Martin Molinero
0933da9303
- Removing `AccountCurrency` from `Cash` and `Brokerage` classes. `ICurrencyConverter` will now provide the `AccountCurrency` - Adding new static `OrderFee.Zero` which will return a 0 order fee in `NullCurrency` - Adding static `Currencies.USD` value, replacing all "USD". - Addin new static `Currencies.NullCurrency` - Updating Bitfinex `FeeModel` so it return fees in quote currency. Adding unit tests
275 lines
11 KiB
C#
275 lines
11 KiB
C#
/*
|
|
* QUANTCONNECT.COM - Democratizing Finance, Empowering Individuals.
|
|
* Lean Algorithmic Trading Engine v2.0. Copyright 2014 QuantConnect Corporation.
|
|
*
|
|
* Licensed under the Apache License, Version 2.0 (the "License");
|
|
* you may not use this file except in compliance with the License.
|
|
* You may obtain a copy of the License at http://www.apache.org/licenses/LICENSE-2.0
|
|
*
|
|
* Unless required by applicable law or agreed to in writing, software
|
|
* distributed under the License is distributed on an "AS IS" BASIS,
|
|
* WITHOUT WARRANTIES OR CONDITIONS OF ANY KIND, either express or implied.
|
|
* See the License for the specific language governing permissions and
|
|
* limitations under the License.
|
|
*/
|
|
|
|
using System;
|
|
using System.Linq;
|
|
using NodaTime;
|
|
using NUnit.Framework;
|
|
using QuantConnect.Data;
|
|
using QuantConnect.Data.Market;
|
|
using QuantConnect.Securities;
|
|
using QuantConnect.Orders.Fills;
|
|
using QuantConnect.Orders.Fees;
|
|
using QuantConnect.Orders.Slippage;
|
|
using QuantConnect.Securities.Option;
|
|
|
|
namespace QuantConnect.Tests.Common.Securities
|
|
{
|
|
[TestFixture]
|
|
public class SecurityTests
|
|
{
|
|
[Test]
|
|
public void SimplePropertiesTests()
|
|
{
|
|
var exchangeHours = SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork);
|
|
var config = CreateTradeBarConfig();
|
|
var security = new Security(
|
|
exchangeHours,
|
|
config,
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
Assert.AreEqual(config, security.Subscriptions.Single());
|
|
Assert.AreEqual(config.Symbol, security.Symbol);
|
|
Assert.AreEqual(config.SecurityType, security.Type);
|
|
Assert.AreEqual(config.Resolution, security.Resolution);
|
|
Assert.AreEqual(config.FillDataForward, security.IsFillDataForward);
|
|
Assert.AreEqual(exchangeHours, security.Exchange.Hours);
|
|
}
|
|
|
|
[Test]
|
|
public void ConstructorTests()
|
|
{
|
|
var security = GetSecurity();
|
|
|
|
Assert.IsNotNull(security.Exchange);
|
|
Assert.IsInstanceOf<SecurityExchange>(security.Exchange);
|
|
Assert.IsNotNull(security.Cache);
|
|
Assert.IsInstanceOf<SecurityCache>(security.Cache);
|
|
Assert.IsNotNull(security.PortfolioModel);
|
|
Assert.IsInstanceOf<SecurityPortfolioModel>(security.PortfolioModel);
|
|
Assert.IsNotNull(security.FillModel);
|
|
Assert.IsInstanceOf<ImmediateFillModel>(security.FillModel);
|
|
Assert.IsNotNull(security.PortfolioModel);
|
|
Assert.IsInstanceOf<InteractiveBrokersFeeModel>(security.FeeModel);
|
|
Assert.IsNotNull(security.SlippageModel);
|
|
Assert.IsInstanceOf<ConstantSlippageModel>(security.SlippageModel);
|
|
Assert.IsNotNull(security.SettlementModel);
|
|
Assert.IsInstanceOf<ImmediateSettlementModel>(security.SettlementModel);
|
|
Assert.IsNotNull(security.BuyingPowerModel);
|
|
Assert.IsInstanceOf<SecurityMarginModel>(security.BuyingPowerModel);
|
|
Assert.IsNotNull(security.DataFilter);
|
|
Assert.IsInstanceOf<SecurityDataFilter>(security.DataFilter);
|
|
}
|
|
|
|
[Test]
|
|
public void HoldingsTests()
|
|
{
|
|
var security = GetSecurity();
|
|
|
|
// Long 100 stocks test
|
|
security.Holdings.SetHoldings(100m, 100);
|
|
|
|
Assert.AreEqual(100m, security.Holdings.AveragePrice);
|
|
Assert.AreEqual(100, security.Holdings.Quantity);
|
|
Assert.IsTrue(security.HoldStock);
|
|
Assert.IsTrue(security.Invested);
|
|
Assert.IsTrue(security.Holdings.IsLong);
|
|
Assert.IsFalse(security.Holdings.IsShort);
|
|
|
|
// Short 100 stocks test
|
|
security.Holdings.SetHoldings(100m, -100);
|
|
|
|
Assert.AreEqual(100m, security.Holdings.AveragePrice);
|
|
Assert.AreEqual(-100, security.Holdings.Quantity);
|
|
Assert.IsTrue(security.HoldStock);
|
|
Assert.IsTrue(security.Invested);
|
|
Assert.IsFalse(security.Holdings.IsLong);
|
|
Assert.IsTrue(security.Holdings.IsShort);
|
|
|
|
// Flat test
|
|
security.Holdings.SetHoldings(100m, 0);
|
|
|
|
Assert.AreEqual(100m, security.Holdings.AveragePrice);
|
|
Assert.AreEqual(0, security.Holdings.Quantity);
|
|
Assert.IsFalse(security.HoldStock);
|
|
Assert.IsFalse(security.Invested);
|
|
Assert.IsFalse(security.Holdings.IsLong);
|
|
Assert.IsFalse(security.Holdings.IsShort);
|
|
|
|
}
|
|
|
|
[Test]
|
|
public void UpdatingSecurityPriceTests()
|
|
{
|
|
var security = GetSecurity();
|
|
|
|
// Update securuty price with a TradeBar
|
|
security.SetMarketPrice(new TradeBar(DateTime.Now, Symbols.SPY, 101m, 103m, 100m, 102m, 100000));
|
|
|
|
Assert.AreEqual(101m, security.Open);
|
|
Assert.AreEqual(103m, security.High);
|
|
Assert.AreEqual(100m, security.Low);
|
|
Assert.AreEqual(102m, security.Close);
|
|
Assert.AreEqual(100000, security.Volume);
|
|
|
|
// High/Close property is only modified by IBar instances
|
|
security.SetMarketPrice(new Tick(DateTime.Now, Symbols.SPY, 104m, 104m, 104m));
|
|
Assert.AreEqual(103m, security.High);
|
|
Assert.AreEqual(102m, security.Close);
|
|
Assert.AreEqual(104m, security.Price);
|
|
|
|
// Low/Close property is only modified by IBar instances
|
|
security.SetMarketPrice(new Tick(DateTime.Now, Symbols.SPY, 99m, 99m, 99m));
|
|
Assert.AreEqual(100m, security.Low);
|
|
Assert.AreEqual(102m, security.Close);
|
|
Assert.AreEqual(99m, security.Price);
|
|
}
|
|
|
|
[Test]
|
|
public void SetLeverageTest()
|
|
{
|
|
var security = GetSecurity();
|
|
|
|
security.SetLeverage(4m);
|
|
Assert.AreEqual(4m,security.Leverage);
|
|
|
|
security.SetLeverage(5m);
|
|
Assert.AreEqual(5m, security.Leverage);
|
|
|
|
Assert.That(() => security.SetLeverage(0.1m),
|
|
Throws.TypeOf<ArgumentException>().With.Message.EqualTo("Leverage must be greater than or equal to 1."));
|
|
}
|
|
|
|
[Test]
|
|
public void DefaultDataNormalizationModeForOptionsIsRaw()
|
|
{
|
|
var option = new Option(
|
|
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
|
|
new SubscriptionDataConfig(
|
|
typeof(TradeBar),
|
|
Symbols.SPY_P_192_Feb19_2016,
|
|
Resolution.Minute,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false
|
|
),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
Assert.AreEqual(option.DataNormalizationMode, DataNormalizationMode.Raw);
|
|
}
|
|
|
|
[Test]
|
|
public void SetDataNormalizationForOptions()
|
|
{
|
|
var option = new Option(
|
|
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
|
|
new SubscriptionDataConfig(
|
|
typeof(TradeBar),
|
|
Symbols.SPY_P_192_Feb19_2016,
|
|
Resolution.Minute,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false
|
|
),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
new OptionSymbolProperties(SymbolProperties.GetDefault(Currencies.USD)),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
Assert.DoesNotThrow(() => { option.SetDataNormalizationMode(DataNormalizationMode.Raw); });
|
|
|
|
Assert.Throws(typeof(ArgumentException), () => { option.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
|
|
Assert.Throws(typeof(ArgumentException), () => { option.SetDataNormalizationMode(DataNormalizationMode.SplitAdjusted); });
|
|
Assert.Throws(typeof(ArgumentException), () => { option.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
|
|
Assert.Throws(typeof(ArgumentException), () => { option.SetDataNormalizationMode(DataNormalizationMode.TotalReturn); });
|
|
}
|
|
|
|
[Test]
|
|
public void SetDataNormalizationForEquities()
|
|
{
|
|
var equity = new QuantConnect.Securities.Equity.Equity(
|
|
SecurityExchangeHours.AlwaysOpen(DateTimeZone.Utc),
|
|
new SubscriptionDataConfig(
|
|
typeof(TradeBar),
|
|
Symbols.SPY,
|
|
Resolution.Minute,
|
|
DateTimeZone.Utc,
|
|
DateTimeZone.Utc,
|
|
true,
|
|
false,
|
|
false
|
|
),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
|
|
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Raw); });
|
|
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
|
|
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.SplitAdjusted); });
|
|
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.Adjusted); });
|
|
Assert.DoesNotThrow(() => { equity.SetDataNormalizationMode(DataNormalizationMode.TotalReturn); });
|
|
}
|
|
|
|
[Test]
|
|
public void TickQuantityUpdatedInSecurityCache()
|
|
{
|
|
var tick1 = new Tick();
|
|
tick1.Update(1, 1, 1, 10, 1, 1);
|
|
|
|
var tick2 = new Tick();
|
|
tick2.Update(1, 1, 1, 20, 1, 1);
|
|
|
|
var securityCache = new SecurityCache();
|
|
|
|
Assert.AreEqual(0, securityCache.Volume);
|
|
|
|
securityCache.AddData(tick1);
|
|
|
|
Assert.AreEqual(10, securityCache.Volume);
|
|
|
|
securityCache.AddData(tick2);
|
|
|
|
Assert.AreEqual(20, securityCache.Volume);
|
|
}
|
|
|
|
internal static Security GetSecurity()
|
|
{
|
|
return new Security(
|
|
SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
|
|
CreateTradeBarConfig(),
|
|
new Cash(Currencies.USD, 0, 1m),
|
|
SymbolProperties.GetDefault(Currencies.USD),
|
|
ErrorCurrencyConverter.Instance
|
|
);
|
|
}
|
|
|
|
internal static SubscriptionDataConfig CreateTradeBarConfig(Resolution resolution = Resolution.Minute)
|
|
{
|
|
return new SubscriptionDataConfig(typeof(TradeBar), Symbols.SPY, resolution, TimeZones.NewYork, TimeZones.NewYork, true, true, false);
|
|
}
|
|
}
|
|
}
|