public void testBasicFunctionality()
{
Objects.freezeNow("2009/06/25 12:00:00");
var timers = Objects.timerManager();
timers.isInterceptingTimersForTest = true;
var heart = new Heartbeat(JMSTestCase.TEST_BROKER, "test.heartbeat", 2000);
var fieldsResult = new Fields[] { null };
heart.subscribe(fields => {
Bomb.unlessNull(fieldsResult[0], () => "have " + fieldsResult[0] + " but received " + fields);
fieldsResult[0] = fields;
});
timers.intercept("2009/06/25 12:00:00", "first beat");
heart.initiate();
timers.intercept("2009/06/25 12:00:02", "second beat");
timers.runTimers("2009/06/25 12:00:00");
Objects.wait(() => fieldsResult[0] != null);
AreEqual(Objects.hostname(), fieldsResult[0].get("Hostname"));
fieldsResult[0] = null;
timers.intercept("2009/06/25 12:00:04", "third beat");
timers.runTimers("2009/06/25 12:00:02");
Objects.wait(() => fieldsResult[0] != null);
}
public void testTimerSequence()
{
Objects.freezeNow("2008/11/11 11:11:11");
double currentState = -1;
var sequence = new TimerSequence <double>(d => { currentState = d; });
sequence.add(1.1, 500);
sequence.add(2.2, 500);
sequence.add(3.3);
IsFalse(sequence.running());
// starts in 1.1
sequence.startAsOf(O.now());
O.wait(() => currentState == 1.1);
IsTrue(sequence.running());
Objects.advanceNow(500);
O.wait(() => currentState == 2.2);
Objects.advanceNow(500);
O.wait(() => currentState == 3.3);
IsFalse(sequence.running());
sequence.startAsOf(O.now());
O.wait(() => currentState == 1.1);
Objects.advanceNow(500);
O.wait(() => currentState == 2.2);
sequence.startAsOf(O.now());
O.wait(() => currentState == 1.1);
Objects.advanceNow(500);
O.wait(() => currentState == 2.2);
Objects.advanceNow(500);
O.wait(() => currentState == 3.3);
// starts in 2.2
var asOf = O.now();
Objects.advanceNow(500);
sequence.startAsOf(asOf);
O.wait(() => currentState == 2.2);
Objects.advanceNow(500);
O.wait(() => currentState == 3.3);
// starts in 3.3
asOf = O.now();
currentState = -1;
Objects.advanceNow(1000);
sequence.startAsOf(asOf);
O.wait(() => currentState == 3.3);
}
public void testMarketOnClose()
{
var in1 = buy("in", Order.market(), OnClose.ON_CLOSE);
bar(1, 4, 2, 3, ONE_LONG);
hasNewTrades(new Trade(in1, 3, 1, slippage(), 1));
var out1 = exit("out", Order.market(), OnClose.ON_CLOSE);
O.freezeNow("2009/01/01 13:59:59");
tick(4.5, ONE_LONG);
noNewTrades();
O.freezeNow("2009/01/01 14:00:00");
tick(3.5);
hasNewTrades(new Trade(out1, 3.5, 1, slippage(), 1));
buy("in2", Order.market(), OnClose.ON_CLOSE);
tick(3.5);
noNewTrades();
}
public void testSummary()
{
var gui = startGui();
var systemId = 1234;
var topic = new Topic(CloudMonitor.progressTopic(systemId));
gui.setSystemId(systemId);
gui.doAllWork();
O.freezeNow("2008/02/03 02:00:00");
topic.send(new Dictionary <string, object> {
{ "RunsComplete", 1000 },
{ "TotalRuns", 10000 },
{ "RunsPerMinute", 10 },
});
O.wait(() => gui.runsComplete() == 1000);
AreEqual(date("2008/02/03 17:00:00"), gui.completionTime());
AreEqual(10000, gui.totalRuns());
}
public void testHideShowZeros()
{
O.freezeNow("07/01/2009");
MarketTickersTable.TICKERS.C_BLOOMBERG.updateOne(MarketTickersTable.TICKERS.C_MARKET.@is("FV.1C"), "anything");
MarketTickersTable.TICKERS.C_BLOOMBERG.updateOne(MarketTickersTable.TICKERS.C_MARKET.@is("TU.1C"), "TOE");
var nday20 = new Topic("TOMAHAWK.NDayBreak.1.0.daily.BFBD20.FV.1C.optimalPosition");
var tuTopic = LiveWatcher.tickerTopic("QF.NDayBreak", "TOE", "Comdty");
var fakeGui = new FakeWatcherGui();
var watcher = new LiveWatcher(fakeGui);
watcher.initialize();
watcher.requireVisible(0);
publishAim(tuTopic, "QF.NDayBreak", "TOE", "COMDTY", 5, "2009/07/01 14:00:03");
fakeGui.waitMatches(1, watcher.visible);
publishTomahawk(nday20, 11, "2009/07/01 14:00:04");
fakeGui.waitMatches(2, watcher.visible);
watcher.setFilterZeroes(false);
fakeGui.wait(() => watcher.visible() > 10);
}
public void testCanPopulateStuffFromSystemIdLive()
{
O.freezeNow("2009/04/28");
var gui = new FakeResearchGUI();
gui.setSystemId("39");
gui.loadSystem();
gui.doAllWork();
var parameters = gui.parameters();
AreEqual(39, parameters.get <int>("systemId"));
AreEqual(50, parameters.get <int>("LeadBars"));
AreEqual(30, parameters.get <int>("BreakDays"));
IsTrue(gui.runNumberEnabled());
IsFalse(gui.runInNativeCurrency());
var markets = O.convert(O.list <Market>(SystemDetailsTable.DETAILS.details(39).liveSystem().markets()), m => m.name());
AreEqual(O.list(markets), gui.markets());
}
[Test] public void testOneSubscribe()
{
OrderTable.prefix = "PREFIX";
O.freezeNow("2009/07/10 13:00:00");
var liveSystem = OneSystemTest <EmptySystem> .fakeLiveSystem(new Parameters(), false);
liveSystem.removeAllLiveMarkets();
insertMarket("FOO", 0);
liveSystem.addLiveMarket("FOO", "2009/07/07", null);
insertMarket("BAR", 0);
liveSystem.addLiveMarket("BAR", "2009/07/07", null);
var fooTopic = new QTopic("PREFIX.TestSystem1.1.0.daily.Slow.FOO.heartbeat");
O.timerManager().isInterceptingTimersForTest = true;
O.timerManager().intercept("2009/07/10 13:00:00", "gui update");
var map = new StatusTreeMap(new FakeStatusMapGUI(), O.list(liveSystem));
map.setIsEqualSizes(false);
var systemNode = O.the(map.nodes());
AreEqual("TestSystem1", systemNode.text);
var pvNode = O.the(systemNode.children());
AreEqual("Slow", pvNode.text);
var symbolNodes = O.dictionaryFromValues(O.convert(pvNode.children(), child => child as LiveMarketNode), child => child.id);
AreEqual(1d, symbolNodes["FOO"].size);
AreEqual(0, symbolNodes["FOO"].ticksReceived);
AreEqual(1d, symbolNodes["BAR"].size);
var message = new Fields();
message.put("timestamp", "2009/07/10 12:59:59");
message.put("lastTickProcessed", "2009/07/10 12:59:58");
message.put("ticksReceived", "200");
message.put("hostname", "hullabaloo");
fooTopic.send(message);
Objects.timerManager().intercept("2009/07/10 13:00:01", "second gui update");
O.timerManager().runTimers("2009/07/10 13:00:00");
waitMatches(200d, () => symbolNodes["FOO"].ticksReceived); // you just
}
public void testFerretOrderSimFilled()
{
O.freezeNow("2009/03/03");
insertSubmitted(39, SYMBOL, "test", "f2");
var id = insertSubmitted(39, SYMBOL, "test", "f3");
insertSubmitted(39, SYMBOL, "test", "f4");
insertSubmitted(39, SYMBOL, "test", "f5");
var gui = startGui();
gui.setMarket(SYMBOL);
gui.wait(populateCompleted);
var filledAt = Dates.date("1999/09/09 09:09:09");
LiveOrders.ORDERS.order(id).updateFill(12345, filledAt);
publish(id);
var row = Util.Objects.nth(gui.tracker.orderTable().rows(), 3);
AreEqual(id.ToString(), row["liveOrderId"]);
gui.waitMatches("12345.000000", () => row["simFillPrice"]);
}
public void testSystemSelectPopulatesPvAndMarketCombo()
{
O.freezeNow("2009/07/15");
var gui = startGui();
gui.tracker.systemUpdated();
gui.doAllWork();
gui.selectedSystem = SYSTEM;
gui.tracker.systemUpdated();
gui.wait(populateCompleted);
IsTrue(gui.marketChoices.Contains("TY.1C"));
IsTrue(gui.marketChoices.Contains("CD.1C"));
IsFalse(gui.marketChoices.Contains("TRI.CNAIG5"));
IsTrue(gui.pvChoices.Contains("BFBD30"));
IsFalse(gui.pvChoices.Contains("CDXMV20"));
gui.selectedPv = "BFBD30";
gui.tracker.pvUpdated();
gui.wait(populateCompleted);
IsTrue(gui.marketChoices.Contains("TY.1C"));
IsFalse(gui.marketChoices.Contains("CD.1C"));
}
public void testIsolatedTomahawkMessages()
{
O.freezeNow("07/01/2009");
MarketTickersTable.TICKERS.C_BLOOMBERG.updateOne(MarketTickersTable.TICKERS.C_MARKET.@is("FV.1C"), "anything");
var nday20 = new Topic("TOMAHAWK.NDayBreak.1.0.daily.BFBD20.FV.1C.optimalPosition");
var nday30 = new Topic("TOMAHAWK.NDayBreak.1.0.daily.BFBD30.FV.1C.optimalPosition");
var fakeGui = new FakeWatcherGui();
var watcher = new LiveWatcher(fakeGui);
watcher.initialize();
watcher.eachRow(row => AreEqual(row["tomahawk"], 0));
watcher.requireContains("QF.NDayBreak", "anything Comdty");
var fv1C = new Symbol("FV.1C");
Action <double> waitForCount = expected => fakeGui.waitMatches(expected, () => watcher.row("QF.NDayBreak", fv1C)["tomahawk"]);
publishTomahawk(nday20, 3, "2009/07/01 14:00:00");
waitForCount(3);
publishTomahawk(nday20, 2, "2009/07/01 14:00:01");
waitForCount(2);
publishTomahawk(nday30, 3, "2009/07/01 14:00:03");
waitForCount(5);
}
public void testNBarFade()
{
O.freezeNow("2009/03/10");
var symbol = new Symbol("RE.TEST.TY.1C", 1000);
var args = new SystemArguments(symbol, new Parameters {
{ "systemId", 133486 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "LeadBars", 50 },
{ "ATRLen", 5 },
{ "nDays", 6 },
{ "nATRentry", 1.5 },
{ "exitATRmultiple", 1 },
{ "stopAfStep", 0.02 },
{ "stopAfMax", 0.2 },
{ "entryBarWindow", 2 },
{ "closeBetter", 1 },
{ "riskDollars", 100000000 }
});
var loader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol), date("2003/01/01"));
var simulator = new Simulator(args, loader, OrderTable.prefix);
simulator.processBars();
}
public void testStoWorks()
{
LogC.setOut("testStoWorks", @"C:\logs\localCloud.log", false);
LogC.useJavaLog = true;
const int systemId = 178114;
var curveFile = new QFile(@"V:\Market Systems\General Market Systems\Benchmark\20080923\CurvesBin\Benchmark_1.0_daily_RE.TEST.TY.1C/run_678.bin");
curveFile.deleteIfExists();
var testQueue = new Queue("TEST.LocalCloud");
O.timerManager().isInterceptingTimersForTest = true;
O.freezeNow("2009/06/22 03:00:00");
O.timerManager().intercept("2009/06/22 03:00:00", "heartbeat");
O.timerManager().intercept("2009/06/22 03:00:03", "second heartbeat");
var server = new STOServer(systemId, 2);
var fired = false;
server.heart.subscribe(fields => {
fired = true;
AreEqual(fields.get("Hostname"), O.hostname());
AreEqual(fields.get("ServerIndex"), 2);
});
server.subscribe(testQueue);
server.heart.initiate();
IsFalse(fired);
O.timerManager().runTimers("2009/06/22 03:00:00");
O.wait(() => fired);
MetricResults metrics = null;
O.timerManager().intercept("2009/06/22 03:00:00", "client heartbeat");
new STOClient(SystemDetailsTable.DETAILS.details(systemId), testQueue).metrics(678, results => metrics = results);
O.wait(100, 1000, () => metrics != null);
AreEqual(-1953125.00, metrics["RE.TEST.TY.1C"]["QNetProfit"]);
curveFile.requireExists();
}
public void testTick()
{
O.freezeNow("2008/08/08 11:00:00");
StatusTracker.LATE_MILLIS = 500;
StatusTracker.CRASHED_MILLIS = 500;
var tracker = startGui();
AreEqual(SystemStatus.UNKNOWN, gui.tickStatus(system));
message("2008/08/08 11:00:00", "2008/08/08 10:00:00");
waitForTickStatus(SystemStatus.GREEN);
O.advanceNow(1000);
Log.setFile(@"C:\foo.log");
SYMBOL.publish(new Bar(0, 0, 0, 0, date("2008/08/08 11:00:01")));
O.wait(() => tracker.tickTimers[system].running());
O.advanceNow(500);
waitForTickStatus(SystemStatus.YELLOW);
O.advanceNow(500);
waitForTickStatus(SystemStatus.RED);
O.advanceNow(59000);
message("2008/08/08 11:01:00", "2008/08/08 11:00:01");
waitForTickStatus(SystemStatus.GREEN);
// lastTickProcessed should be the time on the tick
}
public void testOrderSubmission()
{
O.freezeNow("2008/08/08 08:08:08");
var order1 = buy("order 1", stop(99.50), 100, oneBar());
symbolSystem.order(order1);
processBar(1, 3, 1, 2);
hasOrders(order1);
requireFerretHasOrders();
processTick(2.5);
requireFerretHasOrders(order1);
emailer.allowMessages();
var submitted = O.the <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersSubmitted(systemId, symbol().name));
AreEqual("Enter", submitted.entryExit());
fill(order1, 123);
submitted = O.the <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersSubmitted(systemId, symbol().name));
var filled = O.the(O.list <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersFilled(systemId, symbol().name)));
AreEqual(123.0, filled.price().doubleValue());
AreEqual(submitted, filled);
var order2 = sell("order 2", stop(97.50), 10, oneBar());
symbolSystem.order(order2);
processTick(3.0);
requireFerretHasOrders(order1, order2);
var order3 = sell("market", market(), 50, oneBar());
symbolSystem.order(order3);
processTick(3.0);
requireFerretHasOrders(order1, order2);
symbolSystem.order(symbolSystem.position().exit("exit 1", market(), onTheClose()));
processTick(4.0);
submitted = O.first(O.list <LiveOrders.LiveOrder>(LiveOrders.ORDERS.ordersSubmitted(systemId, symbol().name)));
AreEqual("Exit", submitted.entryExit());
}
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);
}
