wehub-resource-sync
635 lines
29 KiB
C#
635 lines
29 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 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.Orders.Fees;
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using QuantConnect.Orders.TimeInForces;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Crypto;
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using QuantConnect.Securities.CryptoFuture;
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using QuantConnect.Securities.Equity;
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using QuantConnect.Securities.Forex;
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using QuantConnect.Tests.Common.Securities;
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namespace QuantConnect.Tests.Common.Orders.TimeInForces
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{
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[TestFixture]
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public class TimeInForceTests
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{
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[Test]
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public void GtcTimeInForceOrderDoesNotExpire()
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{
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var security = new Equity(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var timeInForce = new GoodTilCanceledTimeInForce();
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var order = new LimitOrder(Symbols.SPY, 10, 100, DateTime.UtcNow);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, DateTime.UtcNow, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, DateTime.UtcNow, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[Test]
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public void DayTimeInForceEquityOrderExpiresAtMarketClose()
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{
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var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
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var security = new Equity(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.Day;
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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localTimeKeeper.UpdateTime(utcTime.AddHours(6));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[Test]
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public void DayTimeInForceForexOrderBefore5PMExpiresAt5PM()
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{
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// set time to 10:00:00 AM (NY time)
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var utcTime = new DateTime(2018, 4, 25, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
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var security = new Forex(
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SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
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new Cash(Currencies.USD, 0, 1m),
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new Cash("EUR", 0, 0),
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new SubscriptionDataConfig(
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typeof(QuoteBar),
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Symbols.EURUSD,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.Day;
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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// set time to 4:59:59 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// set time to 5:00:00 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(7));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[Test]
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public void DayTimeInForceForexOrderAfter5PMExpiresAt5PMNextDay()
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{
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// set time to 6:00:00 PM (NY time)
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var utcTime = new DateTime(2018, 4, 25, 18, 0, 0).ConvertToUtc(TimeZones.NewYork);
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var security = new Forex(
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SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
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new Cash(Currencies.USD, 0, 1m),
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new Cash(Currencies.EUR, 0, 0),
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new SubscriptionDataConfig(
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typeof(QuoteBar),
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Symbols.EURUSD,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.Day;
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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// set time to midnight (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(6));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// set time to 4:59:59 PM next day (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(23).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// set time to 5:00:00 PM next day (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(23));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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private static Security[] CryptoSecurities => new Security[]
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{
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new Crypto(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new Cash(Currencies.USD, 0, 1m),
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new Cash("BTC", 0, 0),
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new SubscriptionDataConfig(
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typeof(QuoteBar),
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Symbols.BTCUSD,
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Resolution.Minute,
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TimeZones.Utc,
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TimeZones.Utc,
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true,
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true,
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true
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),
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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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new CryptoFuture(
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Symbol.Create("BTCUSDT", SecurityType.CryptoFuture, Market.Binance),
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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new Cash("USDT", 0, 1m),
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new Cash("BTC", 0, 0),
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SymbolProperties.GetDefault("USDT"),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null,
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new SecurityCache()
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)
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};
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[TestCaseSource(nameof(CryptoSecurities))]
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public void DayTimeInForceCryptoOrderExpiresAtMidnightUtc(Security security)
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{
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var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.Day;
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(security.Symbol, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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localTimeKeeper.UpdateTime(utcTime.AddHours(14));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[Test]
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public void GtdTimeInForceEquityOrderExpiresAtMarketCloseOnExpiryDate()
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{
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var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
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var security = new Equity(
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SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
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new SubscriptionDataConfig(
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typeof(TradeBar),
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Symbols.SPY,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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// April 27th before market close
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localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// April 27th at market close
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localTimeKeeper.UpdateTime(utcTime.AddHours(6));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st at 10 AM
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localTimeKeeper.UpdateTime(utcTime.AddDays(4));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st before market close
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localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st at market close
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localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(6));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[Test]
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public void GtdTimeInForceForexOrderBeforeExpiresAt5PMOnExpiryDate()
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{
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// set time to 10:00:00 AM (NY time)
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var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
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var security = new Forex(
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SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
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new Cash(Currencies.USD, 0, 1m),
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new Cash(Currencies.EUR, 0, 0),
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new SubscriptionDataConfig(
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typeof(QuoteBar),
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Symbols.EURUSD,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true,
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true,
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true
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),
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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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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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// April 27th 4:59:59 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// April 27th 5:00:00 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddHours(7));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st at 10 AM
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localTimeKeeper.UpdateTime(utcTime.AddDays(4));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st 4:59:59 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st 5:00:00 PM (NY time)
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localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(7));
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Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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}
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[TestCaseSource(nameof(CryptoSecurities))]
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public void GtdTimeInForceCryptoOrderExpiresAtMidnightUtcAfterExpiryDate(Security security)
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{
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var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
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var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
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security.SetLocalTimeKeeper(localTimeKeeper);
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var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 5, 1));
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var orderProperties = new OrderProperties { TimeInForce = timeInForce };
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var order = new LimitOrder(security.Symbol, 10, 100, utcTime, "", orderProperties);
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
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var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
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Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
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// April 27th before midnight
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localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// April 28th at midnight
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localTimeKeeper.UpdateTime(utcTime.AddHours(14));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st at 10 AM
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localTimeKeeper.UpdateTime(utcTime.AddDays(4));
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Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
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// May 1st before midnight
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|
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14).AddSeconds(-1));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
// May 2nd at midnight
|
|
localTimeKeeper.UpdateTime(utcTime.AddDays(4).AddHours(14));
|
|
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
|
|
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
}
|
|
|
|
[Test]
|
|
public void GtdSameDayTimeInForceEquityOrderExpiresAtMarketClose()
|
|
{
|
|
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
|
|
|
|
var security = new Equity(
|
|
SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(),
|
|
new SubscriptionDataConfig(
|
|
typeof(TradeBar),
|
|
Symbols.SPY,
|
|
Resolution.Minute,
|
|
TimeZones.NewYork,
|
|
TimeZones.NewYork,
|
|
true,
|
|
true,
|
|
true
|
|
),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null
|
|
);
|
|
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
|
|
security.SetLocalTimeKeeper(localTimeKeeper);
|
|
|
|
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
|
|
var orderProperties = new OrderProperties { TimeInForce = timeInForce };
|
|
var order = new LimitOrder(Symbols.SPY, 10, 100, utcTime, "", orderProperties);
|
|
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
|
|
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(6).AddSeconds(-1));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
|
|
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
|
|
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
}
|
|
|
|
[Test]
|
|
public void GtdSameDayTimeInForceForexOrderBefore5PMExpiresAt5PM()
|
|
{
|
|
// set time to 10:00:00 AM (NY time)
|
|
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0).ConvertToUtc(TimeZones.NewYork);
|
|
|
|
var security = new Forex(
|
|
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
new Cash(Currencies.EUR, 0, 0),
|
|
new SubscriptionDataConfig(
|
|
typeof(QuoteBar),
|
|
Symbols.EURUSD,
|
|
Resolution.Minute,
|
|
TimeZones.NewYork,
|
|
TimeZones.NewYork,
|
|
true,
|
|
true,
|
|
true
|
|
),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null
|
|
);
|
|
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
|
|
security.SetLocalTimeKeeper(localTimeKeeper);
|
|
|
|
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
|
|
var orderProperties = new OrderProperties { TimeInForce = timeInForce };
|
|
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
|
|
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
|
|
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
|
|
// set time to 4:59:59 PM (NY time)
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(7).AddSeconds(-1));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
// set time to 5:00:00 PM (NY time)
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(7));
|
|
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
|
|
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
}
|
|
|
|
[Test]
|
|
public void GtdSameDayTimeInForceForexOrderAfter5PMExpiresAt5PMNextDay()
|
|
{
|
|
// set time to 6:00:00 PM (NY time)
|
|
var utcTime = new DateTime(2018, 4, 27, 18, 0, 0).ConvertToUtc(TimeZones.NewYork);
|
|
|
|
var security = new Forex(
|
|
SecurityExchangeHoursTests.CreateForexSecurityExchangeHours(),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
new Cash(Currencies.EUR, 0, 0),
|
|
new SubscriptionDataConfig(
|
|
typeof(QuoteBar),
|
|
Symbols.EURUSD,
|
|
Resolution.Minute,
|
|
TimeZones.NewYork,
|
|
TimeZones.NewYork,
|
|
true,
|
|
true,
|
|
true
|
|
),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance,
|
|
RegisteredSecurityDataTypesProvider.Null
|
|
);
|
|
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.NewYork);
|
|
security.SetLocalTimeKeeper(localTimeKeeper);
|
|
|
|
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
|
|
var orderProperties = new OrderProperties { TimeInForce = timeInForce };
|
|
var order = new LimitOrder(Symbols.EURUSD, 10, 100, utcTime, "", orderProperties);
|
|
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
|
|
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
|
|
// set time to midnight (NY time)
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(6));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
// set time to 4:59:59 PM next day (NY time)
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(23).AddSeconds(-1));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
// set time to 5:00:00 PM next day (NY time)
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(23));
|
|
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
|
|
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
}
|
|
|
|
[TestCaseSource(nameof(CryptoSecurities))]
|
|
public void GtdSameDayTimeInForceCryptoOrderExpiresAtMidnightUtc(Security security)
|
|
{
|
|
var utcTime = new DateTime(2018, 4, 27, 10, 0, 0);
|
|
|
|
var localTimeKeeper = new LocalTimeKeeper(utcTime, TimeZones.Utc);
|
|
security.SetLocalTimeKeeper(localTimeKeeper);
|
|
|
|
var timeInForce = TimeInForce.GoodTilDate(new DateTime(2018, 4, 27));
|
|
var orderProperties = new OrderProperties { TimeInForce = timeInForce };
|
|
var order = new LimitOrder(security.Symbol, 10, 100, utcTime, "", orderProperties);
|
|
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
var fill1 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.PartiallyFilled, OrderDirection.Buy, order.LimitPrice, 3, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
|
|
var fill2 = new OrderEvent(order.Id, order.Symbol, utcTime, OrderStatus.Filled, OrderDirection.Buy, order.LimitPrice, 7, OrderFee.Zero);
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(14).AddSeconds(-1));
|
|
Assert.IsFalse(timeInForce.IsOrderExpired(security, order));
|
|
|
|
localTimeKeeper.UpdateTime(utcTime.AddHours(14));
|
|
Assert.IsTrue(timeInForce.IsOrderExpired(security, order));
|
|
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill1));
|
|
Assert.IsTrue(timeInForce.IsFillValid(security, order, fill2));
|
|
}
|
|
}
|
|
}
|