public void GetMovingAverage_PartialRange()
{
// Arrange
var movingAverageTradeCreator = new MovingAverageTradeCreator();
var movingAverageTradeParameters = new MovingAverageTradeParameters
{
MovingAvarageRange = 5,
BuyIndicator = 123.45m,
SellIndicator = 125.67m
};
movingAverageTradeCreator.Reset(movingAverageTradeParameters);
// Act
var trade1 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 25.40m
});
var trade2 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 25.90m
});
var trade3 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 26.50m
});
// Assert
Assert.AreEqual(trade1.MovingAveragePrice, 25.40m);
Assert.AreEqual(trade2.MovingAveragePrice, 25.65m);
Assert.AreEqual(Math.Truncate(100 * trade3.MovingAveragePrice) / 100, 25.93m); //truncate to 2 decimal places
}
public override async Task <bool> TryUpdateStrategyAsync(string parameters)
{
var tcs = new TaskCompletionSource <bool>();
var strategyParameters = JsonConvert.DeserializeObject <MovingAverageTradeParameters>(parameters);
if (tradeCache == null)
{
tradeCache = new TradeCache <MovingAverageTradeCreator, MovingAverageTrade, MovingAverageTradeParameters>(strategyParameters.TradeRange);
}
if (movingAverageTradeParameters == null ||
!strategyParameters.MovingAvarageRange.Equals(movingAverageTradeParameters.MovingAvarageRange) ||
!strategyParameters.SellIndicator.Equals(movingAverageTradeParameters.SellIndicator) ||
!strategyParameters.BuyIndicator.Equals(movingAverageTradeParameters.BuyIndicator))
{
movingAverageTradeParameters = strategyParameters;
Strategy.Parameters = parameters;
tradeCache.TradeCreator.Reset(movingAverageTradeParameters);
}
Suspend = movingAverageTradeParameters.Suspend;
StrategyParameterUpdateNotification(new StrategyNotificationEventArgs {
StrategyNotification = new StrategyNotification {
Name = Strategy.Name, Message = parameters, NotificationLevel = NotificationLevel.ParameterUpdate
}
});
tcs.SetResult(true);
return(await tcs.Task.ConfigureAwait(false));
}
public void GetMovingAverage_FullRange_After_Reshuffle()
{
// Arrange
var movingAverageTradeCreator = new MovingAverageTradeCreator();
var movingAverageTradeParameters = new MovingAverageTradeParameters
{
MovingAvarageRange = 5,
BuyIndicator = 123.45m,
SellIndicator = 125.67m
};
movingAverageTradeCreator.Reset(movingAverageTradeParameters);
// Act
var trade1 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 25.40m
});
var trade2 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 25.90m
});
var trade3 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 26.50m
});
var trade4 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 26.30m
});
var trade5 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 27.90m
});
var trade6 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 27.40m
});
var trade7 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 28.20m
});
// Assert
Assert.AreEqual(trade1.MovingAveragePrice, 25.40m);
Assert.AreEqual(trade2.MovingAveragePrice, 25.65m);
Assert.AreEqual(Math.Truncate(100 * trade3.MovingAveragePrice) / 100, 25.93m); //truncate to 2 decimal places
Assert.AreEqual(trade4.MovingAveragePrice, 26.025m);
Assert.AreEqual(trade5.MovingAveragePrice, 26.40m);
Assert.AreEqual(trade6.MovingAveragePrice, 26.80m);
Assert.AreEqual(trade7.MovingAveragePrice, 27.26m);
}
public void MovingAverageTradeCreator_Reset_CreateTrades_EqualsRange()
{
// Arrange
var movingAverageTradeCreator = new MovingAverageTradeCreator();
var movingAverageTradeParameters = new MovingAverageTradeParameters
{
MovingAvarageRange = 5,
BuyIndicator = 123.45m,
SellIndicator = 125.67m
};
// Act
movingAverageTradeCreator.Reset(movingAverageTradeParameters);
movingAverageTradeCreator.CreateTrade(new Trade {
Price = 1
});
movingAverageTradeCreator.CreateTrade(new Trade {
Price = 2
});
movingAverageTradeCreator.CreateTrade(new Trade {
Price = 3
});
movingAverageTradeCreator.CreateTrade(new Trade {
Price = 4
});
movingAverageTradeCreator.CreateTrade(new Trade {
Price = 5
});
// Assert
Assert.AreEqual(movingAverageTradeCreator.GetCurrentPosition(), 4);
Assert.AreEqual(movingAverageTradeCreator.GetMovingAvarageRange(), movingAverageTradeParameters.MovingAvarageRange);
Assert.AreEqual(movingAverageTradeCreator.GetBuyIndicator(), movingAverageTradeParameters.BuyIndicator);
Assert.AreEqual(movingAverageTradeCreator.GetSellIndicator(), movingAverageTradeParameters.SellIndicator);
var range = movingAverageTradeCreator.GetRange();
Assert.AreEqual(range.Length, movingAverageTradeParameters.MovingAvarageRange);
Assert.AreEqual(range[0], 1);
Assert.AreEqual(range[1], 2);
Assert.AreEqual(range[2], 3);
Assert.AreEqual(range[3], 4);
Assert.AreEqual(range[4], 5);
}
public override async Task <bool> TryUpdateStrategyAsync(string parameters)
{
var tcs = new TaskCompletionSource <bool>();
try
{
var strategyParameters = JsonConvert.DeserializeObject <MovingAverageTradeParameters>(parameters);
if (tradeCache == null)
{
tradeCache = new TradeCache <MovingAverageTradeCreator, MovingAverageTrade, MovingAverageTradeParameters>(strategyParameters.TradeRange);
}
if (movingAverageTradeParameters == null ||
!strategyParameters.MovingAvarageRange.Equals(movingAverageTradeParameters.MovingAvarageRange) ||
!strategyParameters.SellIndicator.Equals(movingAverageTradeParameters.SellIndicator) ||
!strategyParameters.BuyIndicator.Equals(movingAverageTradeParameters.BuyIndicator))
{
movingAverageTradeParameters = strategyParameters;
tradeCache.TradeCreator.Reset(movingAverageTradeParameters);
}
suspend = movingAverageTradeParameters.Suspend;
StrategyNotification(new StrategyNotificationEventArgs {
StrategyNotification = new StrategyNotification {
Name = Strategy.Name, Message = $"Parameter update : {parameters}", NotificationLevel = NotificationLevel.Information
}
});
tcs.SetResult(true);
}
catch (Exception ex)
{
tcs.SetException(ex);
}
return(await tcs.Task);
}
public void MovingAverageTradeCreator_CreateTrades_Reset()
{
// Arrange
var movingAverageTradeCreator = new MovingAverageTradeCreator();
var movingAverageTradeParameters = new MovingAverageTradeParameters
{
MovingAvarageRange = 5,
BuyIndicator = 123.45m,
SellIndicator = 125.67m
};
movingAverageTradeCreator.Reset(movingAverageTradeParameters);
var trade1 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 1
});
var trade2 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 2
});
var trade3 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 3
});
// Act
movingAverageTradeParameters.MovingAvarageRange = 10;
movingAverageTradeCreator.Reset(movingAverageTradeParameters);
var trade4 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 4
});
var trade5 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 5
});
var trade6 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 6
});
var trade7 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 7
});
var trade8 = movingAverageTradeCreator.CreateTrade(new Trade {
Price = 8
});
// Assert
Assert.AreEqual(movingAverageTradeCreator.GetCurrentPosition(), 7);
Assert.AreEqual(movingAverageTradeCreator.GetMovingAvarageRange(), movingAverageTradeParameters.MovingAvarageRange);
Assert.AreEqual(movingAverageTradeCreator.GetBuyIndicator(), movingAverageTradeParameters.BuyIndicator);
Assert.AreEqual(movingAverageTradeCreator.GetSellIndicator(), movingAverageTradeParameters.SellIndicator);
var range = movingAverageTradeCreator.GetRange();
Assert.AreEqual(range.Length, movingAverageTradeParameters.MovingAvarageRange);
Assert.AreEqual(range[0], 1);
Assert.AreEqual(range[1], 2);
Assert.AreEqual(range[2], 3);
Assert.AreEqual(range[3], 4);
Assert.AreEqual(range[4], 5);
Assert.AreEqual(range[5], 6);
Assert.AreEqual(range[6], 7);
Assert.AreEqual(range[7], 8);
Assert.AreEqual(range[8], 0);
Assert.AreEqual(range[9], 0);
}
