wehub-resource-sync
115 lines
4.4 KiB
C#
115 lines
4.4 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 NUnit.Framework;
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using QuantConnect.Data;
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using QuantConnect.Data.Market;
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using QuantConnect.Securities;
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using System;
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using System.Collections.Generic;
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using System.Linq;
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namespace QuantConnect.Tests.Common.Securities
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{
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[TestFixture]
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public class SecurityHoldingTests
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{
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[Test]
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public void ComputesUnrealizedProfit()
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{
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var security = GetSecurity<QuantConnect.Securities.Equity.Equity>(Symbols.SPY, Resolution.Daily);
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var holding = new SecurityHolding(security, new IdentityCurrencyConverter(Currencies.USD));
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var last = 100m;
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var bid = 99m;
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var ask = 101m;
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var orderFee = 1m;
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security.SetMarketPrice(new Tick(DateTime.Now, security.Symbol, last, bid, ask));
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// Long scenario: expected unrealized profit take the bid price
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var quantity = 100m;
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var expected = (bid - last) * quantity - orderFee;
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holding.SetHoldings(last, quantity);
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Assert.AreEqual(expected, holding.UnrealizedProfit);
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// Short scenario: expected unrealized profit take the ask price
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quantity = -100m;
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expected = (ask - last) * quantity - orderFee;
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holding.SetHoldings(last, quantity);
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Assert.AreEqual(expected, holding.UnrealizedProfit);
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}
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[Test]
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public void Raises_QuantityChanged_WhenSetHoldingsCalled()
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{
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var arguments = new List<SecurityHoldingQuantityChangedEventArgs>();
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var security = GetSecurity<QuantConnect.Securities.Equity.Equity>(Symbols.SPY, Resolution.Daily);
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security.Holdings.QuantityChanged += (sender, args) => arguments.Add(args);
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// invoke int overload
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var firstPrice = 100m;
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int firstQuantity = 100;
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security.Holdings.SetHoldings(firstPrice, firstQuantity);
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// invoke decimal overload
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var secondPrice = 101m;
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var secondQuantity = 200m;
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security.Holdings.SetHoldings(secondPrice, secondQuantity);
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Assert.AreEqual(2, arguments.Count);
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var first = arguments.First();
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Assert.AreEqual(security, first.Security);
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Assert.AreEqual(0, first.PreviousQuantity);
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Assert.AreEqual(0, first.PreviousAveragePrice);
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var second = arguments.Last();
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Assert.AreEqual(security, second.Security);
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Assert.AreEqual(firstQuantity, second.PreviousQuantity);
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Assert.AreEqual(firstPrice, second.PreviousAveragePrice);
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}
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private Security GetSecurity<T>(Symbol symbol, Resolution resolution)
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{
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var subscriptionDataConfig = new SubscriptionDataConfig(
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typeof(T),
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symbol,
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resolution,
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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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false);
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.Utc),
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subscriptionDataConfig,
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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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new SecurityCache()
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);
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var reference = DateTime.Now;
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var referenceUtc = reference.ConvertToUtc(subscriptionDataConfig.DataTimeZone);
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var timeKeeper = new TimeKeeper(referenceUtc);
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security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(subscriptionDataConfig.DataTimeZone));
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return security;
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}
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}
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} |