void fillOrdersHighLow(Symbol symbol, Bar bar)
{
var highLow = bar.orderedHighLow();
fillOrdersNotOpen(symbol, new Tick(highLow[0], 0, bar.time), false);
fillOrdersNotOpen(symbol, new Tick(highLow[1], 0, bar.time), false);
}
public T theSymbolSystem <T>(Symbol symbol) where T : SymbolSystem
{
var typedBridge = (QREBridge <IndependentSymbolSystems <T> >)bridge;
var multiSymbol = typedBridge.system;
return(the(multiSymbol.systems(symbol)));
}
static bool isFillable(Order order, Symbol symbol, double tick, bool isClose)
{
var matches = order.matches(symbol);
var canFill = order.canFill(tick, isClose);
return(matches && canFill);
}
public void testSymbolValueLive()
{
Log.setFile(@"C:\logs\jefftest");
SystemTimeSeriesTable.SYSTEM_TS.insert("testone", "ASCII", "ActiveMQ", "somedangtopic");
AsciiTable.SYSTEM_ASCII.insert("testone", @"\\nysrv37\share\Tools\RightEdge\TransitionTest\TY1C.full.csv", true, 1);
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var barSpud2 = new BarSpud(manager);
var symbol = new Symbol("testone");
var spud = symbol.doubles(barSpud);
var spud2 = new Symbol("RE.TEST.TY.1C").doubles(barSpud2);
manager.newBar();
barSpud.set(new Bar(1, 3, 1, 2, O.date("2008/08/06")));
barSpud2.set(new Bar(1, 3, 1, 2, O.date("2008/08/06")));
manager.newTick();
spud.doSubscribe();
barSpud.lastTickedAt(O.date("2008/08/06 11:22:34"));
spud2.doSubscribe();
IsTrue(spud2.isDirty());
symbol.javaSymbol().jmsLive().topic().send("value=97.1|timestamp=2008/08/06 11:22:33|MSTimestamp=2008/06/05 13:10:08");
Bombs(() => LogC.info("" + spud[0]), "stale");
symbol.javaSymbol().jmsLive().topic().send("value=97.2|timestamp=2008/08/06 11:22:34|MSTimestamp=2008/06/05 13:10:08");
O.wait(() => spud[0] == 97.2);
barSpud.lastTickedAt(O.date("2008/08/06 11:22:35"));
spud.allowStaleTicks();
AreEqual(97.2, spud[0]);
AreEqual(116.140625, spud2[0]);
}
IEnumerable <Bar> barList(Symbol symbol, Interval interval)
{
var jBars = list <JBar>(symbol.bars(ranges[symbol], interval));
try {
return(convert(jBars, jbar => new Bar(jbar, false)));
} catch (Exception e) {
throw Bomb.toss("error loading bars for symbol: " + symbol, e);
}
}
Symbol symbol(string name)
{
var result = new Symbol(new Market(name));
if (slippageCalculator != null)
{
result.overrideSlippageCalculator(slippageCalculator);
}
return(result);
}
void fillOrders(Symbol symbol, Tick tick, Converter <Order, double> fillPrice, bool isClose)
{
var fillable = accept(orders(symbol), order => isFillable(order, symbol, tick.price, isClose));
fillable = sort(fillable, (a, b) => {
var fillA = Math.Abs(tick.price - fillPrice(a));
var fillB = Math.Abs(tick.price - fillPrice(b));
var priceOrder = fillB.CompareTo(fillA);
return(priceOrder != 0 ? priceOrder : a.id.CompareTo(b.id));
});
each(fillable, order => fillOrderMaybe(order, tick, fillPrice, isClose));
}
void populateSlippageCache(Symbol symbol)
{
var manager = new SpudManager();
var bars = bars_[symbol];
var spud = new BarSpud(manager);
var calculator = symbol.slippageCalculator(spud);
each(sort(bars.Keys), date => {
spud.set(bars[date]);
slippageCache.get(date)[symbol] = calculator.slippage();
manager.newBar();
});
}
public void testSymbolValueSpud()
{
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var spud = new Symbol("RE.TEST.TY.1C").doubles(barSpud);
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/02")));
AreEqual(105.04687500, spud[0]);
// test barSPud has date, but spud does not
manager.newBar();
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/06")));
AreEqual(105.32812500, spud[0]);
}
internal void processTick(Tick tick, Symbol symbol)
{
lock (partialBars) {
trades.Clear();
var price = tick.price;
var runClose = bridge.runOnClose() && !hasRunLiveClose && now().CompareTo(symbol.closeAt()) >= 0;
fillOrders(symbol, tick, order => price, runClose);
bridge.processTick(symbol, tick);
gottenTicks = true;
if (runClose)
{
hasRunLiveClose = true;
}
}
}
public ITrend(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
atrLength = parameter <int>("atrLength");
sizeScaleSwitch = parameter <int>("sizeScaleSwitch");
nATRStop = parameter <double>("nATRStop");
nATRTrigger = parameter <double>("nATRTrigger");
dailyATRSwitch = parameter <int>("useDailyATR");
risk = parameter <int>("risk");
timeStampClose = parameter <double>("timeStampClose");
timeStampMark = parameter <double>("timeStampMark");
atr = new AverageTrueRangeEW(
dailyATRSwitch == 1 ? (Spud <Bar>) new IntervalSpud(bars, Interval.DAILY) : bars,
atrLength);
scaleWeights = new double[10];
zeroTo(scaleWeights.Length, i => scaleWeights[i] = 1.5 - (double)i / 9);
scaleWins = new double[10];
initializeWinScale();
financialCenter = FinancialCenterTable.CENTER.name(39);
}
public void testSymbolBarSpud()
{
var manager = new SpudManager();
var barSpud = new BarSpud(manager);
var symbol = new Symbol("RE.TEST.TY.1C");
var spud = symbol.bars(barSpud);
barSpud.set(new Bar(1, 3, 1, 2, O.date("2007/01/02")));
AreEqual(105.04687500, spud[0].close);
barSpud.lastTickedAt(O.date("2007/01/02 12:34:55"));
symbol.javaSymbol().jmsLive().publish(new JTick(98, 100, 96, 99, 93, O.jDate("2007/01/02 12:34:56")));
O.sleep(250);
AreEqual(105.04687500, spud[0].close);
manager.goLive();
symbol.javaSymbol().jmsLive().publish(new JTick(98, 100, 96, 99, 93, O.jDate("2007/01/02 12:34:57")));
O.wait(() => spud[0].time.Equals(date("2007/01/02 12:34:57")));
AreEqual(98.0, spud[0].close);
AreEqual(93.0, spud[0].low);
}
public List <QNode> nodes()
{
var bySystem = new LazyDictionary <string, List <LiveSystem> > (system => new List <LiveSystem>());
each(systems, liveSystem => bySystem.get(liveSystem.siv().system()).Add(liveSystem));
var result = list(convert(bySystem.keys(), system => {
var liveSystems = bySystem.get(system);
var systemNode = new QNode(system, liveSystems.Count, 0);
each(liveSystems, liveSystem => {
var liveSystemNode = systemNode.add(new LiveSystemNode(liveSystem, 1, 0));
var liveMarkets = list <MsivPv>(liveSystem.liveMarkets());
each(liveMarkets, liveMarket => {
try {
var symbol = new Symbol(liveMarket.market());
var liveMarketNode = new LiveMarketNode(symbol, 1, 0);
liveSystemNode.add(liveMarketNode);
var topic = new Topic(liveSystem.topicName(OrderTable.prefix, symbol.name + "." + SystemHeartbeat.SUFFIX));
topic.subscribeIfNeeded();
updateModelNodes += () => updateNode(topic, liveMarket, liveMarketNode);
symbol.subscribe(bar => recordMarketDataTickReceived(liveMarket, bar.time));
topic.subscribe(fields => {
var tickTime = fields.time("lastTickProcessed");
ticks.get(liveMarket).systemProcessed(date(tickTime));
});
} catch (Exception ex) {
LogC.err("exception caught subscribing to tick data for " + liveMarket + ", " + system, ex);
gui.alertUser("exception caught susbcribing to data for " + liveMarket + ", " + system + ".\nSkipping... see log for details.");
}
});
updateModelNodes += () => updateNode(liveSystem, liveSystemNode);
});
updateModelNodes += () => updateNode(systemNode);
return(systemNode);
}));
timerManager().everyMillis(1000, updateModelNodes, out timer);
LiveLauncher.subscribeHeartbeat(gui.launcherAvailable);
LogC.ignore(timer);
return(result);
}
public void testNBarFade()
{
O.freezeNow("2009/03/10");
var symbol = new Symbol("RE.TEST.TY.1C", 1000);
var args = new SystemArguments(symbol, new Parameters {
{ "systemId", 133486 },
{ "RunMode", (double)RunMode.RIGHTEDGE },
{ "LeadBars", 50 },
{ "ATRLen", 5 },
{ "nDays", 6 },
{ "nATRentry", 1.5 },
{ "exitATRmultiple", 1 },
{ "stopAfStep", 0.02 },
{ "stopAfMax", 0.2 },
{ "entryBarWindow", 2 },
{ "closeBetter", 1 },
{ "riskDollars", 100000000 }
});
var loader = new SystemDbBarLoader(Interval.DAILY, O.list(symbol), date("2003/01/01"));
var simulator = new Simulator(args, loader, OrderTable.prefix);
simulator.processBars();
}
protected List <Order> orders(Symbol symbol)
{
return(system().orders(symbol));
}
protected void fill(Symbol symbol, int index, double price)
{
fill(orders(symbol)[index], price);
}
static void tick(Simulator simulator, Bar current, Symbol symbol)
{
symbol.publish(current);
simulator.waitForTick();
}
void fillOrdersNotOpen(Symbol symbol, Tick tick, bool isClose)
{
fillOrders(symbol, tick, order => order.fillPrice(tick.price, false), isClose);
}
public double slippage(Symbol symbol)
{
return(bridge.slippage(symbol));
}
public GenericTestSystem(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
}
public BarSpud bars(Symbol s)
{
return(bridge.bars(s));
}
protected Position position(Symbol symbol)
{
return(system().position(symbol));
}
public List <Order> orders(Symbol symbol)
{
return(bridge.orders(symbol));
}
void fillOrdersOpen(Symbol symbol, Bar bar)
{
fillOrders(symbol, new Tick(bar.open, 0, bar.time), order => order.fillPrice(bar.open, true), false);
}
public TestOnCloseSystem(QREBridgeBase bridge, Symbol symbol) : base(bridge, symbol)
{
bars.close.prepare();
}
public double fxRate(Symbol symbol)
{
return(bridge.fxRate(symbol));
}
protected static PublishCounter positionPublishCounter(Symbol symbol)
{
return(new PublishCounter(OrderTable.DEFAULT_PREFIX + ".TestSystem1.1.0.daily.Slow." + symbol.name + ".optimalPosition"));
}
public void removeNewBarListener(Symbol symbol, Action <Bar> onNewBar)
{
newBarListeners.overwrite(symbol, newBarListeners.get(symbol) - onNewBar);
}
protected void hasPosition(Symbol symbol, double amount)
{
AreEqual(amount, position(symbol).amount);
}
void fillOrdersClose(Symbol symbol, Bar bar)
{
fillOrdersNotOpen(symbol, new Tick(bar.close, 0, bar.time), true);
}