public override void GotTick(Tick tick)
{
if (RequestedForSymbol.getindex(tick.symbol) == GenericTracker.UNKNOWN
|| RequestedForSymbol[tick.symbol] == false)
{
RequestedForSymbol.addindex(tick.symbol, true);
Order myOrder = new MOCOrder(tick.symbol, true, 100);
sendorder(myOrder);
//senddebug(myOrder.TIF);
senddebug("Sent Order: " + myOrder);
}
}
///////////////////////////////////////////////////////////////////////
// TradeLink Hooks
///////////////////////////////////////////////////////////////////////
public override void GotTick(Tick tick)
{
if (RequestedForSymbol.getindex(tick.symbol) == GenericTracker.UNKNOWN
|| RequestedForSymbol[tick.symbol] == false)
{
RequestedForSymbol.addindex(tick.symbol, true);
// send opening order
Order Opener = new OrderImpl(tick.symbol, true, 100);
sendorder(Opener);
// send closing order
Order Closer = new MOCOrder(tick.symbol, false, 100);
sendorder(Closer);
senddebug("Sent Order: " + Closer);
}
}
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
}
