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));
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
Position pos = new Position(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID))
{
return(points);
}
foreach (Trade t in MasterTrades[account.ID])
{
points += BoxMath.ClosePT(pos, t);
pos.Adjust(t);
}
return(points);
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol, Account a)
{
Position pos = new Position(symbol);
if (!MasterTrades.ContainsKey(a.ID))
{
return(pos);
}
foreach (Trade trade in MasterTrades[a.ID])
{
if (trade.symbol == symbol)
{
pos.Adjust(trade);
}
}
return(pos);
}
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);
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new Position(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID))
{
return(pl);
}
foreach (Trade trade in MasterTrades[a.ID])
{
if (trade.symbol == pos.Symbol)
{
pl += pos.Adjust(trade);
}
}
return(pl);
}
/// <summary>
/// Gets the closed points (points = PL on per-share basis) for given symbol/account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="account">The account.</param>
/// <returns>points</returns>
public decimal GetClosedPT(string symbol, Account account)
{
Position pos = new Position(symbol);
decimal points = 0;
if (!MasterTrades.ContainsKey(account.ID)) return points;
foreach (Trade t in MasterTrades[account.ID])
{
points += BoxMath.ClosePT(pos, t);
pos.Adjust(t);
}
return points;
}
/// <summary>
/// Gets the closed PL for a particular symbol and brokerage account.
/// </summary>
/// <param name="symbol">The symbol.</param>
/// <param name="a">The Account.</param>
/// <returns>Closed PL</returns>
public decimal GetClosedPL(string symbol, Account a)
{
Position pos = new Position(symbol);
decimal pl = 0;
if (!MasterTrades.ContainsKey(a.ID)) return pl;
foreach (Trade trade in MasterTrades[a.ID])
{
if (trade.symbol == pos.Symbol)
pl += pos.Adjust(trade);
}
return pl;
}
/// <summary>
/// Gets the open position for the specified account.
/// </summary>
/// <param name="symbol">The symbol to get a position for.</param>
/// <param name="a">the account.</param>
/// <returns>current position</returns>
public Position GetOpenPosition(string symbol,Account a)
{
Position pos = new Position(symbol);
if (!MasterTrades.ContainsKey(a.ID)) return pos;
foreach (Trade trade in MasterTrades[a.ID])
if (trade.symbol==symbol)
pos.Adjust(trade);
return pos;
}
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 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
}