public PlaceStrategyTakeProfitByPointsOnTrade(StrategyHeader strategyHeader)
: this(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance)
{
}
public override void OnItemAdded(Trade item)
{
StrategyHeader strategyHeader = item.Order.Signal.Strategy;
if (strategyHeader == null)
{
return;
}
IEnumerable <Order> unfilled = this.tradingData.Get <ICollection <Order> >().GetUnfilled(strategyHeader);
if (unfilled == null || unfilled.Count() == 0)
{
return;
}
foreach (Order o in unfilled)
{
if (this.tradingData.GetAmount(strategyHeader) == 0)
{
if (!CancelOrderRequestExists(o.Id))
{
string descr = String.Format("Отменить заявку {0}, потому что позиция была закрыта заявкой {1}", o.ToString(), item.Order.ToString());
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, {2}", DateTime.Now, this.GetType().Name, descr));
this.tradingData.Get <ObservableHashSet <OrderCancellationRequest> >().Add(new OrderCancellationRequest(o, descr));
}
}
}
}
private bool StrategyExists(Trade item)
{
if (item.Order == null)
{
return(false);
}
if (item.Order.Signal == null)
{
return(false);
}
if (item.Order.Signal.Strategy == null)
{
return(false);
}
StrategyHeader strategyHeader = item.Order.Signal.Strategy;
return(this.tradingData.Get <IEnumerable <StrategyHeader> >().Any(s => s.Id == strategyHeader.Id &&
s.Description == strategyHeader.Description &&
s.Portfolio == strategyHeader.Portfolio &&
s.Symbol == strategyHeader.Symbol &&
s.Amount == strategyHeader.Amount));
}
/// <summary>
/// пример переопределения
/// Program.Sample1.SetupStrategy()
/// </summary>
/// <param name="args"></param>
override public void SetupStrategy(string[] args)
{
Console.WriteLine("BackTest.Converter.SetupStrategy()");
// инициализация обработчиков стратегии
//strategySample1 = new Strategy.Sample1(args);
//strategyHeader = strategySample1.strategyHeader;
//AppSettings.GetStringValue("Symbol")
string symbol = System.Configuration.ConfigurationManager.AppSettings["Symbol"];
//Console.WriteLine(String.Format("Sybol: {0}", symbol));
if (symbol == "")
{
symbol = null;
}
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", null, symbol, 1);
BarSettings barSettings = new BarSettings(
strategyHeader,
strategyHeader.Symbol,
//null,
AppSettings.GetValue <int>("Interval"),
AppSettings.GetValue <int>("Period"));
TradingData.Instance.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
//BarSettings barSettings = new BarSettings(strategyHeader, "RIH4", 3600, 3);
//BarSettings barSettings = new BarSettings(strategyHeader, "SPFB.RTS-3.14", 3600, 3);
//TradingData.Instance.Get<ICollection<BarSettings>>().Add(barSettings);
MakeRangeBarsOnTick updateBarsHandler =
new MakeRangeBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
}
public void TradeCollectionExtensions_Combine_remove_first_three_trades_from_collection_test()
{
StrategyHeader strategyHeader = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 4);
Signal signal = new Signal(strategyHeader, DateTime.Now, TradeAction.Buy, OrderType.Market, 10500, 0, 0);
EmulateTradeFor(signal, 10500, 10);
EmulateTradeFor(signal, 10500, 5);
EmulateTradeFor(signal, 10500, 5);
this.trades.Add(this.tradingData.Get <IEnumerable <Trade> >().Last());
Assert.AreEqual(1, this.trades.Count);
Signal s2 = new Signal(strategyHeader, DateTime.Now, TradeAction.Buy, OrderType.Market, 10500, 0, 0);
EmulateTradeFor(s2);
Trade second = this.tradingData.Get <IEnumerable <Trade> >().Last();
this.trades.Add(second);
Assert.AreEqual(2, this.trades.Count);
Signal cClose = new Signal(strategyHeader, DateTime.Now, TradeAction.Sell, OrderType.Market, 10500, 0, 0);
EmulateTradeFor(cClose);
Trade lastTrade = this.tradingData.Get <IEnumerable <Trade> >().Last();
this.trades.Combine(lastTrade);
Assert.AreEqual(1, this.trades.Count);
Assert.AreSame(second, this.trades.Last());
}
public void TradingDataContext_GetFilledPartially_stop_orders()
{
StrategyHeader st1 = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-9.13_FT", 8);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st1);
Signal s1 = new Signal(st1, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Stop, 150000, 150000, 0);
this.tradingData.Get <ICollection <Signal> >().Add(s1);
Order o1 = new Order(s1);
o1.FilledAmount = 2;
Assert.IsFalse(o1.IsFilled);
Assert.IsTrue(o1.IsFilledPartially);
Assert.IsFalse(o1.IsCanceled);
Assert.IsFalse(o1.IsExpired);
Assert.IsFalse(o1.IsRejected);
this.tradingData.Get <ICollection <Order> >().Add(o1);
IEnumerable <Order> unfilled = this.tradingData.GetFilledPartially(st1, OrderType.Stop);
Assert.AreEqual(1, unfilled.Count());
Assert.AreSame(unfilled.Last(), o1);
}
public StrategyStopLossByPointsOnTick(StrategyHeader strategyHeader, bool measureFromSignalPrice = false)
: this(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance, measureFromSignalPrice)
{
}
public void Handlers_TraderBaseInitializer_EmulateTradeFor_sell_Signal_with_price_and_amount_test()
{
StrategyHeader strategyHeader = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2);
Signal signal = new Signal(strategyHeader, DateTime.Now, TradeAction.Sell, OrderType.Market, 32000, 0, 0);
this.signalQueue.Enqueue(signal);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Trade> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Position> >().Count());
Assert.AreEqual(0, this.tradingData.GetAmount(strategyHeader));
double price = 32001;
double amount = 1;
EmulateTradeFor(signal, price, amount);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Trade> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Position> >().Count());
Assert.AreEqual(-1, this.tradingData.GetAmount(strategyHeader));
Trade trade = this.tradingData.Get <IEnumerable <Trade> >().Last();
Assert.AreEqual(price, trade.Price);
Assert.AreEqual(-amount, trade.Amount);
}
public void Setup()
{
this.tradingData = new TradingDataContext();
this.signalQueue = new ObservableQueue <Signal>();
this.strategyHeader = new StrategyHeader(1, "Description", "ST12345-RF-01", "RTS-9.14", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(this.strategyHeader);
this.spSettings = new StopPointsSettings(this.strategyHeader, 100, false);
this.tradingData.Get <ICollection <StopPointsSettings> >().Add(this.spSettings);
this.slSettings = new StopLossOrderSettings(this.strategyHeader, 180);
this.tradingData.Get <ICollection <StopLossOrderSettings> >().Add(this.slSettings);
this.handler =
new StrategyStopLossByPointsOnTick(this.strategyHeader, this.tradingData, this.signalQueue, new NullLogger(), true);
this.buySignal =
new Signal(this.strategyHeader, DateTime.Now, TradeAction.Buy, OrderType.Market, 125000, 0, 0);
this.sellSignal =
new Signal(this.strategyHeader, DateTime.Now, TradeAction.Sell, OrderType.Market, 125000, 0, 0);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(0, this.signalQueue.Count);
}
public void Handlers_Make_Fifteen_Minutes_Bars()
{
DateTime start = new DateTime(2013, 5, 15, 0, 0, 0);
DateTime end = new DateTime(2013, 5, 16, 11, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, end);
StrategyHeader s = new StrategyHeader(1, "Strategy 2", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings settings = new BarSettings(s, "RTS-12.12_FT", 900, 10);
MakeBarsOnTick updateBars = new MakeBarsOnTick(settings, tt, this.tradingData, new NullLogger());
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = start, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = "RTS-12.12_FT", DateTime = end, Open = 150000, High = 160000, Low = 140000, Close = 145000, Volume = 100
});
Assert.AreEqual(2, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < settings.Interval * 4; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = end.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(6, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual("RTS-12.12_FT", this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Symbol);
Assert.AreEqual(end.AddHours(1), this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).DateTime);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Low);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).High);
Assert.AreEqual(152700, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Open);
Assert.AreEqual(153599, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Close);
Assert.AreEqual(90000, this.tradingData.Get <ObservableCollection <Bar> >().ElementAt(5).Volume);
}
public void Transaction_ExportOrdersTransaction_do_nothing_when_no_orders_exists()
{
StrategyHeader st1 = new StrategyHeader(1, "First strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st1);
StrategyHeader st2 = new StrategyHeader(2, "Second strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 8);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st2);
StrategyHeader st3 = new StrategyHeader(3, "Third strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 5);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st3);
Signal s1 = new Signal(st1, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 150000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(s1);
Signal s2 = new Signal(st2, BrokerDateTime.Make(DateTime.Now), TradeAction.Sell, OrderType.Limit, 150000, 0, 150000);
this.tradingData.Get <ICollection <Signal> >().Add(s2);
Signal s3 = new Signal(st3, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Stop, 150000, 150000, 0);
this.tradingData.Get <ICollection <Signal> >().Add(s3);
ITransaction export = new ExportOrdersTransaction((IObservableHashSetFactory)this.tradingData, this.path);
export.Execute();
Assert.IsFalse(File.Exists(this.path));
}
public void Handlers_Do_Nothing_If_Bar_With_Same_Date_Exists()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
this.tradingData.Get <ObservableCollection <Bar> >().Add(new Bar {
Symbol = barSettings.Symbol, DateTime = start.AddHours(1), Open = 100, High = 100, Low = 100, Close = 100, Volume = 100
});
MakeBarsOnTick updateBars = new MakeBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
IEnumerable <Tick> ticks = this.tradingData.Get <ObservableCollection <Tick> >().Where(t => t.DateTime >= start && t.DateTime < start.AddSeconds(3600));
Assert.AreEqual(3602, ticks.Count());
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(100, bar.Low);
Assert.AreEqual(100, bar.High);
Assert.AreEqual(100, bar.Open);
Assert.AreEqual(100, bar.Close);
Assert.AreEqual(100, bar.Volume);
}
public void BuySpreadOnQuote_ignore_updates_when_any_position_from_basket_of_strategies_exists()
{
StrategyHeader strtgy = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
Signal sgnl = new Signal(strtgy, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 143000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(sgnl);
Order ordr = new Order(sgnl);
this.tradingData.Get <ICollection <Order> >().Add(ordr);
OrderDeliveryConfirmation cnfrmtn = new OrderDeliveryConfirmation(ordr, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(cnfrmtn);
Assert.IsTrue(ordr.IsDelivered);
Trade trd = new Trade(ordr, ordr.Portfolio, ordr.Symbol, 1430000, ordr.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trd);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Position> >().Count());
this.qProvider.Update(0, "RTS-12.13_FT", 128990, 20, 129000, 100);
this.qProvider.Update(0, "Si-12.13_FT", 33000, 50, 33001, 40);
this.qProvider.Update(0, "Eu-12.13_FT", 44000, 30, 44001, 0);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
}
public void Setup()
{
Symbol symbol = new Symbol("RTS-9.13_FT", 1, 8, 10, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <HashSetOfNamedMutable <Symbol> >().Add(symbol);
this.strategyHeader = new StrategyHeader(10, "strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(this.strategyHeader);
StopPointsSettings slSettings = new StopPointsSettings(this.strategyHeader, 300, false);
this.tradingData.Get <ICollection <StopPointsSettings> >().Add(slSettings);
ProfitPointsSettings tpSettings = new ProfitPointsSettings(this.strategyHeader, 500, false);
this.tradingData.Get <ICollection <ProfitPointsSettings> >().Add(tpSettings);
StopLossOrderSettings slOrderSettings = new StopLossOrderSettings(this.strategyHeader, 3600);
this.tradingData.Get <ICollection <StopLossOrderSettings> >().Add(slOrderSettings);
TakeProfitOrderSettings tpOrderSettings = new TakeProfitOrderSettings(this.strategyHeader, 3600);
this.tradingData.Get <ICollection <TakeProfitOrderSettings> >().Add(tpOrderSettings);
StrategyStopLossByPointsOnTick stopLossHandler =
new StrategyStopLossByPointsOnTick(strategyHeader, this.tradingData, this.signalQueue, new NullLogger());
StrategyTakeProfitByPointsOnTick takeProfitHandler =
new StrategyTakeProfitByPointsOnTick(strategyHeader, this.tradingData, this.signalQueue, new NullLogger());
PlaceStrategyStopLossByPointsOnTrade placeStopOnTradeHandler =
new PlaceStrategyStopLossByPointsOnTrade(strategyHeader, this.tradingData, this.signalQueue, new NullLogger());
PlaceStrategyTakeProfitByPointsOnTrade placeTakeProfitOnTradeHandler =
new PlaceStrategyTakeProfitByPointsOnTrade(strategyHeader, this.tradingData, this.signalQueue, new NullLogger());
}
public void SetDeliveryDate_test()
{
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
Signal signal = new Signal(strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 150000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(signal);
Order order = new Order(signal, 150);
this.tradingData.Get <ICollection <Order> >().Add(order);
Assert.IsFalse(order.IsDelivered);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Count());
OrderSucceeded os = new OrderSucceeded(order.Id, "12345");
this.rawData.GetData <OrderSucceeded>().Add(os);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Count());
OrderDeliveryConfirmation confirmation = this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Last();
Assert.AreEqual(order.Id, confirmation.OrderId);
Assert.AreEqual(order, confirmation.Order);
Assert.AreEqual(os.DateTime, confirmation.DateTime);
}
public void Handlers_place_stop_order_when_no_any_unfilled_orders_exists()
{
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <ObservableHashSet <OrderCancellationConfirmation> >().Count);
StrategyHeader strategyHeader = this.tradingData.Get <ICollection <StrategyHeader> >().Single(s => s.Id == 2);
Signal signal = new Signal(strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Stop, 150000, 150100, 0);
this.signalQueue.Enqueue(signal);
Assert.AreEqual(1, this.orderQueue.Count);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.signalQueue.Count);
Assert.AreEqual(1, this.orderQueue.Count);
Order order = this.orderQueue.Dequeue();
Assert.IsTrue(order.Id > 0);
Assert.AreEqual(strategyHeader.Portfolio, order.Portfolio);
Assert.AreEqual(strategyHeader.Symbol, order.Symbol);
Assert.AreEqual(strategyHeader.Amount, order.Amount);
Assert.AreEqual(signal.TradeAction, order.TradeAction);
Assert.AreEqual(signal.OrderType, order.OrderType);
Assert.AreEqual(signal.Limit, order.Price);
Assert.AreEqual(signal.Stop, order.Stop);
}
public void Handlers_TraderBaseInitializer_EmulateTradeFor_buy_Signal_with_price_test()
{
StrategyHeader strategyHeader = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
Signal signal = new Signal(strategyHeader, DateTime.Now, TradeAction.Buy, OrderType.Market, 150000, 0, 0);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Trade> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Position> >().Count());
Assert.AreEqual(0, this.tradingData.GetAmount(strategyHeader));
double price = 150010;
EmulateTradeFor(signal, price);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Trade> >().Count());
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Position> >().Count());
Assert.AreEqual(1, this.tradingData.GetAmount(strategyHeader));
Trade trade = this.tradingData.Get <IEnumerable <Trade> >().Last();
Assert.AreEqual(price, trade.Price);
}
public void Setup()
{
this.tradingData = new TradingDataContext();
this.strategyHeader = new StrategyHeader(1, "Description", "BP12345-RF-01", "RTS-3.14_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(this.strategyHeader);
}
public void Handlers_UpdatePositionOnTrade_ignore_single_duplicate_trade()
{
StrategyHeader strategyHeader = new StrategyHeader(1, "Strategy", "BP12345-RF-01", "RTS-9.13_FT", 8);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
Signal signal = new Signal(strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 131000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(signal);
Order order = new Order(signal);
this.tradingData.Get <ICollection <Order> >().Add(order);
Assert.AreEqual(0, this.tradingData.GetAmount(strategyHeader));
Trade trade = new Trade(order, order.Portfolio, order.Symbol, 131010, order.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trade);
Assert.AreEqual(8, this.tradingData.GetAmount(strategyHeader));
Trade duplicate = new Trade(order, order.Portfolio, order.Symbol, 131010, order.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(duplicate);
Assert.AreEqual(8, this.tradingData.GetAmount(strategyHeader));
}
public BuyOnTick(StrategyHeader strategyHeader, IDataContext tradingData, ObservableQueue <Signal> signalQueue, ILogger logger)
: base(tradingData.Get <ObservableCollection <Tick> >())
{
this.strategyHeader = strategyHeader;
this.tradingData = tradingData;
this.signalQueue = signalQueue;
this.logger = logger;
}
public void Setup()
{
symbol = "RTS-12.13_FT";
StrategyHeader sh = new StrategyHeader(1, "1", "BP12345-RF-01", symbol, 1);
//dealList = new DealList(symbol);
dealList = new DealList(sh);
}
public StrategyStopLossByPointsOnTick(StrategyHeader strategyHeader,
IDataContext tradingData,
ObservableQueue <Signal> signalQueue,
ILogger logger,
bool measureFromSignalPrice = false)
: base(strategyHeader, tradingData, signalQueue, logger, measureFromSignalPrice)
{
}
public MarkOrderAsOutdatedOnTick(StrategyHeader strategyHeader, int outdateSeconds, IDataContext tradingData, ILogger logger)
: base(tradingData.Get <ObservableCollection <Tick> >())
{
this.strategyHeader = strategyHeader;
this.outdateSeconds = outdateSeconds;
this.tradingData = tradingData;
this.logger = logger;
}
public PlaceStrategyTakeProfitByPointsOnTrade(StrategyHeader strategyHeader,
IDataContext tradingData,
ObservableQueue <Signal> signalQueue,
ILogger logger,
bool measureFromSignalPrice = false)
: base(strategyHeader, tradingData, signalQueue, logger, measureFromSignalPrice)
{
}
//public Bar bar { get; private set; }
public SourcePriceOnBar(StrategyHeader strategyHeader, IDataContext tradingData, ILogger logger)
//: base(tradingData.Get<ObservableCollection<Bar>>())
{
this.strategyHeader = strategyHeader;
this.tradingData = tradingData;
//this.signalQueue = signalQueue;
this.logger = logger;
}
public void Handlers_Setup()
{
this.tradingData = new TradingDataContext();
this.strategyHeader = new StrategyHeader(1, "Sample strategyHeader", "ST12345-RF-01", "RTS-9.14", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(this.strategyHeader);
this.handler =
new UpdateOrderAmountOnTrade(this.tradingData, new NullLogger());
}
public void Setup()
{
this.strategy1 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
this.strategy2 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2);
StopPointsSettings sps1 = new StopPointsSettings(this.strategy1, 100, false);
this.tradingData.Get <ICollection <StopPointsSettings> >().Add(sps1);
}
public void Setup()
{
this.strategy1 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
this.strategy2 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2);
this.signalQueue.Enqueue(new Signal(this.strategy2, DateTime.Now, TradeAction.Buy, OrderType.Market, 32000, 0, 0));
this.signalQueue.Enqueue(new Signal(this.strategy2, DateTime.Now, TradeAction.Buy, OrderType.Limit, 32000, 0, 32000));
this.signalQueue.Enqueue(new Signal(this.strategy2, DateTime.Now, TradeAction.Buy, OrderType.Stop, 32000, 32000, 0));
}
private void AddStrategies()
{
this.st1 = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.st2 = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "Si-9.13_FT", 10);
this.st3 = new StrategyHeader(3, "Strategy 3", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st1);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st2);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(st3);
}
