public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new PositionsRebalancer(_dataLoader, _commission, _slippage);
_openPriceLevelCalled = false;
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new PositionsCloser(_dataLoader, _commission, _slippage);
_positionSelectorCalled = false;
_closePriceSelectorCalled = false;
}
public void SetUp()
{
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(PricesCount, LastDate);
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
TestObj = new SignalsProcessor(_dataLoader, _commission, _slippage);
_signalSelectorCalled = false;
_openPriceLevelCalled = false;
}
public void SetUp()
{
_dataProvider = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
_dataLoader = SystemDataLoaderUtils.CreateSubstituteWithConstantPriceInRange(PricesCount, StartingPrice, PriceRange, LastDate);
_dataDefinitionProvider = Substitute.For <ISystemDataDefinitionProvider>();
_signalGeneratorOnOpen = Substitute.For <ISignalGeneratorOnOpen>();
_signalGeneratorOnClose = Substitute.For <ISignalGeneratorOnClose>();
_commission = CommissionUtils.CreateSubstitute();
_slippage = SlippageUtils.CreateSusbstitute();
_mmPositionCloseCalculator = Substitute.For <IMMPositionCloseCalculator>();
_systemState = new SystemState()
{
Cash = InitialCash
};
_slippage.CalculateOpen(default, default, default, default).ReturnsForAnyArgs(args => args.ArgAt <float>(3));
public void SetUp()
{
_stock = new StockDefinition()
{
Type = StockType.Stock
};
_stock2 = new StockDefinition();
_testObj = new SystemState()
{
Cash = CashValue
};
_stockPrices = new StockPricesData(1);
_dataLoader = SystemDataLoaderUtils.CreateSubstitute(_stockPrices);
_commission = CommissionUtils.CreateSubstitute(Commission);
_slippage = SlippageUtils.CreateSusbstitute();
EntrySignal.Stock = _stock;
}
public void CalcCurrentValue_Multiple_MixedCase__CalculatesCashAndPosition()
{
_testObj.PositionsActive.Add(CreatePosition(PositionDir.Long, Price1, Vol1));
_stockPrices.TS[0] = CurrentTS;
_stockPrices.C[0] = Close1;
_testObj.CalcCurrentValue(CurrentTS, _dataLoader);
_testObj.Equity.Count.ShouldBe(1);
_testObj.Equity[0].Value.ShouldBe(CashValue + Close1 * Vol1);
_testObj.Equity[0].TS.ShouldBe(CurrentTS);
_testObj.CloseAll(CurrentTS2, Close1, _slippage, CommissionUtils.CreateSubstitute());
_stockPrices.TS[0] = CurrentTS2;
_stockPrices.C[0] = Close1;
_testObj.CalcCurrentValue(CurrentTS2, _dataLoader);
_testObj.Equity.Count.ShouldBe(2);
_testObj.Equity[0].Value.ShouldBe(CashValue + Close1 * Vol1);
_testObj.Equity[0].TS.ShouldBe(CurrentTS);
_testObj.Equity[1].Value.ShouldBe(CashValue + Close1 * Vol1);
_testObj.Equity[1].TS.ShouldBe(CurrentTS2);
}