ForexHoldingTests.cs

/*
 * 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 NUnit.Framework;
using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Orders;
using QuantConnect.Securities;
using QuantConnect.Securities.Forex;
using System;

namespace QuantConnect.Tests.Common.Securities.Forex
{
    [TestFixture]
    public class ForexHoldingTests
    {
        [TestCase("EURUSD", "USD", 1, 0.00001, 1000, 1.12345, 5)]
        public void TotalProfitIsCorrectlyEstimated(string ticker, string cashSymbol, decimal conversionRate,
            decimal minimumPriceVariation, int lotSize, decimal entryPrice, decimal pips)
        {
            // Arrange
            var symbol = Symbol.Create(ticker, SecurityType.Forex, Market.FXCM);
            // TODO: add base currency.
            var pairQuoteCurrency = symbol.Value.Substring(3);
            var pairBaseCurrency = symbol.Value.Substring(0, 3);

            var subscription = new SubscriptionDataConfig(typeof(TradeBar), symbol, Resolution.Daily,
                TimeZones.NewYork, TimeZones.NewYork, true, true, true);
            var timeKeeper = new TimeKeeper(DateTime.Now, new[] { TimeZones.NewYork });
            var securities = new SecurityManager(timeKeeper);

            var transactions = new SecurityTransactionManager(securities);
            var portfolio = new SecurityPortfolioManager(securities, transactions);
            portfolio.SetCash(1000000);

            portfolio.CashBook.Add(pairQuoteCurrency, 0, conversionRate);

            var pair = new QuantConnect.Securities.Forex.Forex(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork),
                portfolio.CashBook[cashSymbol], subscription,
                new SymbolProperties("", pairQuoteCurrency, 1, minimumPriceVariation, lotSize));

            pair.SetMarketPrice(new IndicatorDataPoint(pair.Symbol, DateTime.Now, entryPrice));
            securities.Add(pair);
            // Act
            var fill = new OrderEvent(1, symbol, DateTime.Now, OrderStatus.Filled, OrderDirection.Buy,
                entryPrice, 10000, decimal.Zero);
            portfolio.ProcessFill(fill);

            var priceVariation = pips * 10 / minimumPriceVariation;
            pair.SetMarketPrice(new IndicatorDataPoint(pair.Symbol, DateTime.Now, entryPrice + priceVariation));
            var forexHolding = (ForexHolding)portfolio[symbol];
            var actualPips = forexHolding.TotalCloseProfitPips();

            // Assert

            Assert.AreEqual(pips, actualPips);
            Assert.Fail("WIP");
        }
    }
}