public void AlwaysEnter()
{
Always b = new Always();
b.AllowMultipleOrders = true;
Assert.That(b.MinSize == 100);
int good = 0;
int i = 0;
Order o = new Order();
o = b.Trade(timesales[i++], new BarList(), new Position(s), new BoxInfo());
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 0);
o = b.Trade(timesales[i++], new BarList(), new Position(s), new BoxInfo());
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 1);
o = b.Trade(timesales[i++], new BarList(), new Position(s), new BoxInfo());
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 2);
o = b.Trade(timesales[i++], new BarList(), new Position(s), new BoxInfo());
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 3);
// first trade was pre-market so we only have 3 total;
Assert.That(good == 3);
// no debugs were sent
Assert.That(debugs == 0);
}
public void Defaults()
{
// assert that a default order is:
// not valid, not filled
Order o = new Order();
Assert.That(!o.isValid);
Assert.That(!o.isFilled);
}
public void MarketOrder()
{
const string s = "SYM";
Order o = new Order(s,100);
Assert.That(o.isValid);
Assert.That(o.isMarket);
Assert.That(!o.isLimit);
Assert.That(!o.isStop);
Assert.That(!o.isFilled);
Assert.That(o.symbol == s);
}
public void newOrder(Order o, bool allclients)
{
if (this.InvokeRequired)
this.Invoke(new tlneworderdelegate(newOrder), new object[] { o,allclients });
else
{
for (int i = 0; i < client.Count; i++)
if ((client[i] != null) && (client[i] != "") && (stocks[i].Contains(o.symbol) || allclients))
WMUtil.SendMsg(o.Serialize(), TL2.ORDERNOTIFY, Handle, client[i]);
}
}
public void SerializationAndDeserialization()
{
// create an order
const string s = "TST";
const string x = "NYSE";
const string a = "ACCOUNT";
const string u = "COMMENT";
const string ot = "GTC";
const decimal p = 10;
const int z = 100;
const Currency c = Currency.USD;
const SecurityType t = SecurityType.STK;
Order o = new Order(s, z);
o.sec = 2;
o.date = 20080718;
o.time = 948;
o.price = p;
o.Account = a;
o.Exchange = x;
o.Currency = c;
o.Security = t;
o.comment = u;
o.TIF = ot;
// convert it to a message
string msg = o.Serialize();
// convert it back to an object and validate nothing was lost
string exception=null;
Order n = new Order();
try
{
n = Order.Deserialize(msg);
}
catch (Exception ex) { exception = ex.ToString(); }
Assert.That(exception==null, msg+" "+exception);
Assert.That(n.Account == a,n.Account);
Assert.That(n.symbol == s,n.symbol);
Assert.That(n.size == z,n.size.ToString());
Assert.That(n.price == p,n.price.ToString());
Assert.That(n.Exchange == x,n.Exchange);
Assert.That(n.comment == u,n.comment);
Assert.That(n.Security == t,n.Security.ToString());
Assert.That(n.Currency == c,n.Currency.ToString());
Assert.That(n.TIF == ot, n.TIF);
Assert.That(n.date == o.date, n.date.ToString());
Assert.That(n.time == o.time, n.time.ToString());
Assert.That(n.sec == o.sec, n.sec.ToString());
}
public void OrderTests()
{
// no orders yet
Assert.That(orders == 0, orders.ToString());
// no fill requests yet
Assert.That(fillrequest == 0, fillrequest.ToString());
// client wants to buy 100 TST at market
Order o = new Order("TST", 100);
// if it works it'll return zero
int error = c.SendOrder(o);
Assert.That(error==0,error.ToString());
// client should have received notification that an order entered his account
Assert.That(orders == 1, orders.ToString());
// server should have gotten a request to fill an order
Assert.That(fillrequest == 1, fillrequest.ToString());
}
public Order BestBidOrOffer(string sym, bool side,Account Account)
{
Order best = new Order();
if (!MasterOrders.ContainsKey(Account)) return best;
foreach (Order o in MasterOrders[Account])
{
if (o.symbol != sym) continue;
if (o.Side != side) continue;
if (!best.isValid)
{
best = new Order(o);
continue;
}
Order test = BestBidOrOffer(best, o);
if (test.isValid) best = new Order(test);
}
return best;
}
public Order BestBidOrOffer(string symbol,bool side)
{
Order best = new Order();
Order next = new Order();
foreach (Account a in MasterOrders.Keys)
{
// get our first order
if (!best.isValid)
{
// if we don't have a valid one yet, check this account
best = new Order(BestBidOrOffer(symbol,side,a));
continue; // keep checking the accounts till we find a valid one
}
// now we have our first order, which will be best if we can't find a second one
next = new Order(BestBidOrOffer(symbol,side,a));
if (!next.isValid) continue; // keep going till we have a second order
best = BestBidOrOffer(best, next); // when we have two, compare and get best
// then keep fetching next valid order to see if it's better
}
return best; // if there's no more orders left, this is best
}
public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
broker.GotWarning += new DebugDelegate(broker_GotWarning);
Order o = new Order();
uint failsoninvalid= broker.sendOrder(o);
Assert.That(failsoninvalid==0);
Assert.That(warn == 1);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
Assert.That(broker.sendOrder(o)>0);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(Tick.NewTrade(s,10,200)) == 1);
Assert.That(fills == 1);
// no warnings since first warning
Assert.That(warn == 1);
}
public Ticket(Order working)
{
InitializeComponent();
work = working;
if (work.Security == SecurityType.FUT)
{
osize.Increment = 1;
osize.Value = 1;
}
isize = work.UnSignedSize;
Text = work.symbol;
osize.Text = work.ToString();
oprice.Text = work.Price.ToString();
if (work.Side) { obuybut.Checked = true; osellbut.Checked = false; }
else { osellbut.Checked = true; obuybut.Checked = false; }
oprice.MouseWheel += new MouseEventHandler(order_MouseWheel);
osize.MouseWheel += new MouseEventHandler(osize_MouseWheel);
}
public Order(Order copythis)
{
this.symbol = copythis.symbol;
this.stopp = copythis.stopp;
this.comment = copythis.comment;
this.cur = copythis.cur;
this.accountid = copythis.accountid;
this.date = copythis.date;
this.ex = copythis.ex;
this.price = copythis.price;
this.Security = copythis.Security;
this.side = copythis.side;
this.size = copythis.size;
this.time = copythis.time;
this.LocalSymbol = copythis.LocalSymbol;
this.id = copythis.id;
this.TIF = copythis.TIF;
// shouldn't be used but we'll take them anyways
this.xdate = copythis.xdate;
this.xprice = copythis.xprice;
this.xsec = copythis.xsec;
this.xsize = copythis.xsize;
this.xtime = copythis.xtime;
}
void tl_gotOrder(Order o)
{
if (orderidx(o.id)==-1) // if we don't have this order, add it
ordergrid.Rows.Add(new object[] { o.id, o.symbol, (o.Side ? "BUY" : "SELL"),o.UnSignedSize, (o.price == 0 ? "Market" : o.price.ToString()), (o.stopp==0 ? "" : o.stopp.ToString()), o.Account });
}
void t_neworder(Order sendOrder)
{
int res = tl.SendOrder(sendOrder);
if (res != 0)
{
string err = Util.PrettyError(tl.BrokerName,res);
status(err);
show(sendOrder.ToString() + "( " + err + " )");
}
}
void rightticket(object sender, EventArgs e)
{
Security s = GetVisibleSecurity(qg.CurrentRowIndex);
if (s.Type == SecurityType.IDX) return;
string sym = s.Symbol;
Order o = new Order(sym,-1*tl.PosSize(sym));
o.Exchange = s.DestEx;
o.Security = s.Type;
o.LocalSymbol = sym;
Ticket t = new Ticket(o);
t.neworder += new QuotopiaOrderDel(t_neworder);
spillTick +=new TickDelegate(t.newTick);
orderStatus+=new OrderStatusDel(t.orderStatus);
System.Drawing.Point p = new System.Drawing.Point(MousePosition.X, MousePosition.Y);
p.Offset(-315, 20);
t.SetDesktopLocation(p.X, p.Y);
t.Show();
}
void mybroker_GotOrder(Order o)
{
if (orders.InvokeRequired)
Invoke(new OrderDelegate(mybroker_GotOrder), new object[] { o });
else
{
orders.Rows.Add(o.date, o.time, o.symbol, o.isMarket ? "Mkt" : (o.isStop ? "Stp" : "Lmt"), o.size, o.side, o.price, o.stopp, o.comment);
orders.AutoResizeColumns();
}
}
void broker_GotOrder(Order o)
{
orders++;
}
// event handlers
void tl_gotSrvFillRequest(Order o)
{
s.newOrder(o);
fillrequest++;
}
void kadinamain_KadTick(Tick t)
{
if ((t.sym == "") || (t.sym!=stock.Symbol)) return;
// get stats prior to execution
decimal cpl = broker.GetClosedPL(t.sym);
decimal cpt = broker.GetClosedPT(t.sym);
int x = broker.Execute(t);
if (x != 0) // mark tick/row if an execution happened
xrows.Add(dt.Rows.Count - 1);
nowtime = t.time.ToString() + ":" + t.sec.ToString();
if (bl == null)
bl = new BarList(BarInterval.FiveMin, t.sym);
bl.AddTick(t);
Order o = new Order();
Position mypos = broker.GetOpenPosition(t.sym);
if (mybox != null)
{
o = mybox.Trade(t, bl, mypos, BoxInfo.FromBarList(bl));
mybox_IndicatorUpdate(mybox.Indicators);
}
if (o.isValid) // mark tick/row if an order happened
orows.Add(dt.Rows.Count - 1);
broker.sendOrder(o);
string flags = "";
flags += o.isValid ? "O" : "";
flags += x > 0 ? "X" : "";
// tick grid
NewTRow(new object[] { nowtime, t.trade, t.size, t.bid, t.ask, t.bs, t.os, flags });
// position grid
if (x != 0)
{
// get difference between stats pre and stats post
cpl = broker.GetClosedPL(t.sym) - cpl;
cpt = broker.GetClosedPT(t.sym) - cpt;
ptab.Rows.Add(nowtime, (mypos.Flat ? "FLAT" : (mypos.Side ? "LONG" : "SHORT")), mypos.Size, mypos.AvgPrice, cpl.ToString("C2"),cpt.ToString("N1"));
}
}
/// <summary>
/// Sends the order to the broker for a specific account.
/// </summary>
/// <param name="o">The order to be sent.</param>
/// <param name="a">the account to send with the order.</param>
/// <returns>order id if order was accepted, zero otherwise</returns>
public uint sendOrder(Order o,Account a)
{
if ((!o.isValid) || (!a.isValid))
{
if (GotWarning != null)
GotWarning(!o.isValid ? "Invalid order: " + o.ToString() : "Invalid Account" + a.ToString());
return 0;
}
AddOrder(o, a);
if ((GotOrder != null) && a.Notify)
GotOrder(o);
return o.id;
}
/// <summary>
/// Sends the order to the broker. (uses the default account)
/// </summary>
/// <param name="o">The order to be send.</param>
/// <returns>true if the order was accepted.</returns>
public uint sendOrder(Order o)
{
if (o.Account=="")
return sendOrder(o, DEFAULT);
return sendOrder(o, new Account(o.Account));
}
protected void AddOrder(Order o,Account a)
{
if (!a.isValid) throw new Exception("Invalid account provided"); // account must be good
if (!MasterOrders.ContainsKey(a)) // see if we have a book for this account
MasterOrders.Add(a,new List<Order>()); // if not, create one
o.Account = a.ID; // make sure order knows his account
if (o.id == 0) // if order id isn't set, set it
o.id = _nextorderid++;
MasterOrders[a].Add(o); // record the order
}
protected override Order ReadOrder(Tick tick, BarList bl, BoxInfo boxinfo)
{
Order o = new Order();
if (orders == 0)
{
o = new LimitOrder(s, true, 200, 10);
}
if (orders==1)
CancelOrders(true);
if (o.isValid)
orders++;
return o;
}
public int SendOrder(Order order)
{
throw new Exception("The method or operation is not implemented.");
}
public bool Equals(Order o)
{
if (o == null) return false;
bool r = true;
r &= price == o.price;
r &= stopp == o.stopp;
r &= symbol == o.symbol;
r &= accountid == o.accountid;
r &= ex == o.ex;
r &= TIF == o.TIF;
r &= LocalSymbol == o.LocalSymbol;
r &= SignedSize == o.SignedSize;
r &= Security == o.Security;
return r;
}
void tlclient_gotOrder(Order o)
{
orders++;
}
public void newOrder(Order o) { newOrder(o, false); }
void broker_GotOrder(Order o)
{
ot.Rows.Add(o.time, (o.side ? "BUY" : "SELL"), o.size, o.price);
}
// takes two orders and returns the better one
// if orders aren't for same side or symbol or not limit, returns invalid order
// if orders are equally good, adds them together
public Order BestBidOrOffer(Order first,Order second)
{
if ((first.symbol!= second.symbol) || (first.side!=second.side) || !first.isLimit || !second.isLimit)
return new Order(); // if not comparable return an invalid order
if ((first.side && (first.price > second.price)) || // if first is better, use it
(!first.side && (first.price < second.price)))
return new Order(first);
else if ((first.side && (first.price < second.price)) || // if second is better, use it
(!first.side && (first.price > second.price)))
return new Order(second);
// if order is matching then add the sizes
Order add = new Order(first);
add.size = add.UnSignedSize + second.UnSignedSize * (add.Side ? 1 : -1);
return add;
}
/// <summary>
/// Sends the order.
/// </summary>
/// <param name="o">The oorder</param>
/// <returns>Zero if succeeded, Broker error code otherwise.</returns>
public int SendOrder(Order o)
{
if (o == null) return (int)TL2.GOTNULLORDER;
if (!o.isValid) return (int)TL2.OK;
string m = o.Serialize();
return (int)TLSend(TL2.SENDORDER, m);
}
/// <summary>
/// Deserialize string to Order
/// </summary>
/// <returns></returns>
public new static Order Deserialize(string message)
{
string[] rec = message.Split(','); // get the record
bool side = Convert.ToBoolean(rec[(int)OrderField.Side]);
int size = Convert.ToInt32(rec[(int)OrderField.Size]);
decimal oprice = Convert.ToDecimal(rec[(int)OrderField.Price]);
decimal ostop = Convert.ToDecimal(rec[(int)OrderField.Stop]);
string sym = rec[(int)OrderField.Symbol];
Order o = new Order(sym, side, size);
o.price = oprice;
o.stopp = ostop;
o.comment = rec[(int)OrderField.Comment];
o.Account = rec[(int)OrderField.Account];
o.Exchange = rec[(int)OrderField.Exchange];
o.LocalSymbol = rec[(int)OrderField.LocalSymbol];
o.Currency = (Currency)Enum.Parse(typeof(Currency), rec[(int)OrderField.Currency]);
o.Security = (SecurityType)Enum.Parse(typeof(SecurityType), rec[(int)OrderField.Security]);
o.id = Convert.ToUInt32(rec[(int)OrderField.OrderID]);
o.TIF = rec[(int)OrderField.OrderTIF];
try
{
o.date = Convert.ToInt32(rec[(int)OrderField.oDate]);
o.time = Convert.ToInt32(rec[(int)OrderField.oTime]);
o.sec = Convert.ToInt32(rec[(int)OrderField.oSec]);
}
catch (Exception) { }
return o;
}