wehub-resource-sync
79 lines
3.6 KiB
C#
79 lines
3.6 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.Fees;
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using QuantConnect.Securities;
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using QuantConnect.Securities.Forex;
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namespace QuantConnect.Tests.Common.Securities.Forex
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{
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[TestFixture]
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public class ForexHoldingTests
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{
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[TestCase("EURUSD", 1, 0.00001, 1000, 1.23456, 50, 10000)]
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[TestCase("USDJPY", 0.9, 0.001, 1000, 100.30, -40, 10000)]
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[TestCase("EURGBP", 1.1, 0.00001, 1000, 0.89012, 100, 10000)]
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public void TotalProfitIsCorrectlyEstimated(string ticker, decimal conversionRate,
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decimal minimumPriceVariation,
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int lotSize, decimal entryPrice, decimal pips, int entryQuantity)
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{
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// Arrange
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var timeKeeper = new TimeKeeper(DateTime.Now, TimeZones.NewYork);
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var symbol = Symbol.Create(ticker, SecurityType.Forex, Market.FXCM);
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var pairQuoteCurrency = symbol.Value.Substring(startIndex: 3);
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var quoteCash = new Cash(pairQuoteCurrency,
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amount: 100000,
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conversionRate: conversionRate);
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var baseCash = new Cash(symbol.Value.Substring(0, 3), 0, 0);
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var subscription = new SubscriptionDataConfig(typeof(QuoteBar), symbol, Resolution.Daily,
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TimeZones.NewYork, TimeZones.NewYork, fillForward: true,
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extendedHours: true, isInternalFeed: true);
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var pair = new QuantConnect.Securities.Forex.Forex(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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quoteCash,
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baseCash,
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subscription,
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new SymbolProperties(
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"",
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pairQuoteCurrency,
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1,
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minimumPriceVariation,
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lotSize,
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string.Empty
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),
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ErrorCurrencyConverter.Instance,
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RegisteredSecurityDataTypesProvider.Null
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);
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pair.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
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pair.SetFeeModel(new ConstantFeeModel(decimal.Zero));
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var forexHolding = new ForexHolding(pair, new IdentityCurrencyConverter(Currencies.USD));
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// Act
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forexHolding.SetHoldings(entryPrice, entryQuantity);
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var priceVariation = pips * 10 * minimumPriceVariation;
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forexHolding.UpdateMarketPrice(entryPrice + priceVariation);
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pair.SetMarketPrice(new Tick(DateTime.Now, pair.Symbol, forexHolding.Price, forexHolding.Price));
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var actualPips = forexHolding.TotalCloseProfitPips();
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// Assert
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Assert.AreEqual(pips, actualPips);
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}
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}
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}
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