public void RawSingle()
{
SingleSimImpl h = new SingleSimImpl(new string[] { "FTI20070926.TIK" });
rawbase("rawsingle",1,h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Greater(tickcount, 40000);
}
public void RawPerformance()
{
SingleSimImpl h = new SingleSimImpl(Environment.CurrentDirectory);
rawbase("raw performance multi",3,h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
public void RawPerformance()
{
SingleSimImpl h = new SingleSimImpl(new string[] { "FTI20070926.TIK", "ABN20080318.TIK", "SPX20070926.TIK" });
rawbase("raw performance multi",3,h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
public void rawbase(string name,int symcount, SingleSimImpl sim)
{
rt.d(name.ToUpper());
SingleSimImpl h = sim;
h.GotTick += new TradeLink.API.TickDelegate(raw_GotTick);
h.GotDebug += new DebugDelegate(h_GotDebug);
tickcount = 0;
syms.Clear();
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
if (Environment.ProcessorCount == 1) EXPECTRAW *= 2.5;
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
// printout simulation runtime
rt.d("Ticks received: " + tickcount + " sent: " + h.TicksProcessed + " estimate: " + h.TicksPresent);
rt.d("Raw runtime: " + h.RunTimeSec.ToString("N2") + "sec, versus: " + EXPECTRAW + "sec expected.");
rt.d("Raw speed: " + h.RunTimeTicksPerSec.ToString("N0") + " ticks/sec");
// make sure ticks arrived in order
Assert.IsTrue(h.isTickPlaybackOrdered, "Tick arrived out-of-order.");
// ensure got expected number of symbols
Assert.AreEqual(symcount, syms.Count);
// variance from approximate count should be less than 1%
Assert.Less((tickcount - h.TicksPresent) / h.TicksPresent, .01);
// actual count should equal simulation count
Assert.AreEqual(h.TicksProcessed, tickcount);
h.Stop();
rt.d(name.ToUpper());
}
public static bool PlayHistoricalTicks(Response r, GenericTracker <string> symbols, DateTime start, DateTime endexclusive, int expecteddays, DebugDelegate deb)
{
bool skipexpected = expecteddays == 0;
// prepare to track actual days for each symbol
GenericTracker <int> actualdays = new GenericTracker <int>();
foreach (string sym in symbols)
{
actualdays.addindex(sym, 0);
}
// prepare to track all tickfiles
Dictionary <string, List <string> > files = new Dictionary <string, List <string> >();
// get all required tickfiles for each symbol on each date
DateTime now = new DateTime(start.Ticks);
int tfc = 0;
while (now < endexclusive)
{
// get the tick files
List <string> allfiles = TikUtil.GetFilesFromDate(Util.TLTickDir, Util.ToTLDate(now));
// go through them all and see if we find expected number
foreach (string fn in allfiles)
{
// get security
SecurityImpl sec = SecurityImpl.FromTIK(fn);
// see if we want this symbol
int idx = symbols.getindex(sec.HistSource.RealSymbol);
if (idx < 0)
{
idx = symbols.getindex(sec.Symbol);
}
sec.HistSource.Close();
// skip if we don't
if (idx < 0)
{
continue;
}
string sym = symbols.getlabel(idx);
// if we have it, count actual day
actualdays[idx]++;
// save file and symbol
if (!files.ContainsKey(sym))
{
files.Add(sym, new List <string>());
}
files[sym].Add(fn);
// count files
tfc++;
}
// add one day
now = now.AddDays(1);
}
// notify
if (deb != null)
{
deb("found " + tfc + " tick files matching dates: " + Util.ToTLDate(start) + "->" + Util.ToTLDate(endexclusive) + " for: " + string.Join(",", symbols.ToArray()));
}
// playback when actual meets expected
bool allok = true;
foreach (string sym in symbols)
{
if (skipexpected || (actualdays[sym] >= expecteddays))
{
// get tick files
string[] tf = files[sym].ToArray();
// notify
if (deb != null)
{
deb(sym + " playing back " + tf.Length + " tick files.");
}
// playback
HistSim h = new SingleSimImpl(tf);
h.GotTick += new TickDelegate(r.GotTick);
h.PlayTo(MultiSimImpl.ENDSIM);
h.Stop();
// notify
if (deb != null)
{
deb(sym + " completed playback. ");
}
}
else
{
allok = false;
}
}
return(allok);
}
public static bool PlayHistoricalTicks(Response r, GenericTracker<string> symbols, DateTime start, DateTime endexclusive, int expecteddays, DebugDelegate deb)
{
bool skipexpected = expecteddays == 0;
// prepare to track actual days for each symbol
GenericTracker<int> actualdays = new GenericTracker<int>();
foreach (string sym in symbols)
actualdays.addindex(sym, 0);
// prepare to track all tickfiles
Dictionary<string, List<string>> files = new Dictionary<string, List<string>>();
// get all required tickfiles for each symbol on each date
DateTime now = new DateTime(start.Ticks);
int tfc = 0;
while (now < endexclusive)
{
// get the tick files
List<string> allfiles = TikUtil.GetFilesFromDate(Util.TLTickDir, Util.ToTLDate(now));
// go through them all and see if we find expected number
foreach (string fn in allfiles)
{
// get security
SecurityImpl sec = SecurityImpl.FromTIK(fn);
// see if we want this symbol
int idx = symbols.getindex(sec.HistSource.RealSymbol);
if (idx < 0)
idx = symbols.getindex(sec.Symbol);
sec.HistSource.Close();
// skip if we don't
if (idx < 0)
continue;
string sym = symbols.getlabel(idx);
// if we have it, count actual day
actualdays[idx]++;
// save file and symbol
if (!files.ContainsKey(sym))
files.Add(sym, new List<string>());
files[sym].Add(fn);
// count files
tfc++;
}
// add one day
now = now.AddDays(1);
}
// notify
if (deb != null)
{
deb("found " + tfc + " tick files matching dates: " + Util.ToTLDate(start) + "->" + Util.ToTLDate(endexclusive) + " for: " + string.Join(",", symbols.ToArray()));
}
// playback when actual meets expected
bool allok = true;
foreach (string sym in symbols)
{
if (skipexpected || (actualdays[sym] >= expecteddays))
{
// get tick files
string[] tf = files[sym].ToArray();
// notify
if (deb != null)
{
deb(sym + " playing back " + tf.Length + " tick files.");
}
// playback
HistSim h = new SingleSimImpl(tf);
h.GotTick += new TickDelegate(r.GotTick);
h.PlayTo(MultiSimImpl.ENDSIM);
h.Stop();
// notify
if (deb != null)
{
deb(sym + " completed playback. ");
}
}
else
allok = false;
}
return allok;
}
/// <summary>
/// returns true if sim event binding is needed
/// </summary>
/// <param name="sim"></param>
/// <param name="ga"></param>
bool prepsim_needsbind(ref HistSim sim, GauntArgs ga)
{
// see if filter or folder has changed
string thistff = TickFileFilter.Serialize(ga.Filter)+ga.Folder;
bool fullreset = lasttff != thistff;
if ((sim==null) || fullreset)
{
if (_portfoliosim.Checked)
{
if (_siminmemory.Checked)
{
sim = new HistSimMemory(ga.Folder, ga.Filter);
}
else
{
debug("Using portfolio simulation. (realistic)");
sim = new MultiSimImpl(ga.Folder, ga.Filter);
}
}
else
{
debug("Using sequential symbol simulation. (faster)");
sim = new SingleSimImpl(ga.Folder, ga.Filter);
}
lasttff = thistff;
return true;
}
else
{
sim.Reset();
}
return false;
}
public void RawPerformanceWithLoad()
{
System.ComponentModel.BackgroundWorker bw = new System.ComponentModel.BackgroundWorker();
bw.DoWork += new System.ComponentModel.DoWorkEventHandler(bw_DoWork);
bw.WorkerSupportsCancellation = true;
SingleSimImpl h = new SingleSimImpl(Environment.CurrentDirectory);
rawbase("raw performance multi w/load", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
RawPerformance();
bw.CancelAsync();
run = false;
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
//[Test]
public void BarPerformance()
{
SingleSimImpl h = new SingleSimImpl(Environment.CurrentDirectory);
h.GotTick += new TradeLink.API.TickDelegate(h_GotTick);
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1) EXPECTBARS *= 2.5;
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
h.Stop();
Assert.GreaterOrEqual(tickcount, 50000);
Assert.AreEqual(3, bt.SymbolCount);
Assert.LessOrEqual(time, EXPECTBARS);
rt.d("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
rt.d("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
//[Test]
public void ExecutionPerformance()
{
System.Threading.Thread.Sleep(100);
h = new SingleSimImpl(Environment.CurrentDirectory);
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(execute_GotTick);
h.SimBroker.GotFill += new TradeLink.API.FillDelegate(SimBroker_GotFill);
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1) EXPECTEX *= 2.5;
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
rt.d("Execution runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTEX + "sec expected.");
rt.d("Execution " + ((double)tickcount / time).ToString("N0") + " ticks/sec. " + ((double)fillcount / time).ToString("N0") + " fills/sec");
Assert.AreEqual(desiredfills, fillcount);
Assert.LessOrEqual(time, EXPECTEX);
h.Stop();
}
