private void AddSymbolTestCases(NUnitTestFixture fixture, AutoTestSettings testSettings)
{
var strategyTest = (StrategyTest)Reflect.Construct(userFixtureType, new object[] { testSettings });
foreach (var symbol in strategyTest.GetSymbols())
{
var paramaterizedTest = new ParameterizedMethodSuite(symbol.Symbol);
fixture.Add(paramaterizedTest);
var parms = new ParameterSet();
parms.Arguments = new object[] { symbol };
var methods = strategyTest.GetType().GetMethods();
foreach (var method in methods)
{
var parameters = method.GetParameters();
if (!method.IsSpecialName && method.IsPublic && parameters.Length == 1 && parameters[0].ParameterType == typeof(SymbolInfo))
{
var testCase = NUnitTestCaseBuilder.BuildSingleTestMethod(method, parms);
testCase.TestName.Name = method.Name;
testCase.TestName.FullName = fixture.Parent.Parent.TestName.Name + "." +
fixture.Parent.TestName.Name + "." +
fixture.TestName.Name + "." +
symbol + "." +
method.Name;
paramaterizedTest.Add(testCase);
}
}
}
}
private void AddStrategyTestCases(NUnitTestFixture fixture, AutoTestSettings testSettings)
{
var strategyTest = (StrategyTest)Reflect.Construct(userFixtureType, new object[] { testSettings });
foreach (var modelName in strategyTest.GetModelNames())
{
var paramaterizedTest = new ParameterizedMethodSuite(modelName);
fixture.Add(paramaterizedTest);
var parms = new ParameterSet();
parms.Arguments = new object[] { modelName };
var methods = strategyTest.GetType().GetMethods();
foreach (var method in methods)
{
var parameters = method.GetParameters();
if (!method.IsSpecialName && method.IsPublic && parameters.Length == 1 && parameters[0].ParameterType == typeof(string))
{
if (CheckIgnoreMethod(testSettings.IgnoreTests, method.Name))
{
continue;
}
var testCase = NUnitTestCaseBuilder.BuildSingleTestMethod(method, parms);
testCase.TestName.Name = method.Name;
testCase.TestName.FullName = fixture.Parent.Parent.TestName.Name + "." +
fixture.Parent.TestName.Name + "." +
fixture.TestName.Name + "." +
modelName + "." +
method.Name;
paramaterizedTest.Add(testCase);
}
}
}
}
public PendingOrderTest()
{
var settings = new AutoTestSettings
{
Mode = AutoTestMode.SimulateFIX,
Name = "ExampleReversalTest",
Loader = new ExampleReversalLoader(),
Symbols = "TestPending",
StoreKnownGood = false,
ShowCharts = false,
StartTime = new TimeStamp(1800, 1, 1),
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
};
strategyBaseTest = new StrategyBaseTest(typeof(PendingOrderTest).Name, settings);
}
public AutoTestSettings[] GetAutoTestSettings()
{
AutoTestSettings next;
var list = new System.Collections.Generic.List <AutoTestSettings>();
var storeKnownGood = false;
var showCharts = false;
var primarySymbol = "USD/JPY";
try {
list.Add(next = new AutoTestSettings {
Mode = AutoTestMode.Default,
Name = "ApexStrategyTest",
Loader = Plugins.Instance.GetLoader("APX_Systems: APX Multi-Symbol Loader"),
Symbols = primarySymbol + ",EUR/USD,USD/CHF",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
} catch (ApplicationException ex) {
if (!ex.Message.Contains("not found"))
{
throw;
}
}
try {
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "Apex_NQ_MeltdownTest",
Loader = Plugins.Instance.GetLoader("APX_Systems: APX Multi-Symbol Loader"),
Symbols = "/NQU0",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp("2010-08-25 15:00:00"),
IntervalDefault = Intervals.Second10,
});
} catch (ApplicationException ex) {
if (!ex.Message.Contains("not found"))
{
throw;
}
}
try {
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "ApexMeltdownTest",
Loader = Plugins.Instance.GetLoader("APX_Systems: APX Multi-Symbol Loader"),
Symbols = "GE,INTC",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
StartTime = new TimeStamp(1800, 1, 1),
EndTime = new TimeStamp("2010-09-22 15:00:00"),
IntervalDefault = Intervals.Second10,
});
} catch (ApplicationException ex) {
if (!ex.Message.Contains("not found"))
{
throw;
}
}
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "ExampleBreakoutReversalTest",
Loader = new ExampleBreakoutReversalLoader(),
Symbols = "USD/JPY",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 22),
IntervalDefault = Intervals.Minute1,
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "DualStrategyLimitOrder",
Loader = new TestDualStrategyLoader(),
Symbols = primarySymbol + ",EUR/USD",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "ExampleDualStrategyTest",
Loader = new ExampleDualStrategyLoader(),
Symbols = "Daily4Sim",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(1990, 1, 1),
IntervalDefault = Intervals.Day1,
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "LimitOrderTest",
Loader = new TestLimitOrderLoader(),
Symbols = primarySymbol,
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
WarmStartTime = new TimeStamp("2009-06-09 16:00"),
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SendServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SystemOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "MarketOrderTest",
Loader = new MarketOrderLoader(),
Symbols = primarySymbol,
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "SyntheticMarketOrderTest",
Loader = new MarketOrderLoader(),
Symbols = "USD/JPY_Synthetic",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SystemOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "ExampleReversalOnSimData",
Loader = new ExampleReversalLoader(),
Symbols = "Daily4Sim",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(1990, 1, 1),
IntervalDefault = Intervals.Day1,
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "ExampleMixedSimulated",
Loader = new ExampleMixedLoader(),
Symbols = "FullTick,Daily4Sim",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(1990, 1, 1),
IntervalDefault = Intervals.Day1,
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical | AutoTestMode.SimulateFIX,
Name = "ExampleMixedTruePartial",
Loader = new ExampleMixedTruePartial(),
Symbols = primarySymbol + ",EUR/USD,USD/CHF",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
PartialFillSimulation = PartialFillSimulation.PartialFillsIncomplete
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "ExampleMixedTest",
Loader = new ExampleMixedLoader(),
Symbols = primarySymbol + ",EUR/USD,USD/CHF",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "ExampleMixedToTheEnd",
Loader = new ExampleMixedLoader(),
Symbols = "EUR/USD,CSCO",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
StartTime = new TimeStamp(2009, 6, 20),
EndTime = TimeStamp.MaxValue,
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "MixedWithInactiveSymbol",
Loader = new ExampleMixedLoader(),
Symbols = primarySymbol + ",EUR/USD,USD/CHF,AUD/CAD",
StoreKnownGood = storeKnownGood,
KnownGoodName = "ExampleMixedTest",
IgnoreMissingKnownGood = true,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SendServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SystemOffline] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "ExampleLimitOrder",
Loader = new ExampleLimitOrderLoader(),
Symbols = "USD/CHF",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SendServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical | AutoTestMode.SimulateFIX,
Name = "ExampleLimitTruePartial",
Loader = new ExampleLimitTruePartialLoader(),
Symbols = "USD/CHF",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
Categories = { "Failed" },
PartialFillSimulation = PartialFillSimulation.PartialFillsIncomplete
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "ExampleReversalTest",
Loader = new ExampleReversalLoader(),
Symbols = primarySymbol,
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SendServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveServerOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "LimitReversalTest",
Loader = new LimitReversalLoader(),
Symbols = primarySymbol,
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.None,
Name = "LimitChangeOffsetTest",
Loader = new LimitChangeLoader(),
Symbols = primarySymbol,
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2009, 6, 10),
IntervalDefault = Intervals.Minute1,
});
// Fast Running CSCO real time tests...
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "RealTimeLimitOrderTest",
Loader = new TestLimitOrderLoader(),
Symbols = "CSCO",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2011, 1, 15, 1, 30, 0),
IntervalDefault = Intervals.Minute1,
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.BlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.RejectSymbol] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.SystemOffline] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ServerOfflineReject] = 0;
// Real time (slow running) CSCO real time test.
next = next.Copy();
next.Mode = AutoTestMode.None;
next.RelativeEndTime = new Elapsed(2, 0, 0);
list.Add(next);
// Fast Running SPY real time tests...
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "RealTimeSPYDataOnly",
Loader = new TestDataOnlyLoader(),
Symbols = "SPYTradeOnly",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2011, 2, 17),
IntervalDefault = Intervals.Second10,
});
// Real time (slow running) CSCO real time test.
next = next.Copy();
next.Mode = AutoTestMode.None;
next.RelativeEndTime = new Elapsed(0, 3, 00);
list.Add(next);
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "RealTimeSPYQuoteOnly",
Loader = new TestDataOnlyLoader(),
Symbols = "SPYQuoteOnly",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2021, 2, 17),
IntervalDefault = Intervals.Second10,
});
// Real time (slow running) CSCO real time test.
next = next.Copy();
next.Mode = AutoTestMode.None;
next.RelativeEndTime = new Elapsed(0, 3, 00);
list.Add(next);
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Historical,
Name = "MultiSymbolOrders",
Loader = new ExampleOrdersLoader(),
Symbols = @"AD.1month, BO.1month, BP.1month, CC.1month, CD.1month, CL.1month,
CN.1month, CT.1month, DJ.1month, DX.1month, EC.1month, ED.1month,
ER.1month, ES.1month, FC.1month, FV.1month, GC.1month, HG.1month,
HO.1month, JO.1month, JY.1month, KC.1month, LB.1month, LC.1month,
LH.1month, ME.1month, MG.1month, MI.1month, NG.1month,
NK.1month, NQ.1month, OA.1month, PA.1month, PB.1month, PL.1month,
SB.1month, SF.1month, SM.1month, SV.1month, SY.1month, TU.1month,
TY.1month, US.1month, WC.1month, XB.1month",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
EndTime = new TimeStamp(2010, 3, 3),
IntervalDefault = Intervals.Hour1,
Categories = { "MultiSymbolOrders" },
});
list.Add(next = new AutoTestSettings
{
Mode = AutoTestMode.Default,
Name = "TenSymbolOrders",
Loader = new ExampleOrdersLoader(),
Symbols = @"CL, ES, GC, EC, BP, NQ, ER, NG, JY, AD",
StoreKnownGood = storeKnownGood,
ShowCharts = showCharts,
WarmStartTime = new TimeStamp("2010-03-02"),
EndTime = new TimeStamp(2010, 3, 3),
IntervalDefault = Intervals.Hour1,
Categories = { "MultiSymbolOrders" },
});
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.CancelBlackHole] = 0;
next.SimulatorProperties.NegativeSimulatorMinimums[SimulatorType.ReceiveDisconnect] = 0;
return(list.ToArray());
}
