wehub-resource-sync
250 lines
20 KiB
C#
250 lines
20 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 System.Linq;
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using NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Orders;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Cfd;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Securities.Forex;
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using QuantConnect.Securities.Option;
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namespace QuantConnect.Tests.Common.Orders
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{
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[TestFixture]
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public class OrderTests
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{
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[Test, TestCaseSource(nameof(GetValueTestParameters))]
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public void GetValueTest(ValueTestParameters parameters)
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{
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// By default the price for option exercise orders is 0, so we need to set it to the strike price
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if (parameters.Order.Type == OrderType.OptionExercise)
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{
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parameters.Order.Price = parameters.Order.Symbol.ID.StrikePrice;
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}
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var value = parameters.Order.GetValue(parameters.Security);
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Assert.AreEqual(parameters.ExpectedValue, value);
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}
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[TestCase(OrderDirection.Sell, 300, 0.1, true, 270)]
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[TestCase(OrderDirection.Sell, 300, 30, false, 270)]
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[TestCase(OrderDirection.Buy, 300, 0.1, true, 330)]
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[TestCase(OrderDirection.Buy, 300, 30, false, 330)]
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public void TrailingStopOrder_CalculatesStopPrice(OrderDirection direction, decimal marketPrice, decimal trailingAmount,
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bool trailingAsPercentage, decimal expectedStopPrice)
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{
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var stopPrice = TrailingStopOrder.CalculateStopPrice(marketPrice, trailingAmount, trailingAsPercentage, direction);
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Assert.AreEqual(expectedStopPrice, stopPrice);
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}
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[TestCase(OrderDirection.Sell, 269, 300, 0.1, true, 270)]
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[TestCase(OrderDirection.Sell, 270, 300, 0.1, true, null)]
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[TestCase(OrderDirection.Sell, 269, 300, 30, false, 270)]
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[TestCase(OrderDirection.Sell, 270, 300, 30, false, null)]
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[TestCase(OrderDirection.Buy, 331, 300, 0.1, true, 330)]
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[TestCase(OrderDirection.Buy, 330, 300, 0.1, true, null)]
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[TestCase(OrderDirection.Buy, 331, 300, 30, false, 330)]
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[TestCase(OrderDirection.Buy, 330, 300, 30, false, null)]
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public void TrailingStopOrder_UpdatesStopPriceIfNecessary(OrderDirection direction, decimal currentStopPrice, decimal marketPrice,
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decimal trailingAmount, bool trailingAsPercentage, decimal? expectedStopPrice)
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{
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var updated = TrailingStopOrder.TryUpdateStopPrice(marketPrice, currentStopPrice, trailingAmount, trailingAsPercentage, direction,
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out var updatedStopPrice);
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if (expectedStopPrice.HasValue)
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{
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Assert.IsTrue(updated);
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Assert.AreEqual(expectedStopPrice.Value, updatedStopPrice);
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}
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else
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{
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Assert.IsFalse(updated);
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}
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}
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private static TestCaseData[] GetValueTestParameters()
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{
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const decimal delta = 1m;
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const decimal price = 1.2345m;
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const int quantity = 100;
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const decimal pricePlusDelta = price + delta;
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const decimal priceMinusDelta = price - delta;
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var tz = TimeZones.NewYork;
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var time = new DateTime(2016, 2, 4, 16, 0, 0).ConvertToUtc(tz);
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var equity = new Equity(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, Resolution.Minute, tz, tz, true, false, false),
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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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);
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equity.SetMarketPrice(new Tick {Value = price});
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var gbpCash = new Cash("GBP", 0, 1.46m);
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var properties = SymbolProperties.GetDefault(gbpCash.Symbol);
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var forex = new Forex(
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SecurityExchangeHours.AlwaysOpen(tz),
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gbpCash,
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new Cash("EUR", 0, 0),
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.EURGBP, Resolution.Minute, tz, tz, true, false, false),
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properties,
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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forex.SetMarketPrice(new Tick {Value= price});
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var eurCash = new Cash("EUR", 0, 1.12m);
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properties = new SymbolProperties("Euro-Bund", eurCash.Symbol, 10, 0.1m, 1, string.Empty);
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var cfd = new Cfd(
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SecurityExchangeHours.AlwaysOpen(tz),
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eurCash,
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new SubscriptionDataConfig(typeof(TradeBar), Symbols.DE10YBEUR, Resolution.Minute, tz, tz, true, false, false),
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properties,
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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cfd.SetMarketPrice(new Tick { Value = price });
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var multiplierTimesConversionRate = properties.ContractMultiplier*eurCash.ConversionRate;
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var option = new Option(
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SecurityExchangeHours.AlwaysOpen(tz),
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY_P_192_Feb19_2016,
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Resolution.Minute,
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tz,
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tz,
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true,
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false,
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false
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),
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new Cash(Currencies.USD, 0, 1m),
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new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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option.SetMarketPrice(new Tick { Value = price });
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return new List<ValueTestParameters>
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{
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// equity orders
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new ValueTestParameters("EquityLongMarketOrder", equity, new MarketOrder(Symbols.SPY, quantity, time), quantity*price),
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new ValueTestParameters("EquityShortMarketOrder", equity, new MarketOrder(Symbols.SPY, -quantity, time), -quantity*price),
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new ValueTestParameters("EquityLongLimitOrder", equity, new LimitOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("EquityShortLimit Order", equity, new LimitOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("EquityLongStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("EquityShortStopLimitOrder", equity, new StopLimitOrder(Symbols.SPY, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("EquityLongStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, quantity, pricePlusDelta, time), quantity*price),
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new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("EquityShortStopMarketOrder", equity, new StopMarketOrder(Symbols.SPY, -quantity, priceMinusDelta, time), -quantity*price),
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new ValueTestParameters("EquityLongTrailingStopOrderPriceMinusDelta", equity, new TrailingStopOrder(Symbols.SPY, quantity, priceMinusDelta, 0.1m, true, time), quantity*priceMinusDelta),
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new ValueTestParameters("EquityLongTrailingStopOrderPricePlusDelta", equity, new TrailingStopOrder(Symbols.SPY, quantity, pricePlusDelta, 0.1m, true, time), quantity*price),
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new ValueTestParameters("EquityShortTrailingStopOrderPricePlusDelta", equity, new TrailingStopOrder(Symbols.SPY, -quantity, pricePlusDelta, 0.1m, true, time), -quantity*pricePlusDelta),
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new ValueTestParameters("EquityShortTrailingStopOrderPriceMinusDelta", equity, new TrailingStopOrder(Symbols.SPY, -quantity, priceMinusDelta, 0.1m, true, time), -quantity*price),
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new ValueTestParameters("EquityLongLimitIfTouchedOrder", equity, new LimitIfTouchedOrder(Symbols.SPY, quantity, 1.5m*pricePlusDelta, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("EquityShortLimitIfTouchedOrder", equity, new LimitIfTouchedOrder(Symbols.SPY, -quantity, .5m*priceMinusDelta, pricePlusDelta, time), -quantity*pricePlusDelta),
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// forex orders
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new ValueTestParameters("ForexLongMarketOrder", forex, new MarketOrder(Symbols.EURGBP, quantity, time), quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortMarketOrder", forex, new MarketOrder(Symbols.EURGBP, -quantity, time), -quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongLimitOrder", forex, new LimitOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortLimit Order", forex, new LimitOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortStopLimitOrder", forex, new StopLimitOrder(Symbols.EURGBP, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, quantity, pricePlusDelta, time), quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortStopMarketOrder", forex, new StopMarketOrder(Symbols.EURGBP, -quantity, priceMinusDelta, time), -quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongTrailingStopOrderPriceMinusDelta", forex, new TrailingStopOrder(Symbols.EURGBP, quantity, priceMinusDelta, 0.1m, true, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongTrailingStopOrderPricePlusDelta", forex, new TrailingStopOrder(Symbols.EURGBP, quantity, pricePlusDelta, 0.1m, true, time), quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortTrailingStopOrderPricePlusDelta", forex, new TrailingStopOrder(Symbols.EURGBP, -quantity, pricePlusDelta, 0.1m, true, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortTrailingStopOrderPriceMinusDelta", forex, new TrailingStopOrder(Symbols.EURGBP, -quantity, priceMinusDelta, 0.1m, true, time), -quantity*price*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexLongLimitIfTouchedOrder", forex, new LimitIfTouchedOrder(Symbols.EURGBP, quantity,1.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*forex.QuoteCurrency.ConversionRate),
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new ValueTestParameters("ForexShortLimitIfTouchedOrder", forex, new LimitIfTouchedOrder(Symbols.EURGBP, -quantity, .5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*forex.QuoteCurrency.ConversionRate),
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// cfd orders
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new ValueTestParameters("CfdLongMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, quantity, time), quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortMarketOrder", cfd, new MarketOrder(Symbols.DE10YBEUR, -quantity, time), -quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongLimitOrder", cfd, new LimitOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortLimit Order", cfd, new LimitOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortStopLimitOrder", cfd, new StopLimitOrder(Symbols.DE10YBEUR, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, quantity, pricePlusDelta, time), quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortStopMarketOrder", cfd, new StopMarketOrder(Symbols.DE10YBEUR, -quantity, priceMinusDelta, time), -quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongTrailingStopOrderPriceMinusDelta", cfd, new TrailingStopOrder(Symbols.DE10YBEUR, quantity, priceMinusDelta, 0.1m, true, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongTrailingStopOrderPricePlusDelta", cfd, new TrailingStopOrder(Symbols.DE10YBEUR, quantity, pricePlusDelta, 0.1m, true, time), quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortTrailingStopOrderPricePlusDelta", cfd, new TrailingStopOrder(Symbols.DE10YBEUR, -quantity, pricePlusDelta, 0.1m, true, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortTrailingStopOrderPriceMinusDelta", cfd, new TrailingStopOrder(Symbols.DE10YBEUR, -quantity, priceMinusDelta, 0.1m, true, time), -quantity*price*multiplierTimesConversionRate),
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new ValueTestParameters("CfdShortLimitIfTouchedOrder", cfd, new LimitIfTouchedOrder(Symbols.DE10YBEUR, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta*multiplierTimesConversionRate),
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new ValueTestParameters("CfdLongLimitIfTouchedOrder", cfd, new LimitIfTouchedOrder(Symbols.DE10YBEUR, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta*multiplierTimesConversionRate),
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// equity/index option orders
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new ValueTestParameters("OptionLongMarketOrder", option, new MarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, time), quantity*price),
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new ValueTestParameters("OptionShortMarketOrder", option, new MarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, time), -quantity*price),
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new ValueTestParameters("OptionLongLimitOrder", option, new LimitOrder(Symbols.SPY_P_192_Feb19_2016, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("OptionShortLimit Order", option, new LimitOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("OptionLongStopLimitOrder", option, new StopLimitOrder(Symbols.SPY_P_192_Feb19_2016, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("OptionShortStopLimitOrder", option, new StopLimitOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("OptionLongStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("OptionLongStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, quantity, pricePlusDelta, time), quantity*price),
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new ValueTestParameters("OptionShortStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("OptionShortStopMarketOrder", option, new StopMarketOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, priceMinusDelta, time), -quantity*price),
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new ValueTestParameters("OptionLongTrailingStopOrdePriceMinusDeltar", option, new TrailingStopOrder(Symbols.SPY_P_192_Feb19_2016, quantity, priceMinusDelta, 0.1m, true, time), quantity*priceMinusDelta),
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new ValueTestParameters("OptionLongTrailingStopOrderPricePlusDelta", option, new TrailingStopOrder(Symbols.SPY_P_192_Feb19_2016, quantity, pricePlusDelta, 0.1m, true, time), quantity*price),
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new ValueTestParameters("OptionShortTrailingStopOrderPricePlusDelta", option, new TrailingStopOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, pricePlusDelta, 0.1m, true, time), -quantity*pricePlusDelta),
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new ValueTestParameters("OptionShortTrailingStopOrderPriceMinusDelta", option, new TrailingStopOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, priceMinusDelta, 0.1m, true, time), -quantity*price),
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new ValueTestParameters("OptionShortLimitIfTouchedOrder", option, new LimitIfTouchedOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, 1.5m*pricePlusDelta, pricePlusDelta, time), -quantity*pricePlusDelta),
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new ValueTestParameters("OptionLongLimitIfTouchedOrder", option, new LimitIfTouchedOrder(Symbols.SPY_P_192_Feb19_2016, quantity,.5m*priceMinusDelta, priceMinusDelta, time), quantity*priceMinusDelta),
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new ValueTestParameters("OptionExerciseOrderPut", option, new OptionExerciseOrder(Symbols.SPY_P_192_Feb19_2016, quantity, time), quantity*option.Symbol.ID.StrikePrice),
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new ValueTestParameters("OptionAssignmentOrderPut", option, new OptionExerciseOrder(Symbols.SPY_P_192_Feb19_2016, -quantity, time), -quantity*option.Symbol.ID.StrikePrice),
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new ValueTestParameters("OptionExerciseOrderCall", option, new OptionExerciseOrder(Symbols.SPY_C_192_Feb19_2016, quantity, time), quantity*option.Symbol.ID.StrikePrice),
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new ValueTestParameters("OptionAssignmentOrderCall", option, new OptionExerciseOrder(Symbols.SPY_C_192_Feb19_2016, -quantity, time), -quantity*option.Symbol.ID.StrikePrice),
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}.Select(x => new TestCaseData(x).SetName(x.Name)).ToArray();
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}
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public class ValueTestParameters
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{
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public string Name { get; init; }
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public Security Security { get; init; }
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public Order Order { get; init; }
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public decimal ExpectedValue { get; init; }
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public ValueTestParameters(string name, Security security, Order order, decimal expectedValue)
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{
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Name = name;
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Security = security;
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Order = order;
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ExpectedValue = expectedValue;
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}
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}
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}
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}
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