wehub-resource-sync
174 lines
9.1 KiB
C#
174 lines
9.1 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 Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Orders;
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using QuantConnect.Orders.Fees;
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using QuantConnect.Orders.Serialization;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Orders
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{
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[TestFixture]
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public class OrderEventTests
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{
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[Test]
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public void JsonIgnores()
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{
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var order = new MarketOrder(Symbols.BTCUSD, 0.123m, DateTime.UtcNow);
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var json = JsonConvert.SerializeObject(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero),
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new OrderEventJsonConverter("id"));
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Assert.IsFalse(json.Contains("Message", StringComparison.InvariantCulture));
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Assert.IsFalse(json.Contains("LimitPrice", StringComparison.InvariantCulture));
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Assert.IsFalse(json.Contains("StopPrice", StringComparison.InvariantCulture));
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Assert.IsFalse(json.Contains(value: "IsInTheMoney", StringComparison.InvariantCulture));
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json = JsonConvert.SerializeObject(new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero, "This is a message")
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{
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LimitPrice = 1,
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StopPrice = 2,
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IsInTheMoney = true
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});
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Assert.IsTrue(json.Contains("Message", StringComparison.InvariantCulture));
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Assert.IsTrue(json.Contains("This is a message", StringComparison.InvariantCulture));
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Assert.IsTrue(json.Contains("LimitPrice", StringComparison.InvariantCulture));
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Assert.IsTrue(json.Contains("StopPrice", StringComparison.InvariantCulture));
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Assert.IsTrue(json.Contains(value: "IsInTheMoney", StringComparison.InvariantCulture));
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}
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[Test]
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public void RoundTripSerialization([Values] bool isInTheMoney)
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{
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var order = new MarketOrder(Symbols.BTCUSD, 0.123m, DateTime.UtcNow);
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var orderEvent = new OrderEvent(order, DateTime.UtcNow, OrderFee.Zero)
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{
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Message = "Pepe",
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Status = OrderStatus.PartiallyFilled,
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StopPrice = 1,
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LimitPrice = 2,
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FillPrice = 11,
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FillQuantity = 12,
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FillPriceCurrency = "USD",
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Id = 55,
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Quantity = 16,
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IsInTheMoney = isInTheMoney
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};
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var converter = new OrderEventJsonConverter("id");
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var serializeObject = JsonConvert.SerializeObject(orderEvent, converter);
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// OrderFee zero uses null currency and should be ignored when serializing
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Assert.IsFalse(serializeObject.Contains(Currencies.NullCurrency, StringComparison.InvariantCulture));
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Assert.IsFalse(serializeObject.Contains("order-fee-amount", StringComparison.InvariantCulture));
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Assert.IsFalse(serializeObject.Contains("order-fee-currency", StringComparison.InvariantCulture));
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Assert.AreEqual(isInTheMoney, serializeObject.Contains("isInTheMoney", StringComparison.InvariantCulture));
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var deserializeObject = JsonConvert.DeserializeObject<OrderEvent>(serializeObject, converter);
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Assert.AreEqual(orderEvent.Symbol, deserializeObject.Symbol);
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Assert.AreEqual(orderEvent.StopPrice, deserializeObject.StopPrice);
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// there is a small loss of precision because we use double
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Assert.AreEqual(orderEvent.UtcTime.Ticks, deserializeObject.UtcTime.Ticks, 200);
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Assert.AreEqual(orderEvent.OrderId, deserializeObject.OrderId);
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Assert.AreEqual(orderEvent.AbsoluteFillQuantity, deserializeObject.AbsoluteFillQuantity);
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Assert.AreEqual(orderEvent.Direction, deserializeObject.Direction);
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Assert.AreEqual(orderEvent.FillPrice, deserializeObject.FillPrice);
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Assert.AreEqual(orderEvent.FillPriceCurrency, deserializeObject.FillPriceCurrency);
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Assert.AreEqual(orderEvent.FillQuantity, deserializeObject.FillQuantity);
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Assert.AreEqual(orderEvent.Id, deserializeObject.Id);
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Assert.AreEqual(orderEvent.IsAssignment, deserializeObject.IsAssignment);
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Assert.AreEqual(orderEvent.LimitPrice, deserializeObject.LimitPrice);
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Assert.AreEqual(orderEvent.Message, deserializeObject.Message);
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Assert.AreEqual(orderEvent.Quantity, deserializeObject.Quantity);
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Assert.AreEqual(orderEvent.Status, deserializeObject.Status);
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Assert.AreEqual(orderEvent.OrderFee.Value.Amount, deserializeObject.OrderFee.Value.Amount);
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Assert.AreEqual(orderEvent.OrderFee.Value.Currency, deserializeObject.OrderFee.Value.Currency);
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Assert.AreEqual(orderEvent.IsInTheMoney, deserializeObject.IsInTheMoney);
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}
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[Test]
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public void NonNullOrderFee()
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{
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var order = new MarketOrder(Symbols.BTCUSD, 0.123m, DateTime.UtcNow);
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var orderEvent = new OrderEvent(order, DateTime.UtcNow, new OrderFee(new CashAmount(88, Currencies.USD)));
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var converter = new OrderEventJsonConverter("id");
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var serializeObject = JsonConvert.SerializeObject(orderEvent, converter);
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var deserializeObject = JsonConvert.DeserializeObject<OrderEvent>(serializeObject, converter);
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Assert.IsFalse(serializeObject.Contains("order-fee-amount", StringComparison.InvariantCulture));
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Assert.IsFalse(serializeObject.Contains("order-fee-currency", StringComparison.InvariantCulture));
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Assert.IsTrue(serializeObject.Contains("orderFeeAmount", StringComparison.InvariantCulture));
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Assert.IsTrue(serializeObject.Contains("orderFeeCurrency", StringComparison.InvariantCulture));
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Assert.AreEqual(orderEvent.OrderFee.Value.Amount, deserializeObject.OrderFee.Value.Amount);
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Assert.AreEqual(orderEvent.OrderFee.Value.Currency, deserializeObject.OrderFee.Value.Currency);
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}
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[Test]
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[TestCase(true)]
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[TestCase(false)]
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public void ToString_AppendsIsAssignment_ForOptionSymbols(bool isAssignment)
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{
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var fill = new OrderEvent(1, Symbols.SPY_C_192_Feb19_2016, DateTime.Today, OrderStatus.New, OrderDirection.Buy, 1, 2, OrderFee.Zero, "message")
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{
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IsAssignment = isAssignment
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};
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StringAssert.EndsWith($"IsAssignment: {isAssignment}", fill.ToString());
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}
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[Test]
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[TestCase(SecurityType.Equity)]
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[TestCase(SecurityType.Cfd)]
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[TestCase(SecurityType.Forex)]
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[TestCase(SecurityType.Crypto)]
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[TestCase(SecurityType.Future)]
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public void ToString_DoesNotIncludeIsAssignment_ForNonOptionsSymbols(SecurityType type)
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{
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var symbol = Symbols.GetBySecurityType(type);
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var fill = new OrderEvent(1, symbol, DateTime.Today, OrderStatus.New, OrderDirection.Buy, 1, 2, OrderFee.Zero, "message");
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StringAssert.DoesNotContain("IsAssignment", fill.ToString());
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}
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[Test]
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public void BackwardsCompatibleDeserialization()
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{
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var serializeObject = "{\"id\":\"id-0-0\",\"algorithm-id\":\"id\",\"order-id\":0,\"order-event-id\":0,\"symbol\":\"BTCUSD 2XR\",\"time\":1711565119.684036,\"status\":\"none\"," +
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"\"order-fee-amount\":88.0,\"order-fee-currency\":\"USD\",\"fill-price\":0.0,\"fill-price-currency\":\"\",\"fill-quantity\":0.0,\"direction\":\"buy\",\"is-assignment\":false," +
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"\"quantity\":0.0}";
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var order = new MarketOrder(Symbols.BTCUSD, 0.123m, DateTime.UtcNow);
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var orderEvent = new OrderEvent(order, DateTime.UtcNow, new OrderFee(new CashAmount(88, Currencies.USD)));
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var converter = new OrderEventJsonConverter("id");
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var deserializeObject = JsonConvert.DeserializeObject<OrderEvent>(serializeObject, converter);
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// has the old version
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Assert.IsTrue(serializeObject.Contains("order-fee-amount", StringComparison.InvariantCulture));
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Assert.IsTrue(serializeObject.Contains("order-fee-currency", StringComparison.InvariantCulture));
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Assert.IsFalse(serializeObject.Contains("orderFeeAmount", StringComparison.InvariantCulture));
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Assert.IsFalse(serializeObject.Contains("orderFeeCurrency", StringComparison.InvariantCulture));
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Assert.AreEqual(orderEvent.OrderFee.Value.Amount, deserializeObject.OrderFee.Value.Amount);
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Assert.AreEqual(orderEvent.OrderFee.Value.Currency, deserializeObject.OrderFee.Value.Currency);
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}
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}
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}
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