public void Handlers_Make_First_Bar_For_Hour()
{
StrategyHeader s = new StrategyHeader(1, "Strategy 1", "BP12345-RF-01", "RTS-12.12_FT", 10);
BarSettings barSettings = new BarSettings(s, "RTS-12.12_FT", 3600, 19);
DateTime start = new DateTime(2013, 5, 15, 10, 0, 0);
FakeTimeTracker tt = new FakeTimeTracker(start, start);
UpdateBarsOnTick updateBars = new UpdateBarsOnTick(barSettings, tt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
for (int i = 0; i < barSettings.Interval; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(i), Symbol = "RTS-12.12_FT", Price = 150000 + i, TradeAction = TradeAction.Buy, Volume = 100
});
if (i == 1000)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(1000), Symbol = "RTS-12.12_FT", Price = 149000, TradeAction = TradeAction.Buy, Volume = 100
});
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(2000), Symbol = "RTS-12.12_FT", Price = 154500, TradeAction = TradeAction.Buy, Volume = 100
});
}
tt.IncrementStopDate(1);
}
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(-1), Symbol = "RTS-12.12_FT", Price = 148000, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick {
DateTime = start.AddSeconds(3600), Symbol = "RTS-12.12_FT", Price = 155500, TradeAction = TradeAction.Buy, Volume = 100
});
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().First();
Assert.AreEqual("RTS-12.12_FT", bar.Symbol);
Assert.AreEqual(start.AddHours(1), bar.DateTime);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(154500, bar.High);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(153599, bar.Close);
Assert.AreEqual(360200, bar.Volume);
}
public void Handlers_make_bar_for_one_strategy_test()
{
StrategyHeader strategyHeader = new StrategyHeader(2, "Strategy 2", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ObservableHashSet <StrategyHeader> >().Add(strategyHeader);
BarSettings barSettings = new BarSettings(strategyHeader, strategyHeader.Symbol, 60, 0);
this.tradingData.Get <ObservableHashSet <BarSettings> >().Add(barSettings);
DateTime start = new DateTime(2013, 7, 10, 10, 0, 0, 0);
FakeTimeTracker ftt = new FakeTimeTracker(start, start);
UpdateBarsOnTick handler = new UpdateBarsOnTick(barSettings, ftt, this.tradingData, new NullLogger());
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(-500), 150000, 25));
for (int i = 0; i < barSettings.Interval * 2; i++)
{
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, start.AddMilliseconds(i * 500), 150000, 25));
}
ftt.IncrementStopDate(barSettings.Interval);
Assert.AreEqual(121, this.tradingData.Get <ObservableCollection <Tick> >().Count);
Assert.AreEqual(new DateTime(2013, 7, 10, 10, 0, 59, 500), this.tradingData.Get <ObservableCollection <Tick> >().Last().DateTime);
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 600), 151000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 700), 149000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 800), 150000, 25));
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 0, 59, 900), 149500, 25));
Assert.AreEqual(0, this.tradingData.Get <ObservableCollection <Bar> >().Count);
// Обработчик генерирует новый бар, только когда время пришедшего тика располагается в диапазоне следующего бара.
this.tradingData.Get <ObservableCollection <Tick> >().Add(new Tick(barSettings.Symbol, new DateTime(2013, 7, 10, 10, 1, 0, 0), 150000, 25));
Assert.AreEqual(1, this.tradingData.Get <ObservableCollection <Bar> >().Count);
Bar bar = this.tradingData.Get <ObservableCollection <Bar> >().Last();
Assert.AreEqual(start.AddSeconds(60), bar.DateTime);
Assert.AreEqual(barSettings.Symbol, bar.Symbol);
Assert.AreEqual(barSettings.Interval, bar.Interval);
Assert.AreEqual(150000, bar.Open);
Assert.AreEqual(151000, bar.High);
Assert.AreEqual(149000, bar.Low);
Assert.AreEqual(149500, bar.Close);
Assert.AreEqual(3100, bar.Volume);
}
static void Main(string[] args)
{
LogAssemblyInfo();
AddStrategySettings();
StrategiesPlaceStopLossByPointsOnTradeHandlers stopLossOnTradeHandlers =
new StrategiesPlaceStopLossByPointsOnTradeHandlers(TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance,
AppSettings.GetValue <bool>("MeasureStopFromSignalPrice"));
StrategiesStopLossByPointsOnTickHandlers stopLossOnTickHandlers =
new StrategiesStopLossByPointsOnTickHandlers(TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance,
AppSettings.GetValue <bool>("MeasureStopFromSignalPrice"));
StrategiesPlaceTakeProfitByPointsOnTradeHandlers takeProfitOnTradeHandlers =
new StrategiesPlaceTakeProfitByPointsOnTradeHandlers(TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance,
AppSettings.GetValue <bool>("MeasureProfitFromSignalPrice"));
StrategiesTakeProfitByPointsOnTickHandlers takeProfitOnTickHandlers =
new StrategiesTakeProfitByPointsOnTickHandlers(TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance,
AppSettings.GetValue <bool>("MeasureProfitFromSignalPrice"));
SmartComHandlers.Instance.Add <_IStClient_DisconnectedEventHandler>(ScalperIsDisconnected);
SmartComHandlers.Instance.Add <_IStClient_ConnectedEventHandler>(ScalperIsConnected);
BreakOutOnTick openHandler =
new BreakOutOnTick(strategyHeader,
TradingData.Instance,
SignalQueue.Instance,
DefaultLogger.Instance);
UpdateBarsOnTick updateBarsHandler =
new UpdateBarsOnTick(barSettings,
new TimeTracker(),
TradingData.Instance,
DefaultLogger.Instance);
AddStrategySubscriptions();
adapter.Start();
while (true)
{
try
{
string command = Console.ReadLine();
if (command == "x")
{
adapter.Stop();
ExportData <Order>(AppSettings.GetValue <bool>("ExportOrdersOnExit"));
ExportData <Trade>(AppSettings.GetValue <bool>("ExportTradesOnExit"));
break;
}
if (command == "p")
{
Console.Clear();
Console.WriteLine(String.Format("Реализованный профит и лосс составляет {0} пунктов",
TradingData.Instance.GetProfitAndLossPoints(strategyHeader)));
}
if (command == "t")
{
Console.Clear();
foreach (Trade item in TradingData.Instance.Get <IEnumerable <Trade> >())
{
Console.WriteLine(item.ToString());
}
}
if (command == "b")
{
Console.Clear();
foreach (Bar item in TradingData.Instance.Get <IEnumerable <Bar> >())
{
Console.WriteLine(item.ToString());
}
}
}
catch (System.Runtime.InteropServices.COMException e)
{
DefaultLogger.Instance.Log(e.Message);
adapter.Restart();
}
}
}
