wehub-resource-sync
171 lines
8.2 KiB
C#
171 lines
8.2 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 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.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 WebullFeeModelTests
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{
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private readonly WebullFeeModel _feeModel = new WebullFeeModel();
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private static IEnumerable<Security> ZeroFeeSecurities()
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{
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var equity = SecurityTests.GetSecurity();
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equity.SetMarketPrice(new Tick(DateTime.UtcNow, equity.Symbol, 100m, 100m));
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yield return equity;
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yield return CreateSecurity(SecurityType.Option, 5m, "AAPL");
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}
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/// <summary>
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/// Equity and non-index options are commission-free on Webull.
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/// </summary>
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[TestCaseSource(nameof(ZeroFeeSecurities))]
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public void GetOrderFeeReturnsZeroForFreeAssets(Security security)
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{
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var order = new MarketOrder(security.Symbol, 10m, DateTime.UtcNow);
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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Assert.That(fee.Value.Amount, Is.EqualTo(0m));
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}
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/// <summary>
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/// SPX/SPXW exchange fee tiers (per contract) + Webull $0.50/contract:
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/// SPX price < $1 -> $0.57 + $0.50 = $1.07
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/// SPX price >= $1 -> $0.66 + $0.50 = $1.16
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/// SPXW price < $1 -> $0.50 + $0.50 = $1.00
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/// SPXW price >= $1 -> $0.59 + $0.50 = $1.09
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/// </summary>
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[TestCase("SPX", 0.50, 2, 2.14, Description = "SPX price < $1 -> $1.07/contract")]
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[TestCase("SPX", 1.50, 3, 3.48, Description = "SPX price >= $1 -> $1.16/contract")]
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[TestCase("SPXW", 0.80, 1, 1.00, Description = "SPXW price < $1 -> $1.00/contract")]
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[TestCase("SPXW", 2.00, 4, 4.36, Description = "SPXW price >= $1 -> $1.09/contract")]
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public void GetOrderFeeSpxPriceTierReturnsCorrectFee(string ticker, decimal price, decimal quantity, decimal expectedFee)
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{
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var security = CreateSecurity(SecurityType.IndexOption, price, ticker);
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var order = new MarketOrder(security.Symbol, quantity, DateTime.UtcNow);
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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Assert.That(fee.Value.Amount, Is.EqualTo(expectedFee));
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}
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/// <summary>
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/// VIX exchange fee tiers (per contract) + Webull $0.50/contract:
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/// Tier 1: price ≤ $0.10 -> $0.10 + $0.50 = $0.60
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/// Tier 2: price $0.11–$0.99 -> $0.25 + $0.50 = $0.75
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/// Tier 3: price $1.00–$1.99 -> $0.40 + $0.50 = $0.90
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/// Tier 4: price >= $2.00 -> $0.45 + $0.50 = $0.95
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/// </summary>
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[TestCase(0.05, 4, 2.40, Description = "Tier 1: price ≤ $0.10 -> $0.60/contract")]
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[TestCase(0.50, 2, 1.50, Description = "Tier 2: price $0.11–$0.99 -> $0.75/contract")]
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[TestCase(1.50, 1, 0.90, Description = "Tier 3: price $1.00–$1.99 -> $0.90/contract")]
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[TestCase(3.00, 5, 4.75, Description = "Tier 4: price >= $2.00 -> $0.95/contract")]
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public void GetOrderFeeVixPriceTierReturnsCorrectFee(decimal price, decimal quantity, decimal expectedFee)
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{
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var security = CreateSecurity(SecurityType.IndexOption, price, "VIX");
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var order = new MarketOrder(security.Symbol, quantity, DateTime.UtcNow);
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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Assert.That(fee.Value.Amount, Is.EqualTo(expectedFee));
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}
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/// <summary>
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/// VIXW uses identical tier schedule to VIX; verify tier 2.
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/// </summary>
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[Test]
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public void GetOrderFeeVixwPriceTier2MatchesVixFee()
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{
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var vix = CreateSecurity(SecurityType.IndexOption, 0.50m, "VIX");
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var vixw = CreateSecurity(SecurityType.IndexOption, 0.50m, "VIXW");
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var order = new MarketOrder(vix.Symbol, 2m, DateTime.UtcNow);
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var vixFee = _feeModel.GetOrderFee(new OrderFeeParameters(vix, order));
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var vixwFee = _feeModel.GetOrderFee(new OrderFeeParameters(vixw, new MarketOrder(vixw.Symbol, 2m, DateTime.UtcNow)));
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Assert.That(vixFee.Value.Amount, Is.EqualTo(vixwFee.Value.Amount));
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}
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/// <summary>
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/// Index option fee schedule (per contract) + Webull $0.50/contract:
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/// XSP qty < 10 -> $0.00 + $0.50 = $0.50
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/// XSP qty >= 10 -> $0.07 + $0.50 = $0.57
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/// DJX flat -> $0.18 + $0.50 = $0.68
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/// NDX price < $25 -> $0.50 + $0.50 = $1.00 (NDXP shares the same schedule)
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/// NDX price >= $25 -> $0.75 + $0.50 = $1.25 (NDXP shares the same schedule)
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/// </summary>
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[TestCase("XSP", 1.00, 5, 2.50, Description = "XSP qty < 10 -> $0.50/contract")]
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[TestCase("XSP", 1.00, 10, 5.70, Description = "XSP qty >= 10 -> $0.57/contract")]
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[TestCase("DJX", 2.00, 2, 1.36, Description = "DJX flat -> $0.68/contract")]
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[TestCase("NDX", 10.00, 3, 3.00, Description = "NDX price < $25 -> $1.00/contract")]
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[TestCase("NDX", 50.00, 2, 2.50, Description = "NDX price >= $25 -> $1.25/contract")]
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[TestCase("NDXP", 10.00, 3, 3.00, Description = "NDXP price < $25 matches NDX schedule")]
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[TestCase("NDXP", 50.00, 2, 2.50, Description = "NDXP price >= $25 matches NDX schedule")]
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public void GetOrderFeeIndexOptionReturnsCorrectFee(string ticker, decimal price, decimal quantity, decimal expectedFee)
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{
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var security = CreateSecurity(SecurityType.IndexOption, price, ticker);
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var order = new MarketOrder(security.Symbol, quantity, DateTime.UtcNow);
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var fee = _feeModel.GetOrderFee(new OrderFeeParameters(security, order));
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Assert.That(fee.Value.Amount, Is.EqualTo(expectedFee));
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}
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/// <summary>
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/// Creates a test security of the requested <paramref name="securityType"/> priced at <paramref name="price"/>.
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/// Supported types: <see cref="SecurityType.IndexOption"/>, <see cref="SecurityType.Option"/>.
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/// <paramref name="ticker"/> identifies the underlying symbol.
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/// </summary>
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private static Security CreateSecurity(SecurityType securityType, decimal price, string ticker = "AAPL")
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{
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var isIndex = securityType == SecurityType.IndexOption;
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var underlying = Symbol.Create(ticker, isIndex ? SecurityType.Index : SecurityType.Equity, Market.USA);
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var symbol = Symbol.CreateOption(
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underlying, Market.USA,
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isIndex ? OptionStyle.European : OptionStyle.American,
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OptionRight.Call,
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isIndex ? 1000m : 150m,
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new DateTime(2026, 6, 20));
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var config = new SubscriptionDataConfig(
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typeof(TradeBar), symbol, Resolution.Minute,
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TimeZones.Utc, TimeZones.Utc, false, true, false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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config,
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new Cash(Currencies.USD, 0, 1m),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache());
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security.SetMarketPrice(new Tick(DateTime.UtcNow, symbol, price, price));
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return security;
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}
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}
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}
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