/// <summary>
/// Updates the specified order in the brokerage until it fills or reaches a timeout
/// </summary>
/// <param name="order">The order to be modified</param>
/// <param name="parameters">The order test parameters that define how to modify the order</param>
/// <param name="secondsTimeout">Maximum amount of time to wait until the order fills</param>
protected void ModifyOrderUntilFilled(Order order, OrderTestParameters parameters, double secondsTimeout = 90)
{
if (order.Status == OrderStatus.Filled)
{
return;
}
var filledResetEvent = new ManualResetEvent(false);
EventHandler<OrderEvent> brokerageOnOrderStatusChanged = (sender, args) =>
{
if (args.Status == OrderStatus.Filled)
{
filledResetEvent.Set();
}
if (args.Status == OrderStatus.Canceled || args.Status == OrderStatus.Invalid)
{
Log.Trace("ModifyOrderUntilFilled(): " + order);
Assert.Fail("Unexpected order status: " + args.Status);
}
};
Brokerage.OrderStatusChanged += brokerageOnOrderStatusChanged;
Log.Trace("");
Log.Trace("MODIFY UNTIL FILLED: " + order);
Log.Trace("");
var stopwatch = Stopwatch.StartNew();
while (!filledResetEvent.WaitOne(3000) && stopwatch.Elapsed.TotalSeconds < secondsTimeout)
{
filledResetEvent.Reset();
if (order.Status == OrderStatus.PartiallyFilled) continue;
var marketPrice = GetAskPrice(order.Symbol, order.SecurityType);
Log.Trace("BrokerageTests.ModifyOrderUntilFilled(): Ask: " + marketPrice);
var updateOrder = parameters.ModifyOrderToFill(Brokerage, order, marketPrice);
if (updateOrder)
{
if (order.Status == OrderStatus.Filled) break;
Log.Trace("BrokerageTests.ModifyOrderUntilFilled(): " + order);
if (!Brokerage.UpdateOrder(order))
{
Assert.Fail("Brokerage failed to update the order");
}
}
}
Brokerage.OrderStatusChanged -= brokerageOnOrderStatusChanged;
}
public void ShortFromLong(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("SHORT FROM LONG");
Log.Trace("");
// first go long
PlaceOrderWaitForStatus(parameters.CreateLongMarketOrder(GetDefaultQuantity()));
// now go net short
var order = PlaceOrderWaitForStatus(parameters.CreateShortOrder(2 * GetDefaultQuantity()), parameters.ExpectedStatus);
if (parameters.ModifyUntilFilled)
{
ModifyOrderUntilFilled(order, parameters);
}
}
public void ShortFromZero(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("SHORT FROM ZERO");
Log.Trace("");
PlaceOrderWaitForStatus(parameters.CreateShortOrder(GetDefaultQuantity()), parameters.ExpectedStatus);
}
public void LongFromZero(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("LONG FROM ZERO");
Log.Trace("");
PlaceOrderWaitForStatus(parameters.CreateLongOrder(GetDefaultQuantity()), parameters.ExpectedStatus);
}
public void LongFromShort(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("LONG FROM SHORT");
Log.Trace("");
// first fo short
PlaceOrderWaitForStatus(parameters.CreateShortMarketOrder(-GetDefaultQuantity()), OrderStatus.Filled);
// now go long
var order = PlaceOrderWaitForStatus(parameters.CreateLongOrder(2 * GetDefaultQuantity()), parameters.ExpectedStatus);
if (parameters.ModifyUntilFilled)
{
ModifyOrderUntilFilled(order, parameters);
}
}
public void CloseFromShort(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("CLOSE FROM SHORT");
Log.Trace("");
// first go short
PlaceOrderWaitForStatus(parameters.CreateShortMarketOrder(GetDefaultQuantity()), OrderStatus.Filled);
// now close it
PlaceOrderWaitForStatus(parameters.CreateLongOrder(GetDefaultQuantity()), parameters.ExpectedStatus);
}
public void CloseFromLong(OrderTestParameters parameters)
{
Log.Trace("");
Log.Trace("CLOSE FROM LONG");
Log.Trace("");
// first go long
PlaceOrderWaitForStatus(parameters.CreateLongMarketOrder(1), OrderStatus.Filled);
// now close it
PlaceOrderWaitForStatus(parameters.CreateShortOrder(1), parameters.ExpectedStatus);
}
public virtual void CancelOrders(OrderTestParameters parameters)
{
const int secondsTimeout = 20;
Log.Trace("");
Log.Trace("CANCEL ORDERS");
Log.Trace("");
var order = PlaceOrderWaitForStatus(parameters.CreateLongOrder(GetDefaultQuantity()), parameters.ExpectedStatus);
var canceledOrderStatusEvent = new ManualResetEvent(false);
EventHandler <OrderEvent> orderStatusCallback = (sender, fill) =>
{
if (fill.Status == OrderStatus.Canceled)
{
canceledOrderStatusEvent.Set();
}
};
Brokerage.OrderStatusChanged += orderStatusCallback;
var cancelResult = false;
try
{
cancelResult = Brokerage.CancelOrder(order);
}
catch (Exception exception)
{
Log.Error(exception);
}
Assert.AreEqual(IsCancelAsync() || parameters.ExpectedCancellationResult, cancelResult);
if (parameters.ExpectedCancellationResult)
{
// We expect the OrderStatus.Canceled event
canceledOrderStatusEvent.WaitOneAssertFail(1000 * secondsTimeout, "Order timedout to cancel");
}
var openOrders = Brokerage.GetOpenOrders();
var cancelledOrder = openOrders.FirstOrDefault(x => x.Id == order.Id);
Assert.IsNull(cancelledOrder);
canceledOrderStatusEvent.Reset();
var cancelResultSecondTime = false;
try
{
cancelResultSecondTime = Brokerage.CancelOrder(order);
}
catch (Exception exception)
{
Log.Error(exception);
}
Assert.AreEqual(IsCancelAsync(), cancelResultSecondTime);
// We do NOT expect the OrderStatus.Canceled event
Assert.IsFalse(canceledOrderStatusEvent.WaitOne(new TimeSpan(0, 0, 10)));
Brokerage.OrderStatusChanged -= orderStatusCallback;
}