public void GetLiveBarsWithEvents()
{
_simulateMarketOrder = new SimulateMarketOrder();
_simulateLimitOrder = new SimulateLimitOrder();
// Initialize Controller
_marketDataControler = new MarketDataControler(_fetchData, _communicationController);
_simulatedOrderController = new SimulatedOrderController(_communicationController, _simulateMarketOrder, _simulateLimitOrder);
// Add Controllers as Parameters to FetchData.cs
_fetchData.MarketDataControler = _marketDataControler;
_fetchData.SimulatedOrderController = _simulatedOrderController;
var watch = Stopwatch.StartNew();
_fetchData.ReadData(_barDataRequest);
watch.Stop();
var elapsedMs = watch.ElapsedMilliseconds;
Logger.Debug("Time consumer: " + elapsedMs, "SimulatorControler.Test.Unit", "GetLiveBarsWithEvents");
}
public void TestLimitRejection()
{
var manualBarEvent = new ManualResetEvent(false);
var count = 0;
SimulateLimitOrder simulateLimitOrder = new SimulateLimitOrder();
simulateLimitOrder.LimitOrderRejection += delegate(Rejection rejection)
{
count = 1;
};
LimitOrder limitOrder = new LimitOrder("1", OrderSide.SELL, 10, OrderTif.DAY, "USD", new Security()
{
Symbol = "AAPL"
}, OrderExecutionProvider.SimulatedExchange)
{
LimitPrice = 0
};
simulateLimitOrder.NewLimitOrderArrived(limitOrder);
manualBarEvent.WaitOne(500);
Assert.AreEqual(1, count);
}
public void TestLimitOrderLogic()
{
var manualBarEvent = new ManualResetEvent(false);
string executionId = null;
SimulateLimitOrder simulateLimitOrder = new SimulateLimitOrder();
decimal executionPrice = 0;
simulateLimitOrder.NewArrived += delegate(Order order)
{
executionId = order.OrderID;
};
simulateLimitOrder.NewExecution += delegate(Execution orderExecution)
{
executionPrice = orderExecution.Fill.ExecutionPrice;
};
manualBarEvent.WaitOne(500);
LimitOrder limitOrder = new LimitOrder("1", OrderSide.SELL, 10, OrderTif.DAY, "USD", new Security()
{
Symbol = "AAPL"
}, OrderExecutionProvider.SimulatedExchange)
{
LimitPrice = 100
};
Bar bar = new Bar(new Security()
{
Symbol = "AAPL"
}, MarketDataProvider.SimulatedExchange, "123")
{
Low = 120, Close = 130
};
simulateLimitOrder.NewLimitOrderArrived(limitOrder);
simulateLimitOrder.NewBarArrived(bar);
manualBarEvent.WaitOne(500);
Assert.AreEqual("1", executionId);
Assert.AreEqual(100, executionPrice);
}
