wehub-resource-sync
55 lines
2.8 KiB
C#
55 lines
2.8 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2025 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.Orders;
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using System.Collections.Generic;
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namespace QuantConnect.Tests.Common.Orders
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{
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[TestFixture]
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public class GroupOrderExtensionsTests
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{
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private static IEnumerable<TestCaseData> GroupQuantityTestCases
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{
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get
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{
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yield return new TestCaseData(CreateLegs(1), OrderDirection.Buy, 1).SetDescription("If brokerage returns already calculated quantity");
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yield return new TestCaseData(CreateLegs(-1), OrderDirection.Sell, -1).SetDescription("If brokerage returns already calculated quantity");
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yield return new TestCaseData(CreateLegs(1, -1), OrderDirection.Buy, 1).SetDescription("Bull Call Spread");
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yield return new TestCaseData(CreateLegs(-1, 1), OrderDirection.Sell, -1).SetDescription("Bear Call Spread");
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yield return new TestCaseData(CreateLegs(1, -2, 1), OrderDirection.Buy, 1).SetDescription("Bull Butterfly");
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yield return new TestCaseData(CreateLegs(-1, 2, -1), OrderDirection.Sell, -1).SetDescription("Bear Butterfly");
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yield return new TestCaseData(CreateLegs(1, 1), OrderDirection.Buy, 1).SetDescription("Bull Strangle");
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yield return new TestCaseData(CreateLegs(-1, -1), OrderDirection.Sell, -1).SetDescription("Bear Strangle");
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yield return new TestCaseData(CreateLegs(10, -20, 10), OrderDirection.Buy, 10);
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yield return new TestCaseData(CreateLegs(-10, 20, -10), OrderDirection.Sell, -10);
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}
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}
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[Test, TestCaseSource(nameof(GroupQuantityTestCases))]
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public void GetGroupQuantityByEachLegQuantityShouldReturnExpectedGCD(Leg[] legs, OrderDirection direction, int expected)
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{
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var legQuantities = legs.Select(x => Convert.ToDecimal(x.Quantity));
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var result = GroupOrderExtensions.GetGroupQuantityByEachLegQuantity(legQuantities, direction);
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Assert.AreEqual(Convert.ToDecimal(expected), result);
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}
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private static Leg[] CreateLegs(params int[] quantities) => [.. quantities.Select(q => Leg.Create(null, q))];
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}
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}
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