public void AddQuoteAndCheckSignal()
{
ThreeDucksStrategy tds = new ThreeDucksStrategy();
tds.startWatching("GOOG");
QuoteMessage q = new QuoteMessage();
q.SymbolName = "GOOG";
q.timestamp = DateTime.Now;
q.Price = 10;
tds.NewQuote(q);
StrategySummary s = tds.getSummary("GOOG");
Assert.AreEqual("GOOG", s.SymbolName);
Assert.IsNotNull(s.AsOf);
Assert.AreEqual(StrategySignal.None, s.CurrentSignal);
}
public void TestForBuySignal()
{
Dictionary<string, string> settings = new Dictionary<string, string>();
settings.Add("FIRST_DUCK_SECONDS", "1");
settings.Add("SECOND_DUCK_SECONDS", "1");
settings.Add("THIRD_DUCK_SECONDS", "1");
settings.Add("MOVING_AVERAGE_WINDOW", "2");
ThreeDucksStrategy tds = new ThreeDucksStrategy(settings);
tds.startWatching("GOOG");
QuoteMessage q1 = new QuoteMessage(10, new DateTime(2013, 06, 13, 0, 0, 1), "GOOG");
QuoteMessage q2 = new QuoteMessage(20, new DateTime(2013, 06, 13, 0, 0, 2), "GOOG");
tds.NewQuote(q1);
tds.NewQuote(q2);
StrategySummary result = tds.getSummary("GOOG");
Assert.AreEqual(StrategySignal.Buy, result.CurrentSignal);
}
// this is the method used to process real-time streaming quotes
public void NewQuote(QuoteMessage quote)
{
ILog log = LogManager.GetLogger(typeof(ThreeDucksStrategy));
log.DebugFormat("Quote received: {0} {1} {2}", quote.SymbolName, quote.timestamp.ToString(), quote.Price);
foreach (SmaMetric m in _metrics[quote.SymbolName])
{
m.Add(quote.timestamp, quote.Price);
}
}
// determines if we need to raise any alerts as a result of the most recent quote
public void CheckSignals(QuoteMessage quote)
{
int buy_ducks = 0;
int sell_ducks = 0;
foreach (SmaMetric m in _metrics[quote.SymbolName])
{
if (quote.Price > m.Avg) buy_ducks++;
if (quote.Price < m.Avg) sell_ducks++;
}
if (buy_ducks == 3)
{
_signals[quote.SymbolName] = StrategySignal.Buy;
if (_watchForBuy.Contains(quote.SymbolName))
{
_alerter.BuyAlert(quote.SymbolName, DEFAULT_BUY_SIZE, quote.Price);
}
}
else if (sell_ducks == 3)
{
_signals[quote.SymbolName] = StrategySignal.Sell;
if (_watchForSell.Contains(quote.SymbolName))
{
_alerter.SellAlert(quote.SymbolName, quote.Price);
}
}
else
{
_signals[quote.SymbolName] = StrategySignal.None;
}
}