public void do_nothing_if_order_is_filled()
{
Signal s1 = new Signal(this.strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Sell, OrderType.Limit, 150000, 0, 150000);
this.tradingData.Get <ICollection <Signal> >().Add(s1);
Order o1 = new Order(s1);
this.tradingData.Get <ICollection <Order> >().Add(o1);
Trade t1 = new Trade(o1, this.strategyHeader.Portfolio, this.strategyHeader.Symbol, 150000, -10, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ICollection <Trade> >().Add(t1);
o1.FilledAmount = t1.Amount * -1;
Assert.IsTrue(o1.IsFilled);
Assert.IsFalse(o1.IsFilledPartially);
double currentPrice = 150040;
DateTime date = BrokerDateTime.Make(DateTime.Now);
string description = String.Format("Текущая цена {0} на расстоянии одного шага от stop loss цены {1} стратегии.", currentPrice, s1.Limit + this.slSettings.Points);
IGenericFactory <OrderCancellationRequest> factory = new UnfilledOrderCancellationRequestFactory(currentPrice, o1, tradingData);
Assert.IsNull(factory.Make());
}
public void cancel_partially_filled_for_limit_to_buy_order_when_current_price_near_stop_loss()
{
Signal s1 = new Signal(this.strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Limit, 150000, 0, 150000);
this.tradingData.Get <ICollection <Signal> >().Add(s1);
Order o1 = new Order(s1);
this.tradingData.Get <ICollection <Order> >().Add(o1);
Trade t1 = new Trade(o1, this.strategyHeader.Portfolio, this.strategyHeader.Symbol, 150000, 3, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ICollection <Trade> >().Add(t1);
o1.FilledAmount = t1.Amount;
Assert.IsFalse(o1.IsFilled);
Assert.IsTrue(o1.IsFilledPartially);
double currentPrice = 149960;
DateTime date = BrokerDateTime.Make(DateTime.Now);
string description = String.Format("Текущая цена {0} на расстоянии одного шага от stop loss цены {1} стратегии.", currentPrice, s1.Limit - this.slSettings.Points);
IGenericFactory <OrderCancellationRequest> factory = new UnfilledOrderCancellationRequestFactory(currentPrice, o1, tradingData);
OrderCancellationRequest request = factory.Make();
Assert.IsTrue(request.Id > 0);
Assert.AreEqual(o1, request.Order);
Assert.AreEqual(o1.Id, request.OrderId);
Assert.IsTrue(request.DateTime >= date);
Assert.AreEqual(description, request.Description);
}
public void make_request_for_unfilled_limit_to_sell_order_when_current_price_near_take_profit()
{
Signal s1 = new Signal(this.strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Sell, OrderType.Limit, 150000, 0, 150000);
this.tradingData.Get <ICollection <Signal> >().Add(s1);
Order o1 = new Order(s1);
this.tradingData.Get <ICollection <Order> >().Add(o1);
Assert.IsFalse(o1.IsFilled);
Assert.IsFalse(o1.IsFilledPartially);
double currentPrice = 149930;
DateTime date = BrokerDateTime.Make(DateTime.Now);
string description = String.Format("Текущая цена {0} на расстоянии одного шага от take profit цены {1} стратегии.", currentPrice, s1.Limit - this.tpSettings.Points);
IGenericFactory <OrderCancellationRequest> factory = new UnfilledOrderCancellationRequestFactory(currentPrice, o1, tradingData);
OrderCancellationRequest request = factory.Make();
Assert.IsTrue(request.Id > 0);
Assert.AreEqual(o1, request.Order);
Assert.AreEqual(o1.Id, request.OrderId);
Assert.IsTrue(request.DateTime >= date);
Assert.AreEqual(description, request.Description);
}
public override void OnItemAdded(Tick item)
{
//TODO здесь что-то очень медленно:
IEnumerable <Order> unfilled = this.tradingData.Get <ICollection <Order> >().GetUnfilled(item.Symbol);
if (unfilled == null)
{
return;
}
if (unfilled.Count() == 0)
{
return;
}
try
{
foreach (Order o in unfilled)
{
if (!this.tradingData.Get <ICollection <Position> >().Exists(o.Portfolio, o.Symbol))
{
IGenericFactory <OrderCancellationRequest> cancellationFactory = new UnfilledOrderCancellationRequestFactory(item.Price, o, (TradingDataContext)this.tradingData);
//cancellationFactory.currentPrice = item.Price;
//cancellationFactory.order = o;
//cancellationFactory.tradingData = (TradingDataContext)this.tradingData;
OrderCancellationRequest request = cancellationFactory.Make();
if (request != null)
{
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, сформирован новый запрос {2} на отмену заявки {3}.", DateTime.Now, this.GetType().Name, o.ToString(), request.Description));
this.tradingData.Get <ObservableHashSet <OrderCancellationRequest> >().Add(request);
}
}
}
}
catch
{
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, Ошибка в {2}.", DateTime.Now, this.GetType().Name, "OnItemAdded"));
}
}