wehub-resource-sync
161 lines
8.2 KiB
C#
161 lines
8.2 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 NUnit.Framework;
|
|
using QuantConnect.Orders;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Tests.Engine.DataFeeds;
|
|
|
|
namespace QuantConnect.Tests.Common.Orders
|
|
{
|
|
[TestFixture]
|
|
public class OrderTicketTests
|
|
{
|
|
private DateTime _requestTime = new DateTime(2022, 08, 25, 15, 0, 0);
|
|
|
|
[TearDown]
|
|
public void TearDown()
|
|
{
|
|
Messages.SetAlgorithmLanguage(Language.CSharp);
|
|
}
|
|
|
|
[Test]
|
|
public void TestInvalidUpdateOrderId()
|
|
{
|
|
var updateFields = new UpdateOrderFields { Quantity = 99, Tag = "Pepe", StopPrice = 77, LimitPrice = 55 };
|
|
var updateRequest = new UpdateOrderRequest(_requestTime, 11, updateFields);
|
|
var ticket = OrderTicket.InvalidUpdateOrderId(null, updateRequest);
|
|
Assert.AreEqual(11, ticket.OrderId);
|
|
Assert.AreEqual(0, ticket.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.Tag);
|
|
Assert.AreEqual(OrderStatus.Invalid, ticket.Status);
|
|
Assert.AreEqual(1, ticket.UpdateRequests.Count);
|
|
Assert.AreEqual(OrderRequestStatus.Error, ticket.UpdateRequests[0].Status);
|
|
Assert.AreEqual(OrderResponseErrorCode.UnableToFindOrder, ticket.UpdateRequests[0].Response.ErrorCode);
|
|
Assert.AreEqual(11, ticket.UpdateRequests[0].OrderId);
|
|
Assert.AreEqual(99, ticket.UpdateRequests[0].Quantity);
|
|
Assert.AreEqual("Pepe", ticket.UpdateRequests[0].Tag);
|
|
Assert.AreEqual(77, ticket.UpdateRequests[0].StopPrice);
|
|
Assert.AreEqual(55, ticket.UpdateRequests[0].LimitPrice);
|
|
}
|
|
[Test]
|
|
public void TestInvalidCancelOrderId()
|
|
{
|
|
var cancelRequest = new CancelOrderRequest(_requestTime, 11, "Pepe");
|
|
var ticket = OrderTicket.InvalidCancelOrderId(null, cancelRequest);
|
|
Assert.AreEqual(11, ticket.OrderId);
|
|
Assert.AreEqual(0, ticket.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.Tag);
|
|
Assert.AreEqual(OrderStatus.Invalid, ticket.Status);
|
|
Assert.AreEqual(cancelRequest, ticket.CancelRequest);
|
|
Assert.AreEqual(OrderRequestStatus.Error, ticket.CancelRequest.Status);
|
|
Assert.AreEqual(OrderResponseErrorCode.UnableToFindOrder, ticket.CancelRequest.Response.ErrorCode);
|
|
Assert.AreEqual(11, ticket.CancelRequest.OrderId);
|
|
Assert.AreEqual("Pepe", ticket.CancelRequest.Tag);
|
|
}
|
|
[Test]
|
|
public void TestInvalidSubmitRequest()
|
|
{
|
|
var orderRequest = new SubmitOrderRequest(OrderType.Limit, SecurityType.Equity, Symbols.AAPL, 1000, 0, 1.11m, _requestTime, "Pepe");
|
|
var order = Order.CreateOrder(orderRequest);
|
|
orderRequest.SetOrderId(orderRequest.OrderId);
|
|
var orderResponse = OrderResponse.InvalidStatus(orderRequest, order);
|
|
var ticket = OrderTicket.InvalidSubmitRequest(null, orderRequest, orderResponse);
|
|
Assert.AreEqual(orderRequest.OrderId, ticket.OrderId);
|
|
Assert.AreEqual(1000, ticket.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.Tag);
|
|
Assert.AreEqual(OrderStatus.Invalid, ticket.Status);
|
|
Assert.AreEqual(OrderType.Limit, ticket.OrderType);
|
|
Assert.AreEqual(SecurityType.Equity, ticket.SecurityType);
|
|
Assert.AreEqual(Symbols.AAPL, ticket.Symbol);
|
|
Assert.AreEqual(orderRequest, ticket.SubmitRequest);
|
|
Assert.AreEqual(OrderRequestStatus.Error, ticket.SubmitRequest.Status);
|
|
Assert.AreEqual(orderRequest.OrderId, ticket.SubmitRequest.OrderId);
|
|
Assert.AreEqual(1000, ticket.SubmitRequest.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.SubmitRequest.Tag);
|
|
}
|
|
[Test]
|
|
public void TestInvalidWarmingUp()
|
|
{
|
|
var orderRequest = new SubmitOrderRequest(OrderType.Limit, SecurityType.Equity, Symbols.AAPL, 1000, 0, 1.11m, _requestTime, "Pepe");
|
|
orderRequest.SetOrderId(orderRequest.OrderId);
|
|
var algorithmSub = new AlgorithmStub();
|
|
var ticket = algorithmSub.SubmitOrderRequest(orderRequest);
|
|
Assert.AreEqual(orderRequest.OrderId, ticket.OrderId);
|
|
Assert.AreEqual(1000, ticket.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.Tag);
|
|
Assert.AreEqual(OrderStatus.Invalid, ticket.Status);
|
|
Assert.AreEqual(OrderType.Limit, ticket.OrderType);
|
|
Assert.AreEqual(SecurityType.Equity, ticket.SecurityType);
|
|
Assert.AreEqual(Symbols.AAPL, ticket.Symbol);
|
|
Assert.AreEqual(orderRequest, ticket.SubmitRequest);
|
|
Assert.AreEqual(OrderRequestStatus.Error, ticket.SubmitRequest.Status);
|
|
Assert.AreEqual(orderRequest.OrderId, ticket.SubmitRequest.OrderId);
|
|
Assert.AreEqual(1000, ticket.SubmitRequest.Quantity);
|
|
Assert.AreEqual("Pepe", ticket.SubmitRequest.Tag);
|
|
Assert.AreEqual("This operation is not allowed in Initialize or during warm up: OrderRequest.Submit. Please move this code to the OnWarmupFinished() method.", ticket.SubmitRequest.Response.ErrorMessage);
|
|
// Verify Python snake_case formatting
|
|
Messages.SetAlgorithmLanguage(Language.Python);
|
|
var pythonResponse = OrderResponse.WarmingUp(orderRequest);
|
|
Assert.AreEqual("This operation is not allowed in initialize or during warm up: OrderRequest.submit. Please move this code to the on_warmup_finished() method.", pythonResponse.ErrorMessage);
|
|
}
|
|
|
|
[TestCase(8, 0, true, Description = "8 AM - valid submission")]
|
|
[TestCase(12, 0, false, Description = "12 PM - invalid submission")]
|
|
[TestCase(15, 30, false, Description = "3:30 PM - invalid submission")]
|
|
[TestCase(15, 59, false, Description = "15:59 PM - invalid submission")]
|
|
[TestCase(17, 0, true, Description = "5 PM - valid submission")]
|
|
[TestCase(21, 0, true, Description = "9 PM - valid submission")]
|
|
public void MarketOnOpenOrderSubmissionRespectsAllowedTimeRange(int hourOfDay, int minuteOfDay, bool shouldBeValid)
|
|
{
|
|
var symbol = Symbols.SPY;
|
|
var algorithm = new AlgorithmStub();
|
|
algorithm.SetStartDate(2025, 04, 30);
|
|
|
|
var security = algorithm.AddSecurity(symbol.ID.SecurityType, symbol.ID.Symbol);
|
|
algorithm.SetFinishedWarmingUp();
|
|
security.Update([new Tick(algorithm.Time, symbol, string.Empty, string.Empty, 10m, 550m)], typeof(TradeBar));
|
|
|
|
// Set algorithm time to the given hour
|
|
var targetTime = algorithm.Time.Date.AddHours(hourOfDay).AddMinutes(minuteOfDay);
|
|
algorithm.SetDateTime(targetTime.ConvertToUtc(algorithm.TimeZone));
|
|
|
|
var order = new MarketOnOpenOrder(security.Symbol, 1, DateTime.UtcNow);
|
|
|
|
var request = algorithm.SubmitOrderRequest(new SubmitOrderRequest(
|
|
order.Type,
|
|
security.Type,
|
|
security.Symbol,
|
|
order.Quantity,
|
|
0m,
|
|
0m,
|
|
order.Time,
|
|
string.Empty));
|
|
|
|
if (shouldBeValid)
|
|
{
|
|
Assert.AreEqual(OrderStatus.New, request.Status, $"Expected order at {hourOfDay}:00 to be valid.");
|
|
Assert.AreEqual(1, request.OrderId);
|
|
}
|
|
else
|
|
{
|
|
Assert.AreEqual(OrderStatus.Invalid, request.Status, $"Expected order at {hourOfDay}:00 to be invalid.");
|
|
Assert.AreEqual(-10, request.OrderId);
|
|
}
|
|
}
|
|
}
|
|
}
|