public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
OrderImpl o = new OrderImpl();
int error = broker.SendOrderStatus(o);
Assert.AreNotEqual((int)MessageTypes.OK,error);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
broker.SendOrderStatus(o);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(TickImpl.NewTrade(s,10,200)) == 1);
Assert.That(fills == 1);
// test that a limit order is not filled outside the market
o = new BuyLimit(s, 100, 9);
broker.SendOrderStatus(o);
Assert.AreEqual(0, broker.Execute(TickImpl.NewTrade(s, 10, 100)));
Assert.That(fills == 1); // redudant but for counting
// test that limit order is filled inside the market
Assert.AreEqual(1, broker.Execute(TickImpl.NewTrade(s, 8, 100)));
Assert.That(fills == 2);
OrderImpl x = new OrderImpl();
// test that a market order is filled when opposite book exists
o = new SellLimit(s, 100, 11);
x = new BuyMarket(s, 100);
const string t2 = "trader2";
x.Account = t2;
broker.SendOrderStatus(o);
broker.SendOrderStatus(x);
Assert.AreEqual(3, fills);
// test that a market order is not filled when no book exists
// on opposite side
// clear existing orders
broker.CancelOrders();
o = new SellMarket(s, 100);
o.Account = t2;
broker.SendOrderStatus(o);
Assert.AreEqual(3, fills);
}
public void Basics()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.SendOrder += new OrderDelegate(tt_SendOrder);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0,.15m);
// verify it's set
Assert.AreEqual(.15m,tt.DefaultTrail.StopDist);
// get feed
Tick [] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 100));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++ )
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.IsTrue(p.isFlat,p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc);
}
void _h_GotTick(Tick t)
{
SimBroker.Execute(t);
_r.GotTick(t);
}
public void OPGs()
{
Broker broker = new Broker();
const string s = "TST";
// build and send an OPG order
OrderImpl opg = new BuyOPG(s, 200, 10);
broker.SendOrderStatus(opg);
// build a tick on another exchange
TickImpl it = TickImpl.NewTrade(s, 9, 100);
it.ex = "ISLD";
// fill order (should fail)
int c = broker.Execute(it);
Assert.AreEqual(0, c);
// build opening price for desired exchange
TickImpl nt = TickImpl.NewTrade(s, 9, 10000);
nt.ex = "NYS";
// fill order (should work)
c = broker.Execute(nt);
Assert.AreEqual(1, c);
// add another OPG, make sure it's not filled with another tick
TickImpl next = TickImpl.NewTrade(s, 9, 2000);
next.ex = "NYS";
OrderImpl late = new BuyOPG(s, 200, 10);
broker.SendOrderStatus(late);
c = broker.Execute(next);
Assert.AreEqual(0, c);
}
public void MultiFire()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.VerboseDebugging = true;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
tt.SendDebug += new DebugDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m,0,.5m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
// get feed
Tick[] tape = MultiFireSampleData();
// test broker
Broker b = new Broker();
b.Reset();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 400));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.AreEqual(200,p.UnsignedSize, "position is not flat: " + p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc,"too many fires");
}
public void TrailStartedAfterFirePoint()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.isValid = true;
const string acct = "DEFAULT";
tt.pt.DefaultAccount = acct;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
//tt.SendDebug += new DebugFullDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
//
tt.TrailByDefault = true;
// put in a position to track
tt.Adjust(new PositionImpl(SYM, 11.00m, 100, 0m,acct));
// check position in tt-pt
Assert.AreEqual(1, tt.pt.Count);
// manually enter a trail
tt[SYM] = new OffsetInfo(0m, .25m);
// check if trail entered for symbol
Assert.AreEqual(.25m, tt[SYM].StopDist);
// get feed
Tick[] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
Assert.AreEqual(1, oc);
}
public void MOCs()
{
Broker broker = new Broker();
const string s = "TST";
OrderImpl moc = new MOCOrder(s, true, 200);
Assert.IsTrue(moc.ValidInstruct == OrderInstructionType.MOC, "unexpected order instruction: " + moc.ValidInstruct);
Assert.AreEqual(0, broker.SendOrderStatus(moc), "send moc order failed");
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 9, 10000, "NYS");
int c = 0;
c = broker.Execute(openingTick); Assert.AreEqual(0, c,"MOC filled on open");
c = broker.Execute(endMornTick); Assert.AreEqual(0, c, "MOC filled in morning");
c = broker.Execute(endLunchTick); Assert.AreEqual(0, c, "MOC filled at lunch");
c = broker.Execute(closingTick); Assert.AreEqual(1, c, "MOC did not fill at close"); // should execute on the first tick at/after 16:00:00
}
public void DayFill()
{
Broker broker = new Broker();
const string s = "TST";
OrderImpl day = new MarketOrder(s, true, 200);
broker.SendOrderStatus(day);
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 9, 10000, "NYS");
int c;
c = broker.Execute(openingTick); Assert.AreEqual(1, c); // should execute on first received tick
c = broker.Execute(endMornTick); Assert.AreEqual(0, c);
c = broker.Execute(endLunchTick); Assert.AreEqual(0, c);
c = broker.Execute(closingTick); Assert.AreEqual(0, c);
}
public void Fill_HighLiquidity()
{
Broker broker = new Broker();
broker.UseHighLiquidityFillsEOD = true;
const string s = "SPY";
OrderImpl limitBuy = new LimitOrder(s, true, 1, 133m);
OrderImpl limitSell = new LimitOrder(s, false, 2, 133.5m);
OrderImpl stopBuy = new StopOrder(s, true, 3, 135.70m);
OrderImpl stopSell = new StopOrder(s, false, 4, 135.75m);
broker.SendOrderStatus(limitBuy);
broker.SendOrderStatus(limitSell);
broker.SendOrderStatus(stopBuy);
broker.SendOrderStatus(stopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List<Trade> trades = broker.GetTradeList();
Assert.IsTrue(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.xsize == 1)
Assert.AreEqual(133m, trade.xprice);
else if (trade.xsize == 2)
Assert.AreEqual(133.5m, trade.xprice);
else if (trade.xsize == 3)
Assert.AreEqual(135.7m, trade.xprice);
else if (trade.xsize == 4)
Assert.AreEqual(135.75m, trade.xprice);
}
}
void _h_GotTick(Tick t)
{
SimBroker.Execute(t);
responseengine.GotTick(t);
}
public void DataProvider()
{
TickImpl t = TickImpl.NewTrade(s, 10, 700);
// feature to pass-through ticks to any subscriber
// this can be connected to tradelink library to allow filtered subscribptions
// and interapplication communication
Broker broker = new Broker();
broker.GotTick += new TickDelegate(broker_GotTick);
Assert.That((receivedtickDP == null) && (gottickDP == 0));
broker.Execute(t); // should fire a gotTick
Assert.That(gottickDP != 0);
Assert.That((receivedtickDP != null) && (receivedtickDP.trade == t.trade));
}
