wehub-resource-sync
329 lines
14 KiB
C#
329 lines
14 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Optimizer.Parameters;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fills;
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using QuantConnect.Securities;
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using QuantConnect.Tests.Common.Data;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Common.Orders.Fills
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{
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[TestFixture]
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public partial class EquityFillModelTests
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{
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[Test]
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public void PerformsStopMarketFillBuy()
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{
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var model = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, 100, 101.5m, Noon);
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var parameters = GetFillModelParameters(order);
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var security = parameters.Security;
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 101m, 101m, 101m, 101m, 100));
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var fill = model.Fill(parameters).Single();
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 101m, 102.5m, 101m, 102m, 100));
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fill = model.StopMarketFill(security, order);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(order.StopPrice, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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}
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[Test]
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public void PerformsStopMarketFillSell()
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{
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var model = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, -100, 101.5m, Noon);
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var parameters = GetFillModelParameters(order);
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var security = parameters.Security;
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 102m, 102m, 102m, 100));
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var fill = model.Fill(parameters).Single();
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 102.5m, 101m, 101.5m, 100));
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fill = model.StopMarketFill(security, order);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(order.StopPrice, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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}
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[TestCase(100, 290.50)]
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[TestCase(-100, 291.50)]
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public void PerformsStopMarketFillWithTickTradeData(decimal orderQuantity, decimal stopPrice)
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{
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var time = new DateTime(2018, 9, 24, 9, 30, 0);
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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var fillModel = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
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var configTick = CreateTickConfig(Symbols.SPY);
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var equity = CreateEquity(configTick);
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equity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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// The order will not fill with this price
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var tradeTick = new Tick { TickType = TickType.Trade, Time = time, Value = 291m };
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equity.SetMarketPrice(tradeTick);
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time += TimeSpan.FromMinutes(1);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var fill = fillModel.Fill(new FillModelParameters(
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equity,
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order,
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new MockSubscriptionDataConfigProvider(configTick),
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Time.OneHour,
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null)).Single();
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// Do not fill on stale data
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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time += TimeSpan.FromMinutes(2);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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// Create a series of price where the last value will not fill
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// and the fill model need to use the minimum/maximum instead
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var trades = new[] { 0.1m, -0.1m, 0m, 0.1m, 0m }
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.Select(delta => new Tick
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{
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TickType = TickType.Trade,
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Time = time,
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Value = stopPrice - delta * Math.Sign(orderQuantity)
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})
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.ToList();
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equity.Update(trades, typeof(Tick));
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fill = fillModel.StopMarketFill(equity, order);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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// Fill at the stop price because the equity price matches it
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Assert.AreEqual(stopPrice, fill.FillPrice);
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}
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[TestCase(100, 290.50)]
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[TestCase(-100, 291.50)]
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public void StopMarketOrderDoesNotFillUsingQuoteBar(decimal orderQuantity, decimal stopPrice)
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{
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var time = new DateTime(2018, 9, 24, 9, 30, 0);
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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var fillModel = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
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var parameters = GetFillModelParameters(order);
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var equity = parameters.Security;
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equity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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// The order will not fill with these prices
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var tradeBar = new TradeBar(time.AddMinutes(-10), Symbols.SPY, 291m, 291m, 291m, 291m, 12345);
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equity.SetMarketPrice(tradeBar);
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time += TimeSpan.FromMinutes(1);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var fill = fillModel.Fill(parameters).Single();
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// Do not fill on stale data
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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time += TimeSpan.FromMinutes(2);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var quoteBar = new QuoteBar(time, Symbols.SPY,
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new Bar(290m, 292m, 289m, 291m), 12345,
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new Bar(290m, 292m, 289m, 291m), 12345);
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equity.SetMarketPrice(quoteBar);
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fill = fillModel.StopMarketFill(equity, order);
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// Stop market orders don't fill with QuoteBar:
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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}
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[TestCase(100, 290.50)]
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[TestCase(-100, 291.50)]
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public void StopMarketOrderDoesNotFillUsingTickTypeQuote(decimal orderQuantity, decimal stopPrice)
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{
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var time = new DateTime(2018, 9, 24, 9, 30, 0);
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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var fillModel = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
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var configTick = CreateTickConfig(Symbols.SPY);
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var equity = CreateEquity(configTick);
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equity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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// The order will not fill with this price
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var tradeTick = new Tick { TickType = TickType.Trade, Time = time, Value = 291m };
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equity.SetMarketPrice(tradeTick);
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time += TimeSpan.FromMinutes(1);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var fill = fillModel.Fill(new FillModelParameters(
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equity,
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order,
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new MockSubscriptionDataConfigProvider(configTick),
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Time.OneHour,
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null)).Single();
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// Do not fill on stale data
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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time += TimeSpan.FromMinutes(2);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var price = stopPrice - 0.1m * Math.Sign(orderQuantity);
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var quoteTick = new Tick { TickType = TickType.Quote, Time = time, BidPrice = price, AskPrice = price };
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equity.SetMarketPrice(quoteTick);
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fill = fillModel.StopMarketFill(equity, order);
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// Stop market orders don't fill with TickType.Quote:
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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}
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[TestCase(100, 290.50)]
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[TestCase(-100, 291.50)]
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public void StopMarketOrderFillsAtOpenWithUnfavourableGap(decimal orderQuantity, decimal stopPrice)
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{
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// See https://github.com/QuantConnect/Lean/issues/4545
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var time = new DateTime(2018, 9, 24, 9, 30, 0);
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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var fillModel = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
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var parameters = GetFillModelParameters(order);
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var equity = parameters.Security;
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equity.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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// The order will not fill with these prices
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equity.SetMarketPrice(new TradeBar(time.AddMinutes(-10), Symbols.SPY, 291m, 291m, 291m, 291m, 12345));
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var fill = fillModel.Fill(parameters).Single();
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// Do not fill on stale data
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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time += TimeSpan.FromMinutes(2);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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// The Gap TradeBar has all prices below/above the stop price
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var gapTradeBar = Math.Sign(orderQuantity) switch
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{
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1 => new TradeBar(time, Symbols.SPY, stopPrice + 1, stopPrice + 2, stopPrice + 1, stopPrice + 1, 12345),
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-1 => new TradeBar(time, Symbols.SPY, stopPrice - 1, stopPrice - 1, stopPrice - 2, stopPrice - 1, 12345),
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};
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equity.SetMarketPrice(gapTradeBar);
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fill = fillModel.StopMarketFill(equity, order);
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// Fills at the open
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Assert.AreEqual(gapTradeBar.Open, fill.FillPrice);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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}
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[TestCase(100, 291.50)]
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[TestCase(-100, 290.50)]
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public void StopMarketOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice)
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{
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var time = new DateTime(2018, 9, 24, 9, 30, 0);
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var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
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var fillModel = new EquityFillModel();
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var order = new StopMarketOrder(Symbols.SPY, orderQuantity, stopPrice, time.ConvertToUtc(TimeZones.NewYork));
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var parameters = GetFillModelParameters(order);
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var security = parameters.Security;
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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var tradeBar = new TradeBar(time.AddMinutes(-10), Symbols.SPY, 290m, 292m, 289m, 291m, 12345);
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security.SetMarketPrice(tradeBar);
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time += TimeSpan.FromMinutes(1);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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var fillForwardBar = (TradeBar)tradeBar.Clone(true);
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security.SetMarketPrice(fillForwardBar);
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var fill = fillModel.Fill(parameters).Single();
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Assert.AreEqual(0, fill.FillQuantity);
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Assert.AreEqual(0, fill.FillPrice);
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Assert.AreEqual(OrderStatus.None, fill.Status);
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time += TimeSpan.FromMinutes(1);
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timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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tradeBar = new TradeBar(time, Symbols.SPY, stopPrice - 0.01m * Math.Sign(orderQuantity), 292m, 289m, stopPrice, 12345);
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security.SetMarketPrice(tradeBar);
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fill = fillModel.StopMarketFill(security, order);
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Assert.AreEqual(orderQuantity, fill.FillQuantity);
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Assert.AreEqual(stopPrice, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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}
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}
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}
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