]
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[TestCase(OrderType.TrailingStop, 0.01, 250)]
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[TestCase(OrderType.Market, 0.01, 250)]
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[TestCase(OrderType.MarketOnClose, 0.01, 250)]
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[TestCase(OrderType.MarketOnOpen, 0.01, 250)]
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[TestCase(OrderType.ComboMarket, 0.2, 650)]
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[TestCase(OrderType.ComboLimit, 0.2, 650)]
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[TestCase(OrderType.ComboLegLimit, 0.2, 650)]
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[TestCase(OrderType.Limit, 0.2, 650)]
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[TestCase(OrderType.StopLimit, 0.2, 650)]
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[TestCase(OrderType.LimitIfTouched, 0.2, 650)]
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[TestCase(OrderType.StopMarket, 0.2, 650)]
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[TestCase(OrderType.TrailingStop, 0.2, 650)]
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[TestCase(OrderType.Market, 0.2, 650)]
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[TestCase(OrderType.MarketOnClose, 0.2, 650)]
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[TestCase(OrderType.MarketOnOpen, 0.2, 650)]
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[TestCase(OrderType.ComboMarket, 0.07, 500)]
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[TestCase(OrderType.ComboLimit, 0.07, 500)]
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[TestCase(OrderType.ComboLegLimit, 0.07, 500)]
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[TestCase(OrderType.Limit, 0.07, 500)]
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[TestCase(OrderType.StopLimit, 0.07, 500)]
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[TestCase(OrderType.LimitIfTouched, 0.07, 500)]
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[TestCase(OrderType.StopMarket, 0.07, 500)]
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[TestCase(OrderType.TrailingStop, 0.07, 500)]
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[TestCase(OrderType.Market, 0.07, 500)]
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[TestCase(OrderType.MarketOnClose, 0.07, 500)]
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[TestCase(OrderType.MarketOnOpen, 0.07, 500)]
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public void USAOptionFee(OrderType orderType, double price, double expectedFees)
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{
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var optionPrice = (decimal)price;
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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, optionPrice, 0));
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var order = (new Mock<Order>()).Object;
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var groupOrderManager = new GroupOrderManager(0, 2, 10);
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switch (orderType)
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{
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case OrderType.ComboMarket:
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order = new ComboMarketOrder(security.Symbol, 1000, DateTime.UtcNow, groupOrderManager);
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break;
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case OrderType.ComboLimit:
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order = new ComboLimitOrder(security.Symbol, 1000, optionPrice, DateTime.UtcNow, groupOrderManager);
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break;
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case OrderType.ComboLegLimit:
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order = new ComboLegLimitOrder(security.Symbol, 1000, optionPrice, DateTime.UtcNow, groupOrderManager);
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break;
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case OrderType.Limit:
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order = new LimitOrder(security.Symbol, 1000, optionPrice, DateTime.UtcNow);
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break;
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case OrderType.StopLimit:
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order = new StopLimitOrder(security.Symbol, 1000, optionPrice, optionPrice, DateTime.UtcNow);
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break;
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case OrderType.LimitIfTouched:
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order = new LimitIfTouchedOrder(security.Symbol, 1000, optionPrice, optionPrice, DateTime.UtcNow);
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break;
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case OrderType.StopMarket:
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order = new StopMarketOrder(security.Symbol, 1000, optionPrice, DateTime.UtcNow);
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break;
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case OrderType.TrailingStop:
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order = new TrailingStopOrder(security.Symbol, 1000, optionPrice, optionPrice, false, DateTime.UtcNow);
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break;
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case OrderType.Market:
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order = new MarketOrder(security.Symbol, 1000, DateTime.UtcNow);
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break;
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case OrderType.MarketOnClose:
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order = new MarketOnCloseOrder(security.Symbol, 1000, DateTime.UtcNow);
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break;
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case OrderType.MarketOnOpen:
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order = new MarketOnOpenOrder(security.Symbol, 1000, DateTime.UtcNow);
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break;
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}
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var fee = _feeModel.GetOrderFee(
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new OrderFeeParameters(
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security,
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order
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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((decimal)expectedFees, fee.Value.Amount);
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}
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[Test]
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public void USAOptionMinimumFee()
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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 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 ForexFee_NonUSD()
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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("GBP", 0, 0),
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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 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(2m, fee.Value.Amount);
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}
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[Test]
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public void GetOrderFeeThrowsForUnsupportedSecurityType()
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{
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Assert.Throws<ArgumentException>(
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() =>
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{
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var tz = TimeZones.NewYork;
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var security = new Crypto(
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Symbols.BTCUSD,
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SecurityExchangeHours.AlwaysOpen(tz),
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new Cash("USD", 0, 0),
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new Cash("BTC", 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, 12000, 12000));
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_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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});
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}
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private static TestCaseData[] USAFuturesFeeTestCases()
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{
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return new[]
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{
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// E-mini Futures
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new { Symbol = Futures.Indices.Dow30EMini, Type = SecurityType.Future, ExpectedFee = 2.15m },
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new { Symbol = Futures.Indices.Russell2000EMini, Type = SecurityType.Future, ExpectedFee = 2.15m },
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new { Symbol = Futures.Indices.SP500EMini, Type = SecurityType.Future, ExpectedFee = 2.15m },
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new { Symbol = Futures.Indices.NASDAQ100EMini, Type = SecurityType.Future, ExpectedFee = 2.15m },
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// E-mini Future options
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new { Symbol = Futures.Indices.Dow30EMini, Type = SecurityType.FutureOption, ExpectedFee = 1.42m },
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new { Symbol = Futures.Indices.Russell2000EMini, Type = SecurityType.FutureOption, ExpectedFee = 1.42m },
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new { Symbol = Futures.Indices.SP500EMini, Type = SecurityType.FutureOption, ExpectedFee = 1.42m },
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new { Symbol = Futures.Indices.NASDAQ100EMini, Type = SecurityType.FutureOption, ExpectedFee = 1.42m },
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// Micro E-mini Futures
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new { Symbol = Futures.Indices.MicroDow30EMini, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Indices.MicroRussell2000EMini, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Indices.MicroSP500EMini, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Indices.MicroNASDAQ100EMini, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Financials.MicroY2TreasuryBond, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Financials.MicroY5TreasuryBond, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Financials.MicroY10TreasuryNote, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Financials.MicroY30TreasuryBond, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Metals.MicroGold, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Metals.MicroSilver, Type = SecurityType.Future, ExpectedFee = 0.57m },
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new { Symbol = Futures.Energy.MicroCrudeOilWTI, Type = SecurityType.Future, ExpectedFee = 0.57m },
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// Micro E-mini Future options
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new { Symbol = Futures.Indices.MicroDow30EMini, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Indices.MicroRussell2000EMini, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Indices.MicroSP500EMini, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Indices.MicroNASDAQ100EMini, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Financials.MicroY2TreasuryBond, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Financials.MicroY5TreasuryBond, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Financials.MicroY10TreasuryNote, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Financials.MicroY30TreasuryBond, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Metals.MicroGold, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Metals.MicroSilver, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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new { Symbol = Futures.Energy.MicroCrudeOilWTI, Type = SecurityType.FutureOption, ExpectedFee = 0.47m },
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// Cryptocurrency futures
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new { Symbol = Futures.Currencies.BTC, Type = SecurityType.Future, ExpectedFee = 11.02m },
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new { Symbol = Futures.Currencies.ETH, Type = SecurityType.Future, ExpectedFee = 7.02m },
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new { Symbol = Futures.Currencies.MicroBTC, Type = SecurityType.Future, ExpectedFee = 4.77m },
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new { Symbol = Futures.Currencies.BTICMicroBTC, Type = SecurityType.Future, ExpectedFee = 4.77m },
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new { Symbol = Futures.Currencies.MicroEther, Type = SecurityType.Future, ExpectedFee = 0.42m },
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new { Symbol = Futures.Currencies.BTICMicroEther, Type = SecurityType.Future, ExpectedFee = 0.42m },
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// Cryptocurrency future options
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new { Symbol = Futures.Currencies.BTC, Type = SecurityType.FutureOption, ExpectedFee = 10.02m },
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new { Symbol = Futures.Currencies.ETH, Type = SecurityType.FutureOption, ExpectedFee = 7.02m },
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new { Symbol = Futures.Currencies.MicroBTC, Type = SecurityType.FutureOption, ExpectedFee = 3.77m },
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new { Symbol = Futures.Currencies.BTICMicroBTC, Type = SecurityType.FutureOption, ExpectedFee = 3.77m },
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new { Symbol = Futures.Currencies.MicroEther, Type = SecurityType.FutureOption, ExpectedFee = 0.32m },
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new { Symbol = Futures.Currencies.BTICMicroEther, Type = SecurityType.FutureOption, ExpectedFee = 0.32m },
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// E-mini FX (currencies) Futures
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new { Symbol = Futures.Currencies.EuroFXEmini, Type = SecurityType.Future, ExpectedFee = 1.37m },
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new { Symbol = Futures.Currencies.JapaneseYenEmini, Type = SecurityType.Future, ExpectedFee = 1.37m },
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// Micro E-mini FX (currencies) Futures
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new { Symbol = Futures.Currencies.MicroAUD, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroEUR, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroGBP, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroCADUSD, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroJPY, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroCHF, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroUSDJPY, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroINRUSD, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroCAD, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroUSDCHF, Type = SecurityType.Future, ExpectedFee = 0.41m },
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new { Symbol = Futures.Currencies.MicroUSDCNH, Type = SecurityType.Future, ExpectedFee = 0.41m },
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// Other futures
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new { Symbol = Futures.Metals.MicroGoldTAS, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Metals.MicroPalladium, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroGasoilZeroPointOnePercentBargesFOBARAPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroEuropeanThreePointFivePercentFuelOilCargoesFOBMedPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroCoalAPIFivefobNewcastleArgusMcCloskey, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroSingaporeFuelOil380CSTPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroEuropeanThreePointFivePercentOilBargesFOBRdamPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroEuropeanFOBRdamMarineFuelZeroPointFivePercentBargesPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Energy.MicroSingaporeFOBMarineFuelZeroPointFivePercetPlatts, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Currencies.USD, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Currencies.CAD, Type = SecurityType.Future, ExpectedFee = 2.47m },
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new { Symbol = Futures.Currencies.EUR, Type = SecurityType.Future, ExpectedFee = 2.47m },
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// Other future options
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new { Symbol = Futures.Metals.MicroGoldTAS, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
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new { Symbol = Futures.Metals.MicroPalladium, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
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|
new { Symbol = Futures.Energy.MicroGasoilZeroPointOnePercentBargesFOBARAPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
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|
new { Symbol = Futures.Energy.MicroEuropeanThreePointFivePercentFuelOilCargoesFOBMedPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
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|
new { Symbol = Futures.Energy.MicroCoalAPIFivefobNewcastleArgusMcCloskey, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Energy.MicroSingaporeFuelOil380CSTPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Energy.MicroEuropeanThreePointFivePercentOilBargesFOBRdamPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Energy.MicroEuropeanFOBRdamMarineFuelZeroPointFivePercentBargesPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Energy.MicroSingaporeFOBMarineFuelZeroPointFivePercetPlatts, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Currencies.USD, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Currencies.CAD, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
new { Symbol = Futures.Currencies.EUR, Type = SecurityType.FutureOption, ExpectedFee = 2.47m },
|
|
}.Select(x =>
|
|
{
|
|
var symbol = Symbols.CreateFutureSymbol(x.Symbol, SecurityIdentifier.DefaultDate);
|
|
if (x.Type == SecurityType.FutureOption)
|
|
{
|
|
symbol = Symbols.CreateFutureOptionSymbol(symbol, OptionRight.Call, 0m, SecurityIdentifier.DefaultDate);
|
|
}
|
|
|
|
return new TestCaseData(symbol, x.ExpectedFee);
|
|
}).ToArray();
|
|
}
|
|
}
|
|
}
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