public void RawPerformanceWithLoad()
{
System.ComponentModel.BackgroundWorker bw = new System.ComponentModel.BackgroundWorker();
bw.DoWork += new System.ComponentModel.DoWorkEventHandler(bw_DoWork);
bw.WorkerSupportsCancellation = true;
MultiSimImpl h = new MultiSimImpl(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);
}
public void BarPerformance()
{
MultiSimImpl h = new MultiSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
h.GotTick += h_GotTick;
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.Equal(0, lasttime);
Assert.True(h.TicksPresent > 0);
if (Environment.ProcessorCount == 1)
{
EXPECTBARS *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(MultiSimImpl.Endsim);
double time = DateTime.Now.Subtract(start).TotalSeconds;
h.Stop();
Assert.True(tickcount >= 50000);
Assert.Equal(3, bt.SymbolCount);
Assert.True(time <= EXPECTBARS);
}
public void BarPerformance()
{
MultiSimImpl h = new MultiSimImpl(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(MultiSimImpl.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");
}
public void ExecutionPerformance()
{
System.Threading.Thread.Sleep(100);
h = new MultiSimImpl(Environment.CurrentDirectory);
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(execute_GotTick);
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(MultiSimImpl.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();
}
bool loadsim()
{
_historicalSimulator = new MultiSimImpl(_historicalDataFiles.ToArray());
_historicalSimulator.CacheWait = _cacheWait;
_historicalSimulator.GotTick += historicalSimulator_GotTick;
_broker = new Broker();
_broker.UseBidAskFills = _useBidAskFills;
_broker.GotOrder += broker_GotOrder;
_broker.GotFill += broker_GotFill;
_broker.GotOrderCancel += broker_GotOrderCancel;
try
{
StatusUpdate("Loaded tickdata: " + prettyTickDataFiles());
return(true);
}
catch (IOException ex)
{
if (ex.Message.Contains("used by another process"))
{
StatusUpdate("Simulation file still in use.");
MessageUpdate("Try again, one of following in use: " + string.Join(",", _historicalDataFiles.ToArray()));
}
return(false);
}
}
public void RawSingleFromZip()
{
MultiSimImpl h = new MultiSimImpl(new string[] { @"Common\AUDJPY.zip\AUDJPY20070510.TIK" });
rawbase("rawsingle", 1, h);
Assert.Equal(5616, tickcount);
}
public void RawPerformanceWithLoad()
{
System.ComponentModel.BackgroundWorker bw = new System.ComponentModel.BackgroundWorker();
bw.DoWork += bw_DoWork;
bw.WorkerSupportsCancellation = true;
MultiSimImpl h = new MultiSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
rawbase("raw performance multi w/load", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Equal(42610 + 4991 + 8041, tickcount);
// check running time
Assert.True(h.RunTimeSec <= EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
//Assert.Equal(20080318155843, lasttime);
Assert.Equal(20080318000155843, lasttime);
RawPerformance();
bw.CancelAsync();
run = false;
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Equal(42610 + 4991 + 8041, tickcount);
// check running time
Assert.True(h.RunTimeSec <= EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
//Assert.Equal(20080318155843, lasttime);
Assert.Equal(20080318000155843, lasttime);
}
public void ExecutionPerformance()
{
System.Threading.Thread.Sleep(100);
h = new MultiSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
h.Initialize();
h.GotTick += execute_GotTick;
SimBroker.GotFill += SimBroker_GotFill;
tickcount = 0;
lasttime = 0;
Assert.Equal(0, tickcount);
Assert.Equal(0, syms.Count);
Assert.Equal(0, lasttime);
Assert.True(h.TicksPresent > 0);
if (Environment.ProcessorCount == 1)
{
EXPECTEX *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(MultiSimImpl.Endsim);
double time = DateTime.Now.Subtract(start).TotalSeconds;
Assert.Equal(desiredfills, fillcount);
Assert.True(time <= EXPECTEX);
h.Stop();
}
public void RawSingle()
{
MultiSimImpl h = new MultiSimImpl(new string[] { "FTI20070926.TIK" });
rawbase("rawsingle", 1, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Greater(tickcount, 40000);
}
void initializeSim()
{
_backgroundWorker = new BackgroundWorker();
_historicalSimulator = new MultiSimImpl();
_broker = new Broker();
_broker.UseBidAskFills = _useBidAskFills;
_backgroundWorker.DoWork += play;
_backgroundWorker.WorkerReportsProgress = false;
_backgroundWorker.WorkerSupportsCancellation = true;
_backgroundWorker.RunWorkerCompleted += PlayComplete;
}
public void RawPerformance()
{
MultiSimImpl h = new MultiSimImpl(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()
{
MultiSimImpl h = new MultiSimImpl(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, MultiSimImpl sim)
{
rt.d(name.ToUpper());
MultiSimImpl h = sim;
h.Initialize();
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);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTRAW *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(MultiSimImpl.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 void RawMultiFromZip()
{
MultiSimImpl h = new MultiSimImpl(new string[]
{
@"Common\EURUSD.zip\EURUSD20070601.TIK",
@"Common\EURUSD.zip\EURUSD20070531.TIK",
@"Common\EURUSD.zip\EURUSD20070530.TIK",
@"Common\EURUSD.zip\EURUSD20070529.TIK",
@"Common\EURUSD.zip\EURUSD20070528.TIK",
@"Common\EURUSD.zip\EURUSD20070527.TIK",
@"Common\EURUSD.zip\EURUSD20070525.TIK",
@"Common\EURUSD.zip\EURUSD20070524.TIK",
@"Common\EURUSD.zip\EURUSD20070523.TIK",
@"Common\EURUSD.zip\EURUSD20070522.TIK",
@"Common\EURUSD.zip\EURUSD20070521.TIK",
@"Common\EURUSD.zip\EURUSD20070520.TIK",
@"Common\EURUSD.zip\EURUSD20070518.TIK",
@"Common\EURUSD.zip\EURUSD20070517.TIK",
@"Common\EURUSD.zip\EURUSD20070516.TIK",
@"Common\EURUSD.zip\EURUSD20070515.TIK",
@"Common\EURUSD.zip\EURUSD20070514.TIK",
@"Common\GBPJPY.zip\GBPJPY20070601.TIK",
@"Common\GBPJPY.zip\GBPJPY20070531.TIK",
@"Common\GBPJPY.zip\GBPJPY20070530.TIK",
@"Common\GBPJPY.zip\GBPJPY20070529.TIK",
@"Common\GBPJPY.zip\GBPJPY20070528.TIK",
@"Common\GBPJPY.zip\GBPJPY20070527.TIK",
@"Common\GBPJPY.zip\GBPJPY20070525.TIK",
@"Common\GBPJPY.zip\GBPJPY20070524.TIK",
@"Common\GBPJPY.zip\GBPJPY20070523.TIK",
@"Common\GBPJPY.zip\GBPJPY20070522.TIK",
@"Common\GBPJPY.zip\GBPJPY20070521.TIK",
@"Common\GBPJPY.zip\GBPJPY20070520.TIK",
@"Common\GBPJPY.zip\GBPJPY20070518.TIK",
@"Common\GBPJPY.zip\GBPJPY20070517.TIK",
@"Common\GBPJPY.zip\GBPJPY20070516.TIK",
@"Common\GBPJPY.zip\GBPJPY20070515.TIK",
@"Common\GBPJPY.zip\GBPJPY20070514.TIK",
}
);
rawbase("rawsingle", 2, h);
Assert.Equal(2840, tickcount);
Assert.Equal(20070601, Util.ToQLDate(lasttick.TickDateTime));
}