public void ThrottlesTest()
{
LimitsTest b = new LimitsTest();
// we're skipping the first trade bc it's pre-market and we're not testing
// that in this test
int i = 1;
Order o;
Position p = new Position(s);
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 0);
Assert.That(b.TradeCaps);
Assert.That(!b.Off);
Assert.That(b.PosSize == 0);
o = b.Trade(timesales[i++], new BarList(), p, new BoxInfo());
Assert.That(o.isValid);
// fill our order with next tick and just our position
o.Fill(timesales[i]);
p.Adjust((Trade)o);
Assert.That(b.Adjusts == 1);
Assert.That(b.Turns == 0);
o = b.Trade(timesales[i++], new BarList(), p, new BoxInfo());
Assert.That(o.isValid);
Assert.That(b.Adjusts == 2);
Assert.That(b.Turns == 1); // should be flat now
o = b.Trade(timesales[i++], new BarList(), new Position(s), new BoxInfo());
Assert.That(!o.isValid); // no more orders, as
Assert.That(b.Off); // we should be shutdown
}
public void Basics()
{
Position p = new Position(s);
Assert.That(p.Size == 0);
Assert.That(p.hasSymbol);
Assert.That(p.AvgPrice == 0);
Assert.That(p.Flat);
Assert.That(p.isValid);
Position p2 = new Position(s, 10, 100);
p.Adjust(p2);
Assert.That(p.Size == 100);
Assert.That(p.hasSymbol);
Assert.That(p.AvgPrice == 10);
Assert.That(!p.Flat);
Assert.That(p.Side);
Assert.That(p.isValid);
Position p3 = new Position(s, 0, 100);
Assert.That(!p3.isValid);
p3 = new Position(s, 10, 0);
Assert.That(!p3.isValid);
p3 = new Position(s, 12, 100);
p.Adjust(p3);
Assert.That(p.AvgPrice == 11);
Assert.That(p.Side);
Assert.That(p.isValid);
Assert.That(!p.Flat);
Assert.That(p.Size == 200);
p.Adjust(new Trade(s, 13, -100, dt));
Assert.That(p.AvgPrice == 11);
Assert.That(p.Side);
Assert.That(p.isValid);
Assert.That(!p.Flat);
Assert.That(p.Size == 100);
Trade lasttrade = new Trade(s, 12, -100, dt);
decimal profitFromP2toLASTTRADE = BoxMath.ClosePL(p2, lasttrade);
Assert.That(profitFromP2toLASTTRADE == (lasttrade.xprice - p2.AvgPrice) * Math.Abs(lasttrade.xsize));
}
void Adjust(Position p)
{
if (_positions.ContainsKey(p.FullSymbol))
{
Position o = _positions[p.FullSymbol];
o.Adjust(p);
_positions[p.FullSymbol] = o;
}
else
{
_positions.Add(p.FullSymbol, p);
}
}
public void MaxSizeTest()
{
Always b = new Always();
b.MinSize = 100;
b.MaxSize = 200;
Position p = new Position(s);
Order o = new Order();
Assert.That(b.MinSize == 100);
Assert.That(b.MaxSize == 200);
for (int i = 0; i < timesales.Length; i++)
{
Tick t = new Tick(timesales[i]);
if (o.isValid && t.isTrade)
{
o.Fill(t);
p.Adjust((Trade)o);
o = new Order();
}
Assert.That(p.Size <= b.MaxSize);
o = b.Trade(timesales[i], new BarList(), p, new BoxInfo());
}
Assert.That(p.Size == 200);
// Now we'll set maxsize to 100
b = new Always();
b.MinSize = 100;
b.MaxSize = 100;
p = new Position(s);
o = new Order();
Assert.That(b.MinSize == 100);
Assert.That(b.MaxSize == 100);
for (int i = 0; i < timesales.Length; i++)
{
Tick t = new Tick(timesales[i]);
if (o.isValid && t.isTrade)
{
o.Fill(t);
p.Adjust((Trade)o);
o = new Order();
}
Assert.That(p.Size <= b.MaxSize);
o = b.Trade(timesales[i], new BarList(), p, new BoxInfo());
}
Assert.That(p.Size == 100);
}
public void UsingTrades()
{
// long
Position p = new Position(new Trade(s, 80, 100, dt));
Assert.That(p.Side);
Assert.That(p.Size == 100);
decimal pl = p.Adjust(new Trade(s, 84, -100, dt));
Assert.That(p.Flat);
Assert.That(pl == (84 - 80) * 100);
// short
pl = 0;
p = new Position(new Trade(s, 84, -100, dt));
Assert.That(!p.Side);
Assert.That(p.Size == -100);
pl = p.Adjust(new Trade(s, 80, 100, dt));
Assert.That(pl == (84 - 80) * 100);
Assert.That(p.Flat);
}
