wehub-resource-sync
1408 lines
47 KiB
C#
1408 lines
47 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 Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Orders;
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using System;
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using System.Collections.Generic;
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using System.Text.RegularExpressions;
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namespace QuantConnect.Tests.Common.Orders
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{
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[TestFixture]
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public class ReadOrdersResponseJsonConverterTests
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{
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private JsonSerializerSettings _jsonSettings = new() { Converters = { new ReadOrdersResponseJsonConverter()} };
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[TestCaseSource(nameof(DeserializeOrdersTests))]
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public void DeserializesCamelAndCapitalCaseOrders(string json, OrderType expectedType, string id, SecurityType securityType)
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{
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var apiOrderResponse = JsonConvert.DeserializeObject<ApiOrderResponse>(json, _jsonSettings);
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var order = apiOrderResponse.Order;
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var actualType = order.Type;
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Assert.AreEqual(expectedType, actualType);
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switch (actualType)
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{
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case OrderType.Market:
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Assert.IsTrue(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.Limit:
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Assert.AreEqual(139.240078869942m, (order as LimitOrder).LimitPrice);
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Assert.IsTrue(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.StopMarket:
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Assert.AreEqual(138.232948134345, (order as StopMarketOrder).StopPrice);
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.StopLimit:
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Assert.AreEqual(139.240078869942m, (order as StopLimitOrder).LimitPrice);
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Assert.AreEqual(138.232948134345, (order as StopLimitOrder).StopPrice);
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Assert.AreEqual(false, (order as StopLimitOrder).StopTriggered);
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.MarketOnOpen:
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.MarketOnClose:
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.OptionExercise:
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.LimitIfTouched:
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Assert.AreEqual(139.240078869942m, (order as LimitIfTouchedOrder).LimitPrice);
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Assert.AreEqual(138.26, (order as LimitIfTouchedOrder).TriggerPrice);
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Assert.AreEqual(false, (order as LimitIfTouchedOrder).TriggerTouched);
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.ComboMarket:
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Assert.IsTrue(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.ComboLimit:
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.ComboLegLimit:
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Assert.AreEqual(139.240078869942m, (order as ComboLegLimitOrder).LimitPrice);
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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case OrderType.TrailingStop:
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Assert.AreEqual(138.232948134345m, (order as TrailingStopOrder).StopPrice);
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Assert.IsFalse(order.IsMarketable, "Failed in Order.IsMarketable");
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break;
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}
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Assert.AreEqual(1, order.Id, "Failed in Order.Id");
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Assert.AreEqual(0, order.ContingentId, "Failed in Order.ContingentId");
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Assert.AreEqual(new List<string>() { "1" }, order.BrokerId, "Failed in Order.BrokerId");
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Assert.AreEqual(id, order.Symbol.ID.ToString(), "Failed in Order.ID.Symbol");
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Assert.AreEqual(Market.USA, order.Symbol.ID.Market, "Failed in Order.Symbol.ID.Market");
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Assert.AreEqual(138.513986945m, order.Price, "Failed in Order.Price");
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Assert.AreEqual("USD", order.PriceCurrency, "Failed in Order.PriceCurrency");
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Assert.AreEqual(new DateTime(2013, 10, 7, 13, 31, 00), order.Time.RoundDown(TimeSpan.FromSeconds(1)), "Failed in Order.Time");
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Assert.AreEqual(new DateTime(2013, 10, 7, 13, 31, 00), order.CreatedTime.RoundDown(TimeSpan.FromSeconds(1)));
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Assert.AreEqual(new DateTime(2013, 10, 7, 13, 31, 00), order.LastFillTime?.RoundDown(TimeSpan.FromSeconds(1)));
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Assert.AreEqual(10, order.Quantity, "Failed in Order.Quantity");
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Assert.AreEqual(OrderStatus.Submitted, order.Status, "Failed in Order.Status");
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Assert.AreEqual(TimeInForce.GoodTilCanceled.ToString(), order.Properties.TimeInForce.ToString(), "Failed in Order.Properties.TimeInForce");
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Assert.AreEqual(securityType, order.SecurityType, "Failed in Order.SecurityType");
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Assert.AreEqual(OrderDirection.Buy, order.Direction, "Failed in Order.Direction");
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Assert.AreEqual(1385.139869450m, order.Value, "Failed in Order.Value");
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Assert.AreEqual(138.505714984m, order.OrderSubmissionData.BidPrice, "Failed in Order.OrderSubmissionData.BidPrice");
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Assert.AreEqual(138.513986945m, order.OrderSubmissionData.AskPrice, "Failed in Order.OrderSubmissionData.AskPrice");
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Assert.AreEqual(138.505714984m, order.OrderSubmissionData.LastPrice, "Failed in Order.OrderSubmissionData.LastPrice");
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Assert.AreEqual(DataNormalizationMode.Adjusted, order.PriceAdjustmentMode, "Failed in Order.PriceAdjustmentMode");
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}
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[TestCaseSource(nameof(SerializeOrdersTests))]
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public void SerializesCamelAndCapitalCaseOrders(string json)
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{
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var order = JsonConvert.DeserializeObject<ApiOrderResponse>(json, _jsonSettings);
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var serializedOrder = JsonConvert.SerializeObject(order, _jsonSettings);
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var jsonFormat = json.Replace("\r\n ", "").Replace(": ", ":").Replace(" ", "").Replace("\r\n", "").Replace("\t", "").Replace("\n", "");
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if (order.Order.Type == OrderType.ComboMarket || order.Order.Type == OrderType.ComboLimit || order.Order.Type == OrderType.ComboLegLimit)
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{
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jsonFormat = Regex.Replace(jsonFormat, @"\""value\"":\""(.*?)\"",", "");
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jsonFormat = Regex.Replace(jsonFormat, @"\""permtick\"":\""(.*?)\"",", "");
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serializedOrder = Regex.Replace(serializedOrder, @"\""value\"":\""(.*?)\"",", "");
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serializedOrder = Regex.Replace(serializedOrder, @"\""permtick\"":\""(.*?)\"",", "");
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}
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Assert.AreEqual(jsonFormat, serializedOrder);
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Assert.AreEqual(jsonFormat.GetHashCode(), serializedOrder.GetHashCode());
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}
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private const string _camelCaseMarketOrder = @"{
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""type"": 0,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
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""securityType"": 1,
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""direction"": 0,
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""value"": 1385.139869450,
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""orderSubmissionData"": {
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""bidPrice"": 138.505714984,
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""askPrice"": 138.513986945,
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""lastPrice"": 138.505714984
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},
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""isMarketable"": true,
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""priceAdjustmentMode"": 1,
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""events"": [
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{
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""id"": ""3b2259c444e04c9124784bb491bf016f-1-1"",
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""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
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""orderId"": 1,
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""orderEventId"": 1,
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""symbol"": ""SPY R735QTJ8XC9X"",
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""symbolValue"": ""SPY"",
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""symbolPermtick"": ""SPY"",
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""time"": 1381152660.0,
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""status"": ""submitted"",
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""fillPrice"": 0.0,
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""fillPriceCurrency"": ""USD"",
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""fillQuantity"": 0.0,
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""direction"": ""buy"",
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""message"": null,
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""isAssignment"": false,
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""quantity"": 10.0
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}
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]
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}";
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private const string _camelCaseLimitOrder = @"{
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""limitPrice"": 139.240078869942,
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""type"": 1,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
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""securityType"": 1,
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""direction"": 0,
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""value"": 1385.139869450,
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""orderSubmissionData"": {
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""bidPrice"": 138.505714984,
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""askPrice"": 138.513986945,
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""lastPrice"": 138.505714984
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},
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""isMarketable"": true,
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""priceAdjustmentMode"": 1,
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""events"": [
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{
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""id"": ""3b2259c444e04c9124784bb491bf016f-4-1"",
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""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
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""orderId"": 4,
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""orderEventId"": 1,
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""symbol"": ""SPY R735QTJ8XC9X"",
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""symbolValue"": ""SPY"",
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""symbolPermtick"": ""SPY"",
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""time"": 1381161600.0,
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""status"": ""submitted"",
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""fillPrice"": 0.0,
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""fillPriceCurrency"": ""USD"",
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""fillQuantity"": 0.0,
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""direction"": ""sell"",
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""message"": null,
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""isAssignment"": false,
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""quantity"": -10.0,
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""limitPrice"": 139.290078869942
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}
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]
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}";
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private const string _camelCaseStopMarket = @"{
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""stopPrice"": 138.232948134345,
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""type"": 2,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
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""securityType"": 1,
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""direction"": 0,
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""value"": 1385.139869450,
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""orderSubmissionData"": {
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""bidPrice"": 138.505714984,
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""askPrice"": 138.513986945,
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""lastPrice"": 138.505714984
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},
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""isMarketable"": false,
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""priceAdjustmentMode"": 1,
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""events"": [
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{
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""id"": ""3b2259c444e04c9124784bb491bf016f-8-1"",
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""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
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""orderId"": 8,
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""orderEventId"": 1,
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""symbol"": ""SPY R735QTJ8XC9X"",
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""symbolValue"": ""SPY"",
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""symbolPermtick"": ""SPY"",
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""time"": 1381176000.0,
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""status"": ""submitted"",
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""fillPrice"": 0.0,
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""fillPriceCurrency"": ""USD"",
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""fillQuantity"": 0.0,
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""direction"": ""sell"",
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""message"": null,
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""isAssignment"": false,
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""quantity"": -10.0,
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""stopPrice"": 138.142948134345
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}
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]
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}";
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private const string _camelCaseStopLimitOrder = @"{
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""stopPrice"": 138.232948134345,
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""stopTriggered"": false,
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""limitPrice"": 139.240078869942,
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""type"": 3,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
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""securityType"": 1,
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""direction"": 0,
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""value"": 1385.139869450,
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""orderSubmissionData"": {
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""bidPrice"": 138.505714984,
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""askPrice"": 138.513986945,
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""lastPrice"": 138.505714984
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},
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""isMarketable"": false,
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""priceAdjustmentMode"": 1,
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""events"": [
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{
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""id"": ""3b2259c444e04c9124784bb491bf016f-10-1"",
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""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
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""orderId"": 10,
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""orderEventId"": 1,
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""symbol"": ""SPY R735QTJ8XC9X"",
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""symbolValue"": ""SPY"",
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""symbolPermtick"": ""SPY"",
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""time"": 1381248060.0,
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""status"": ""submitted"",
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""fillPrice"": 0.0,
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""fillPriceCurrency"": ""USD"",
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""fillQuantity"": 0.0,
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""direction"": ""sell"",
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""message"": null,
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""isAssignment"": false,
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""quantity"": -10.0,
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""stopPrice"": 137.367302895297,
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""limitPrice"": 137.534807703
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}
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]
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}";
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private const string _camelCaseMarketOnOpen = @"{
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""type"": 4,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
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""securityType"": 1,
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""direction"": 0,
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""value"": 1385.139869450,
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""orderSubmissionData"": {
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""bidPrice"": 138.505714984,
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""askPrice"": 138.513986945,
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""lastPrice"": 138.505714984
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},
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""isMarketable"": false,
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""priceAdjustmentMode"": 1,
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""events"": [
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{
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""id"": ""3b2259c444e04c9124784bb491bf016f-11-1"",
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""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
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""orderId"": 11,
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""orderEventId"": 1,
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""symbol"": ""SPY R735QTJ8XC9X"",
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""symbolValue"": ""SPY"",
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""symbolPermtick"": ""SPY"",
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""time"": 1381255200.0,
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""status"": ""submitted"",
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""fillPrice"": 0.0,
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""fillPriceCurrency"": ""USD"",
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""fillQuantity"": 0.0,
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""direction"": ""buy"",
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""message"": null,
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""isAssignment"": false,
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""quantity"": 50.0
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}
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]
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}";
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private const string _camelCaseMarketOnClose = @"{
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""type"": 5,
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""id"": 1,
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""contingentId"": 0,
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""brokerId"": [
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""1""
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],
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""symbol"": {
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""value"": ""SPY"",
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""id"": ""SPY R735QTJ8XC9X"",
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""permtick"": ""SPY""
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},
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""price"": 138.513986945,
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""priceCurrency"": ""USD"",
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""time"": ""2013-10-07T13:31:00Z"",
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""createdTime"": ""2013-10-07T13:31:00Z"",
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""lastFillTime"": ""2013-10-07T13:31:00Z"",
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""quantity"": 10.0,
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""status"": 1,
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""tag"": """",
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""properties"": {
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""timeInForce"": {}
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},
|
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""securityType"": 1,
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""direction"": 0,
|
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""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
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""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
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""lastPrice"": 138.505714984
|
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},
|
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""isMarketable"": false,
|
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""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""3b2259c444e04c9124784bb491bf016f-12-1"",
|
|
""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
|
|
""orderId"": 12,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""SPY R735QTJ8XC9X"",
|
|
""symbolValue"": ""SPY"",
|
|
""symbolPermtick"": ""SPY"",
|
|
""time"": 1381334400.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""buy"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": 104.0
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseOptionExercise = @"{
|
|
""type"": 6,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""AAPL 140613P00660000"",
|
|
""id"": ""AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X"",
|
|
""permtick"": ""AAPL 140613P00660000"",
|
|
""underlying"": {
|
|
""value"": ""AAPL"",
|
|
""id"": ""AAPL R735QTJ8XC9X"",
|
|
""permtick"": ""AAPL""
|
|
}
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""quantity"": 10.0,
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 2,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": false,
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""015fbee84f01918498775c6c3a08dd39-3-1"",
|
|
""algorithmId"": ""015fbee84f01918498775c6c3a08dd39"",
|
|
""orderId"": 3,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X"",
|
|
""symbolValue"": ""AAPL 140613P00660000"",
|
|
""symbolPermtick"": ""AAPL"",
|
|
""time"": 1402061460.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""sell"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": -20.0
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseLimitIfTouched = @"{
|
|
""type"": 7,
|
|
""triggerPrice"": 138.26,
|
|
""limitPrice"": 139.240078869942,
|
|
""triggerTouched"": false,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""SPY"",
|
|
""id"": ""SPY R735QTJ8XC9X"",
|
|
""permtick"": ""SPY""
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""quantity"": 10.0,
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 1,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": false,
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""4c4c10b22ca562d9419c869abd23bfaf-1-1"",
|
|
""algorithmId"": ""4c4c10b22ca562d9419c869abd23bfaf"",
|
|
""orderId"": 1,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""SPY R735QTJ8XC9X"",
|
|
""symbolValue"": ""SPY"",
|
|
""symbolPermtick"": ""SPY"",
|
|
""time"": 1381152660.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""buy"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": 10.0,
|
|
""limitPrice"": 137.505714984
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseComboMarket = @"{
|
|
""type"": 8,
|
|
""quantity"": 10.0,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""GOOG 160115C00745000"",
|
|
""id"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG 160115C00745000"",
|
|
""underlying"": {
|
|
""value"": ""GOOG"",
|
|
""id"": ""GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 2,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": true,
|
|
""groupOrderManager"": {
|
|
""id"": 1,
|
|
""quantity"": 10.0,
|
|
""count"": 3,
|
|
""limitPrice"": 0.0,
|
|
""orderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""direction"": 0
|
|
},
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""c628892c0f508fd780013e01383f1c4e-3-1"",
|
|
""algorithmId"": ""c628892c0f508fd780013e01383f1c4e"",
|
|
""orderId"": 3,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
|
|
""symbolValue"": ""GOOG 160115C00750000"",
|
|
""symbolPermtick"": ""GOOCV"",
|
|
""time"": 1450967460.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""buy"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": 10.0
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseComboLimit = @"{
|
|
""type"": 9,
|
|
""quantity"": 10.0,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""GOOG 160115C00745000"",
|
|
""id"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG 160115C00745000"",
|
|
""underlying"": {
|
|
""value"": ""GOOG"",
|
|
""id"": ""GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 2,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": false,
|
|
""groupOrderManager"": {
|
|
""id"": 1,
|
|
""quantity"": 10.0,
|
|
""count"": 3,
|
|
""limitPrice"": 1.9,
|
|
""orderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""direction"": 0
|
|
},
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""02162a310244a08034bcbcd571f5aec9-1-1"",
|
|
""algorithmId"": ""02162a310244a08034bcbcd571f5aec9"",
|
|
""orderId"": 1,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"",
|
|
""symbolValue"": ""GOOG 160115C00745000"",
|
|
""symbolPermtick"": ""GOOCV"",
|
|
""time"": 1450967460.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""buy"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": 100.0
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseComboLegLimit = @"{
|
|
""type"": 10,
|
|
""limitPrice"": 139.240078869942,
|
|
""quantity"": 10.0,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""GOOG 160115C00750000"",
|
|
""id"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG 160115C00750000"",
|
|
""underlying"": {
|
|
""value"": ""GOOG"",
|
|
""id"": ""GOOCV VP83T1ZUHROL"",
|
|
""permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 2,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": false,
|
|
""groupOrderManager"": {
|
|
""id"": 1,
|
|
""quantity"": 10.0,
|
|
""count"": 3,
|
|
""limitPrice"": 0.0,
|
|
""orderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""direction"": 0
|
|
},
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""a19c5b42ef28e3db679bb6fd59c14984-3-1"",
|
|
""algorithmId"": ""a19c5b42ef28e3db679bb6fd59c14984"",
|
|
""orderId"": 3,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
|
|
""symbolValue"": ""GOOG 160115C00750000"",
|
|
""symbolPermtick"": ""GOOCV"",
|
|
""time"": 1450967460.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""buy"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": 10.0,
|
|
""limitPrice"": 28.0
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _camelCaseTrailingStop = @"{
|
|
""trailingAmount"": 0.0019,
|
|
""trailingAsPercentage"": true,
|
|
""type"": 11,
|
|
""stopPrice"": 138.232948134345,
|
|
""id"": 1,
|
|
""contingentId"": 0,
|
|
""brokerId"": [
|
|
""1""
|
|
],
|
|
""symbol"": {
|
|
""value"": ""SPY"",
|
|
""id"": ""SPY R735QTJ8XC9X"",
|
|
""permtick"": ""SPY""
|
|
},
|
|
""price"": 138.513986945,
|
|
""priceCurrency"": ""USD"",
|
|
""time"": ""2013-10-07T13:31:00Z"",
|
|
""createdTime"": ""2013-10-07T13:31:00Z"",
|
|
""lastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""quantity"": 10.0,
|
|
""status"": 1,
|
|
""tag"": """",
|
|
""properties"": {
|
|
""timeInForce"": {}
|
|
},
|
|
""securityType"": 1,
|
|
""direction"": 0,
|
|
""value"": 1385.139869450,
|
|
""orderSubmissionData"": {
|
|
""bidPrice"": 138.505714984,
|
|
""askPrice"": 138.513986945,
|
|
""lastPrice"": 138.505714984
|
|
},
|
|
""isMarketable"": false,
|
|
""priceAdjustmentMode"": 1,
|
|
""events"": [
|
|
{
|
|
""id"": ""3b2259c444e04c9124784bb491bf016f-6-1"",
|
|
""algorithmId"": ""3b2259c444e04c9124784bb491bf016f"",
|
|
""orderId"": 6,
|
|
""orderEventId"": 1,
|
|
""symbol"": ""SPY R735QTJ8XC9X"",
|
|
""symbolValue"": ""SPY"",
|
|
""symbolPermtick"": ""SPY"",
|
|
""time"": 1381161600.0,
|
|
""status"": ""submitted"",
|
|
""fillPrice"": 0.0,
|
|
""fillPriceCurrency"": ""USD"",
|
|
""fillQuantity"": 0.0,
|
|
""direction"": ""sell"",
|
|
""message"": null,
|
|
""isAssignment"": false,
|
|
""quantity"": -10.0,
|
|
""stopPrice"": 138.803050622145
|
|
}
|
|
]
|
|
}";
|
|
|
|
private const string _capitalCaseMarketOrder = @"{
|
|
""Type"": 0,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": true,
|
|
""PriceAdjustmentMode"": 1,
|
|
""events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseLimitOrder = @"{
|
|
""LimitPrice"": 139.240078869942,
|
|
""Type"": 1,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": true,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseStopMarket = @"{
|
|
""StopPrice"": 138.232948134345,
|
|
""Type"": 2,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseStopLimitOrder = @"{
|
|
""StopPrice"": 138.232948134345,
|
|
""StopTriggered"": false,
|
|
""LimitPrice"": 139.240078869942,
|
|
""Type"": 3,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseMarketOnOpen = @"{
|
|
""Type"": 4,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseMarketOnClose = @"{
|
|
""Type"": 5,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseOptionExercise = @"{
|
|
""Type"": 6,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""AAPL 140613P00660000"",
|
|
""ID"": ""AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X"",
|
|
""Permtick"": ""AAPL 140613P00660000"",
|
|
""Underlying"": {
|
|
""Value"": ""AAPL"",
|
|
""ID"": ""AAPL R735QTJ8XC9X"",
|
|
""Permtick"": ""AAPL""
|
|
}
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 2,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseLimitIfTouched = @"{
|
|
""Type"": 7,
|
|
""triggerPrice"": 138.26,
|
|
""LimitPrice"": 139.240078869942,
|
|
""TriggerTouched"": false,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseComboMarket = @"{
|
|
""Type"": 8,
|
|
""Quantity"": 10.0,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""GOOG 160115C00745000"",
|
|
""ID"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG 160115C00745000"",
|
|
""Underlying"": {
|
|
""Value"": ""GOOG"",
|
|
""ID"": ""GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 2,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": true,
|
|
""GroupOrderManager"": {
|
|
""Id"": 1,
|
|
""Quantity"": 10.0,
|
|
""Count"": 3,
|
|
""LimitPrice"": 0.0,
|
|
""OrderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""Direction"": 0
|
|
},
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseComboLimit = @"{
|
|
""Type"": 9,
|
|
""Quantity"": 10.0,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""GOOG 160115C00745000"",
|
|
""ID"": ""GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG 160115C00745000"",
|
|
""Underlying"": {
|
|
""Value"": ""GOOG"",
|
|
""ID"": ""GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 2,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""GroupOrderManager"": {
|
|
""Id"": 1,
|
|
""Quantity"": 10.0,
|
|
""Count"": 3,
|
|
""LimitPrice"": 1.9,
|
|
""OrderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""Direction"": 0
|
|
},
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseComboLegLimit = @"{
|
|
""Type"": 10,
|
|
""LimitPrice"": 139.240078869942,
|
|
""Quantity"": 10.0,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""GOOG 160115C00750000"",
|
|
""ID"": ""GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG 160115C00750000"",
|
|
""Underlying"": {
|
|
""Value"": ""GOOG"",
|
|
""ID"": ""GOOCV VP83T1ZUHROL"",
|
|
""Permtick"": ""GOOG""
|
|
}
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 2,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""GroupOrderManager"": {
|
|
""Id"": 1,
|
|
""Quantity"": 10.0,
|
|
""Count"": 3,
|
|
""LimitPrice"": 0.0,
|
|
""OrderIds"": [
|
|
1,
|
|
2,
|
|
3
|
|
],
|
|
""Direction"": 0
|
|
},
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
private const string _capitalCaseTrailingStop = @"{
|
|
""TrailingAmount"": 0.0019,
|
|
""TrailingAsPercentage"": true,
|
|
""Type"": 11,
|
|
""StopPrice"": 138.232948134345,
|
|
""Id"": 1,
|
|
""ContingentId"": 0,
|
|
""BrokerId"": [
|
|
""1""
|
|
],
|
|
""Symbol"": {
|
|
""Value"": ""SPY"",
|
|
""ID"": ""SPY R735QTJ8XC9X"",
|
|
""Permtick"": ""SPY""
|
|
},
|
|
""Price"": 138.513986945,
|
|
""PriceCurrency"": ""USD"",
|
|
""Time"": ""2013-10-07T13:31:00Z"",
|
|
""CreatedTime"": ""2013-10-07T13:31:00Z"",
|
|
""LastFillTime"": ""2013-10-07T13:31:00Z"",
|
|
""Quantity"": 10.0,
|
|
""Status"": 1,
|
|
""Tag"": """",
|
|
""Properties"": {
|
|
""TimeInForce"": {}
|
|
},
|
|
""SecurityType"": 1,
|
|
""Direction"": 0,
|
|
""Value"": 1385.139869450,
|
|
""OrderSubmissionData"": {
|
|
""BidPrice"": 138.505714984,
|
|
""AskPrice"": 138.513986945,
|
|
""LastPrice"": 138.505714984
|
|
},
|
|
""IsMarketable"": false,
|
|
""PriceAdjustmentMode"": 1,
|
|
""Events"": []
|
|
}";
|
|
|
|
public static object[] DeserializeOrdersTests =
|
|
{
|
|
new object[] { _camelCaseMarketOrder, OrderType.Market, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseLimitOrder, OrderType.Limit, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseStopMarket, OrderType.StopMarket, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseStopLimitOrder, OrderType.StopLimit, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseMarketOnOpen, OrderType.MarketOnOpen, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseMarketOnClose, OrderType.MarketOnClose, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseOptionExercise, OrderType.OptionExercise, "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option },
|
|
new object[] { _camelCaseLimitIfTouched, OrderType.LimitIfTouched, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _camelCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _camelCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _camelCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _camelCaseTrailingStop, OrderType.TrailingStop, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseMarketOrder, OrderType.Market, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseLimitOrder, OrderType.Limit, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseStopMarket, OrderType.StopMarket, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseStopLimitOrder, OrderType.StopLimit, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseMarketOnOpen, OrderType.MarketOnOpen, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseMarketOnClose, OrderType.MarketOnClose, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseOptionExercise, OrderType.OptionExercise, "AAPL 2ZQGWTST4Z8NA|AAPL R735QTJ8XC9X", SecurityType.Option },
|
|
new object[] { _capitalCaseLimitIfTouched, OrderType.LimitIfTouched, "SPY R735QTJ8XC9X", SecurityType.Equity },
|
|
new object[] { _capitalCaseComboMarket, OrderType.ComboMarket, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _capitalCaseComboLimit, OrderType.ComboLimit, "GOOCV W78ZERHAT67A|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _capitalCaseComboLegLimit, OrderType.ComboLegLimit, "GOOCV W78ZEOEHV29Y|GOOCV VP83T1ZUHROL", SecurityType.Option },
|
|
new object[] { _capitalCaseTrailingStop, OrderType.TrailingStop, "SPY R735QTJ8XC9X", SecurityType.Equity }
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};
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public static object[] SerializeOrdersTests =
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{
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new object[] { _camelCaseMarketOrder },
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new object[] { _camelCaseLimitOrder },
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new object[] { _camelCaseStopMarket },
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new object[] { _camelCaseStopLimitOrder },
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new object[] { _camelCaseMarketOnOpen },
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new object[] { _camelCaseMarketOnClose },
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new object[] { _camelCaseOptionExercise },
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new object[] { _camelCaseLimitIfTouched },
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new object[] { _camelCaseComboMarket },
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new object[] { _camelCaseComboLimit },
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new object[] { _camelCaseComboLegLimit },
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new object[] { _camelCaseTrailingStop },
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};
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}
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}
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