ForexHoldingPipReturnsTestAlgorithm.cs

using QuantConnect.Data;
using QuantConnect.Data.Market;
using QuantConnect.Indicators;
using QuantConnect.Securities;
using QuantConnect.Securities.Forex;
using System;
using static System.Diagnostics.Debug;

namespace QuantConnect.Algorithm.CSharp
{
    /// <summary>
    /// Algorithm used to test the
    /// Securities.Forex.ForexHolding.TotalCloseProfitPips method.
    /// </summary>
    public class ForexHoldingPipReturnsTestAlgorithm : QCAlgorithm
    {
        Security _eurusd;
        Security _jpyusd;

        public override void Initialize()
        {
            SetStartDate(2014, 5, 7);  //Set Start Date
            SetEndDate(2014, 5, 15);    //Set End Date
            SetCash(10000000);             //Set Strategy Cash

            _eurusd = AddForex("EURUSD", Resolution.Daily);
            _jpyusd = AddForex("USDJPY", Resolution.Daily);

            _eurusd.FeeModel = new ConstantFeeTransactionModel(0m);
            _jpyusd.FeeModel = new ConstantFeeTransactionModel(0m);
        }

        public override void OnData(Slice data)
        {
            if (!Portfolio.Invested)
            {
                MarketOrder("EURUSD", 10000);

                MarketOrder("USDJPY", 10000);
                Log(string.Join(", ", data.Values));
            }
            else
            {
                // Test Case 1: Pips are correctly estimated  when the bas currency is the same as the Cash currency, USD in this case.
                var entryPrice = Transactions.GetOrderTicket(1).AverageFillPrice;
                // Add 5 pips to the EURUSD security.
                _eurusd.SetMarketPrice(new IndicatorDataPoint(_eurusd.Symbol, Time, entryPrice + 0.0005m));

                var usdPip = (ForexHolding)Portfolio["EURUSD"];
                var pips = usdPip.TotalCloseProfitPips();
                // The return must be 5 pips.
                Assert(pips == 5);

                // Test Case 1: Pips are correctly estimated  when the bas currency is the same as the Cash currency, USD in this case.
                entryPrice = Transactions.GetOrderTicket(2).AverageFillPrice;
                // Substract 10 pips to the USDJPY security.
                _jpyusd.SetMarketPrice(new IndicatorDataPoint(_jpyusd.Symbol, Time, entryPrice - 0.10m));
                var jpyPip = (ForexHolding)Portfolio["USDJPY"];

                pips = jpyPip.TotalCloseProfitPips();
                // The return must be -10 pips.
                Assert(pips == -10);
                
                // We are done here, so just close the algorithm.
                Quit();
            }
        }
    }
}