wehub-resource-sync
93 lines
3.8 KiB
C#
93 lines
3.8 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Linq;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Indicators;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Orders.Fills;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Tests.Common.Data;
|
|
|
|
namespace QuantConnect.Tests.Common.Orders.Fills
|
|
{
|
|
[TestFixture]
|
|
public class FutureOptionFillModelTests
|
|
{
|
|
private static readonly DateTime Noon = new DateTime(2014, 6, 24, 12, 0, 0);
|
|
|
|
private static TimeKeeper TimeKeeper;
|
|
|
|
[SetUp]
|
|
public void Setup()
|
|
{
|
|
TimeKeeper = new TimeKeeper(Noon.ConvertToUtc(TimeZones.NewYork), new[] { TimeZones.NewYork });
|
|
}
|
|
|
|
[Test]
|
|
public void PerformsMarketFill([Values] bool isInternal,
|
|
[Values] bool extendedMarketHours,
|
|
[Values(OrderDirection.Buy, OrderDirection.Sell)] OrderDirection orderDirection)
|
|
{
|
|
var model = new FutureFillModel();
|
|
var quantity = orderDirection == OrderDirection.Buy ? 100 : -100;
|
|
var time = extendedMarketHours ? Noon.AddHours(-12) : Noon; // Midgnight (extended hours) or Noon (regular hours)
|
|
var symbol = Symbols.CreateFutureOptionSymbol(Symbols.CreateFutureSymbol("ES", new DateTime(2020, 4, 28)), OptionRight.Call,
|
|
1000, new DateTime(2020, 3, 26));
|
|
var order = new MarketOrder(symbol, quantity, time);
|
|
var config = CreateTradeBarConfig(symbol, isInternal, extendedMarketHours);
|
|
var security = GetSecurity(config);
|
|
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
security.SetMarketPrice(new IndicatorDataPoint(symbol, time, 101.123m));
|
|
|
|
var fill = model.Fill(new FillModelParameters(
|
|
security,
|
|
order,
|
|
new MockSubscriptionDataConfigProvider(config),
|
|
Time.OneHour,
|
|
null)).Single();
|
|
Assert.AreEqual(order.Quantity, fill.FillQuantity);
|
|
Assert.AreEqual(security.Price, fill.FillPrice);
|
|
Assert.AreEqual(OrderStatus.Filled, fill.Status);
|
|
}
|
|
|
|
private SubscriptionDataConfig CreateTradeBarConfig(Symbol symbol, bool isInternal = false, bool extendedMarketHours = true)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, extendedMarketHours, isInternal);
|
|
}
|
|
|
|
private Security GetSecurity(SubscriptionDataConfig config)
|
|
{
|
|
var entry = MarketHoursDatabase.FromDataFolder().GetEntry(config.Symbol.ID.Market, config.Symbol, config.SecurityType);
|
|
var security = new Security(
|
|
entry.ExchangeHours,
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null,
|
|
new SecurityCache()
|
|
);
|
|
|
|
security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
|
|
|
|
return security;
|
|
}
|
|
}
|
|
}
|