public void TestOrderCanceledTriggeredAfterNotSendingOrder()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
using var monitoredManager = manager.Monitor();
orderCreator.Limit(new SOrderParameters()).Send(20);
manager.TriggerOrders(new Bar()
{
Low = 21
});
orderCreator.Limit(new SOrderParameters()).Send(20);
manager.TriggerOrders(new Bar()
{
Low = 22
});
monitoredManager.Should()
.Raise("OrderValidated")
.WithArgs <OrderInfo>(info => info.Price == 20)
.OnlyOnce();
monitoredManager.Should().NotRaise("OrderCanceled");
Assert.Equal(0, manager.StrategyInfo.MarketPosition);
// If we don't send the order again, it should be canceled
manager.TriggerOrders(new Bar()
{
Low = 23
});
monitoredManager.Should().Raise("OrderCanceled");
Assert.Equal(0, manager.StrategyInfo.MarketPosition);
}
public void TestOrderValidatedTriggeredAgain()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
using var monitoredManager = manager.Monitor();
orderCreator.Limit(new SOrderParameters()).Send(20);
manager.TriggerOrders(new Bar()
{
Low = 19
});
Assert.Equal(100, manager.StrategyInfo.MarketPosition);
monitoredManager.Should()
.Raise("OrderValidated")
.WithArgs <OrderInfo>(info => info.Price == 20)
.OnlyOnce()
.Reset();
// The same order is allowed to be sent again after being filled
orderCreator.Limit(new SOrderParameters()).Send(20);
monitoredManager.Should()
.Raise("OrderValidated")
.WithArgs <OrderInfo>(info => info.Price == 20)
.OnlyOnce();
}
public void TestNoPositions()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
Assert.Equal(0, manager.StrategyInfo.MarketPosition);
}
public void TestLimitOrderNotTriggeredImmediately()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
orderCreator.Limit(new SOrderParameters(EOrderAction.Buy)).Send(40);
Assert.Equal(0, manager.StrategyInfo.MarketPosition);
}
public void TestUpdateMarketPosition()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
var order = orderCreator.MarketThisBar(
new SOrderParameters(EOrderAction.Buy));
order.Send();
Assert.Equal(100, manager.StrategyInfo.MarketPosition);
}
public void TestOrderValidatedTriggered()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
using var monitoredManager = manager.Monitor();
orderCreator.Limit(new SOrderParameters()).Send(20);
monitoredManager.Should()
.Raise("OrderValidated")
.WithArgs <OrderInfo>(info => info.Price == 20);
}
public void TestLimitBuyOrderTriggered()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
orderCreator.Limit(new SOrderParameters(EOrderAction.Buy)).Send(40);
manager.TriggerOrders(new Bar()
{
Low = 39
});
Assert.Equal(100, manager.StrategyInfo.MarketPosition);
}
public void TestLimitSellOrderTriggered()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
orderCreator.Limit(new SOrderParameters(EOrderAction.SellShort)).Send(40);
manager.TriggerOrders(new Bar()
{
High = 41
});
Assert.Equal(-100, manager.StrategyInfo.MarketPosition);
}
public void TestMarketNextBar()
{
var orderCreator = new OrderCreator();
using var monitoredOrderCreator = orderCreator.Monitor();
var order = orderCreator.MarketNextBar(new SOrderParameters(EOrderAction.Sell));
order.Send();
monitoredOrderCreator
.Should().Raise("OrderSent")
.WithArgs <OrderInfo>(info => info.Order == order)
.WithArgs <OrderInfo>(info => info.OrderAction == EOrderAction.Sell)
.WithArgs <OrderInfo>(info => info.Size == 100);
}
public void TestMarketThisBar()
{
var orderCreator = new OrderCreator();
using var monitoredOrderCreator = orderCreator.Monitor();
var order = orderCreator.MarketThisBar(
new SOrderParameters(Contracts.CreateUserSpecified(10), EOrderAction.Buy));
order.Send(99);
monitoredOrderCreator
.Should().Raise("OrderSent")
.WithArgs <OrderInfo>(info => info.Order == order)
.WithArgs <OrderInfo>(info => info.OrderAction == EOrderAction.Buy)
.WithArgs <OrderInfo>(info => info.Size == 99);
}
public void TestLimit()
{
var orderCreator = new OrderCreator();
using var monitoredOrderCreator = orderCreator.Monitor();
var order = orderCreator.Limit(new SOrderParameters(EOrderAction.Buy));
order.Send(15);
monitoredOrderCreator
.Should().Raise("OrderSent")
.WithArgs <OrderInfo>(info => info.Order == order)
.WithArgs <OrderInfo>(info => info.Price == 15)
.WithArgs <OrderInfo>(info => info.OrderAction == EOrderAction.Buy)
.WithArgs <OrderInfo>(info => info.Size == 100);
}
public void TestUpdateMarketPositionMultipleOrders()
{
var orderCreator = new OrderCreator();
var manager = new StrategyManager(orderCreator);
orderCreator.MarketThisBar(
new SOrderParameters(EOrderAction.Buy)).Send();
orderCreator.MarketThisBar(
new SOrderParameters(EOrderAction.Buy)).Send();
orderCreator.MarketThisBar(
new SOrderParameters(
Contracts.Default, EOrderAction.Sell, OrderExit.FromAll)).Send();
Assert.Equal(0, manager.StrategyInfo.MarketPosition);
}
/// <summary>
/// Instantiates a new instance.
/// </summary>
/// <param name="bars">The list of Bar instances to use during the backtest.</param>
public StrategyBacktester(IEnumerable <Bar> bars)
{
var orderCreator = new OrderCreator();
orderCreator.OrderSent += (order) => OrderSent.SafeTrigger(order);
var manager = new StrategyManager(orderCreator);
StrategyInfo = manager.StrategyInfo;
playableBars = new PlayableBars(bars);
runner = new StrategyRunner <T>(
playableBars.ToSingleDataStream(),
orderCreator: orderCreator,
strategyInfo: StrategyInfo);
Strategy = runner.Strategy;
}
