wehub-resource-sync
287 lines
9.3 KiB
C#
287 lines
9.3 KiB
C#
/*
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* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
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* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
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*
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* Licensed under the Apache License, Version 2.0 (the "License");
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* you may not use this file except in compliance with the License.
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* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
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*
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* Unless required by applicable law or agreed to in writing, software
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* distributed under the License is distributed on an "AS IS" BASIS,
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* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
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* See the License for the specific language governing permissions and
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* limitations under the License.
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*/
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using System;
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using System.Linq;
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using Newtonsoft.Json;
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using NUnit.Framework;
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using QuantConnect.Packets;
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using QuantConnect.Securities;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class CashBookTests
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{
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[Test]
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public void JsonRoundTrip()
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{
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var cashBook = new CashBook { AccountCurrency = Currencies.EUR };
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cashBook.Add(Currencies.USD, 10, 1.2m);
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cashBook.Add(Currencies.EUR, 10, 1m);
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var expected = new LiveResult { CashBook = cashBook };
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var serialized = JsonConvert.SerializeObject(expected);
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var result = JsonConvert.DeserializeObject<LiveResult>(serialized);
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Assert.AreEqual(expected.AccountCurrency, result.AccountCurrency);
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Assert.AreEqual(expected.AccountCurrencySymbol, result.AccountCurrencySymbol);
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Assert.AreEqual(expected.Cash.Count, result.Cash.Count);
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Assert.AreEqual(expected.Cash[Currencies.USD].Amount, result.Cash[Currencies.USD].Amount);
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Assert.AreEqual(expected.Cash[Currencies.USD].ConversionRate, result.Cash[Currencies.USD].ConversionRate);
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Assert.AreEqual(expected.Cash[Currencies.EUR].Amount, result.Cash[Currencies.EUR].Amount);
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Assert.AreEqual(expected.Cash[Currencies.EUR].ConversionRate, result.Cash[Currencies.EUR].ConversionRate);
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}
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[Test]
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public void InitializesWithAccountCurrencyAdded()
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{
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var book = new CashBook();
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Assert.AreEqual(1, book.Count);
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var cash = book.Single().Value;
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Assert.AreEqual(Currencies.USD, cash.Symbol);
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Assert.AreEqual(0, cash.Amount);
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Assert.AreEqual(1m, cash.ConversionRate);
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}
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[Test]
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public void ComputesValueInAccountCurrency()
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{
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var book = new CashBook();
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book[Currencies.USD].SetAmount(1000);
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book.Add("JPY", 1000, 1/100m);
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book.Add("GBP", 1000, 2m);
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decimal expected = book[Currencies.USD].ValueInAccountCurrency + book["JPY"].ValueInAccountCurrency + book["GBP"].ValueInAccountCurrency;
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Assert.AreEqual(expected, book.TotalValueInAccountCurrency);
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}
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[Test]
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public void ConvertsProperly()
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{
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var book = new CashBook();
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book.Add("EUR", 0, 1.10m);
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book.Add("GBP", 0, 0.71m);
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var expected = 1549.2957746478873239436619718m;
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var actual = book.Convert(1000, "EUR", "GBP");
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void ConvertsToAccountCurrencyProperly()
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{
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var book = new CashBook();
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book.Add("EUR", 0, 1.10m);
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var expected = 1100m;
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var actual = book.ConvertToAccountCurrency(1000, "EUR");
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void ConvertsToEurFromAccountCurrencyProperly()
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{
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var book = new CashBook();
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book.Add("EUR", 0, 1.20m);
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var expected = 1000m;
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var actual = book.Convert(1200, book.AccountCurrency, "EUR");
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void ConvertsToJpyFromAccountCurrencyProperly()
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{
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var book = new CashBook();
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book.Add("JPY", 0, 1/100m);
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var expected = 100000m;
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var actual = book.Convert(1000, book.AccountCurrency, "JPY");
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Assert.AreEqual(expected, actual);
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}
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[Test]
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public void WontAddNullCurrencyCash()
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{
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var book = new CashBook {{Currencies.NullCurrency, 1, 1}};
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Assert.AreEqual(1, book.Count);
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var cash = book.Single().Value;
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Assert.AreEqual(Currencies.USD, cash.Symbol);
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book.Add(Currencies.NullCurrency, 1, 1);
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Assert.AreEqual(1, book.Count);
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cash = book.Single().Value;
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Assert.AreEqual(Currencies.USD, cash.Symbol);
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book.Add(Currencies.NullCurrency,
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new Cash(Currencies.NullCurrency, 1, 1));
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Assert.AreEqual(1, book.Count);
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cash = book.Single().Value;
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Assert.AreEqual(Currencies.USD, cash.Symbol);
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book[Currencies.NullCurrency] =
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new Cash(Currencies.NullCurrency, 1, 1);
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Assert.AreEqual(1, book.Count);
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cash = book.Single().Value;
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Assert.AreEqual(Currencies.USD, cash.Symbol);
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}
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[Test]
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public void WillThrowIfGetNullCurrency()
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{
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Assert.Throws<InvalidOperationException>(() =>
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{
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var symbol = new CashBook()[Currencies.NullCurrency].Symbol;
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});
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}
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[Test]
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public void UpdatedAddedCalledOnlyForNewSymbols()
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{
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var cashBook = new CashBook();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Add(cash.Symbol, cash);
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cashBook.Updated += (sender, args) =>
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{
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if (args.UpdateType == CashBookUpdateType.Added)
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{
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called = true;
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}
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};
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cashBook.Add(cash.Symbol, cash);
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Assert.IsFalse(called);
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}
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[Test]
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public void UpdateEventCalledForAddMethod()
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{
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var cashBook = new CashBook();
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// we remove default USD cash
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cashBook.Clear();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Updated += (sender, args) =>
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{
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if (args.UpdateType == CashBookUpdateType.Added)
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{
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called = true;
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}
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};
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cashBook.Add(cash.Symbol, cash);
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Assert.IsTrue(called);
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}
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[Test]
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public void UpdateEventCalledForAdd()
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{
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var cashBook = new CashBook();
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// we remove default USD cash
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cashBook.Clear();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Updated += (sender, args) =>
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{
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if (args.UpdateType == CashBookUpdateType.Added)
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{
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called = true;
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}
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};
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cashBook[cash.Symbol] = cash;
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Assert.IsTrue(called);
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}
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[Test]
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public void UpdateEventCalledForRemove()
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{
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var cashBook = new CashBook();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Add(cash.Symbol, cash);
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cashBook.Updated += (sender, args) =>
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{
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if (args.UpdateType == CashBookUpdateType.Removed)
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{
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called = true;
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}
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};
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cashBook.Remove(Currencies.USD);
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Assert.IsTrue(called);
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}
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[Test]
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public void UpdateEventNotCalledForCashUpdatesAfterRemoved()
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{
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var cashBook = new CashBook();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Add(cash.Symbol, cash);
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cashBook.Remove(Currencies.USD);
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cashBook.Updated += (sender, args) =>
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{
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called = true;
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};
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cash.Update();
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Assert.IsFalse(called);
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}
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[Test]
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public void UpdateEventCalledForAddExistingValueCalledOnce()
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{
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var cashBook = new CashBook();
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var called = 0;
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var calledUpdated = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Add(cash.Symbol, cash);
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cashBook.Updated += (sender, args) =>
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{
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called++;
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calledUpdated = args.UpdateType == CashBookUpdateType.Updated;
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};
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cashBook.Add(cash.Symbol, new Cash(Currencies.USD, 1, 2));
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Assert.AreEqual(1, called);
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Assert.IsTrue(calledUpdated);
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}
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[Test]
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public void UpdateEventCalledForClear()
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{
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var cashBook = new CashBook();
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var called = false;
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var cash = new Cash(Currencies.USD, 1, 1);
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cashBook.Add(cash.Symbol, cash);
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cashBook.Updated += (sender, args) =>
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{
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called = args.UpdateType == CashBookUpdateType.Removed;
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};
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cashBook.Clear();
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Assert.IsTrue(called);
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}
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}
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}
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