Stefano Raggi
97 lines
4.0 KiB
C#
97 lines
4.0 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 QuantConnect.Interfaces;
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using QuantConnect.Orders;
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namespace QuantConnect.Tests.Brokerages
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{
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public class StopLimitOrderTestParameters : OrderTestParameters
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{
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private readonly decimal _highLimit;
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private readonly decimal _lowLimit;
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public StopLimitOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null)
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: base(symbol, properties)
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{
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_highLimit = highLimit;
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_lowLimit = lowLimit;
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}
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public override Order CreateShortOrder(decimal quantity)
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{
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return new StopLimitOrder(Symbol, -Math.Abs(quantity), _lowLimit, _highLimit, DateTime.Now, properties: Properties)
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{
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OrderSubmissionData = OrderSubmissionData
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};
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}
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public override Order CreateLongOrder(decimal quantity)
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{
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return new StopLimitOrder(Symbol, Math.Abs(quantity), _highLimit, _lowLimit, DateTime.Now, properties: Properties)
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{
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OrderSubmissionData = OrderSubmissionData
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};
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}
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public override bool ModifyOrderToFill(IBrokerage brokerage, Order order, decimal lastMarketPrice)
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{
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var stop = (StopLimitOrder)order;
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var previousStop = stop.StopPrice;
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if (order.Quantity > 0)
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{
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// for stop buys we need to decrease the stop price
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stop.StopPrice = Math.Min(stop.StopPrice, Math.Max(stop.StopPrice / 2, Math.Round(lastMarketPrice, 2, MidpointRounding.AwayFromZero)));
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//change behaviour for forex type unit tests
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if (order.SecurityType == SecurityType.Forex || order.SecurityType == SecurityType.Crypto)
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{
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stop.StopPrice = Math.Min(stop.StopPrice, Math.Max(stop.StopPrice / 2, Math.Round(lastMarketPrice, 4, MidpointRounding.AwayFromZero)));
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}
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}
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else
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{
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// for stop sells we need to increase the stop price
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stop.StopPrice = Math.Max(stop.StopPrice, Math.Min(stop.StopPrice * 2, Math.Round(lastMarketPrice, 2, MidpointRounding.AwayFromZero)));
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//change behaviour for forex type unit tests
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if (order.SecurityType == SecurityType.Forex || order.SecurityType == SecurityType.Crypto)
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{
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stop.StopPrice = Math.Max(stop.StopPrice, Math.Min(stop.StopPrice * 2, Math.Round(lastMarketPrice, 4, MidpointRounding.AwayFromZero)));
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}
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}
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stop.LimitPrice = stop.StopPrice;
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return stop.StopPrice != previousStop;
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}
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// default stop limit orders will only be submitted, not filled
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public override OrderStatus ExpectedStatus => OrderStatus.Submitted;
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public override bool ExpectedCancellationResult => true;
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}
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// to be used with brokerages which do not support UpdateOrder
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public class NonUpdateableStopLimitOrderTestParameters : StopLimitOrderTestParameters
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{
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public NonUpdateableStopLimitOrderTestParameters(Symbol symbol, decimal highLimit, decimal lowLimit, IOrderProperties properties = null)
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: base(symbol, highLimit, lowLimit, properties)
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{
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}
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public override bool ModifyUntilFilled => false;
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}
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} |