public override void GotTick(Tick k)
{
// update offsets
ot.newTick(k);
// build bars from ticks
blt.newTick(k);
}
public void StopAndProfit()
{
// reset "book"
reset();
// make sure offsets don't exist
Assert.AreEqual(0, profits.Count);
Assert.AreEqual(0, stops.Count);
// setup offset defaults
ot.DefaultOffset = SampleOffset();
// send position update to generate offsets
ot.Adjust(new PositionImpl(SYM, PRICE, SIZE));
// verify orders exist
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
Order profit = profits[0];
Order stop = stops[0];
// verify profit offset
Assert.IsTrue(profit.isValid);
Assert.AreEqual(PRICE + POFFSET, profit.price);
Assert.AreEqual(SIZE, profit.UnsignedSize);
// verify stop offset
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE, stop.UnsignedSize);
// send position update
ot.Adjust(new TradeImpl(SYM, PRICE + 2, SIZE));
// tick
ot.newTick(nt());
// verify only one order exists
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
profit = profits[0];
stop = stops[0];
// verify profit offset
Assert.IsTrue(profit.isValid);
Assert.AreEqual(PRICE + 1 + POFFSET, profit.price);
Assert.AreEqual(SIZE * 2, profit.UnsignedSize);
// verify stop offset
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE + 1 - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE * 2, stop.UnsignedSize);
// partial hit the profit order
ot.Adjust(new TradeImpl(SYM, PRICE + 1, -1 * SIZE));
// tick
ot.newTick(nt());
// verify only one order exists on each side
Assert.AreEqual(1, profits.Count);
Assert.AreEqual(1, stops.Count);
// get orders
profit = profits[0];
stop = stops[0];
// verify profit offset
Assert.IsTrue(profit.isValid);
Assert.AreEqual(PRICE + 1 + POFFSET, profit.price);
Assert.AreEqual(SIZE, profit.UnsignedSize);
// verify stop offset
Assert.IsTrue(stop.isValid);
Assert.AreEqual(PRICE + 1 - SOFFSET, stop.stopp);
Assert.AreEqual(SIZE, stop.UnsignedSize);
}