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();
}
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 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();
}
void play(object sender, DoWorkEventArgs e)
{
PlayTo type = (PlayTo)e.Argument;
if (e.Cancel)
{
return;
}
int time = (int)(_historicalSimulator.NextTickTime % 100000);
long date = (_historicalSimulator.NextTickTime / 100000) * 100000;
int t = (int)type;
long val = 0;
_playTo = type;
switch (type)
{
case PlayTo.End:
val = MultiSimImpl.ENDSIM;
break;
case PlayTo.FiveMin:
case PlayTo.OneMin:
case PlayTo.TenMin:
case PlayTo.HalfHour:
val = date + Util.FTADD(time, (t / 10) * 60);
break;
case PlayTo.Hour:
val = date + Util.FTADD(time, (t / 1000) * 3600);
break;
case PlayTo.TwoHour:
val = date + Util.FTADD(time, 2 * 60 * 60);
break;
case PlayTo.FourHour:
val = date + Util.FTADD(time, 4 * 60 * 60);
break;
case PlayTo.OneSec:
case PlayTo.ThirtySec:
val = date + Util.FTADD(time, t);
break;
//case PlayTo.Custom:
// ctime = getcusttime();
// if (ctime == 0)
// {
// _playTo = PlayTo.OneSec;
// val = 0;
// status("Invalid custom time, playing to next second.");
// }
// else
// val = date + ctime;
// break;
}
_historicalSimulator.PlayTo(val);
}
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());
}