public void LimitCloseLongProfitTest()
{
double initial_cash = 1000;
double commission_per_unit = 0.01;
List <Price> prices = new List <Price>();
prices.Add(new Price(new DateTimeUTC(2000, 0, 0, 0, 0, 0), 1.0, 1.1));
prices.Add(new Price(new DateTimeUTC(2000, 0, 0, 0, 0, 1), 1.4, 1.5));
prices.Add(new Price(new DateTimeUTC(2000, 0, 0, 0, 0, 2), 2.0, 2.1));
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, prices.AsReadOnly());
MarketModelSimulation market = new MarketModelSimulation(initial_cash, commission_per_unit, price_set);
market.ProcessOrderCommand(new TradingOrderCommand(TradingOrderType.Long, 1.0, 1.0, 0.0, 0.9, 1.6));
market.StepSecond();
List <int> open_orders_0 = new List <int>(market.OpenOrders.Keys);
Assert.AreEqual(1, open_orders_0.Count);
market.StepSecond();
List <int> open_orders_1 = new List <int>(market.OpenOrders.Keys);
Assert.AreEqual(0, open_orders_1.Count);
Assert.AreEqual(1000.49, market.Cash);
}
public void TestStep()
{
List <Price> prices = new List <Price>();
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 0), 1.0, 1.1));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 1), 0.9, 1.0));
prices.Add(new Price(new DateTimeUTC(2000, 1, 1, 0, 0, 2), 1.1, 1.2));
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, prices.AsReadOnly());
MarketModelSimulation market = new MarketModelSimulation(1000, price_set);
Assert.AreEqual(1.0, market.CurrentBid, 0.0000001);
Assert.AreEqual(1.1, market.CurrentAsk, 0.0000001);
market.StepSecond();
Assert.AreEqual(0.9, market.CurrentBid, 0.0000001);
Assert.AreEqual(1.0, market.CurrentAsk, 0.0000001);
market.StepSecond();
Assert.AreEqual(1.1, market.CurrentBid, 0.0000001);
Assert.AreEqual(1.2, market.CurrentAsk, 0.0000001);
}
public static DataSet <double, double> CreateDataSet(MarketModelSimulation market, IIndicator feature_indicator, IIndicator label_indicator)
{
IList <double[]> feature_data = new List <double[]>();
IList <bool[]> missing_data = new List <bool[]>();
IList <double[]> label_data = new List <double[]>();
AddIndicators(market, feature_indicator, label_indicator, feature_data, missing_data, label_data);
while (market.Second1.FutureCount != 0)
{
market.StepSecond();
AddIndicators(market, feature_indicator, label_indicator, feature_data, missing_data, label_data);
}
IDataContext data_context_labeled = new DataContext(DataLevel.INTERVAL, feature_indicator.SubIndicatorNames, DataLevel.INTERVAL, label_indicator.SubIndicatorNames);
return(new DataSet <double, double>(data_context_labeled, feature_data, missing_data, label_data));
}
public void ManualCloseLongTest()
{
double initial_cash = 1000;
double commission_per_unit = 0.01;
List <Price> prices = new List <Price>();
prices.Add(new Price(new DateTimeUTC(2000, 0, 0, 0, 0, 0), 1.0, 1.1));
prices.Add(new Price(new DateTimeUTC(2000, 0, 0, 0, 0, 1), 2.0, 2.1));
PriceSet price_set = new PriceSet(ToolsPrice.DefaultSymbolGBPUSD, prices.AsReadOnly());
MarketModelSimulation market = new MarketModelSimulation(initial_cash, commission_per_unit, price_set);
market.ProcessOrderCommand(new TradingOrderCommand(TradingOrderType.Long, 1.0, 1.0, 0.0));
market.StepSecond();
List <int> open_orders = new List <int>(market.OpenOrders.Keys);
foreach (int open_order in open_orders)
{
market.CloseOrder(open_order);
}
Assert.AreEqual(1000.89, market.Cash);
}