Martin Molinero
1b0bdd9b0b
- Adding new `SetAccountCurrency()` for backtesting. Has to be called before adding any `Security` or calling `SetCash()`, else will throw. - Adding new Non account currency unit tests for `CashBuyingPower`, `SecurityPortfolioModel`, `SecurityMarginModel`, `SecurityPortfolioManager`, `Future/OptionMarginBuyingPowerModels` - Adding new C# regression test using `SetAccountCurrency()`, one for `CashBuyingPowerModel` and one for `SecurityMarginModel` - Adding new Py and C# basic regression algorithms using `SetAccountCurrency()` - `Options` and `Futures` will use not use `AccountCurrency` as quote Cash. - `SecurityBenchmark` value will be in account currency
52 lines
1.9 KiB
C#
52 lines
1.9 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 System;
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using NUnit.Framework;
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using QuantConnect.Benchmarks;
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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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namespace QuantConnect.Tests.Common.Benchmarks
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{
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[TestFixture]
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public class SecurityBenchmarkTests
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{
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[TestCase(1)]
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[TestCase(10)]
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public void EvaluatesInAccountCurrency(decimal conversionRate)
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{
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var security = new Security(
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SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
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new SubscriptionDataConfig(typeof(TradeBar),
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Symbols.SPY,
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Resolution.Minute,
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TimeZones.NewYork,
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TimeZones.NewYork,
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true, true, false),
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new Cash(Currencies.USD, 0, conversionRate),
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SymbolProperties.GetDefault(Currencies.USD),
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ErrorCurrencyConverter.Instance
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);
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var price = 25;
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security.SetMarketPrice(new Tick { Value = price });
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var benchmark = new SecurityBenchmark(security);
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Assert.AreEqual(price * conversionRate, benchmark.Evaluate(DateTime.Now));
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}
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}
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}
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