public void Fill_RegularLiquidity()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl limitBuy = new OrderImpl(tsec, Direction.Long, 1, 133m);
OrderImpl limitSell = new OrderImpl(tsec, Direction.Short, 1, 133.5m);
OrderImpl stopBuy = new OrderImpl(tsec, Direction.Long, 3, 0, 135.70m);
OrderImpl stopSell = new OrderImpl(tsec, Direction.Short, 4, 0, 135.75m);
PendingOrderImpl plimitBuy = new PendingOrderImpl(limitBuy);
PendingOrderImpl plimitSell = new PendingOrderImpl(limitSell);
PendingOrderImpl pstopBuy = new PendingOrderImpl(stopBuy);
PendingOrderImpl pstopSell = new PendingOrderImpl(stopSell);
broker.SendOrderStatus(plimitBuy);
broker.SendOrderStatus(plimitSell);
broker.SendOrderStatus(pstopBuy);
broker.SendOrderStatus(pstopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List <Trade> trades = broker.GetTradeList();
Assert.True(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.Xsize == 1)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 2)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 3)
{
Assert.Equal(135.78m, trade.Xprice);
}
else if (trade.Xsize == 4)
{
Assert.Equal(135.78m, trade.Xprice);
}
}
}
public void MOCs()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl moc = new OrderImpl(tsec, Direction.Long, 200);
moc.ValidInstruct = OrderInstructionType.MOC;
PendingOrderImpl pmoc = new PendingOrderImpl(moc);
Assert.True(moc.ValidInstruct == OrderInstructionType.MOC, "unexpected order instruction: " + moc.ValidInstruct);
Assert.Equal(0, broker.SendOrderStatus(pmoc));
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 9, 10000, "NYS");
int c = 0;
c = broker.Execute(openingTick); Assert.Equal(0, c);
c = broker.Execute(endMornTick); Assert.Equal(0, c);
c = broker.Execute(endLunchTick); Assert.Equal(0, c);
c = broker.Execute(closingTick); Assert.Equal(1, c); // should execute on the first tick at/after 16:00:00
}
public void DayFill()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl day = new OrderImpl(tsec, Direction.Long, 200);
PendingOrderImpl pday = new PendingOrderImpl(day);
broker.SendOrderStatus(pday);
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 9, 10000, "NYS");
int c;
c = broker.Execute(openingTick); Assert.Equal(1, c); // should execute on first received tick
c = broker.Execute(endMornTick); Assert.Equal(0, c);
c = broker.Execute(endLunchTick); Assert.Equal(0, c);
c = broker.Execute(closingTick); Assert.Equal(0, c);
}
public void OpGs()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
const string s = "NYS";
ForexSecurity tsec = new ForexSecurity(s);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
// build and send an OPG order
OrderImpl opg = new OrderImpl(tsec, Direction.Long, 200, 10);
PendingOrderImpl popg = new PendingOrderImpl(opg);
Assert.Equal(0, broker.SendOrderStatus(popg));
// build a tick on another exchange
TickImpl it = TickImpl.NewTrade(s, 9, 100);
it.Exchange = "ISLD";
// fill order (should fail)
int c = broker.Execute(it);
Assert.Equal(0, c);
// build opening price for desired exchange
TickImpl nt = TickImpl.NewTrade(s, 9, 10000);
nt.Exchange = "NYS";
// fill order (should work)
c = broker.Execute(nt);
Assert.Equal(1, c);
// add another OPG, make sure it's not filled with another tick
TickImpl next = TickImpl.NewTrade(s, 9, 2000);
next.Exchange = "NYS";
OrderImpl late = new OrderImpl(tsec, Direction.Long, 200, 10);
PendingOrderImpl plate = new PendingOrderImpl(late);
broker.SendOrderStatus(plate);
c = broker.Execute(next);
Assert.Equal(0, c);
}
void HistSource_gotTick(Tick t)
{
// process next tick if present
if (hasnext)
{
// execute any pending orders
SimBroker.Execute(next);
// send existing tick
if (hasevent)
{
GotTick(next);
}
// update last time
lasttime = next.datetime;
orderok &= lasttick || (t.datetime >= next.datetime) || (cidx != next.symidx);
}
if (lasttick)
{
hasnext = false;
return;
}
// update next tick
next = t;
next.symidx = cidx;
hasnext = true;
_nextticktime = t.datetime;
_tickcount++;
}
void FlushCache(long endsim)
{
bool simrunning = true;
while (simrunning)
{
// get next times of ticks in cache
long[] times = nexttimes();
// copy our master index list into a temporary for sorting
Buffer.BlockCopy(idx, 0, cidx, 0, idx.Length * 4);
// sort loaded instruments by time
Array.Sort(times, cidx);
int nextidx = 0;
// get next time from all instruments we have loaded
while ((nextidx < times.Length) && (times[nextidx] == -1))
{
nextidx++;
}
// test to see if ticks left in simulation
simrunning = (nextidx < times.Length) && (times[nextidx] <= endsim);
// if no ticks left or we exceeded simulation time, quit
if (!simrunning)
{
break;
}
// get next tick
Tick k = Workers[cidx[nextidx]].NextTick();
// process pending orders
_executions += SimBroker.Execute(k);
// notify tick
GotTick(k);
// count tick
_tickcount++;
}
}
public void Basics()
{
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.PipValue = 1;
tsec.PipSize = 1;
tsec.OrderStepSize = 1;
SimAccount account = new SimAccount("TEST", "testing", 1000M, 100);
account.Securities.AddSecurity(tsec);
SimBroker broker = new SimBroker(account, _trans);
broker.BrokerModel = _trans;
broker.GotFill += broker_GotFill;
broker.GotOrder += broker_GotOrder;
OrderImpl o = new OrderImpl();
PendingOrderImpl po = new PendingOrderImpl(o);
int error = broker.SendOrderStatus(po);
Assert.NotEqual((int)StatusType.OK, error);
Assert.True(_orders == 0);
Assert.True(_fills == 0);
o = new OrderImpl(tsec, Direction.Long, 100);
po = new PendingOrderImpl(o);
broker.SendOrderStatus(po);
Assert.True(_orders == 1);
Assert.True(_fills == 0);
Assert.True(broker.Execute(TickImpl.NewTrade(S, 10, 200)) == 1);
Assert.True(_fills == 1);
// test that a limit order is not filled outside the market
o = new OrderImpl(tsec, Direction.Long, 100, 9);
po = new PendingOrderImpl(o);
broker.SendOrderStatus(po);
Assert.Equal(0, broker.Execute(TickImpl.NewTrade(S, 10, 100)));
Assert.True(_fills == 1); // redundant but for counting
// test that limit order is filled inside the market
Assert.Equal(1, broker.Execute(TickImpl.NewTrade(S, 8, 100)));
Assert.True(_fills == 2);
}
private void histsim_GotTick(Tick t)
{
TickImpl tick = (TickImpl)t;
// execute any pending orders
SimBroker.Execute(tick);
// send any new orders from our application
while (orders.Count > 0)
{
SimBroker.SendOrder(orders.Dequeue());
}
//Set pending orders
SetPendingOrders();
//Count ticks
TicksProcessed++;
try
{
//Check if this symbol is subscribed
if (portfolio.Streams.ContainsKey(t.Symbol))
{
//Set got tick for portfolio
portfolio.GotTick(tick);
}
}
catch (Exception ex)
{
if (OnMessage != null)
{
OnMessage(this, "Portfolio threw exception: - " + ex.Message + Environment.NewLine + ex.StackTrace);
}
}
double percent = Math.Round((histsim.FilesProcessed / (double)histsim.FilesPresent) * 100);
if (percent > lastp)
{
//Update percentage
if (OnProgress != null)
{
OnProgress(this, string.Format("Progress: {0}%, ROI: {1}%, DD: {2}", percent, portfolio.Results.ROI, portfolio.Results.MaxDDPortfolio), 0);
}
lastp = percent;
}
}
public void MultiAccount()
{
_broker.BrokerModel = _trans;
const string sym = "TST";
ForexSecurity tsec = new ForexSecurity(sym);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
const string me = "tester";
const string other = "anotherguy";
SimAccount a = new SimAccount(me);
SimAccount b = new SimAccount(other);
SimAccount c = new SimAccount("sleeper");
OrderImpl oa = new OrderImpl(tsec, Direction.Long, 100);
OrderImpl ob = new OrderImpl(tsec, Direction.Long, 100);
oa.AccountName = me;
ob.AccountName = other;
// send order to accounts
PendingOrderImpl poa = new PendingOrderImpl(oa, a);
PendingOrderImpl pob = new PendingOrderImpl(ob, b);
_broker.SendOrderStatus(poa);
_broker.SendOrderStatus(pob);
TickImpl t = new TickImpl(sym)
{
Trade = 100m,
Size = 200
};
Assert.Equal(2, _broker.Execute(t));
Position apos = _broker.GetOpenPosition(tsec, a);
Position bpos = _broker.GetOpenPosition(tsec, b);
Position cpos = _broker.GetOpenPosition(tsec, c);
Assert.True(apos.IsLong);
Assert.Equal(100, apos.Size);
Assert.True(bpos.IsLong);
Assert.Equal(100, bpos.Size);
Assert.True(cpos.IsFlat);
// make sure that default account doesn't register
// any trades
Assert.True(_broker.GetOpenPosition(tsec).IsFlat);
}
private void execute_GotTick(Tick t)
{
TickImpl tick = (TickImpl)t;
SimBroker.Execute(tick);
tickcount++;
// generate fills periodically
if (fillcount >= desiredfills)
{
return;
}
if (tickcount % 50 == 0)
{
bool side = fillcount % 2 == 0;
OrderImpl o = new OrderImpl(new ForexSecurity(t.Symbol), side ? Direction.Long : Direction.Short, 100);
PendingOrder po = new PendingOrderImpl(o);
SimBroker.SendOrderStatus(po);
}
}