wehub-resource-sync
1531 lines
74 KiB
C#
1531 lines
74 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.Brokerages;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Indicators;
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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.Securities.Forex;
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using QuantConnect.Tests.Common.Data;
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using QuantConnect.Tests.Common.Securities;
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using QuantConnect.Securities.Equity;
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using System.Linq;
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using QuantConnect.Data.Auxiliary;
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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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private static readonly DateTime Noon = new DateTime(2014, 6, 24, 12, 0, 0);
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private TimeKeeper TimeKeeper;
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[SetUp]
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public void Setup()
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{
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TimeKeeper = new TimeKeeper(Noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
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}
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[TestCase(11, 11, 11, "")]
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[TestCase(12, 11, 11, "")]
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[TestCase(12, 10, 11, "Warning: No quote information")]
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// Note: a (12, 10, 10) case where the only data is a stale (>1h old) minute bar no longer fills; it now waits
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// for fresh data. That behavior is covered by MarketOrderWaitsForFreshDataWhenStaleByMoreThanResolution.
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public void PerformsMarketFillBuy(int orderHour, int quoteBarHour, int tradeBarHour, string message)
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{
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var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
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var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
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var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
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configProvider.SubscriptionDataConfigs.Add(configTradeBar);
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var equity = CreateEquity(configTradeBar);
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var orderTime = new DateTime(2014, 6, 24, orderHour, 0, 0).ConvertToUtc(equity.Exchange.TimeZone);
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var quoteBarTime = new DateTime(2014, 6, 24, quoteBarHour, 0, 0).AddMinutes(-1);
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var tradeBarTime = new DateTime(2014, 6, 24, tradeBarHour, 0, 0).AddMinutes(-1);
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var model = (EquityFillModel)equity.FillModel;
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var order = new MarketOrder(Symbols.SPY, 100, orderTime);
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var parameters = new FillModelParameters(equity, order, configProvider, Time.OneHour, null);
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// Sets price at time zero
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equity.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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equity.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
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// IndicatorDataPoint is not market data
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Assert.Throws<InvalidOperationException>(() => model.Fill(parameters),
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$"Cannot get ask price to perform fill for {equity.Symbol} because no market data subscription were found.");
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const decimal close = 101.234m;
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var bidBar = new Bar(101.123m, 101.123m, 101.123m, 101.123m);
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var askBar = new Bar(101.234m, 101.234m, 101.234m, close);
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var tradeBar = new TradeBar(tradeBarTime, Symbols.SPY, 101.123m, 101.123m, 101.123m, close, 100);
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equity.SetMarketPrice(new QuoteBar(quoteBarTime, Symbols.SPY, bidBar, 0, askBar, 0));
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equity.SetMarketPrice(tradeBar);
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var fill = model.Fill(parameters).Single();
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(close, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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Assert.IsTrue(fill.Message.StartsWith(message, StringComparison.InvariantCultureIgnoreCase));
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}
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[TestCase(11, 11, 11, "")]
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[TestCase(12, 11, 11, "")]
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[TestCase(12, 10, 11, "Warning: No quote information")]
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// Note: a (12, 10, 10) case where the only data is a stale (>1h old) minute bar no longer fills; it now waits
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// for fresh data. That behavior is covered by MarketOrderWaitsForFreshDataWhenStaleByMoreThanResolution.
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public void PerformsMarketFillSell(int orderHour, int quoteBarHour, int tradeBarHour, string message)
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{
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var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
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var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
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var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
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configProvider.SubscriptionDataConfigs.Add(configTradeBar);
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var equity = CreateEquity(configTradeBar);
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var orderTime = new DateTime(2014, 6, 24, orderHour, 0, 0).ConvertToUtc(equity.Exchange.TimeZone);
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var quoteBarTime = new DateTime(2014, 6, 24, quoteBarHour, 0, 0).AddMinutes(-1);
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var tradeBarTime = new DateTime(2014, 6, 24, tradeBarHour, 0, 0).AddMinutes(-1);
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var model = (EquityFillModel)equity.FillModel;
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var order = new MarketOrder(Symbols.SPY, -100, orderTime);
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var parameters = new FillModelParameters(equity, order, configProvider, Time.OneHour, null);
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// Sets price at time zero
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equity.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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equity.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));
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// IndicatorDataPoint is not market data
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Assert.Throws<InvalidOperationException>(() => model.Fill(parameters),
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$"Cannot get bid price to perform fill for {equity.Symbol} because no market data subscription were found.");
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const decimal close = 101.123m;
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var bidBar = new Bar(101.123m, 101.123m, 101.123m, close);
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var askBar = new Bar(101.234m, 101.234m, 101.234m, 101.234m);
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var tradeBar = new TradeBar(tradeBarTime, Symbols.SPY, 101.234m, 101.234m, 101.234m, close, 100);
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equity.SetMarketPrice(new QuoteBar(quoteBarTime, Symbols.SPY, bidBar, 0, askBar, 0));
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equity.SetMarketPrice(tradeBar);
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var fill = model.Fill(parameters).Single();
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(close, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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Assert.IsTrue(fill.Message.StartsWith(message, StringComparison.InvariantCultureIgnoreCase));
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}
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[Test]
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public void PerformsStopLimitFillBuy()
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{
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var model = new EquityFillModel();
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var order = new StopLimitOrder(Symbols.SPY, 100, 101.5m, 101.75m, Noon);
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var config = CreateTradeBarConfig(Symbols.SPY);
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var security = new Security(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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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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);
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 100m));
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var fill = model.Fill(new FillModelParameters(
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security,
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order,
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new MockSubscriptionDataConfigProvider(config),
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Time.OneHour,
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null)).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 IndicatorDataPoint(Symbols.SPY, Noon, 102m));
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fill = model.Fill(new FillModelParameters(
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security,
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order,
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new MockSubscriptionDataConfigProvider(config),
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Time.OneHour,
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null)).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 IndicatorDataPoint(Symbols.SPY, Noon, 101.66m));
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fill = model.StopLimitFill(security, order);
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// this fills worst case scenario, so it's at the limit price
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(security.High, 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 PerformsStopLimitFillSell()
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{
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var model = new EquityFillModel();
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var order = new StopLimitOrder(Symbols.SPY, -100, 101.75m, 101.50m, Noon);
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var config = CreateTradeBarConfig(Symbols.SPY);
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var security = new Security(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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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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);
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));
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var fill = model.Fill(new FillModelParameters(
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security,
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order,
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new MockSubscriptionDataConfigProvider(config),
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Time.OneHour,
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null)).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 IndicatorDataPoint(Symbols.SPY, Noon, 101m));
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fill = model.Fill(new FillModelParameters(
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security,
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order,
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new MockSubscriptionDataConfigProvider(config),
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Time.OneHour,
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null)).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 IndicatorDataPoint(Symbols.SPY, Noon, 101.66m));
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fill = model.StopLimitFill(security, order);
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// this fills worst case scenario, so it's at the limit price
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(security.Low, 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 PerformsLimitIfTouchedSell()
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{
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var model = new EquityFillModel();
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var order = new LimitIfTouchedOrder(Symbols.SPY, -100, 101.5m, 105m, Noon);
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var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
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var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
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var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
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var security = new Security(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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configTradeBar,
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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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);
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// Sets price at time zero
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security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 90m, 90m, 100));
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configProvider.SubscriptionDataConfigs.Add(configTradeBar);
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var fill = model.Fill(new FillModelParameters(
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security,
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order,
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configProvider,
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Time.OneHour,
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null)).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 jump => trigger touched but not limit
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 102m, 102m, 100));
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security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
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new Bar(101m, 102m, 100m, 100m), 100, // Bid bar
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new Bar(103m, 104m, 102m, 102m), 100) // Ask bar
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);
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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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fill = model.Fill(new FillModelParameters(
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security,
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order,
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configProvider,
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Time.OneHour,
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null)).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 jump => limit reached, security bought
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// |---> First, ensure that price data are not used to fill
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 99m, 99m, 100));
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fill = model.LimitIfTouchedFill(security, order);
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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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// |---> Lastly, ensure that quote data used to fill
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security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
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new Bar(105m, 105m, 105m, 105m), 100, // Bid bar
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new Bar(105m, 105m, 105m, 105m), 100) // Ask bar
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);
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fill = model.LimitIfTouchedFill(security, order);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(order.LimitPrice, 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 PerformsLimitIfTouchedBuy()
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{
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var model = new EquityFillModel();
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var order = new LimitIfTouchedOrder(Symbols.SPY, 100, 101.5m, 100m, Noon);
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var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
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var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
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var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
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var security = new Security(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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configTradeBar,
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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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);
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// Sets price at time zero
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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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configProvider.SubscriptionDataConfigs.Add(configTradeBar);
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var fill = model.Fill(new FillModelParameters(
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security,
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order,
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configProvider,
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Time.OneHour,
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null)).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 jump => trigger touched but not limit
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 101m, 101m, 100.5m, 101m, 100));
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security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
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new Bar(101m, 101m, 100.5m, 101m), 100, // Bid bar
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new Bar(101m, 101m, 100.5m, 101m), 100) // Ask bar
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);
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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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fill = model.Fill(new FillModelParameters(
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security,
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order,
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configProvider,
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Time.OneHour,
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null)).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 jump => limit reached, security bought
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// |---> First, ensure that price data are not used to fill
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security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 100m, 100m, 99m, 99m, 100));
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fill = model.LimitIfTouchedFill(security, order);
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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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// |---> Lastly, ensure that quote data used to fill
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security.SetMarketPrice(new QuoteBar(Noon, Symbols.SPY,
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new Bar(100m, 100m, 100m, 100m), 100, // Bid bar
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new Bar(100m, 100m, 100m, 100m), 100) // Ask bar
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);
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fill = model.LimitIfTouchedFill(security, order);
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Assert.AreEqual(order.Quantity, fill.FillQuantity);
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Assert.AreEqual(order.LimitPrice, fill.FillPrice);
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Assert.AreEqual(OrderStatus.Filled, fill.Status);
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}
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[TestCase(-100)]
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[TestCase(100)]
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public void PerformsMarketOnOpenUsingOpenPriceWithMinuteSubscription(int quantity)
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{
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var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
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var configTradeBar = CreateTradeBarConfig(Symbols.SPY);
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var equity = CreateEquity(configTradeBar);
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var model = (EquityFillModel)equity.FillModel;
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var order = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
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var time = reference;
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TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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equity.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100));
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var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
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var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
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configProvider.SubscriptionDataConfigs.Add(configTradeBar);
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var fill = model.Fill(new FillModelParameters(
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equity,
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order,
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configProvider,
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Time.OneHour,
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null)).Single();
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Assert.AreEqual(0, fill.FillQuantity);
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// market opens after 30min, so this is just before market open
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time = reference.AddMinutes(29);
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TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
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equity.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100));
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fill = model.Fill(new FillModelParameters(
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equity,
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order,
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configProvider,
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Time.OneHour,
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null)).Single();
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Assert.AreEqual(0, fill.FillQuantity);
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const decimal expected = 1.45m;
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// market opens after 30min
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time = reference.AddMinutes(30);
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TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
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// Does not fill with quote data
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equity.SetMarketPrice(new QuoteBar(time, Symbols.SPY,
|
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new Bar(1.45m, 1.99m, 1.09m, 1.39m), 100,
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new Bar(1.46m, 2.01m, 1.11m, 1.41m), 100));
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fill = model.MarketOnOpenFill(equity, order);
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Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// Fill with trade bar
|
|
equity.SetMarketPrice(new TradeBar(time, Symbols.SPY, expected, 2.0m, 1.1m, 1.40m, 100));
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100)]
|
|
[TestCase(100)]
|
|
public void PerformsMarketOnOpenUsingOpenPriceWithDailySubscription(int quantity)
|
|
{
|
|
Func<DateTime, decimal, TradeBar> getTradeBar = (t, o) => new TradeBar(t.RoundDown(Time.OneDay),
|
|
Symbols.SPY, o, 2m, 0.5m, 1.33m, 100, Time.OneDay);
|
|
|
|
var reference = new DateTime(2015, 06, 05, 12, 0, 0); // market is open
|
|
var config = CreateTradeBarConfig(Symbols.SPY, Resolution.Daily);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(getTradeBar(time, 2m));
|
|
|
|
// Will not fill because the order was placed before the bar is closed
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// It will not fill in the next morning because needs to wait for day to close
|
|
const decimal expected = 1m;
|
|
time = equity.Exchange.Hours.GetNextMarketOpen(time, false);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// Fill once the equity is updated with the day bar
|
|
equity.SetMarketPrice(getTradeBar(time, expected));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
// Official open
|
|
[TestCase(-100, TradeConditionFlags.OfficialOpen)]
|
|
[TestCase(100, TradeConditionFlags.OfficialOpen)]
|
|
// Opening prints
|
|
[TestCase(-100, TradeConditionFlags.OpeningPrints)]
|
|
[TestCase(100, TradeConditionFlags.OpeningPrints)]
|
|
// Official open and regular
|
|
[TestCase(-100, TradeConditionFlags.OfficialOpen | TradeConditionFlags.Regular)]
|
|
[TestCase(100, TradeConditionFlags.OfficialOpen | TradeConditionFlags.Regular)]
|
|
// Opening prints and regular
|
|
[TestCase(-100, TradeConditionFlags.OpeningPrints | TradeConditionFlags.Regular)]
|
|
[TestCase(100, TradeConditionFlags.OpeningPrints | TradeConditionFlags.Regular)]
|
|
// Any other random combination of flags that include OfficialOpen
|
|
[TestCase(-100,
|
|
TradeConditionFlags.OfficialOpen | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100,
|
|
TradeConditionFlags.OfficialOpen | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
// Any other random combination of flags that include OpeningPrints
|
|
[TestCase(-100,
|
|
TradeConditionFlags.OpeningPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100,
|
|
TradeConditionFlags.OpeningPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
public void PerformsMarketOnOpenUsingOpenPriceWithTickSubscription(int quantity, long numericSaleCondition)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
|
|
var config = CreateTickConfig(Symbols.SPY);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
var saleCondition = Convert.ToString(numericSaleCondition, 16);
|
|
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, 1m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market opens after 30min, so this is just before market open
|
|
time = reference.AddMinutes(29);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, 1m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
const decimal expected = 1m;
|
|
// market opens after 30min
|
|
time = reference.AddMinutes(30);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
// The quote is received after the market is open, but the trade is not
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time.AddMinutes(-1), Symbols.SPY, saleCondition, "P", 100, expected),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// The trade is received after the market is open, but it is not have a official open flag
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "", "P", 100, expected),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
Assert.AreEqual("No trade with the OfficialOpen or OpeningPrints flag within the 1-minute timeout.", fill.Message);
|
|
|
|
// One quote and some trades with different conditions are received after the market is open,
|
|
// but there is trade prior to that with different price
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time.AddMinutes(-1), Symbols.SPY, "80000001", "P", 100, 0.9m), // Not Open
|
|
new Tick(time, Symbols.SPY, saleCondition, "Q", 100, 0.95m), // Open but not primary exchange
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, expected), // Fill with this tick
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.95m), // Open but not primary exchange
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100, 0.9)]
|
|
[TestCase(100, 1.1)]
|
|
public void PerformsMarketOnOpenUsingOpenPriceWithTickSubscriptionButNoSalesCondition(int quantity, decimal expected)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
|
|
var config = CreateTickConfig(Symbols.SPY);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnOpenOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
// No Sales Condition
|
|
var saleCondition = "";
|
|
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 1m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
const decimal price = 1m;
|
|
// market opens after 30min. 1 minute after open to accept the last trade
|
|
time = reference.AddMinutes(32);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.9m), // Not Close
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, 0.95m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.95m), // Open but not primary exchange
|
|
new Tick(time, Symbols.SPY, saleCondition, "Q", 100, price), // Fill with this tick
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(price, fill.FillPrice);
|
|
|
|
// Test whether it fills on the bid/ask if there is no trade
|
|
equity.Cache.Reset();
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
Assert.IsTrue(fill.Message.Contains("Fill with last Quote data.", StringComparison.InvariantCulture));
|
|
}
|
|
|
|
[TestCase(Resolution.Minute, 3, 17, 0, 9, 29)]
|
|
[TestCase(Resolution.Minute, 4, 0, 0, 9, 29)]
|
|
[TestCase(Resolution.Minute, 4, 8, 0, 9, 29)]
|
|
[TestCase(Resolution.Minute, 4, 9, 30, 9, 29, true)]
|
|
[TestCase(Resolution.Minute, 4, 9, 30, 9, 31, true)]
|
|
[TestCase(Resolution.Hour, 3, 17, 0, 8, 29)]
|
|
[TestCase(Resolution.Hour, 4, 0, 0, 8, 0)]
|
|
[TestCase(Resolution.Hour, 4, 8, 0, 8, 0)]
|
|
[TestCase(Resolution.Hour, 4, 9, 30, 8, 0, true)]
|
|
[TestCase(Resolution.Hour, 4, 9, 30, 11, 0, true)]
|
|
[TestCase(Resolution.Daily, 3, 17, 0, 8, 0)]
|
|
[TestCase(Resolution.Daily, 4, 0, 0, 8, 0)]
|
|
[TestCase(Resolution.Daily, 4, 8, 0, 8, 0)]
|
|
[TestCase(Resolution.Daily, 4, 9, 30, 8, 0)]
|
|
public void PerformsMarketOnOpenUsingOpenPriceWithDifferentOrderSubmissionDateTime(Resolution resolution, int day, int hour, int minute, int ref_hour, int ref_minute, bool nextDay = false)
|
|
{
|
|
var period = resolution.ToTimeSpan();
|
|
var configTradeBar = CreateTradeBarConfig(Symbols.SPY, resolution);
|
|
var equity = CreateEquity(configTradeBar);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
|
|
var orderTime = new DateTime(2015, 6, day, hour, minute, 0).ConvertToUtc(TimeZones.NewYork);
|
|
var order = new MarketOnOpenOrder(Symbols.SPY, 100, orderTime);
|
|
|
|
var reference = new DateTime(2015, 6, 4, ref_hour, ref_minute, 0).RoundDown(period);
|
|
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100, period));
|
|
|
|
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
|
|
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
|
|
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
configProvider,
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
|
|
const decimal expected = 1.45m;
|
|
|
|
var tradeBar = new TradeBar(reference.Add(period), Symbols.SPY, expected, 2.75m, 1.15m, 1.45m, 100, period);
|
|
equity.SetMarketPrice(tradeBar);
|
|
TimeKeeper.SetUtcDateTime(tradeBar.EndTime.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
fill = model.MarketOnOpenFill(equity, order);
|
|
|
|
// Special case when the order exactly when the market opens.
|
|
// Should only fill on the next day
|
|
if (nextDay)
|
|
{
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
return;
|
|
}
|
|
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100)]
|
|
[TestCase(100)]
|
|
public void PerformsMarketOnCloseUsingClosingPriceWithDailySubscription(int quantity)
|
|
{
|
|
Func<DateTime, decimal, TradeBar> getTradeBar = (t, c) => new TradeBar(t.RoundDown(Time.OneDay * 2),
|
|
Symbols.SPY, 1.33m, 2m, 0.5m, c, 100, Time.OneDay);
|
|
|
|
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
|
|
var config = CreateTradeBarConfig(Symbols.SPY, Resolution.Daily);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(getTradeBar(time, 2m));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes after 60min, so this is just before market Close
|
|
time = reference.AddMinutes(59);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(getTradeBar(time, 1.45m));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes
|
|
const decimal expected = 1.40m;
|
|
time = reference.AddMinutes(60);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(getTradeBar(time, expected));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100)]
|
|
[TestCase(100)]
|
|
public void PerformsMarketOnCloseUsingClosingPriceWithMinuteTradeBarSubscription(int quantity)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
|
|
var config = CreateTradeBarConfig(Symbols.SPY);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100, config.Increment));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes after 60min, so this is just before market Close
|
|
time = reference.AddMinutes(59);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100, config.Increment));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes
|
|
time = reference.AddMinutes(60);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100, config.Increment));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(equity.Close, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100)]
|
|
[TestCase(100)]
|
|
public void PerformsMarketOnCloseUsingClosingPriceWithMinuteQuoteBarSubscription(int quantity)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
|
|
var config = CreateQuoteBarConfig(Symbols.SPY);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new QuoteBar(time, Symbols.SPY,
|
|
new Bar(1.45m, 1.99m, 1.09m, 1.39m), 100,
|
|
new Bar(1.46m, 2.01m, 1.11m, 1.41m), 100, config.Increment));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes after 60min, so this is just before market Close
|
|
time = reference.AddMinutes(59);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new QuoteBar(time - config.Increment, Symbols.SPY,
|
|
new Bar(1.45m, 1.99m, 1.09m, 1.39m), 100,
|
|
new Bar(1.46m, 2.01m, 1.11m, 1.41m), 100, config.Increment));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
const decimal expected = 1.4m;
|
|
|
|
// market closes
|
|
time = reference.AddMinutes(60);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetMarketPrice(new TradeBar(time - config.Increment, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100, config.Increment));
|
|
equity.SetMarketPrice(new QuoteBar(time, Symbols.SPY,
|
|
new Bar(1.45m, 1.99m, 1.09m, expected), 100,
|
|
new Bar(1.46m, 2.01m, 1.11m, expected), 100, config.Increment));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
Assert.IsTrue(fill.Message.StartsWith("Warning: No trade information available", StringComparison.InvariantCulture));
|
|
}
|
|
|
|
// Official close
|
|
[TestCase(-100, true, TradeConditionFlags.OfficialClose)]
|
|
[TestCase(100, true, TradeConditionFlags.OfficialClose)]
|
|
[TestCase(-100, false, TradeConditionFlags.OfficialClose)]
|
|
[TestCase(100, false, TradeConditionFlags.OfficialClose)]
|
|
// Closing prints
|
|
[TestCase(-100, true, TradeConditionFlags.ClosingPrints)]
|
|
[TestCase(100, true, TradeConditionFlags.ClosingPrints)]
|
|
[TestCase(-100, false, TradeConditionFlags.ClosingPrints)]
|
|
[TestCase(100, false, TradeConditionFlags.ClosingPrints)]
|
|
// Official close and regular
|
|
[TestCase(-100, true, TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular)]
|
|
[TestCase(100, true, TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular)]
|
|
[TestCase(-100, false, TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular)]
|
|
[TestCase(100, false, TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular)]
|
|
// Closing prints and regular
|
|
[TestCase(-100, true, TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular)]
|
|
[TestCase(100, true, TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular)]
|
|
[TestCase(-100, false, TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular)]
|
|
[TestCase(100, false, TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular)]
|
|
// Any other random combination of flags that include OfficialClose
|
|
[TestCase(-100, true,
|
|
TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100, true,
|
|
TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(-100, false,
|
|
TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100, false,
|
|
TradeConditionFlags.OfficialClose | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
// Any other random combination of flags that include ClosingPrints
|
|
[TestCase(-100, true,
|
|
TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100, true,
|
|
TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(-100, false,
|
|
TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
[TestCase(100, false,
|
|
TradeConditionFlags.ClosingPrints | TradeConditionFlags.Regular | TradeConditionFlags.Cash | TradeConditionFlags.Cross |
|
|
TradeConditionFlags.DerivativelyPriced)]
|
|
public void PerformsMarketOnCloseUsingClosingPriceWithTickSubscription(int quantity, bool extendedHours, long numericSaleCondition)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
|
|
var config = CreateTickConfig(Symbols.SPY, extendedHours: extendedHours);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
var saleCondition = Convert.ToString(numericSaleCondition, 16);
|
|
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 1m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// market closes after 60min, so this is just before market Close
|
|
time = reference.AddMinutes(59);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
// It should fill with this tick based on sales condition but the market is still open
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, 1)
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
const decimal expected = 1m;
|
|
// market closes
|
|
time = reference.AddMinutes(60);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.9m),
|
|
new Tick(time, Symbols.SPY, "80000001", "Q", 100, 0.95m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.98m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, expected),
|
|
}, typeof(Tick));
|
|
|
|
// If the subscriptions doesn't include extended hours, fills with the last tick
|
|
if (!extendedHours)
|
|
{
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
Assert.AreEqual("No trade with the OfficialClose or ClosingPrints flag for data that does not include extended market hours. Fill with last Trade data.", fill.Message);
|
|
return;
|
|
}
|
|
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.9m), // Not Close
|
|
new Tick(time, Symbols.SPY, saleCondition, "Q", 100, 0.95m), // Close but not primary exchange
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, expected), // Fill with this tick
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.95m),
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(-100)]
|
|
[TestCase(100)]
|
|
public void PerformsMarketOnCloseUsingClosingPriceWithTickSubscriptionButNoSalesCondition(int quantity)
|
|
{
|
|
var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
|
|
var config = CreateTickConfig(Symbols.SPY);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, quantity, reference);
|
|
var time = reference;
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
// No Sales Condition
|
|
var saleCondition = "";
|
|
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 1m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m)
|
|
}, typeof(Tick));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
equity,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
const decimal expected = 1m;
|
|
// market closes
|
|
time = reference.AddMinutes(60).AddMilliseconds(100);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.9m), // Not Close
|
|
new Tick(time, Symbols.SPY, saleCondition, "Q", 100, 0.95m), // Close but not primary exchange
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, expected), // Fill with this tick
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.95m), // Open but not primary exchange
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
Assert.AreEqual("No trade with the OfficialClose or ClosingPrints flag within the 1-minute timeout.", fill.Message);
|
|
|
|
// 2 minutes after the close
|
|
time = reference.AddMinutes(62);
|
|
TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
equity.Update(new List<Tick>
|
|
{
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.9m), // Not Close
|
|
new Tick(time, Symbols.SPY, saleCondition, "P", 100, 0.95m),
|
|
new Tick(time, Symbols.SPY, 1m, 0.9m, 1.1m),
|
|
new Tick(time, Symbols.SPY, "80000001", "P", 100, 0.95m), // Open but not primary exchange
|
|
new Tick(time, Symbols.SPY, saleCondition, "Q", 100, expected), // Fill with this tick
|
|
}, typeof(Tick));
|
|
|
|
fill = model.MarketOnCloseFill(equity, order);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
Assert.IsTrue(fill.Message.Contains("Fill with last Trade data.", StringComparison.InvariantCulture));
|
|
}
|
|
|
|
[TestCase(OrderDirection.Buy)]
|
|
[TestCase(OrderDirection.Sell)]
|
|
public void MarketOrderFillsAtBidAsk(OrderDirection direction)
|
|
{
|
|
var symbol = Symbol.Create("EURUSD", SecurityType.Forex, "fxcm");
|
|
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
|
|
var quoteCash = new Cash(Currencies.USD, 1000, 1);
|
|
var symbolProperties = SymbolProperties.GetDefault(Currencies.USD);
|
|
var config = new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
var security = new Forex(exchangeHours, quoteCash, new Cash("EUR", 0, 0), config, symbolProperties, ErrorCurrencyConverter.Instance, RegisteredSecurityDataTypesProvider.Null);
|
|
|
|
var reference = DateTime.Now;
|
|
var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
|
|
var timeKeeper = new TimeKeeper(referenceUtc);
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
|
|
var brokerageModel = new FxcmBrokerageModel();
|
|
var fillModel = brokerageModel.GetFillModel(security);
|
|
|
|
const decimal bidPrice = 1.13739m;
|
|
const decimal askPrice = 1.13746m;
|
|
|
|
security.SetMarketPrice(new Tick(DateTime.Now, symbol, bidPrice, askPrice));
|
|
|
|
var quantity = direction == OrderDirection.Buy ? 1 : -1;
|
|
var order = new MarketOrder(symbol, quantity, DateTime.Now);
|
|
var fill = fillModel.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
var expected = direction == OrderDirection.Buy ? askPrice : bidPrice;
|
|
Assert.AreEqual(expected, fill.FillPrice);
|
|
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
|
|
}
|
|
|
|
[Test]
|
|
public void EquityFillModelUsesPriceForTicksWhenBidAskSpreadsAreNotAvailable()
|
|
{
|
|
var noon = new DateTime(2014, 6, 24, 12, 0, 0);
|
|
var timeKeeper = new TimeKeeper(noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
|
|
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
var config = new SubscriptionDataConfig(typeof(Tick), Symbols.SPY, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, noon, 101.123m));
|
|
|
|
// Add both a tradebar and a tick to the security cache
|
|
// This is the case when a tick is seeded with minute data in an algorithm.
|
|
// Use fresh timestamps (data within one resolution bar of the current time) so the fill is not held
|
|
// back as stale; this test is about which data type is used, not stale-data handling.
|
|
security.Cache.AddData(new TradeBar(noon.AddMinutes(-1), symbol, 1.0m, 1.0m, 1.0m, 1.0m, 1.0m, Time.OneMinute));
|
|
security.Cache.AddData(new Tick(config, "42525000,1000000,100,A,@,0", noon.Date));
|
|
|
|
var fillModel = new EquityFillModel();
|
|
var order = new MarketOrder(symbol, 1000, noon);
|
|
var fill = fillModel.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
// The fill model should use the tick.Price
|
|
Assert.AreEqual(fill.FillPrice, 100m);
|
|
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
|
|
}
|
|
|
|
[Test]
|
|
public void EquityFillModelDoesNotUseTicksWhenThereIsNoTickSubscription()
|
|
{
|
|
var noon = new DateTime(2014, 6, 24, 12, 0, 0);
|
|
var timeKeeper = new TimeKeeper(noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
|
|
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
// Minute subscription
|
|
var config = new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, noon, 101.123m));
|
|
|
|
|
|
// This is the case when a tick is seeded with minute data in an algorithm.
|
|
// Use fresh timestamps (data within one resolution bar of the current time) so the fill is not held
|
|
// back as stale; this test is about which data type is used, not stale-data handling.
|
|
security.Cache.AddData(new TradeBar(noon.AddMinutes(-1), symbol, 1.0m, 1.0m, 1.0m, 1.0m, 1.0m, Time.OneMinute));
|
|
security.Cache.AddData(new Tick(config, "42525000,1000000,100,A,@,0", noon.Date));
|
|
|
|
var fillModel = new EquityFillModel();
|
|
var order = new MarketOrder(symbol, 1000, noon);
|
|
var fill = fillModel.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
// The fill model should use the tick.Price
|
|
Assert.AreEqual(fill.FillPrice, 1.0m);
|
|
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
|
|
}
|
|
|
|
|
|
[TestCase(100, 291.50, 291.75)]
|
|
[TestCase(-100, 290.50, 290.25)]
|
|
public void StopLimitOrderDoesNotFillUsingDataBeforeSubmitTime(decimal orderQuantity, decimal stopPrice, decimal limitPrice)
|
|
{
|
|
var time = new DateTime(2018, 9, 24, 9, 30, 0);
|
|
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
|
|
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
|
|
var config = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
|
|
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
|
|
security.SetMarketPrice(tradeBar);
|
|
|
|
time += TimeSpan.FromMinutes(1);
|
|
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
var fillForwardBar = (TradeBar)tradeBar.Clone(true);
|
|
security.SetMarketPrice(fillForwardBar);
|
|
|
|
var fillModel = new EquityFillModel();
|
|
var order = new StopLimitOrder(symbol, orderQuantity, stopPrice, limitPrice, time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
var fill = fillModel.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
Assert.AreEqual(0, fill.FillPrice);
|
|
Assert.AreEqual(OrderStatus.None, fill.Status);
|
|
|
|
time += TimeSpan.FromMinutes(1);
|
|
timeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
|
|
|
|
tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
|
|
security.SetMarketPrice(tradeBar);
|
|
|
|
fill = fillModel.StopLimitFill(security, order);
|
|
|
|
Assert.AreEqual(orderQuantity, fill.FillQuantity);
|
|
Assert.AreEqual(limitPrice, fill.FillPrice);
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreEqual(0, fill.OrderFee.Value.Amount);
|
|
}
|
|
|
|
[Test]
|
|
public void MarketOrderFillWithStalePriceHasWarningMessage()
|
|
{
|
|
var model = new EquityFillModel();
|
|
var order = new MarketOrder(Symbols.SPY, -100, Noon.ConvertToUtc(TimeZones.NewYork).AddMinutes(61));
|
|
var config = CreateTickConfig(Symbols.SPY);
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
security.SetMarketPrice(new Tick(Noon, Symbols.SPY, 101.123m, 101.456m));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.IsTrue(fill.Message.Contains("Warning: fill at stale price"));
|
|
}
|
|
|
|
// A market order whose only available data is stale by more than one resolution bar must wait for fresh data
|
|
// instead of filling on the stale price. This is independent of the time of day:
|
|
// - "market open": order one second after the open, only the previous session's bar is available (overnight gap)
|
|
// - "mid-session": order at noon, the latest bar is two hours old (e.g. an intraday data gap)
|
|
[TestCase(true, OrderDirection.Buy)]
|
|
[TestCase(true, OrderDirection.Sell)]
|
|
[TestCase(false, OrderDirection.Buy)]
|
|
[TestCase(false, OrderDirection.Sell)]
|
|
public void MarketOrderWaitsForFreshDataWhenStaleByMoreThanResolution(bool atMarketOpen, OrderDirection direction)
|
|
{
|
|
var config = CreateTradeBarConfig(Symbols.SPY, Resolution.Minute);
|
|
var configProvider = new MockSubscriptionDataConfigProvider(config);
|
|
configProvider.SubscriptionDataConfigs.Add(config);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
|
|
// US equity market opens at 9:30
|
|
var orderTime = atMarketOpen
|
|
? new DateTime(2014, 6, 24, 9, 30, 1) // one second after the open
|
|
: new DateTime(2014, 6, 24, 12, 0, 0); // mid-session
|
|
var staleBarEnd = atMarketOpen
|
|
? new DateTime(2014, 6, 23, 16, 0, 0) // previous session close (overnight gap)
|
|
: new DateTime(2014, 6, 24, 10, 0, 0); // two hours old
|
|
|
|
var timeKeeper = TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
|
|
timeKeeper.UpdateTime(orderTime.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetLocalTimeKeeper(timeKeeper);
|
|
|
|
const decimal staleClose = 101.123m;
|
|
equity.SetMarketPrice(new TradeBar(staleBarEnd.Add(-Time.OneMinute), Symbols.SPY,
|
|
101m, 101.2m, 100.9m, staleClose, 100, Time.OneMinute));
|
|
|
|
var quantity = direction == OrderDirection.Buy ? 100 : -100;
|
|
var order = new MarketOrder(Symbols.SPY, quantity, orderTime.ConvertToUtc(equity.Exchange.TimeZone));
|
|
var parameters = new FillModelParameters(equity, order, configProvider, Time.OneHour, null);
|
|
|
|
// The latest data is more than one resolution bar (minute) behind: must not fill on the stale price
|
|
var fill = model.Fill(parameters).Single();
|
|
Assert.AreNotEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreNotEqual(OrderStatus.PartiallyFilled, fill.Status);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
|
|
// Once a fresh bar (within one resolution of the current time) is available, the order fills on it
|
|
const decimal freshClose = 102.345m;
|
|
var freshBarEnd = orderTime.RoundDown(Time.OneMinute).Add(Time.OneMinute);
|
|
timeKeeper.UpdateTime(freshBarEnd.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetLocalTimeKeeper(timeKeeper);
|
|
equity.SetMarketPrice(new TradeBar(freshBarEnd.Add(-Time.OneMinute), Symbols.SPY,
|
|
102m, 102.5m, 101.9m, freshClose, 100, Time.OneMinute));
|
|
|
|
fill = model.Fill(parameters).Single();
|
|
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(freshClose, fill.FillPrice);
|
|
}
|
|
|
|
// A market order fills on stale data when the gap to the current time is within one resolution bar (the data is
|
|
// detected as stale by the stale-price window, but a fresh bar is not yet expected).
|
|
[TestCase(OrderDirection.Buy)]
|
|
[TestCase(OrderDirection.Sell)]
|
|
public void MarketOrderFillsOnStaleDataWithinOneResolutionBar(OrderDirection direction)
|
|
{
|
|
var config = CreateTradeBarConfig(Symbols.SPY, Resolution.Minute);
|
|
var configProvider = new MockSubscriptionDataConfigProvider(config);
|
|
configProvider.SubscriptionDataConfigs.Add(config);
|
|
var equity = CreateEquity(config);
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
|
|
var orderTime = new DateTime(2014, 6, 24, 12, 0, 0);
|
|
var timeKeeper = TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
|
|
timeKeeper.UpdateTime(orderTime.ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetLocalTimeKeeper(timeKeeper);
|
|
|
|
// Data 30 seconds old: with a zero stale-price window it is detected as stale, but the gap is smaller than
|
|
// the minute resolution, so a fresh bar is not yet expected and the order should fill on the stale price.
|
|
const decimal staleClose = 101.123m;
|
|
var staleBarEnd = orderTime.AddSeconds(-30);
|
|
equity.SetMarketPrice(new TradeBar(staleBarEnd.Add(-Time.OneMinute), Symbols.SPY,
|
|
101m, 101.2m, 100.9m, staleClose, 100, Time.OneMinute));
|
|
|
|
var quantity = direction == OrderDirection.Buy ? 100 : -100;
|
|
var order = new MarketOrder(Symbols.SPY, quantity, orderTime.ConvertToUtc(equity.Exchange.TimeZone));
|
|
var parameters = new FillModelParameters(equity, order, configProvider, TimeSpan.Zero, null);
|
|
|
|
var fill = model.Fill(parameters).Single();
|
|
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(staleClose, fill.FillPrice);
|
|
}
|
|
|
|
[TestCase(OrderDirection.Sell, 11)]
|
|
[TestCase(OrderDirection.Buy, 21)]
|
|
// uses the trade bar last close
|
|
[TestCase(OrderDirection.Hold, 291)]
|
|
public void PriceReturnsQuoteBarsIfPresent(OrderDirection orderDirection, decimal expected)
|
|
{
|
|
var time = new DateTime(2018, 9, 24, 9, 30, 0);
|
|
var timeKeeper = new TimeKeeper(time.ConvertToUtc(TimeZones.NewYork), TimeZones.NewYork);
|
|
var symbol = Symbol.Create("SPY", SecurityType.Equity, Market.USA);
|
|
|
|
var configTradeBar = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
configQuoteBar,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
|
|
var tradeBar = new TradeBar(time, symbol, 290m, 292m, 289m, 291m, 12345);
|
|
security.SetMarketPrice(tradeBar);
|
|
|
|
var quoteBar = new QuoteBar(time, symbol,
|
|
new Bar(10, 15, 5, 11),
|
|
100,
|
|
new Bar(20, 25, 15, 21),
|
|
100);
|
|
security.SetMarketPrice(quoteBar);
|
|
|
|
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
|
|
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
|
|
|
|
var testFillModel = new TestFillModel();
|
|
testFillModel.SetParameters(new FillModelParameters(security,
|
|
null,
|
|
configProvider,
|
|
TimeSpan.FromDays(1),
|
|
null));
|
|
|
|
var result = testFillModel.GetPricesPublic(security, orderDirection);
|
|
|
|
Assert.AreEqual(expected, result.Close);
|
|
}
|
|
|
|
[TestCase(Resolution.Tick, false)]
|
|
[TestCase(Resolution.Second, false)]
|
|
[TestCase(Resolution.Minute, false)]
|
|
[TestCase(Resolution.Hour, false)]
|
|
[TestCase(Resolution.Daily, true)]
|
|
public void PerformFillOutsideRegularAndExtendedHours(Resolution resolution, bool shouldFill)
|
|
{
|
|
var config = CreateTradeBarConfig(Symbols.SPY, resolution: resolution);
|
|
var configProvider = new MockSubscriptionDataConfigProvider(config);
|
|
configProvider.SubscriptionDataConfigs.Add(config);
|
|
var equity = CreateEquity(config);
|
|
|
|
var baseTime = resolution == Resolution.Daily ? new DateTime(2014, 6, 25) : new DateTime(2014, 6, 24, 12, 0, 0);
|
|
var orderTime = baseTime.ConvertToUtc(equity.Exchange.TimeZone);
|
|
var resolutionTimeSpan = resolution.ToTimeSpan();
|
|
var tradeBarTime = baseTime.Subtract(resolutionTimeSpan);
|
|
|
|
var model = (EquityFillModel)equity.FillModel;
|
|
var order = new MarketOrder(Symbols.SPY, 100, orderTime);
|
|
|
|
var parameters = new FillModelParameters(equity, order, configProvider, Time.OneHour, null);
|
|
|
|
var timeKeeper = TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork);
|
|
// midnight, shouldn't be able to fill for resolutions < daily
|
|
timeKeeper.UpdateTime(new DateTime(2014, 6, 25).ConvertToUtc(TimeZones.NewYork));
|
|
equity.SetLocalTimeKeeper(timeKeeper);
|
|
|
|
const decimal close = 101.234m;
|
|
equity.SetMarketPrice(new TradeBar(tradeBarTime, Symbols.SPY, 101.123m, 101.123m, 101.123m, close, 100, resolutionTimeSpan));
|
|
|
|
var fill = model.Fill(parameters).Single();
|
|
|
|
if (shouldFill)
|
|
{
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(close, fill.FillPrice);
|
|
}
|
|
else
|
|
{
|
|
Assert.AreNotEqual(OrderStatus.Filled, fill.Status);
|
|
Assert.AreNotEqual(OrderStatus.PartiallyFilled, fill.Status);
|
|
Assert.AreEqual(0, fill.FillQuantity);
|
|
Assert.AreEqual(0, fill.FillPrice);
|
|
}
|
|
}
|
|
|
|
[TestCase(Resolution.Second)]
|
|
[TestCase(Resolution.Minute)]
|
|
[TestCase(Resolution.Hour)]
|
|
public void EquityFillModelFillsMOCAtOrAfterMarketCloseTime(Resolution resolution)
|
|
{
|
|
var model = new EquityFillModel();
|
|
var config = CreateTradeBarConfig(Symbols.SPY);
|
|
var security = new Security(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
|
|
var timeOffset = resolution.ToTimeSpan();
|
|
|
|
var desiredTime = new DateTime(2025, 7, 8, 16, 0, 0);
|
|
// Submit MOC order an hour before close
|
|
var order = new MarketOnCloseOrder(Symbols.SPY, -100, desiredTime.AddMinutes(-60));
|
|
// Set LocalTime to slightly after market close
|
|
var localTime = desiredTime + timeOffset - TimeSpan.FromTicks(1);
|
|
var utcTime = localTime.ConvertToUtc(TimeZones.NewYork);
|
|
var timeKeeper = new TimeKeeper(utcTime, new[] { TimeZones.NewYork });
|
|
security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
// Seed last regular bar
|
|
security.SetMarketPrice(new TradeBar(desiredTime - timeOffset, Symbols.SPY, 101.123m, 101.123m, 101.123m, 100, 100, timeOffset));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
}
|
|
|
|
private Equity CreateEquity(SubscriptionDataConfig config)
|
|
{
|
|
var equity = new Equity(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
Exchange.ARCA
|
|
);
|
|
equity.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
return equity;
|
|
}
|
|
|
|
private SubscriptionDataConfig CreateTickConfig(Symbol symbol, bool extendedHours = true)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(Tick), symbol, Resolution.Tick, TimeZones.NewYork, TimeZones.NewYork, true, extendedHours, false);
|
|
}
|
|
|
|
private SubscriptionDataConfig CreateQuoteBarConfig(Symbol symbol, Resolution resolution = Resolution.Minute, bool extendedHours = true)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(QuoteBar), symbol, resolution, TimeZones.NewYork, TimeZones.NewYork, true, extendedHours, false);
|
|
}
|
|
|
|
private SubscriptionDataConfig CreateTradeBarConfig(Symbol symbol, Resolution resolution = Resolution.Minute, bool extendedHours = true)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(TradeBar), symbol, resolution, TimeZones.NewYork, TimeZones.NewYork, true, extendedHours, false);
|
|
}
|
|
|
|
private FillModelParameters GetFillModelParameters(Order order)
|
|
{
|
|
var configTradeBar = CreateTradeBarConfig(order.Symbol);
|
|
var configQuoteBar = new SubscriptionDataConfig(configTradeBar, typeof(QuoteBar));
|
|
var configProvider = new MockSubscriptionDataConfigProvider(configQuoteBar);
|
|
configProvider.SubscriptionDataConfigs.Add(configTradeBar);
|
|
var security = CreateEquity(configTradeBar);
|
|
|
|
return new FillModelParameters(
|
|
security,
|
|
order,
|
|
configProvider,
|
|
Time.OneHour,
|
|
null);
|
|
}
|
|
|
|
private class TestFillModel : EquityFillModel
|
|
{
|
|
public void SetParameters(FillModelParameters parameters)
|
|
{
|
|
Parameters = parameters;
|
|
}
|
|
|
|
public Prices GetPricesPublic(Security asset, OrderDirection direction)
|
|
{
|
|
return base.GetPrices(asset, direction);
|
|
}
|
|
}
|
|
}
|
|
}
|