C# Security.SetLocalTimeKeeper方法代碼示例

本文整理匯總了C#中QuantConnect.Securities.Security.SetLocalTimeKeeper方法的典型用法代碼示例。如果您正苦於以下問題：C# Security.SetLocalTimeKeeper方法的具體用法？C# Security.SetLocalTimeKeeper怎麽用？C# Security.SetLocalTimeKeeper使用的例子？那麽, 這裏精選的方法代碼示例或許可以為您提供幫助。您也可以進一步了解該方法所在類QuantConnect.Securities.Security的用法示例。

在下文中一共展示了Security.SetLocalTimeKeeper方法的14個代碼示例，這些例子默認根據受歡迎程度排序。您可以為喜歡或者感覺有用的代碼點讚，您的評價將有助於係統推薦出更棒的C#代碼示例。

示例1: PerformsLimitFillSell

        public void PerformsLimitFillSell()
        {
            var model = new ForexTransactionModel();
            var order = new LimitOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
            var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
            var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(new TradeBar(DateTime.Now, Symbol, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

開發者ID:rchien，項目名稱:Lean，代碼行數:26，代碼來源:ForexTransactionModelTests.cs

示例2: PerformsLimitFillBuy

        public void PerformsLimitFillBuy()
        {
            var model = new EquityTransactionModel();
            var order = new LimitOrder(Symbol, 100, 101.5m, Noon, type: SecurityType.Equity);
            var config = CreateTradeBarConfig(Symbol);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbol, Noon, 102m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(new TradeBar(Noon, Symbol, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Min(order.LimitPrice, security.High), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

開發者ID:jetq88，項目名稱:Lean，代碼行數:26，代碼來源:EquityTransactionModelTests.cs

示例3: UpdatesAfterCorrectPeriodElapses

        public void UpdatesAfterCorrectPeriodElapses()
        {
            const int periods = 3;
            var periodSpan = Time.OneMinute;
            var reference = new DateTime(2016, 04, 06, 12, 0, 0);
            var referenceUtc = reference.ConvertToUtc(TimeZones.NewYork);
            var timeKeeper = new TimeKeeper(referenceUtc);
            var config = new SubscriptionDataConfig(typeof (TradeBar), Symbols.SPY, Resolution.Minute, TimeZones.NewYork, TimeZones.NewYork, true, false, false);
            var security = new Security(SecurityExchangeHours.AlwaysOpen(TimeZones.NewYork), config, new Cash("USD", 0, 0), SymbolProperties.GetDefault("USD"));
            security.SetLocalTimeKeeper(timeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));

            var model = new RelativeStandardDeviationVolatilityModel(periodSpan, periods);
            security.VolatilityModel = model;

            var first = new IndicatorDataPoint(reference, 1);
            security.SetMarketPrice(first);

            Assert.AreEqual(0m, model.Volatility);

            const decimal value = 0.471404520791032M; // std of 1,2 is ~0.707 over a mean of 1.5
            var second = new IndicatorDataPoint(reference.AddMinutes(1), 2);
            security.SetMarketPrice(second);
            Assert.AreEqual(value, model.Volatility);

            // update should not be applied since not enough time has passed
            var third = new IndicatorDataPoint(reference.AddMinutes(1.01), 1000);
            security.SetMarketPrice(third);
            Assert.AreEqual(value, model.Volatility);

            var fourth = new IndicatorDataPoint(reference.AddMinutes(2), 3m);
            security.SetMarketPrice(fourth);
            Assert.AreEqual(0.5m, model.Volatility);
        }

開發者ID:kaffeebrauer，項目名稱:Lean，代碼行數:33，代碼來源:RelativeStandardDeviationVolatilityModelTests.cs

示例4: PerformsMarketFillSell

        public void PerformsMarketFillSell()
        {
            var model = new SecurityTransactionModel();
            var order = new MarketOrder(Symbols.SPY, -100, Noon);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));

            var fill = model.MarketFill(security, order);
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(security.Price, fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

開發者ID:kaffeebrauer，項目名稱:Lean，代碼行數:14，代碼來源:SecurityTransactionModelTests.cs

示例5: PerformsMarketFillBuy

        public void PerformsMarketFillBuy()
        {
            var model = new SecurityTransactionModel();
            var order = new MarketOrder(Symbols.SPY, 100, Noon, type: SecurityType.Equity);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.123m));

            var fill = model.MarketFill(security, order);
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(security.Price, fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

開發者ID:skyfyl，項目名稱:Lean，代碼行數:14，代碼來源:SecurityTransactionModelTests.cs

示例6: PerformsStopMarketFillSell

        public void PerformsStopMarketFillSell()
        {
            var model = new ForexTransactionModel();
            var order = new StopMarketOrder(Symbol, -100, 101.5m, DateTime.Now, type: SecurityType.Forex);
            var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
            var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 102m));

            var fill = model.StopMarketFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);
            Assert.AreEqual(OrderStatus.None, order.Status);

            security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101m));

            fill = model.StopMarketFill(security, order);

            var slip = model.GetSlippageApproximation(security, order);

            // this fills worst case scenario, so it's min of asset/stop price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Min(security.Price - slip, order.StopPrice), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

開發者ID:rchien，項目名稱:Lean，代碼行數:28，代碼來源:ForexTransactionModelTests.cs

示例7: PerformsMarketFillSell

        public void PerformsMarketFillSell()
        {
            var model = new ForexTransactionModel();
            var order = new MarketOrder(Symbol, -100, DateTime.Now, type: SecurityType.Forex);
            var config = CreateTradeBarDataConfig(SecurityType.Forex, Symbol);
            var security = new Security(SecurityExchangeHours.AlwaysOpen, config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbol, DateTime.Now, 101.123m));

            var fill = model.MarketFill(security, order);

            var slip = model.GetSlippageApproximation(security, order);

            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(security.Price - slip, fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
            Assert.AreEqual(OrderStatus.Filled, order.Status);
        }

開發者ID:rchien，項目名稱:Lean，代碼行數:18，代碼來源:ForexTransactionModelTests.cs

示例8: PerformsLimitFillSell

        public void PerformsLimitFillSell()
        {
            var model = new SecurityTransactionModel();
            var order = new LimitOrder(Symbols.SPY, -100, 101.5m, Noon);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m));

            var fill = model.LimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new TradeBar(Noon, Symbols.SPY, 102m, 103m, 101m, 102.3m, 100));

            fill = model.LimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Max(order.LimitPrice, security.Low), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

開發者ID:kaffeebrauer，項目名稱:Lean，代碼行數:24，代碼來源:SecurityTransactionModelTests.cs

示例9: PerformsMarketOnCloseUsingClosingPrice

        public void PerformsMarketOnCloseUsingClosingPrice()
        {
            var reference = new DateTime(2015, 06, 05, 15, 0, 0); // before market close
            var model = new SecurityTransactionModel();
            var order = new MarketOnCloseOrder(Symbols.SPY, 100, reference);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            var time = reference;
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100));

            var fill = model.MarketOnCloseFill(security, order);
            Assert.AreEqual(0, fill.FillQuantity);

            // market closes after 60min, so this is just before market Close
            time = reference.AddMinutes(59);
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100));

            fill = model.MarketOnCloseFill(security, order);
            Assert.AreEqual(0, fill.FillQuantity);

            // market closes
            time = reference.AddMinutes(60);
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100));

            fill = model.MarketOnCloseFill(security, order);
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(security.Close, fill.FillPrice);
        }

開發者ID:kaffeebrauer，項目名稱:Lean，代碼行數:32，代碼來源:SecurityTransactionModelTests.cs

示例10: PerformsMarketOnOpenUsingOpenPrice

        public void PerformsMarketOnOpenUsingOpenPrice()
        {
            var reference = new DateTime(2015, 06, 05, 9, 0, 0); // before market open
            var model = new SecurityTransactionModel();
            var order = new MarketOnOpenOrder(Symbols.SPY, SecurityType.Equity, 100, reference);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            var time = reference;
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1m, 2m, 0.5m, 1.33m, 100));

            var fill = model.MarketOnOpenFill(security, order);
            Assert.AreEqual(0, fill.FillQuantity);
            
            // market opens after 30min, so this is just before market open
            time = reference.AddMinutes(29);
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.33m, 2.75m, 1.15m, 1.45m, 100));

            fill = model.MarketOnOpenFill(security, order);
            Assert.AreEqual(0, fill.FillQuantity);

            // market opens after 30min
            time = reference.AddMinutes(30);
            TimeKeeper.SetUtcDateTime(time.ConvertToUtc(TimeZones.NewYork));
            security.SetMarketPrice(new TradeBar(time, Symbols.SPY, 1.45m, 2.0m, 1.1m, 1.40m, 100));

            fill = model.MarketOnOpenFill(security, order);
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(security.Open, fill.FillPrice);
        }

開發者ID:skyfyl，項目名稱:Lean，代碼行數:32，代碼來源:SecurityTransactionModelTests.cs

示例11: PerformsStopMarketFillSell

        public void PerformsStopMarketFillSell()
        {
            var model = new SecurityTransactionModel();
            var order = new StopMarketOrder(Symbols.SPY, -100, 101.5m, Noon, type: SecurityType.Equity);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config, 1);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));

            var fill = model.StopMarketFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101m));

            fill = model.StopMarketFill(security, order);

            // this fills worst case scenario, so it's min of asset/stop price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(Math.Min(security.Price, order.StopPrice), fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

開發者ID:skyfyl，項目名稱:Lean，代碼行數:24，代碼來源:SecurityTransactionModelTests.cs

示例12: CreateSecurity

 private static Security CreateSecurity(DateTime newLocalTime)
 {
     var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig(), new Cash(CashBook.AccountCurrency, 0, 1m), SymbolProperties.GetDefault(CashBook.AccountCurrency));
     security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
     security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
     security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
     return security;
 }

開發者ID:neosb，項目名稱:Lean，代碼行數:8，代碼來源:PatternDayTradingMarginModelTests.cs

示例13: PerformsStopLimitFillBuy

        public void PerformsStopLimitFillBuy()
        {
            var model = new SecurityTransactionModel();
            var order = new StopLimitOrder(Symbols.SPY, 100, 101.5m, 101.75m, Noon);
            var config = CreateTradeBarConfig(Symbols.SPY);
            var security = new Security(SecurityExchangeHoursTests.CreateUsEquitySecurityExchangeHours(), config);
            security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 100m));

            var fill = model.StopLimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 102m));

            fill = model.StopLimitFill(security, order);

            Assert.AreEqual(0, fill.FillQuantity);
            Assert.AreEqual(0, fill.FillPrice);
            Assert.AreEqual(OrderStatus.None, fill.Status);

            security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, Noon, 101.66m));

            fill = model.StopLimitFill(security, order);

            // this fills worst case scenario, so it's at the limit price
            Assert.AreEqual(order.Quantity, fill.FillQuantity);
            Assert.AreEqual(order.LimitPrice, fill.FillPrice);
            Assert.AreEqual(OrderStatus.Filled, fill.Status);
        }

開發者ID:pmerrill，項目名稱:Lean，代碼行數:32，代碼來源:SecurityTransactionModelTests.cs

示例14: CreateSecurity

 private static Security CreateSecurity(DateTime newLocalTime)
 {
     var security = new Security(CreateUsEquitySecurityExchangeHours(), CreateTradeBarConfig());
     security.Exchange.SetLocalDateTimeFrontier(newLocalTime);
     security.SetLocalTimeKeeper(TimeKeeper.GetLocalTimeKeeper(TimeZones.NewYork));
     security.SetMarketPrice(new IndicatorDataPoint(Symbols.SPY, newLocalTime, 100m));
     return security;
 }

開發者ID:shlomikushchi，項目名稱:Lean，代碼行數:8，代碼來源:PatternDayTradingMarginModelTests.cs

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