void dofillupdate(ref structSTITradeUpdate t)
{
Trade f = new TradeImpl();
f.symbol = t.bstrSymbol;
f.Account = t.bstrAccount;
long id = 0;
if (long.TryParse(t.bstrClOrderId, out id))
{
f.id = id;
}
else
{
f.id = t.nOrderRecordId;
}
f.xprice = (decimal)t.fExecPrice;
f.xsize = t.nQuantity;
long now = Convert.ToInt64(t.bstrUpdateTime);
int xsec = (int)(now % 100);
long rem = (now - xsec) / 100;
f.side = t.bstrSide == "B";
f.xtime = ((int)(rem % 10000)) * 100 + xsec;
f.xdate = (int)((now - f.xtime) / 1000000);
f.ex = t.bstrDestination;
pt.Adjust(f);
tl.newFill(f);
if (VerboseDebugging)
{
debug("new trade sent: " + f.ToString() + " " + f.id);
}
}
public void MaxDD()
{
PositionTracker pt = new PositionTracker();
const string sym = "TST";
System.Collections.Generic.List <TradeLink.API.Trade> fills = new System.Collections.Generic.List <TradeLink.API.Trade>();
TradeImpl t = new TradeImpl(sym, 10, 100);
System.Collections.Generic.List <decimal> ret = new System.Collections.Generic.List <decimal>();
fills.Add(t);
pt.Adjust(t);
t = new TradeImpl(sym, 11, -100);
fills.Add(t);
ret.Add(pt.Adjust(t));
t = new TradeImpl(sym, 11, -100);
pt.Adjust(t);
fills.Add(t);
t = new TradeImpl(sym, 13, 100);
fills.Add(t);
ret.Add(pt.Adjust(t));
decimal maxdd = Calc.MaxDDVal(ret.ToArray());
decimal maxddp = Calc.MaxDDPct(fills);
Assert.AreEqual(-300, maxdd);
Assert.AreEqual(-.18m, Math.Round(maxddp, 2));
}
private void TradeHandler(object sender, TradeArgs e)
{
itemTrade itrade = e.ItemTrade;
// Order o = new OrderImpl(iorder.msecsym, iorder.IsBuyOrder(), iorder.mqty, Convert.ToDecimal(iorder.mprice), Convert.ToDecimal(iorder.mstopprice), "", iorder.mc_date, iorder.mc_date, iorder.morderid);
Trade trade = new TradeImpl();
trade.symbol = itrade.msecsym;
itemOrder lorder = socketOrderServer.sitemOrder.FindItem(itrade.morderid);
if (lorder == null)
{
return;
}
trade.side = lorder.IsBuyOrder();
trade.xprice = Convert.ToDecimal(itrade.mprice);
trade.xsize = itrade.mqty;
DateTime mdate = ComFucs.GetDate(itrade.mm_date);
trade.Account = "";
trade.xdate = mdate.Day + mdate.Month * 100 + mdate.Year * 10000;
trade.xtime = mdate.Second + mdate.Minute * 100 + mdate.Hour * 10000;
tl.newFill(trade);
v(trade.symbol + " received fill ack for: " + trade.ToString());
}
public void PositionAccountTest()
{
ForexSecurity ts = new ForexSecurity(s);
IAccount account = new SimAccount("ME");
account.Securities.AddSecurity(ts);
TradeImpl t = new TradeImpl("TST", 100, 100);
t.Account = account;
t.Security = ts;
TradeImpl t2 = new TradeImpl("TST", 200, 200);
Assert.True(t.IsValid);
Assert.True(t2.IsValid);
t2.AccountName = "HIM";
PositionImpl p = new PositionImpl(t);
p.Adjust(t);
bool failed = false;
try
{
p.Adjust(t2);
}
catch (Exception) { failed = true; }
Assert.True(failed);
}
public void Adjust()
{
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
IAccount account = new SimAccount("TEST", "testing", 1000M, 100, "SIM");
account.Securities.AddSecurity(ts);
TradeImpl t1 = new TradeImpl(s, 100, 100);
t1.Account = account;
t1.Security = ts;
PositionTracker pt = new PositionTracker(account);
// make we have no position yet
Assert.True(pt[t1.Symbol].IsFlat);
// send some adjustments
decimal cpl = 0;
cpl += pt.Adjust(t1);
cpl += pt.Adjust(t1);
// verify that adjustments took hold
Assert.Equal(0, cpl);
Assert.Equal(200, pt[t1.Symbol].Size);
}
public void InitAndAdjust()
{
string sym = "IBM";
ForexSecurity ts = new ForexSecurity(sym);
IAccount account = new SimAccount("TEST");
account.Securities.AddSecurity(ts);
// startup position tracker
PositionTracker pt = new PositionTracker(account);
PositionTracker pt2 = new PositionTracker(account);
// give pt our initial position
PositionImpl init = new PositionImpl(ts, 0, 0, 0, account);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
TradeImpl fill = new TradeImpl(ts.Name, 100, 100);
fill.Account = account;
fill.Security = ts;
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.Equal(100, pt[sym].Size);
Assert.Equal(100, pt2[sym].Size);
}
public void Defaults()
{
TradeImpl t = new TradeImpl();
Assert.That(!t.isValid, t.ToString());
Assert.That(!t.isFilled, t.ToString());
}
public void Defaults()
{
TradeImpl t = new TradeImpl();
t.IsValid.Should().BeFalse(t.ToString());
t.IsFilled.Should().BeFalse(t.ToString());
}
public void SerializeDeserialize()
{
// create object
string sym = "TST";
decimal price = 10;
int size = 100;
DateTime date = DateTime.Now;
TradeImpl t = new TradeImpl(sym, price, size, date);
long magicid = 555;
t.id = magicid;
t.Exchange = "NYMEX";
// serialize it for transmission
string msg = TradeImpl.Serialize(t);
// deserialize it
string threwexception = null;
Trade newtrade = null;
try
{
newtrade = TradeImpl.Deserialize(msg);
}
catch (Exception ex) { threwexception = ex.ToString(); }
Assert.That(threwexception == null, threwexception);
Assert.That(newtrade.isFilled, newtrade.ToString());
Assert.That(newtrade.isValid, newtrade.ToString());
Assert.That(newtrade.symbol == sym, newtrade.symbol);
Assert.That(newtrade.xprice == price, newtrade.xprice.ToString());
Assert.That(newtrade.xdate != 0);
Assert.That(newtrade.xtime != 0);
Assert.That(newtrade.xsize == size);
Assert.That(newtrade.id == magicid);
Assert.AreEqual(newtrade.ex, t.Exchange);
}
protected void Setup()
{
lp = new PositionImpl(stock, entry, lsize);
sp = new PositionImpl(stock, entry, ssize);
//closing trades
lc = new TradeImpl(stock, last, lsize / -2);
sc = new TradeImpl(stock, last, -ssize);
}
public void UsingTrades()
{
// long
string s = "IBM";
ForexSecurity ts = new ForexSecurity(s);
ts.LotSize = 1;
ts.PipValue = 1;
ts.PipSize = 1;
PortfolioManager portfolio = new TradingPortfolio();
IAccount account = new SimAccount("TEST");
portfolio.SetAccount(account);
portfolio.Securities.AddSecurity(ts);
TradeImpl t1 = new TradeImpl(s, 80, 100, dt);
t1.Account = account;
t1.Security = ts;
PositionImpl p = new PositionImpl(t1);
Assert.True(p.IsLong);
Assert.True(p.Size == 100);
TradeImpl t2 = new TradeImpl(s, 84, -100, dt);
t2.Account = account;
t2.Security = ts;
decimal pl = p.Adjust(t2);
Assert.True(p.IsFlat);
Assert.Equal((84 - 80) * 100, pl);
// short
TradeImpl t3 = new TradeImpl(s, 84, -100, dt);
t3.Account = account;
t3.Security = ts;
p = new PositionImpl(t3);
Assert.True(!p.IsLong);
Assert.True(p.Size == -100);
TradeImpl t4 = new TradeImpl(s, 80, 100, dt);
t4.Account = account;
t4.Security = ts;
pl = p.Adjust(new TradeImpl(t4));
Assert.True(pl == (84 - 80) * 100);
Assert.True(p.IsFlat);
}
public void MultipleAccount()
{
// setup defaults for 1st and 2nd accounts and positions
string sym = "TST";
string a1 = "account1";
string a2 = "account2";
int s1 = 300;
int s2 = 500;
decimal p = 100m;
// create position tracker
PositionTracker pt = new PositionTracker();
// set initial position in 1st account
pt.Adjust(new PositionImpl(sym, p, s1, 0, a1));
// set initial position in 2nd account
pt.Adjust(new PositionImpl(sym, p, s2, 0, a2));
// verify I can query default account and it's correct
Assert.AreEqual(s1, pt[sym].Size);
// change default to 2nd account
pt.DefaultAccount = a2;
// verify I can query default and it's correct
Assert.AreEqual(s2, pt[sym].Size);
// verify I can query 1st account and correct
Assert.AreEqual(s1, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2, pt[sym, a2].Size);
// get fill in sym for 1st account
TradeImpl f = new TradeImpl(sym, p, s1);
f.Account = a1;
pt.Adjust(f);
// get fill in sym for 2nd account
TradeImpl f2 = new TradeImpl(sym, p, s2);
f2.Account = a2;
pt.Adjust(f2);
// verify that I can querry 1st account and correct
Assert.AreEqual(s1 * 2, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2 * 2, pt[sym, a2].Size);
// reset
pt.Clear();
// ensure I can query first and second account and get flat symbols
Assert.AreEqual(0, pt[sym].Size);
Assert.AreEqual(0, pt[sym, a1].Size);
Assert.AreEqual(0, pt[sym, a2].Size);
Assert.IsTrue(pt[sym, a1].isFlat);
Assert.IsTrue(pt[sym, a2].isFlat);
Assert.IsTrue(pt[sym].isFlat);
Assert.AreEqual(string.Empty, pt.DefaultAccount);
}
public override void FillReport(OrderFillReport oReport)
{
Trade t = new TradeImpl(oReport.Symbol, (decimal)oReport.FillPrice, oReport.FillSize);
t.id = Convert.ToInt64(oReport.Tag);
t.ex = oReport.Exchange;
t.Account = oReport.Account.AccountId;
t.xdate = Util.ToTLDate();
t.xtime = Util.ToTLTime();
tl.newFill(t);
}
public TestCalc()
{
ForexSecurity ls = new ForexSecurity(stock);
lp = new PositionImpl(ls, entry, lsize);
sp = new PositionImpl(ls, entry, ssize);
//closing trades
lc = new TradeImpl(ls.Name, last, lsize / -2);
sc = new TradeImpl(ls.Name, last, -ssize);
}
public void Basics()
{
PositionImpl p = new PositionImpl(s);
Assert.AreEqual(0, p.Size);
Assert.That(p.symbol != "", "hassymbol");
Assert.AreEqual(0, p.AvgPrice);
Assert.That(p.isFlat, "isflat");
Assert.That(p.isValid, "isvalid");
PositionImpl p2 = new PositionImpl(s, 10, 100, 0);
PositionImpl p2copy = new PositionImpl(p2);
Assert.AreEqual(p2.AvgPrice, p2copy.AvgPrice);
Assert.AreEqual(p2.Size, p2copy.Size);
Assert.AreEqual(p2.ClosedPL, p2copy.ClosedPL);
Assert.AreEqual(p2.symbol, p2copy.symbol);
p.Adjust(p2);
Assert.That(p.Size == 100);
Assert.IsTrue(p.symbol != "", "hassymbol");
Assert.That(p.AvgPrice == 10);
Assert.IsFalse(p.isFlat);
Assert.IsTrue(p.isLong);
Assert.IsTrue(p.isValid);
bool invalidexcept = false;
PositionImpl p3 = null;
try
{
p3 = new PositionImpl(s, 0, 100, 0);
}
catch
{
invalidexcept = true;
}
Assert.That(invalidexcept);
p3 = new PositionImpl(s, 12, 100, 0);
p.Adjust(p3);
Assert.AreEqual(11, p.AvgPrice);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 200);
p.Adjust(new TradeImpl(s, 13, -100, dt));
Assert.That(p.AvgPrice == 11);
Assert.That(p.isLong);
Assert.That(p.isValid);
Assert.That(!p.isFlat);
Assert.That(p.Size == 100);
TradeImpl lasttrade = new TradeImpl(s, 12, -100, dt);
decimal profitFromP2toLASTTRADE = Calc.ClosePL(p2, lasttrade);
Assert.That(profitFromP2toLASTTRADE == (lasttrade.xprice - p2.AvgPrice) * Math.Abs(lasttrade.xsize));
}
public override void GotFill(Trade fill)
{
base.GotFill(fill);
// make sure every fill is tracked against a position
track_positions.Adjust(fill);
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
//senddebug("GotFill(): sym: " + fill.symbol + " size:" + fill.xsize + " price: " + fill.xprice + " time: " + fill.xtime + " side: " + fill.side + " id: " + fill.id);
}
// we're reading these values from file,
// bc it's faster than recalculating each time
public static TradeResult Init(string resultline)
{
string[] res = resultline.Split(',');
TradeResult r = new TradeResult();
r.Source = TradeImpl.FromString(resultline);
r.OpenPL = Convert.ToDecimal(res[s]);
r.ClosedPL = Convert.ToDecimal(res[s + 1]);
r.OpenSize = Convert.ToInt32(res[s + 2]);
r.ClosedSize = Convert.ToInt32(res[s + 3]);
r.AvgPrice = Convert.ToDecimal(res[s + 4]);
return(r);
}
public void Construction()
{
TradeImpl t = new TradeImpl("TST", 10, 100, DateTime.Now);
Assert.That(t.isValid, t.ToString());
Assert.That(t.isFilled, t.ToString());
//midnight check
t.xdate = 20081205;
t.xtime = 0;
Assert.That(t.isValid);
t.xtime = 0;
t.xdate = 0;
Assert.That(!t.isValid);
}
public void Construction()
{
TradeImpl t = new TradeImpl("TST", 10, 100, DateTime.Now);
t.IsValid.Should().BeTrue(t.ToString());
t.IsFilled.Should().BeTrue(t.ToString());
//midnight check
t.Xdate = 20081205;
t.Xtime = 0;
t.IsValid.Should().BeTrue();
t.Xtime = 0;
t.Xdate = 0;
t.IsValid.Should().BeFalse();
}
public void ClosedPL()
{
const string sym = "RYN";
PositionTracker pt = new PositionTracker();
Position p = new PositionImpl(sym, 44.39m, 800, 0);
pt.Adjust(p);
System.IO.StreamReader sr = new System.IO.StreamReader("TestPositionClosedPL.txt");
string[] file = sr.ReadToEnd().Split(Environment.NewLine.ToCharArray(), StringSplitOptions.RemoveEmptyEntries);
foreach (string line in file)
{
Trade t = TradeImpl.FromString(line);
pt.Adjust(t);
}
Assert.AreEqual(-66, pt[sym].ClosedPL);
}
protected virtual int OnStockExecMsgTrade(UInt32 hStock, GTSession.GTTrade32 trade)
{
// map a trade object
Trade t = new TradeImpl(trade.szStock, (decimal)trade.dblExecPrice, trade.nExecShares);
// map remaining fields
t.Account = trade.szAccountID;
t.id = (uint)trade.dwTicketNo;
t.side = trade.chExecSide == 'B';
t.xdate = trade.nExecDate;
t.xtime = trade.nExecTime;
// notify clients
tl.newFill(t);
return(0);
}
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
track_positions.Adjust(fill);
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
senddebug("GotFill(): sym: " + fill.symbol + " size:" + fill.xsize + " price: " + fill.xprice + " time: " + fill.xtime + " side: " + fill.side + " id: " + fill.id);
// get index for this symbol
//int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
//if (idx < 0) return;
// stop waiting
//_wait[fill.symbol] = false;
}
void m_Session_OnExecutionMessage(object sender, BWExecution executionMsg)
{
foreach (KeyValuePair <long, int> ordID in _bwOrdIds)
{
if (ordID.Value == executionMsg.OrderID)
{
Trade t = new TradeImpl(executionMsg.Symbol, (decimal)executionMsg.Price, executionMsg.Size);
t.side = (executionMsg.Side == ORDER_SIDE.SIDE_COVER) || (executionMsg.Side == ORDER_SIDE.SIDE_BUY);
t.xtime = TradeLink.Common.Util.DT2FT(executionMsg.ExecutionTime);
t.xdate = TradeLink.Common.Util.ToTLDate(executionMsg.ExecutionTime);
t.Account = executionMsg.UserID.ToString();
t.id = ordID.Key;
t.ex = executionMsg.MarketMaker;
tl.newFill(t);
}
}
}
public override void GotFill(Trade fill)
{
// make sure every fill is tracked against a position
pt.Adjust(fill);
// get index for this symbol
int idx = _wait.getindex(fill.symbol);
// ignore unknown symbols
if (idx < 0)
{
return;
}
// stop waiting
_wait[fill.symbol] = false;
// chart fills
sendchartlabel(fill.xprice, time, TradeImpl.ToChartLabel(fill), fill.side ? System.Drawing.Color.Green : System.Drawing.Color.Red);
}
public void FlipSideInOneTrade()
{
// this is illegal on the exchanges, but supported by certain
// retail brokers so we're going to allow tradelink to support it
// BE CAREFUL WITH THIS FEATURE. make sure you won't be fined for doing this, before you do it.
string s = "IBM";
// long position
PositionImpl p = new PositionImpl(s, 100m, 200);
// sell more than we've got to change sides
TradeImpl flip = new TradeImpl(s, 99, -400);
decimal cpl = p.Adjust(flip);
// make sure we captured close of trade
Assert.AreEqual(-200, cpl);
// make sure we captured new side and price
Assert.AreEqual(-200, p.Size);
Assert.AreEqual(99, p.AvgPrice);
}
public void FillTests()
{
// no executions yet
Assert.That(fills == 0, fills.ToString());
// have to subscribe to a stock to get notified on fills for said stock
c.Subscribe(new BasketImpl(new SecurityImpl(SYM)));
// prepare and send an execution from client to server
TradeImpl t = new TradeImpl(SYM, 100, 300, DateTime.Now);
s.newFill(t);
// make sure client received and counted it
Assert.That(fills == 1, fills.ToString());
// make sure fill was copied
Assert.AreEqual(fills, copyfills);
}
public void RoundTurnStat()
{
rt = new Results();
// get some trades
Trade[] fills = new TradeImpl[] {
// go long
new TradeImpl(sym, p, s),
// increase bet
new TradeImpl(sym, p + inc, s * 2),
// take some profits
new TradeImpl(sym, p + inc * 2, s * -1),
// go flat (round turn)
new TradeImpl(sym, p + inc * 2, s * -2),
// go short
new TradeImpl(sym, p, s * -2),
// decrease bet
new TradeImpl(sym, p, s),
// exit (round turn)
new TradeImpl(sym, p + inc, s),
// do another entry
new TradeImpl(sym, p, s)
};
// compute results
foreach (Trade fill in fills)
{
rt.GotFill(fill);
}
rt = rt.FetchResults();
// check trade count
Assert.AreEqual(fills.Length, rt.Trades, "trade is missing from results");
// check round turn count
Assert.AreEqual(2, rt.RoundTurns, "missing round turns");
// verify trade winners
Assert.AreEqual(2, rt.Winners, "missing trade winner");
// verify round turn winners
Assert.AreEqual(1, rt.RoundWinners, "missing round turn winners");
// verify round turn losers
Assert.AreEqual(1, rt.RoundLosers, "missing round turn loser");
}
public void MaxDD()
{
const string sym = "TST";
SimAccount account = new SimAccount("TEST", "testing", 1000M, 100);
ForexSecurity sec = new ForexSecurity(sym);
sec.PipValue = 1;
sec.LotSize = 1;
sec.PipSize = 1;
account.Securities.AddSecurity(sec);
IPositionTracker pt = account.Positions;
System.Collections.Generic.List <Trade> fills = new System.Collections.Generic.List <Trade>();
TradeImpl t = new TradeImpl(sym, 10, 100);
t.Security = sec;
t.Account = account;
System.Collections.Generic.List <decimal> ret = new System.Collections.Generic.List <decimal>();
fills.Add(t);
pt.Adjust(t);
t = new TradeImpl(sym, 11, -100);
t.Security = sec;
t.Account = account;
fills.Add(t);
ret.Add(pt.Adjust(t));
t = new TradeImpl(sym, 11, -100);
t.Security = sec;
t.Account = account;
pt.Adjust(t);
fills.Add(t);
t = new TradeImpl(sym, 13, 100);
t.Account = account;
t.Security = sec;
fills.Add(t);
ret.Add(pt.Adjust(t));
decimal maxdd = Calc.MaxDdVal(ret.ToArray());
decimal maxddp = Calc.MaxDDPct(fills);
Assert.Equal(-300, maxdd);
Assert.Equal(-.18m, Math.Round(maxddp, 2));
}
public void InitAndAdjust()
{
const string sym = "IBM";
// startup position tracker
PositionTracker pt = new PositionTracker();
PositionTracker pt2 = new PositionTracker();
// give pt our initial position
Position init = new PositionImpl(sym, 0, 0);
pt.Adjust(init);
pt2.Adjust(init);
// fill a trade in both places
Trade fill = new TradeImpl(sym, 100, 100);
pt.Adjust(fill);
pt2.Adjust(fill);
// make sure it's only 100 in both places
Assert.AreEqual(100, pt[sym].Size);
Assert.AreEqual(100, pt2[sym].Size);
}
public void Adjust()
{
const string s = "IBM";
TradeImpl t1 = new TradeImpl(s, 100, 100);
PositionTracker pt = new PositionTracker();
// make we have no position yet
Assert.IsTrue(pt[t1.symbol].isFlat);
// send some adjustments
decimal cpl = 0;
cpl += pt.Adjust(t1);
cpl += pt.Adjust(t1);
// verify that adjustments took hold
Assert.AreEqual(0, cpl);
Assert.AreEqual(200, pt[t1.symbol].Size);
}
