public void FirstRecoveryTurn_ExecutesMarketOrderSuccessfully()
{
//Arrange
var strategy = new Strategy();
strategy.Initialize(1, 0.0001, 0.67, 0, 1);
double lastMarketOrderPrice = 0;
MarketPosition lastMarketOrderPosition = MarketPosition.None;
Delegates.MarketOrder marketOrder = delegate(double lotSize, double entryPrice, sbyte position, double stopLossLevel, double takeProfitLevel)
{
lastMarketOrderPrice = entryPrice;
lastMarketOrderPosition = (MarketPosition)position;
return(true, "Success");
};
double limitOrderLotSize = double.NaN;
Delegates.LimitOrder limitOrder = delegate(double lotSize, double price, sbyte position, double stopLossLevel, double takeProfitLevel)
{
limitOrderLotSize = lotSize;
return(true, "Success");
};
strategy.StartSession(MarketPosition.Long, 1.1234, 1.1234, 0.0003, 0.0001, marketOrder, limitOrder);
//Act
var result = strategy.PriceTick(DateTime.Now.Ticks, 1.1233, 1.1233);
//Assert
Assert.Equal(MarketPosition.Short, lastMarketOrderPosition);
Assert.Equal(1.1233, lastMarketOrderPrice);
Assert.Equal(PriceActionResult.RecoveryLevelHit, result);
}
public void GenesisPositionTakesProfit_ClosesPosition()
{
//Arrange
var strategy = new Strategy();
strategy.Initialize(1, 0.0001, 0.67, 0, 1);
MarketOrderProperties lastMarketOrder = null;
Delegates.MarketOrder marketOrder = delegate(double lotSize, double entryPrice, sbyte position, double stopLossLevel, double takeProfitLevel)
{
lastMarketOrder = new MarketOrderProperties(entryPrice, stopLossLevel, takeProfitLevel);
return(true, "Success");
};
double limitOrderLotSize = double.NaN;
Delegates.LimitOrder limitOrder = delegate(double lotSize, double price, sbyte position, double stopLossLevel, double takeProfitLevel)
{
limitOrderLotSize = lotSize;
return(true, "Success");
};
strategy.StartSession(MarketPosition.Long, 1.1234, 1.1234, 0.0003, 0.0001, marketOrder, limitOrder);
//Act
var result = strategy.PriceTick(DateTime.Now.Ticks, 1.1237, 1.1237);
//Assert
Assert.Equal(PriceActionResult.TakeProfitLevelHit, result);
Assert.Equal(1.1234, lastMarketOrder.MarketOrderPrice);
}
public void GenesisPosition_TriggersMarketOrder()
{
//Arrange
var strategy = new Strategy();
strategy.Initialize(1, 0.0001, 0.67, 0, 1);
MarketOrderProperties lastMarketOrder = null;
Delegates.MarketOrder marketOrder = delegate(double lotSize, double entryPrice, sbyte position, double stopLossLevel, double takeProfitLevel)
{
lastMarketOrder = new MarketOrderProperties(entryPrice, stopLossLevel, takeProfitLevel);
return(true, "Success");
};
Delegates.LimitOrder limitOrder = delegate(double lotSize, double price, sbyte position, double stopLossLevel, double takeProfitLevel)
{
return(true, "Success");
};
//Act
strategy.StartSession(MarketPosition.Long, 1.1234, 1.1234, 0.0003, 0.0001, marketOrder, limitOrder);
//Assert
Assert.Equal(1.1234, lastMarketOrder.MarketOrderPrice);
Assert.Equal(1.1230, lastMarketOrder.StopLossLevel);
Assert.Equal(1.1237, lastMarketOrder.TakeProfitLevel);
}
public void GenesisPosition_LossRecoveryLevelHit_TriggersLimitOrder()
{
//Arrange
var strategy = new Strategy();
strategy.Initialize(1, 0.0001, 0.67, 0, 1);
var marketOrders = new List <MarketOrderProperties>();
int marketOrderCounter = 0;
Delegates.MarketOrder marketOrder = delegate(double lotSize, double entryPrice, sbyte position, double stopLossLevel, double takeProfitLevel)
{
marketOrderCounter++;
marketOrders.Add(new MarketOrderProperties(entryPrice, stopLossLevel, takeProfitLevel));
return(true, "Success");
};
double limitOrderLotSize = double.NaN;
double limitOrderPrice = double.NaN;
double limitOrderStopLossLevel = double.NaN;
double limitOrderTakeProfitLevel = double.NaN;
sbyte limitOrderPosition = 0;
Delegates.LimitOrder limitOrder = delegate(double lotSize, double price, sbyte position, double stopLossLevel, double takeProfitLevel)
{
limitOrderLotSize = lotSize;
limitOrderPosition = position;
limitOrderPrice = price;
limitOrderStopLossLevel = stopLossLevel;
limitOrderTakeProfitLevel = takeProfitLevel;
return(true, "Success");
};
strategy.StartSession(MarketPosition.Long, 1.1234, 1.1234, 0.0003, 0.0001, marketOrder, limitOrder);
//Act
var result = strategy.PriceTick(DateTime.Now.Ticks, 1.1233, 1.1233);
//Assert
Assert.Equal(2, marketOrderCounter);
Assert.Equal(MarketPosition.Long.GetValue(), limitOrderPosition);
Assert.Equal(marketOrders[0].MarketOrderPrice, limitOrderPrice);
Assert.Equal(marketOrders[0].StopLossLevel, limitOrderStopLossLevel);
Assert.Equal(marketOrders[0].TakeProfitLevel, limitOrderTakeProfitLevel);
}
public bool StartSession(MarketPosition position, double entryBidPrice, double entryAskPrice, double tradeZoneSize, double zoneRecoverySize, Delegates.MarketOrder marketOrder, Delegates.LimitOrder limitOrder)
{
_marketOrder = marketOrder;
_limitOrder = limitOrder;
if (position == MarketPosition.None)
{
throw new Exception("Invalid position.");
}
_session = _zoneRecovery.CreateSession(position, entryBidPrice, entryAskPrice, tradeZoneSize, zoneRecoverySize);
double entryPrice = double.NaN;
double stopLossLevel = double.NaN;
double takeProfitLevel = double.NaN;
if (position == MarketPosition.Long)
{
entryPrice = entryAskPrice;
stopLossLevel = _session.ZoneLevels.StopLossLevel;
takeProfitLevel = _session.ZoneLevels.TakeProfitLevel;
}
else if (position == MarketPosition.Short)
{
entryPrice = entryBidPrice;
stopLossLevel = _session.ZoneLevels.TakeProfitLevel;
takeProfitLevel = _session.ZoneLevels.StopLossLevel;
}
var(isSuccessful, message) = _marketOrder(_initLotSize, entryPrice, position.GetValue(), stopLossLevel, takeProfitLevel);
if (isSuccessful)
{
}
double limitOrderLotSize = _session.ActivePosition.GetNextTurnLotSize();
var limitOrderZoneLevels = _session.ZoneLevels.Reverse();
var(isLimitSuccessful, limitOrderMessage) = _limitOrder(limitOrderLotSize, limitOrderZoneLevels.EntryPrice, limitOrderZoneLevels.Position.GetValue(), limitOrderZoneLevels.StopLossLevel, limitOrderZoneLevels.TakeProfitLevel);
if (isLimitSuccessful)
{
}
return(isSuccessful);
}
public void GenesisPosition_PlacesLimitOrder()
{
//Arrange
var strategy = new Strategy();
strategy.Initialize(1, 0.0001, 0.67, 0, 1);
MarketOrderProperties lastMarketOrder = null;
Delegates.MarketOrder marketOrder = delegate(double lotSize, double entryPrice, sbyte position, double stopLossLevel, double takeProfitLevel)
{
lastMarketOrder = new MarketOrderProperties(entryPrice, stopLossLevel, takeProfitLevel);
return(true, "Success");
};
double limitOrderLotSize = double.NaN;
double limitOrderPrice = double.NaN;
double limitOrderStopLossLevel = double.NaN;
double limitOrderTakeProfitLevel = double.NaN;
sbyte limitOrderPosition = 0;
Delegates.LimitOrder limitOrder = delegate(double lotSize, double price, sbyte position, double stopLossLevel, double takeProfitLevel)
{
limitOrderLotSize = lotSize;
limitOrderPosition = position;
limitOrderPrice = price;
limitOrderStopLossLevel = stopLossLevel;
limitOrderTakeProfitLevel = takeProfitLevel;
return(true, "Success");
};
//Act
strategy.StartSession(MarketPosition.Long, 1.1234, 1.1234, 0.0003, 0.0001, marketOrder, limitOrder);
//Assert
Assert.True(limitOrderLotSize > 2);
Assert.Equal(MarketPosition.Short.GetValue(), limitOrderPosition);
Assert.Equal(1.1233, limitOrderPrice);
Assert.Equal(1.1237, limitOrderStopLossLevel);
Assert.Equal(1.1230, limitOrderTakeProfitLevel);
}
