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 testEmails()
{
var abc = new Symbol("RE.TEST.TY.1C");
var slippage = MarketTable.MARKET.fixedSlippage(abc.name);
var monitor = new PositionMonitor(LIVE_SYSTEM, O.list(abc, new Symbol("DEF")), "A_TOPIC");
var counter = new PublishCounter("OrderTracker.orderAdded");
var order = abc.buy("Go LONG", new Stop(50), 10, FillOrKill.FILL_KILL).placed();
var trade = new Trade(order, 52, 10, slippage, 1);
var position = order.fill(trade);
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
monitor.goLive(O.list(position), abc);
O.freezeNow("2008/09/22 14:47:04");
LiveOrderEmailsTable.ORDER_EMAILS.insert("S-I-V", "PV", "ALL", "team");
emailer.allowMessages();
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
var message = emailer.sent();
message.hasSubject(@"S\(PV\) Filled Order for RE.TEST.TY.1C - " + O.hostname());
message.hasContent(@"Order.*: Enter long 10 RE.TEST.TY.1C @ 52 STOP\(50.0000000\)");
message.hasContent("Timestamp: 2008/09/22 14:47:04");
message.hasContent("Description: Go LONG");
emailer.clear();
var liveOrders = O.list <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersFilled(LIVE_SYSTEM.id(), abc.name));
HasCount(1, liveOrders);
var liveOrder = O.the(liveOrders);
AreEqual(10, liveOrder.size());
AreEqual("Enter", liveOrder.entryExit());
AreEqual("long", liveOrder.positionDirection());
AreEqual(liveOrder.id(), counter.getOneAndClear <int>("liveOrderId"));
order = position.scaleUpLong("gimme more", new StopLimit(50, 60), 25, FillOrKill.FILL_KILL).placed();
trade = new Trade(order, 55, 25, slippage, 1);
order.fill(trade);
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
emailer.sent().hasContent(@"Order.*: Scale up long 25 RE.TEST.TY.1C @ 55 STOP_LIMIT\(50.0000000, 60.0000000\)");
emailer.clear();
liveOrders = O.list <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersFilled(LIVE_SYSTEM.id(), abc.name));
HasCount(2, liveOrders);
liveOrder = O.first(liveOrders);
AreEqual(25, liveOrder.size());
AreEqual("Scale up", liveOrder.entryExit());
AreEqual("long", liveOrder.positionDirection());
order = position.scaleDownLong("gimme more", new Limit(55), 20, FillOrKill.FILL_KILL).placed();
trade = new Trade(order, 55, 20, slippage, 1);
order.fill(trade);
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
emailer.sent().hasContent(@"Order.*: Scale down long 20 RE.TEST.TY.1C @ 55 LIMIT\(55.0000000\)");
emailer.clear();
order = position.exitLong("Get out", new Market(), OneBar.ONE).placed();
trade = new Trade(order, 40, 15, slippage, 1);
order.fill(trade);
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
emailer.sent().hasContent(@"Order.*: Exit long 15 RE.TEST.TY.1C @ 40 MARKET");
emailer.disallowMessages();
LiveOrderEmailsTable.ORDER_EMAILS.deleteAll(Clause.TRUE);
monitor.positionUpdate(position, trade, PositionMonitor.basicTradeEmail);
}
