public void AddIntervalWhileRunning()
{
OHLCBarStream blt = new OHLCBarStream(new ForexSecurity("TST"));
blt.AddInterval(BarInterval.Minute);
blt.AddInterval(BarInterval.FiveMin);
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
Tick[] tape = TestBarList.SampleData();
blt.Initialize();
// add ticks from tape to tracker
for (int i = 0; i < tape.Length; i++)
{
blt.GotTick(tape[i]);
if (i == 1)
{
blt.AddInterval(120);
}
}
//make sure we got one symbol as bar events
Assert.Equal(1, syms.Count);
// make sure our symbols matched barlist count
Assert.Equal(blt.SymbolCount, syms.Count);
// make sure same on individual bars
Assert.True(blt[120].Count > 0);
}
public void IntervalRequestDuringRun()
{
OHLCBarStream blt = new OHLCBarStream(new ForexSecurity("TST"));
blt.AddInterval(BarInterval.FiveMin);
blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
Tick[] tape = TestBarList.SampleData();
blt.Initialize();
// add ticks from tape to tracker
for (int i = 0; i < tape.Length; i++)
{
blt.GotTick(tape[i]);
var value = blt[BarInterval.Minute].RecentBar;
}
// Check if the data differs per interval
Assert.NotEqual(blt[BarInterval.Minute][-2].Close, blt[BarInterval.FiveMin][-2].Close);
}
private static PortfolioManager Get(string symbol)
{
//Initialize
TradingPortfolio np = new TradingPortfolio();
//ADD INITIAL SECURITIES
ForexSecurity security = new ForexSecurity(symbol);
security.LotSize = 100000; //Lots
security.PipSize = 0.0001M; //PipSize in 4 decimal places
security.TickSize = 0.00001M; //Size of one tick
security.PipValue = 1M; //PipValue, if unable to calculate to base currency
security.Digits = 5;
var account = new SimAccount("SIMULATED", "Sim account for backtesting", 10000, 100, "SIM");
np.SetAccount(account);
np.Securities.AddSecurity(security);
//ADD AGENT AND INJECT TEMPLATES
np.InjectAgent <ExampleTradingAgent>();
//Set streams
TradingAgent agent = (TradingAgent)np.Agents[0];
agent.AgentId = 115230;
agent.TimeFrame = TimeSpan.FromSeconds(TimeFrameInSeconds);
OHLCBarStream ls = new OHLCBarStream(np.Securities[symbol], np.Agents[0].TimeFrame);
agent.SetDefaultStream(ls);
ls.Initialize();
agent.Initialize();
agent.Start();
SimpleBacktester.OnMessage += SimpleBacktester_OnMessage;
SimpleBacktester.OnProgress += SimpleBacktester_OnProgress;
return(np);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorCommodityChannelIndex()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new CommodityChannelIndex(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorTrueRange()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new TrueRange(stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorSimpleMovingAverage()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new SimpleMovingAverage(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorRelativeStrenghtIndex()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new RelativeStrengthIndex(Period, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorRateOfChange()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new RateOfChange(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorMovingAverage()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new MovingAverage(Period, MovingAverageType.Weighted, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorMomentum()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new Momentum(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorAverageTrueRange()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new Quantler.Indicators.AverageTrueRange(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorWilliamsR()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new WilliamsR(Period, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorParabolicSAR()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new ParabolicSar(Period / 2, Period * 2, Period, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorMovingAverageConDiv()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new MovingAverageConDiv(Period / 2, Period * 2, Period, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorDirectionalIndex()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new DirectionalIndex(Period, stream, TimeSpan.FromMinutes(5));
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorAroonOscillator()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new AroonOscillator(Period, stream.DefaultInterval, stream);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorBollingerBands()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new BollingerBands(Period, 2, 2, stream, stream.DefaultInterval);
}
/// <summary>
/// Initialize test
/// </summary>
public TestIndicatorBalanceOfPower()
{
DataStream stream = new OHLCBarStream(new ForexSecurity("EURUSD"), BarInterval.FiveMin);
_sut = new BalanceOfPower(stream, TimeSpan.FromMinutes(5));
}
