wehub-resource-sync
93 lines
3.8 KiB
C#
93 lines
3.8 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.Securities;
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using QuantConnect.Tests.Engine.DataFeeds;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class AccountCurrencyImmediateSettlementModelTests
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{
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private static readonly DateTime Noon = new DateTime(2014, 6, 24, 12, 0, 0);
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[Test]
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public void FundsAreSettledImmediately()
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{
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(Noon);
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var portfolio = algorithm.Portfolio;
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var security = algorithm.AddSecurity(Symbols.SPY);
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var model = new AccountCurrencyImmediateSettlementModel();
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portfolio.SetCash(1000);
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Assert.AreEqual(1000, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(1000, Currencies.USD), null));
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Assert.AreEqual(2000, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(-500, Currencies.USD), null));
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Assert.AreEqual(1500, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(1000, Currencies.USD), null));
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Assert.AreEqual(2500, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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}
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[Test]
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public void FundsAreSettledInAccountCurrency()
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{
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var algorithm = new AlgorithmStub();
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algorithm.SetDateTime(Noon);
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var portfolio = algorithm.Portfolio;
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var security = algorithm.AddSecurity(Symbols.DE30EUR);
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var model = new AccountCurrencyImmediateSettlementModel();
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portfolio.SetCash(1000);
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portfolio.SetCash("EUR", 0, 1.1m);
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Assert.AreEqual(1000, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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var timeUtc = Noon.ConvertToUtc(TimeZones.NewYork);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(1000, Currencies.EUR), null));
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// 1000 + 1000 * 1.1 = 2100
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Assert.AreEqual(2100, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(-500, Currencies.EUR), null));
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// 2100 - 500 * 1.1 = 1550
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Assert.AreEqual(1550, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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model.ApplyFunds(new ApplyFundsSettlementModelParameters(portfolio, security, timeUtc, new CashAmount(1000, Currencies.EUR), null));
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// 1550 + 1000 * 1.1 = 2650
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Assert.AreEqual(2650, portfolio.Cash);
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Assert.AreEqual(0, portfolio.UnsettledCash);
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}
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}
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}
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