public void ClosePL()
{
decimal pl = .98m;
Assert.That(BoxMath.ClosePT(lp, lc) == pl);
Assert.That(BoxMath.ClosePT(sp, sc) == -pl);
Assert.That(BoxMath.ClosePL(lp, lc) == pl * (lsize / 2)); // matches closing size
Assert.That(BoxMath.ClosePL(sp, sc) == pl * ssize);
}
public void OpenPL()
{
decimal pl = .98m;
Assert.That(BoxMath.OpenPT(last, entry, Long) == pl);
Assert.That(BoxMath.OpenPT(last, entry, Short) == -pl);
Assert.That(BoxMath.OpenPT(last, entry, lsize) == pl);
Assert.That(BoxMath.OpenPT(last, entry, ssize) == -pl);
Assert.That(BoxMath.OpenPT(last, lp) == pl);
Assert.That(BoxMath.OpenPT(last, sp) == -pl);
Assert.That(BoxMath.OpenPL(last, lp) == lp.Size * pl);
Assert.That(BoxMath.OpenPL(last, sp) == sp.Size * pl);
}
public void Basics()
{
Position p = new Position(s);
Assert.That(p.Size == 0);
Assert.That(p.hasSymbol);
Assert.That(p.AvgPrice == 0);
Assert.That(p.Flat);
Assert.That(p.isValid);
Position p2 = new Position(s, 10, 100);
p.Adjust(p2);
Assert.That(p.Size == 100);
Assert.That(p.hasSymbol);
Assert.That(p.AvgPrice == 10);
Assert.That(!p.Flat);
Assert.That(p.Side);
Assert.That(p.isValid);
Position p3 = new Position(s, 0, 100);
Assert.That(!p3.isValid);
p3 = new Position(s, 10, 0);
Assert.That(!p3.isValid);
p3 = new Position(s, 12, 100);
p.Adjust(p3);
Assert.That(p.AvgPrice == 11);
Assert.That(p.Side);
Assert.That(p.isValid);
Assert.That(!p.Flat);
Assert.That(p.Size == 200);
p.Adjust(new Trade(s, 13, -100, dt));
Assert.That(p.AvgPrice == 11);
Assert.That(p.Side);
Assert.That(p.isValid);
Assert.That(!p.Flat);
Assert.That(p.Size == 100);
Trade lasttrade = new Trade(s, 12, -100, dt);
decimal profitFromP2toLASTTRADE = BoxMath.ClosePL(p2, lasttrade);
Assert.That(profitFromP2toLASTTRADE == (lasttrade.xprice - p2.AvgPrice) * Math.Abs(lasttrade.xsize));
}
const decimal s = -.11m; // stop loss
// here are the trading rules that implement our strategy's intention
protected override int Read(Tick tick, BarList bl, BoxInfo bi)
{
// indicator setup
bars = bl;
if (!bl.Has(2))
{
return(0); // must have at least one one bar
}
// asymmetry tests
if (((h - o) > a) && ((o - l) > a))
{
Shutdown("Not enough Asymetry to trade."); return(0);
}
if ((h - l) < r)
{
return(0); // must have the range
}
if (((h - o) <= a) && ((h - tick.trade) > e))
{
return(MaxSize);
}
if (((o - l) <= a) && ((tick.trade - l) > e))
{
return(MaxSize * -1);
}
// profit and loss tests
decimal PL = BoxMath.OpenPT(tick.trade, AvgPrice, PosSize);
if (PL > p)
{
return(Flat);
}
if (PL < s)
{
return(Flat);
}
return(0);
}
decimal tl_gotSrvAcctOpenPLRequest(string s)
{
// make sure broker exists
if (h == null)
{
return(0);
}
// prepare the account we're getting open pl for
string acct = s == "" ? Broker.DEFAULTBOOK : s;
// get trades from this account
List <Trade> fills = h.SimBroker.GetTradeList(new Account(acct));
// setup storage for positions we'll create from trades
Dictionary <string, Position> posdict = new Dictionary <string, Position>();
// go through every trade and populate the position
foreach (Trade t in fills)
{
Position p = null;
if (!posdict.TryGetValue(t.symbol, out p))
{
posdict.Add(t.symbol, new Position(t));
}
else
{
posdict[t.symbol].Adjust(t);
}
}
// for every-non flat position, calculate the pl and add to the total
decimal totalopenpl = 0;
foreach (Position p in posdict.Values)
{
if (!p.Flat)
{
totalopenpl += BoxMath.OpenPL(last[p.Symbol], p);
}
}
return(totalopenpl);
}
