public ProcessState_Default(ProcessController_KtbSkel parent)
{
_parent = parent;
_spotCode = _parent.Parent.SpotCode;
_futureCode = _parent.Parent.FutureCode;
_maxNotional = _parent.Parent.MaxNotional;
_monitorExit = _parent.MonitorExit;
_stack = _parent.SortedPositionStack;
}
public SortedPositionStack_KtbSkel(
ProcessController_KtbSkel parent,
String strategyName, String spotCode, String futureCode,
long maxNotional, double downBoundary, double upBoundary)
{
_parent = parent;
this.StrategyName = strategyName;
this.SpotCode = spotCode;
this.FutureCode = futureCode;
this.MaxNotional = maxNotional;
this.DownBoundary = downBoundary;
this.UpBoundary = upBoundary;
}
public ProcessState_EnterExit(
double indicator,
ProcessController_KtbSkel parent,
long unsignedNotional,
RawMarketData spotRmd,
RawMarketData futureRmd,
IInOutPolicy enterExitPolicy,
Boolean showUI)
{
_parent = parent;
_unsignedNotional = unsignedNotional;
_enterExitPolicy = enterExitPolicy;
_futureAccount = _parent.FutureAccount;
SetTargetPosition(spotRmd, futureRmd);
_sweepController = new ManualSweepController_KtbSkel(_targetPosition);
if (showUI)
{
CreateUI(indicator);
}
}
void TestKtbSkelProcessConstructor_Raw(ProcessController_KtbSkel controller)
{
TestKtbSkelProcess_Default_Constructor_Raw(controller);
TestKtbSkelProcess_Entering_Constructor_Raw(controller);
TestKtbSkelProcess_Exiting_Constructor_Raw(controller);
}
void TestKtbSkelProcess_Exiting_Constructor_Raw(ProcessController_KtbSkel controller)
{
RawMarketData spotRmd = RmdManager.Ins().KtbSpot.GetData(controller.Parent.SpotCode);
RawMarketData futureRmd = RmdManager.Ins().Future.GetData(controller.Parent.FutureCode);
spotRmd = spotRmd.Clone() as RawMarketData;
futureRmd = futureRmd.Clone() as RawMarketData;
spotRmd.BidPrice1 = 8888F;
spotRmd.AskPrice1 = 8889F;
futureRmd.BidPrice1 = 107.01F;
futureRmd.AskPrice1 = 107.02F;
IInOutPolicy exitPolicy = new OutPolicy();
ProcessState_EnterExit process = new ProcessState_EnterExit(
1.0F,
controller,
10,
spotRmd,
futureRmd,
exitPolicy,
false);
ProcessState_EnterExit_Accessor acc = new ProcessState_EnterExit_Accessor(new PrivateObject(process));
Assert.AreEqual(acc._enterExitPolicy.GetInOutType(), InOutType.OutType);
}
void TestKtbSkelProcess_Default_Constructor_Raw(ProcessController_KtbSkel controller)
{
ProcessState_Default process = new ProcessState_Default(controller);
ProcessState_Default_Accessor acc = new ProcessState_Default_Accessor(
new PrivateObject(process));
Assert.AreEqual(acc._parent, controller);
Assert.AreEqual(acc._futureCode, controller.Parent.FutureCode);
Assert.AreEqual(acc._spotCode, controller.Parent.SpotCode);
Assert.AreEqual(acc._maxNotional, controller.MaxNotional);
Assert.AreEqual(acc._stack, controller.SortedPositionStack);
Assert.AreEqual(acc._monitorExit, controller.MonitorExit);
}
public void ExecuteAfterSweeperDone(ProcessController_KtbSkel controller, Position_KtbSkel position)
{
// Out,
controller.SortedPositionStack.Erase(position);
}
public MonitorExit_KtbSkel(ProcessController_KtbSkel parent)
{
_parent = parent;
_spotCode = parent.Parent.SpotCode;
_futureCode = parent.Parent.FutureCode;
}