public void TestPositionUpdate()
{
var positionCache = new PositionCache();
var tradeRecord = MessageUtil.CreateTradeRecord("IBM", "Buy", 100, 110.89, "QF.Test");
var position = positionCache.Update(tradeRecord);
Assert.AreEqual(1, positionCache.Count);
VerifyPositionRecord(position);
Assert.AreEqual("IBM", position["BID"]);
Assert.AreEqual("QF.Test", position["Strategy"]);
Assert.AreEqual("100", position["SharesBought"]);
Assert.AreEqual("0", position["SharesSold"]);
Assert.AreEqual("100", position["Position"]);
// Lets double up
var doubledPosition = positionCache.Update(tradeRecord);
Assert.AreEqual(1, positionCache.Count);
VerifyPositionRecord(doubledPosition);
Assert.AreEqual("IBM", doubledPosition["BID"]);
Assert.AreEqual("QF.Test", doubledPosition["Strategy"]);
Assert.AreEqual("200", doubledPosition["SharesBought"]);
Assert.AreEqual("0", doubledPosition["SharesSold"]);
Assert.AreEqual("200", doubledPosition["Position"]);
// Add the other side
var tradeRecord3 = MessageUtil.CreateTradeRecord("IBM", "Sell", 50, 111.64, "QF.Test");
var position3 = positionCache.Update(tradeRecord3);
Assert.AreEqual(1, positionCache.Count);
VerifyPositionRecord(position3);
Assert.AreEqual("IBM", position3["BID"]);
Assert.AreEqual("QF.Test", position3["Strategy"]);
Assert.AreEqual("200", position3["SharesBought"]);
Assert.AreEqual("50", position3["SharesSold"]);
Assert.AreEqual("150", position3["Position"]);
// Add a different position
var tradeRecord4 = MessageUtil.CreateTradeRecord("MSFT", "Sell", 50, 55.32, "QF.Test");
var position4 = positionCache.Update(tradeRecord4);
Assert.AreEqual(2, positionCache.Count);
VerifyPositionRecord(position3);
Assert.AreEqual("MSFT", position4["BID"]);
Assert.AreEqual("QF.Test", position4["Strategy"]);
Assert.AreEqual("0", position4["SharesBought"]);
Assert.AreEqual("50", position4["SharesSold"]);
Assert.AreEqual("-50", position4["Position"]);
}
public void TestOrderXmlToOrders()
{
var fullFileContents = LoadTestOrders();
// do the test
var orders = MessageUtil.ParseXmlToDictionary(fullFileContents, 1);
Assert.IsNotNull(orders);
Assert.AreEqual(5, orders.Count);
var equityOrder = orders[0];
Assert.IsTrue(MessageUtil.IsEquityOrder(equityOrder));
VerifyAllFields(orders);
equityOrder["BID"] = EquityTickerUtil.ConvertRicToTicker(equityOrder["RIC"]);
var tradeRecord = MessageUtil.CreateTradeRecord(equityOrder);
Assert.IsNotNull(tradeRecord);
Assert.AreEqual("MSFT", tradeRecord["BID"]);
}
/// <summary>
/// Event handler for order creation and/or update.
/// </summary>
/// <param name="orderId">the order id or multiple if more than one order is received.</param>
/// <param name="xmlOrders"></param>
/// <param name="uniqueId"></param>
/// <param name="confirmed"></param>
public void ReceiveOrders(string orderId, string xmlOrders, int uniqueId, ref bool confirmed)
{
// extract the orders, translate symbols, and update the cache
var positionsToPublish = new List <IDictionary <string, string> >();
lock (_orderEventIds) {
try {
if (_orderEventIds.Contains(uniqueId))
{
return;
}
var orders = MessageUtil.ParseXmlToDictionary(xmlOrders, uniqueId);
foreach (var order in orders)
{
// convert order into a trade record
if (MessageUtil.IsEquityOrder(order))
{
var ticker = EquityTickerUtil.ConvertRicToTicker(order["RIC"]);
order["BID"] = ticker;
}
else if (MessageUtil.IsFuturesOrder(order))
{
var failedRicLookup = false;
var ric = order["RIC"];
var ricRoot = FuturesSymbolUtil.ExtractSymbolRoot(ric);
var bbRoot = _fsm.ConvertRicRoot(ricRoot);
if (string.IsNullOrEmpty(bbRoot))
{
_log.Warn("No mapping for RIC root: " + ricRoot);
bbRoot = ricRoot;
order["WARNING"] = "No mapping for RIC root";
failedRicLookup = true;
}
var monthYear = FuturesSymbolUtil.ExtractMaturityMonthFromSymbol(order["RIC"]);
var bbSymbol = FuturesSymbolUtil.CombineRootMaturityMonthYear(bbRoot, monthYear);
if (failedRicLookup)
{
bbSymbol = bbSymbol + " - using RIC";
}
order["BID"] = bbSymbol;
}
else
{
continue;
}
var tradeRecord = MessageUtil.CreateTradeRecord(order);
var updatedPosition = _positionCache.Update(tradeRecord);
positionsToPublish.Add(updatedPosition);
}
_orderEventIds.Add(uniqueId);
confirmed = true;
} catch (Exception e) {
_log.Error("Processing order events from TradingScreen", e);
}
}
try {
foreach (var position in positionsToPublish)
{
position.Add("Source", "TradingScreen");
var strategy = position["Strategy"];
if (string.IsNullOrEmpty(strategy))
{
strategy = "MISSING";
}
var sb = new StringBuilder(512);
sb.Append("TradingScreen.Positions.").Append(strategy).Append(".").Append(position["BID"]);
_broker.Publish(sb.ToString(), position);
}
} catch (Exception e) {
_log.Error("Publishing positions from TradingScreen", e);
}
}