wehub-resource-sync
126 lines
4.9 KiB
C#
126 lines
4.9 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 Newtonsoft.Json;
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using Newtonsoft.Json.Linq;
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using NUnit.Framework;
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using QuantConnect.Statistics;
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using System;
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namespace QuantConnect.Tests.Common.Statistics
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{
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[TestFixture]
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public class TradeTests
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{
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[Test]
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public void JsonSerializationRoundTrip()
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{
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var trade = MakeTrade();
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var json = JsonConvert.SerializeObject(trade);
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var deserializedTrade = JsonConvert.DeserializeObject<Trade>(json);
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CollectionAssert.AreEqual(trade.Symbols, deserializedTrade.Symbols);
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Assert.AreEqual(trade.EntryTime, deserializedTrade.EntryTime);
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Assert.AreEqual(trade.EntryPrice, deserializedTrade.EntryPrice);
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Assert.AreEqual(trade.Direction, deserializedTrade.Direction);
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Assert.AreEqual(trade.Quantity, deserializedTrade.Quantity);
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Assert.AreEqual(trade.ExitTime, deserializedTrade.ExitTime);
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Assert.AreEqual(trade.ExitPrice, deserializedTrade.ExitPrice);
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Assert.AreEqual(trade.ProfitLoss, deserializedTrade.ProfitLoss);
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Assert.AreEqual(trade.TotalFees, deserializedTrade.TotalFees);
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Assert.AreEqual(trade.MAE, deserializedTrade.MAE);
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Assert.AreEqual(trade.MFE, deserializedTrade.MFE);
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// For backwards compatibility, also verify Symbol property is set correctly
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Assert.IsNotNull(trade.Symbol);
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Assert.AreEqual(trade.Symbols[0], trade.Symbol);
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Assert.AreEqual(trade.Symbol, deserializedTrade.Symbol);
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}
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[Test]
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public void DeprecatedSymbolIsNotSerialized()
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{
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var trade = MakeTrade();
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var jsonStr = JsonConvert.SerializeObject(trade);
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var json = JObject.Parse(jsonStr);
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Assert.IsFalse(json.ContainsKey("Symbol"));
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}
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[Test]
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public void CanDeserializeOldFormatWithSymbol()
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{
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var jsonTrade = @"
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{
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""Symbol"": {
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""value"": ""EURUSD"",
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""id"": ""EURUSD 8G"",
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""permtick"": ""EURUSD""
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},
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""EntryTime"": ""2023-01-02T12:31:45"",
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""EntryPrice"": 1.07,
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""Direction"": 0,
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""Quantity"": 1000.0,
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""ExitTime"": ""2023-01-02T12:51:45"",
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""ExitPrice"": 1.09,
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""ProfitLoss"": 20.0,
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""TotalFees"": 2.5,
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""MAE"": -5.0,
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""MFE"": 30.0,
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""Duration"": ""00:20:00"",
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""EndTradeDrawdown"": -10.0,
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""IsWin"": false,
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""OrderIds"": []
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}";
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var deserializedTrade = JsonConvert.DeserializeObject<Trade>(jsonTrade);
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Assert.IsNotNull(deserializedTrade);
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CollectionAssert.AreEqual(new[] { Symbols.EURUSD }, deserializedTrade.Symbols);
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Assert.AreEqual(new DateTime(2023, 1, 2, 12, 31, 45), deserializedTrade.EntryTime);
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Assert.AreEqual(1.07m, deserializedTrade.EntryPrice);
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Assert.AreEqual(TradeDirection.Long, deserializedTrade.Direction);
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Assert.AreEqual(1000m, deserializedTrade.Quantity);
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Assert.AreEqual(new DateTime(2023, 1, 2, 12, 51, 45), deserializedTrade.ExitTime);
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Assert.AreEqual(1.09m, deserializedTrade.ExitPrice);
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Assert.AreEqual(20m, deserializedTrade.ProfitLoss);
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Assert.AreEqual(2.5m, deserializedTrade.TotalFees);
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Assert.AreEqual(-5m, deserializedTrade.MAE);
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Assert.AreEqual(30m, deserializedTrade.MFE);
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// For backwards compatibility, also verify Symbol property is set correctly
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Assert.IsNotNull(deserializedTrade.Symbol);
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Assert.AreEqual(deserializedTrade.Symbols[0], deserializedTrade.Symbol);
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}
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private static Trade MakeTrade()
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{
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var entryTime = new DateTime(2023, 1, 2, 12, 31, 45);
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var exitTime = entryTime.AddMinutes(20);
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var trade = new Trade
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{
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Symbols = [Symbols.EURUSD],
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EntryTime = entryTime,
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EntryPrice = 1.07m,
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Direction = TradeDirection.Long,
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Quantity = 1000,
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ExitTime = exitTime,
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ExitPrice = 1.09m,
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ProfitLoss = 20,
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TotalFees = 2.5m,
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MAE = -5,
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MFE = 30
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};
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return trade;
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}
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}
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}
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