public void SplitCancelCopy()
{
lasto = new OrderImpl();
oc = 0;
cancels.Clear();
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
ost.SendCancelEvent += new LongDelegate(ost_SendCancelEvent);
ost.Split = true;
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 300));
// over sell
Order o = new SellMarket("TST", 500);
o.id = 5;
ost.sendorder(o);
// verify that only flat was sent
Assert.AreEqual(2, oc);
Assert.AreEqual(-200, lasto.size);
// make sure we've not canceled
Assert.AreEqual(0, cancels.Count);
// cancel original order
ost.sendcancel(5);
// ensure two cancels sent
Assert.AreEqual(2, cancels.Count);
// ensure different cancels
Assert.AreEqual(5, cancels[0]);
Assert.AreNotEqual(5, cancels[1]);
// do it again
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 300));
// over sell
o = new SellMarket("TST", 500);
o.id = 10;
ost.sendorder(o);
// verify that only flat was sent
Assert.AreEqual(4, oc);
Assert.AreEqual(-200, lasto.size);
// make sure we've not canceled
Assert.AreEqual(2, cancels.Count);
// cancel original order
ost.sendcancel(10);
// ensure two cancels sent
Assert.AreEqual(4, cancels.Count);
// ensure different cancels
Assert.AreEqual(10, cancels[2]);
Assert.AreNotEqual(10, cancels[3]);
}
public void TestOverSellDrop()
{
lasto = new OrderImpl();
oc = 0;
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 300));
// over sell
ost.sendorder(new SellMarket("TST", 500));
// verify that only flat was sent
Assert.AreEqual(1, oc);
Assert.AreEqual(-300, lasto.size);
}
public void TestOverBuyAdjust()
{
lasto = new OrderImpl();
oc = 0;
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
ost.Split = true;
// take a position
ost.GotPosition(new PositionImpl("TST", 100, -300));
// over sell
ost.sendorder(new BuyMarket("TST", 500));
// verify that flat and adjustment were sent
Assert.AreEqual(2, oc);
Assert.AreEqual(200, lasto.size);
}
public void SplitWithPartialFillRoundMinsize100()
{
lasto = new OrderImpl();
oc = 0;
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
ost.MinLotSize = 100;
ost.Split = true;
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 58));
// over sell
Order o = new SellMarket("TST", 100);
o.id = 1;
ost.sendorder(o);
// verify that flat and adjustment were sent
Assert.AreEqual(1, oc);
Assert.AreEqual(-100, lasto.size);
}
public bool Start()
{
try
{
if (_connected)
{
return(true);
}
ost = new OversellTracker(pt);
ost.Split = OversellSplit;
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(ost_SendDebugEvent);
debug(Util.TLSIdentity());
debug("Attempting to start: " + PROGRAM);
// basic structures needed for operation
stiEvents = new STIEvents();
stiOrder = new STIOrderMaint();
stiPos = new STIPosition();
stiQuote = new STIQuote();
stiBook = new STIBook();
stiApp = new STIApp();
_bw = new Thread(new ParameterizedThreadStart(background));
_runbg = true;
_bw.Start();
ptt.GotCancelEvent += new LongDelegate(tl.newCancel);
ptt.GotFillEvent += new FillDelegate(tl.newFill);
ptt.GotOrderEvent += new OrderDelegate(tl.newOrder);
ptt.SendDebugEvent += new DebugDelegate(ptt_SendDebugEvent);
ptt.UseBidAskFills = isPaperTradeUsingBidAsk;
stiEvents.OnSTIShutdown += new _ISTIEventsEvents_OnSTIShutdownEventHandler(stiEvents_OnSTIShutdown);
stiEvents.SetOrderEventsAsStructs(true);
stiEvents.OnSTIOrderUpdate += new _ISTIEventsEvents_OnSTIOrderUpdateEventHandler(stiEvents_OnSTIOrderUpdate);
stiEvents.OnSTIOrderUpdateXML += new _ISTIEventsEvents_OnSTIOrderUpdateXMLEventHandler(stiEvents_OnSTIOrderUpdateXML);
stiEvents.OnSTITradeUpdate += new _ISTIEventsEvents_OnSTITradeUpdateEventHandler(stiEvents_OnSTITradeUpdate);
stiEvents.OnSTITradeUpdateXML += new _ISTIEventsEvents_OnSTITradeUpdateXMLEventHandler(stiEvents_OnSTITradeUpdateXML);
stiPos.OnSTIPositionUpdate += new _ISTIPositionEvents_OnSTIPositionUpdateEventHandler(stiPos_OnSTIPositionUpdate);
stiPos.OnSTIPositionUpdateXML += new _ISTIPositionEvents_OnSTIPositionUpdateXMLEventHandler(stiPos_OnSTIPositionUpdateXML);
stiQuote.OnSTIQuoteUpdate += new _ISTIQuoteEvents_OnSTIQuoteUpdateEventHandler(stiQuote_OnSTIQuoteUpdate);
stiQuote.OnSTIQuoteSnap += new _ISTIQuoteEvents_OnSTIQuoteSnapEventHandler(stiQuote_OnSTIQuoteSnap);
stiEvents.OnSTIOrderRejectMsg += new _ISTIEventsEvents_OnSTIOrderRejectMsgEventHandler(stiEvents_OnSTIOrderRejectMsg);
stiEvents.OnSTIOrderRejectXML += new _ISTIEventsEvents_OnSTIOrderRejectXMLEventHandler(stiEvents_OnSTIOrderRejectXML);
stiEvents.OnSTIOrderReject += new _ISTIEventsEvents_OnSTIOrderRejectEventHandler(stiEvents_OnSTIOrderReject);
stiQuote.OnSTIQuoteUpdateXML += new _ISTIQuoteEvents_OnSTIQuoteUpdateXMLEventHandler(stiQuote_OnSTIQuoteUpdateXML);
stiQuote.OnSTIQuoteSnapXML += new _ISTIQuoteEvents_OnSTIQuoteSnapXMLEventHandler(stiQuote_OnSTIQuoteSnapXML);
stiPos.GetCurrentPositions();
tl.newAcctRequest += new StringDelegate(tl_newAcctRequest);
tl.newProviderName = Providers.Sterling;
tl.newSendOrderRequest += new OrderDelegateStatus(tl_gotSrvFillRequest);
tl.newPosList += new PositionArrayDelegate(tl_gotSrvPosList);
tl.newRegisterSymbols += new SymbolRegisterDel(tl_newRegisterSymbols);
tl.newOrderCancelRequest += new LongDelegate(tl_OrderCancelRequest);
tl.newFeatureRequest += new MessageArrayDelegate(tl_newFeatureRequest);
tl.newUnknownRequest += new UnknownMessageDelegate(tl_newUnknownRequest);
tl.newImbalanceRequest += new VoidDelegate(tl_newImbalanceRequest);
tl.SendDebugEvent += new DebugDelegate(tl_SendDebugEvent);
stiApp.SetModeXML(UseXmlMode);
string trader = stiApp.GetTraderName().ToUpper();
debug("trader: " + trader);
if (!accts.Contains(trader))
{
accts.Add(trader);
debug("accounts: " + string.Join(",", Accounts));
}
if (VerboseDebugging)
{
debug("Verbose Mode On.");
}
if (isPaperTradeEnabled)
{
debug("Papertrading enabled.");
}
}
catch (Exception ex)
{
debug(ex.Message + ex.StackTrace);
_connected = false;
return(false);
}
debug(PROGRAM + " started.");
_connected = true;
return(_connected);
}