public void TestShortBidOffer()
{
symbol = Factory.Symbol.LookupSymbol("EUR/USD");
var inventory = new InventoryGroupDefault(symbol);
inventory.Retrace = .60;
inventory.RoundLotSize = 1000;
inventory.MaximumLotSize = 1000;
inventory.MinimumLotSize = 1000;
inventory.Goal = 5000;
//Console.WriteLine("Price,Quantity,Cumulative,BreakEven,PandL");
var first = true;
var sb = new StringBuilder();
var price = 1.7000D;
for (var i = 0; i < 3000; i++)
{
var amountToOffer = 0;
inventory.CalculateBidOffer(price, price);
amountToOffer = inventory.OfferSize;
inventory.Change(price, -amountToOffer);
var pandl = inventory.CurrentProfitLoss(price);
sb.AppendLine(Round(price) + "," + amountToOffer + "," + inventory.Size + "," + Round(inventory.BreakEven) + "," + Round(pandl));
price += symbol.MinimumTick * 10;
}
//Console.Write(sb.ToString());
}
public void CalculateBidOffer(double marketBid, double marketOffer)
{
marketBid -= 10 * symbol.MinimumTick * bidOffset;
marketOffer += 10 * symbol.MinimumTick * offerOffset;
bidOwner = offerOwner = active.First.Value;
var spread = 0D;
for (var current = active.First; current != null; current = current.Next)
{
var inventory = current.Value;
inventory.CalculateBidOffer(marketBid, marketOffer);
CompareBidOffer(inventory);
spread = offerOwner.Offer - bidOwner.Bid;
}
if (spread > maximumSpread)
{
var previous = active.Last.Value;
var inventory = TryResumePausedInventory();
if (inventory == null && inventories.Count < maxInventories)
{
inventory = AddNewInventory();
}
if (inventory != null)
{
ControlDirection(inventory, previous);
inventory.CalculateBidOffer(marketBid, marketOffer);
CompareBidOffer(inventory);
}
}
}
public InventoryGroupMaster(SymbolInfo symbol)
{
this.symbol = symbol;
var inventory = new InventoryGroupDefault(symbol, 1);
active.AddLast(inventory);
inventories.AddLast(inventory);
ApplySettings();
maximumSpread = 100 * symbol.MinimumTick;
}
private InventoryGroupDefault AddNewInventory()
{
var id = active.Count + 1;
var inventory = new InventoryGroupDefault(symbol, id);
active.AddLast(inventory);
inventories.AddLast(inventory);
ApplySettings();
return(inventory);
}
public void TestBreakEvenCalc()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, 1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(9, 666);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 9.6);
inventory.Change(8, 555);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 9.2);
}
private void CompareBidOffer(InventoryGroupDefault inventory)
{
if (inventory.Bid > bidOwner.Bid && inventory.BidSize > 0)
{
bidOwner = inventory;
}
if (inventory.Offer < offerOwner.Offer && inventory.OfferSize > 0)
{
offerOwner = inventory;
}
}
public void TestShortAddQuantity()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, -1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(11, -666);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 10.4);
var howManyToAdd = inventory.QuantityToChange(13);
Assert.AreEqual(-740, howManyToAdd);
inventory.Change(13, howManyToAdd);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 11.2);
}
public void TestLongAddQuantity()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, 1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(9, 666);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 9.6);
var howManyToAdd = inventory.QuantityToChange(7);
Assert.AreEqual(740, howManyToAdd);
inventory.Change(7, howManyToAdd);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 8.8);
}
public void TestLongAddPrice()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, 1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(9, 666);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 9.6);
var howManyToAdd = 740;
var priceToAdd = inventory.PriceToChange(howManyToAdd, inventory.BreakEven);
Assert.AreEqual(7, Math.Round(priceToAdd));
inventory.Change(7, howManyToAdd);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 8.8);
}
public void TestShortAddPrice()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, -1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(11, -666);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 10.4);
var howManyToAdd = -740;
var priceToAdd = inventory.PriceToChange(howManyToAdd, inventory.BreakEven);
Assert.AreEqual(13, Math.Round(priceToAdd));
inventory.Change(13, howManyToAdd);
Assert.AreEqual(Math.Round(inventory.BreakEven, 2), 11.2);
}
public void TestShortClose()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, -1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(11, -666);
Assert.AreEqual(10.4, Math.Round(inventory.BreakEven, 2));
inventory.Change(12, -555);
Assert.AreEqual(10.8, Math.Round(inventory.BreakEven, 2));
double price = 15D;
price = inventory.PriceToClose();
var howManyToClose = inventory.Size;
Assert.AreEqual(10.6, Round(price));
Assert.AreEqual(-2221, howManyToClose);
}
public void TestLongClose()
{
var inventory = new InventoryGroupDefault(symbol);
inventory.Change(10, 1000);
Assert.AreEqual(inventory.BreakEven, 10);
inventory.Change(9, 666);
Assert.AreEqual(9.6, Math.Round(inventory.BreakEven, 2), "break even 1");
inventory.Change(8, 555);
Assert.AreEqual(9.2, Math.Round(inventory.BreakEven, 2), "break even 2");
var price = 6D;
inventory.CalculateBidOffer(price, price);
price = inventory.PriceToClose();
int howManyToClose = inventory.Size;
Assert.AreEqual(Math.Round(9.4, 2), Math.Round(price, 2), "close price");
Assert.AreEqual(2221, howManyToClose, "close size");
}
private void ControlDirection(InventoryGroupDefault inventory, InventoryGroupDefault last)
{
switch (last.Status)
{
case InventoryStatus.Flat:
inventory.Type = InventoryType.Either;
break;
case InventoryStatus.Long:
inventory.Type = InventoryType.Short;
break;
case InventoryStatus.Short:
inventory.Type = InventoryType.Long;
break;
default:
throw new ArgumentOutOfRangeException("Unexpected inventory status: " + last.Status);
}
}
public void TestLongBidOffer()
{
symbol = Factory.Symbol.LookupSymbol("EUR/USD");
var inventory = new InventoryGroupDefault(symbol);
inventory.Retrace = .60;
inventory.RoundLotSize = 1000;
inventory.MaximumLotSize = 1000;
inventory.MinimumLotSize = 1000;
inventory.Goal = 5000;
//Console.WriteLine("Price,Quantity,Cumulative,BreakEven,PandL");
var first = true;
var sb = new StringBuilder();
for (var price = 1.7000D; price > 1.4000; price -= 10 * symbol.MinimumTick)
{
var amountToBid = 0;
inventory.CalculateBidOffer(price, price);
amountToBid = inventory.BidSize;
inventory.Change(price, amountToBid);
var pandl = inventory.CurrentProfitLoss(price);
sb.AppendLine(Round(price) + "," + amountToBid + "," + inventory.Size + "," + Round(inventory.BreakEven) + "," + Round(pandl));
}
}
