public void testIntraDayLiveBars()
{
var siv5Minute = new Siv("TestSystem1", "second", "1.0");
var liveSystem = new LiveSystem(siv5Minute, FAST);
liveSystem.insertParameter("LeadBars", "0");
var args = arguments(O.list(SYMBOL, SYMBOL2), liveSystem, RunMode.LIVE, typeof(EmptySystem));
var loader = new FakeBarLoader(SYMBOL, SYMBOL2);
var simulator = loader.simulator(args, OrderTable.prefix);
try {
Action <int, int> bar = (close, minutesAfter9) => {
var barTime = Dates.minutesAhead(minutesAfter9, Dates.date("2008/09/08 09:00:00"));
loader.add(SYMBOL, close, close, close, close, barTime);
loader.add(SYMBOL2, close, close, close, close, barTime);
simulator.nextBar();
};
Action <Symbol, int, string> doTick = (symbol, price, time) => {
O.freezeNow("2008/09/08 " + time);
tick(simulator, new Bar(0, price, 0, price, O.now()), symbol);
};
bar(5, 0);
O.freezeNow("2008/09/08 09:00:00");
simulator.goLive();
doTick(SYMBOL, 26, "09:00:00");
doTick(SYMBOL2, 28, "09:00:00");
doTick(SYMBOL, 25, "09:00:00");
doTick(SYMBOL2, 29, "09:00:00");
simulator.waitForBar();
var system = simulator.theSymbolSystem <EmptySystem>(SYMBOL);
var system2 = simulator.theSymbolSystem <EmptySystem>(SYMBOL2);
AreEqual(new Bar(26, 26, 25, 25, date("2008/09/08 09:00:00")), system.bar);
AreEqual(new Bar(28, 29, 28, 29, date("2008/09/08 09:00:00")), system2.bar);
O.freezeNow("2008/09/08 09:00:01");
doTick(SYMBOL, 42, "09:00:01");
doTick(SYMBOL, 57, "09:00:01");
doTick(SYMBOL, 15, "09:00:01");
system.placeOrder(SYMBOL.buy("somethin", Order.market(), 1, FillOrKill.FILL_KILL));
simulator.waitForBar(); // if it blows up in orderFilled here, it filled orders during live intraday bar (incorrect)
IsTrue(O.isEmpty(system.allPositions()));
AreEqual(new Bar(42, 57, 15, 15, date("2008/09/08 09:00:01")), system.bar);
AreEqual(new Bar(28, 29, 28, 29, date("2008/09/08 09:00:00")), system2.bar);
AreEqual(3, system.bars.count());
AreEqual(2, system2.bars.count());
} finally {
simulator.clearTimer();
}
}
public void testOnCloseIntraDay()
{
var siv5Minute = new Siv("TestSystem1", "5minute", "1.0");
var liveSystem = new LiveSystem(siv5Minute, FAST);
var args = arguments(O.list(SYMBOL, SYMBOL2), liveSystem, RunMode.RIGHTEDGE, typeof(TestOnCloseSystem));
var loader = new FakeBarLoader(SYMBOL, SYMBOL2);
var simulator = loader.simulator(args, OrderTable.prefix);
var system = simulator.theSymbolSystem <TestOnCloseSystem>(SYMBOL);
var system2 = simulator.theSymbolSystem <TestOnCloseSystem>(SYMBOL2);
MarketSessionTable.SESSION.update(SYMBOL.name, Session.DAY, "16:00:00", 360);
MarketSessionTable.SESSION.update(SYMBOL2.name, Session.DAY, "15:50:00", 360);
Action <int, int> bar = (close, minutesAfter3) => {
var barTime = Dates.minutesAhead(minutesAfter3, Dates.date("2008/08/08 15:00:00"));
loader.add(SYMBOL, close, close, close, close, barTime);
loader.add(SYMBOL2, close, close, close, close, barTime);
simulator.nextBar();
};
Action <bool, bool> closeTriggered = (expected1, expected2) => {
AreEqual(expected1, system.onCloseTriggered);
AreEqual(expected2, system2.onCloseTriggered);
system.onCloseTriggered = false;
system2.onCloseTriggered = false;
};
O.zeroTo(5, i => {
bar(i, 15 + i * 5);
closeTriggered(false, false);
});
bar(6, 40); closeTriggered(false, false); // ? format but couldn't resist the parallellism. and terseness.
bar(7, 45); closeTriggered(false, true);
bar(8, 50); closeTriggered(false, false);
bar(9, 55); closeTriggered(true, false);
bar(10, 60); closeTriggered(false, false);
}