/* * 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 NUnit.Framework; using Newtonsoft.Json; using QuantConnect.Securities; using QuantConnect.Data.Market; using QuantConnect.Tests.Engine.DataFeeds; using System.Collections.Generic; namespace QuantConnect.Tests.Common { [TestFixture] public class HoldingTests { [TestCase(SecurityType.Future)] [TestCase(SecurityType.Equity)] [TestCase(SecurityType.Crypto)] [TestCase(SecurityType.Forex)] public void PriceRounding(SecurityType securityType) { var algo = new AlgorithmStub(); Security security = null; if (securityType == SecurityType.Equity) { security = algo.AddEquity("SPY"); } else if (securityType == SecurityType.Crypto) { security = algo.AddCrypto("BNTBTC"); } else if (securityType == SecurityType.Forex) { security = algo.AddForex("EURUSD"); } else if (securityType == SecurityType.Future) { security = algo.AddFuture("CL"); } security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 10.0001m, 10.0001m)); security.Holdings.SetHoldings(10.0000000000m, 10); var holding = new Holding(security); Assert.AreEqual(10, holding.Quantity); if (securityType == SecurityType.Equity || securityType == SecurityType.Future) { Assert.AreEqual(10.00m, holding.MarketPrice); Assert.AreEqual(10.00m, holding.AveragePrice); } else if(securityType == SecurityType.Forex || securityType == SecurityType.Crypto) { Assert.AreEqual(10.0001m, holding.MarketPrice); Assert.AreEqual(10.0000m, holding.AveragePrice); } } [Test] public void RoundTrip() { var algo = new AlgorithmStub(); var security = algo.AddEquity("SPY"); security.SetMarketPrice(new Tick(new DateTime(2022, 01, 04), security.Symbol, 10.0001m, 10.0001m)); security.Holdings.SetHoldings(10.1000000000m, 10); var holding = new Holding(security); var result = JsonConvert.SerializeObject(holding); Assert.AreEqual("{\"a\":10.1,\"q\":10,\"p\":10,\"v\":100,\"u\":-2,\"up\":-1.98}", result); var deserialized = JsonConvert.DeserializeObject(result); Assert.AreEqual(deserialized.AveragePrice, holding.AveragePrice); Assert.AreEqual(deserialized.Quantity, holding.Quantity); Assert.AreEqual(deserialized.MarketPrice, holding.MarketPrice); Assert.AreEqual(deserialized.MarketValue, holding.MarketValue); Assert.AreEqual(deserialized.UnrealizedPnL, holding.UnrealizedPnL); Assert.AreEqual(deserialized.UnrealizedPnLPercent, holding.UnrealizedPnLPercent); Assert.AreEqual(": 10 @ $10.1 - Market: $10", deserialized.ToString()); } [TestCase(true)] [TestCase(false)] public void BackwardsCompatible(bool upperCase) { string source; if (upperCase) { source = "{\"Symbol\":{\"value\":\"A\",\"id\":\"A RPTMYV3VC57P\",\"permtick\":\"A\"},\"Type\":1,\"CurrencySymbol\":\"$\",\"AveragePrice\":148.34,\"Quantity\":192.0," + "\"MarketPrice\":145.21,\"ConversionRate\":1.0,\"MarketValue\":27880.3200,\"UnrealizedPnl\":-601.96,\"UnrealizedPnLPercent\":-2.11}"; } else { source = "{\"symbol\":{\"value\":\"A\",\"id\":\"A RPTMYV3VC57P\",\"permtick\":\"A\"},\"type\":1,\"currencySymbol\":\"$\",\"averagePrice\":148.34,\"quantity\":192.0," + "\"marketPrice\":145.21,\"conversionRate\":1.0,\"marketValue\":27880.3200,\"unrealizedPnl\":-601.96,\"unrealizedPnLPercent\":-2.11}"; } var deserialized = JsonConvert.DeserializeObject(source); Assert.IsNotNull(deserialized.Symbol); Assert.AreEqual("A", deserialized.Symbol.Value); Assert.AreEqual(148.34, deserialized.AveragePrice); Assert.AreEqual(192, deserialized.Quantity); Assert.AreEqual(145.21, deserialized.MarketPrice); Assert.AreEqual(27880, deserialized.MarketValue); Assert.AreEqual(-601.96, deserialized.UnrealizedPnL); Assert.AreEqual(-2.11, deserialized.UnrealizedPnLPercent); } [Test] public void DefaultHoldings() { var algo = new AlgorithmStub(); var security = algo.AddEquity("SPY"); var holding = new Holding(security); var result = JsonConvert.SerializeObject(new Dictionary { { security.Symbol.ID.ToString(), holding } }); Assert.AreEqual("{\"SPY R735QTJ8XC9X\":{}}", result); var deserialized = JsonConvert.DeserializeObject>(result); Assert.AreEqual(0, deserialized[security.Symbol.ID.ToString()].AveragePrice); } } }