public void PassesTicksStraightThrough()
{
var enumerator = new EnqueueableEnumerator<Tick>();
// add some ticks
var currentTime = new DateTime(2015, 10, 08);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200) {Quantity = 10};
enumerator.Enqueue(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick1, enumerator.Current);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m) {Quantity = 5};
enumerator.Enqueue(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick2, enumerator.Current);
enumerator.Stop();
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
}
public void PassesTicksStraightThrough()
{
var enumerator = new EnqueueableEnumerator<Tick>();
// add some ticks
var currentTime = new DateTime(2015, 10, 08);
// returns true even if no data present until stop is called
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick1 = new Tick(currentTime, Symbols.SPY, 199.55m, 199, 200) {Quantity = 10};
enumerator.Enqueue(tick1);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick1, enumerator.Current);
Assert.IsTrue(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
var tick2 = new Tick(currentTime, Symbols.SPY, 199.56m, 199.21m, 200.02m) {Quantity = 5};
enumerator.Enqueue(tick2);
Assert.IsTrue(enumerator.MoveNext());
Assert.AreEqual(tick2, enumerator.Current);
enumerator.Stop();
Assert.IsFalse(enumerator.MoveNext());
Assert.IsNull(enumerator.Current);
}
public void MoveNextBlocks()
{
var finished = new ManualResetEvent(false);
var enumerator = new EnqueueableEnumerator <Tick>(true);
// producer
int count = 0;
Task.Run(() =>
{
while (!finished.WaitOne(TimeSpan.FromMilliseconds(50)))
{
enumerator.Enqueue(new Tick(DateTime.Now, Symbols.SPY, 100, 101));
count++;
// 5 data points is plenty
if (count > 5)
{
finished.Set();
enumerator.Stop();
}
}
});
// consumer
int dequeuedCount = 0;
bool encounteredError = false;
var consumerTaskFinished = new ManualResetEvent(false);
Task.Run(() =>
{
while (enumerator.MoveNext())
{
dequeuedCount++;
if (enumerator.Current == null)
{
encounteredError = true;
}
}
consumerTaskFinished.Set();
});
finished.WaitOne(Timeout.Infinite);
consumerTaskFinished.WaitOne(Timeout.Infinite);
Assert.IsFalse(enumerator.MoveNext());
Assert.IsFalse(encounteredError);
Assert.AreEqual(count, dequeuedCount);
enumerator.Dispose();
}
public void RecordsInternalQueueCount()
{
var enumerator = new EnqueueableEnumerator<Tick>();
var currentTime = new DateTime(2015, 12, 01);
var tick = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick);
Assert.AreEqual(1, enumerator.Count);
tick = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick);
Assert.AreEqual(2, enumerator.Count);
enumerator.MoveNext();
Assert.AreEqual(1, enumerator.Count);
enumerator.MoveNext();
Assert.AreEqual(0, enumerator.Count);
}
public void RecordsInternalQueueCount()
{
var enumerator = new EnqueueableEnumerator<Tick>();
var currentTime = new DateTime(2015, 12, 01);
var tick = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick);
Assert.AreEqual(1, enumerator.Count);
tick = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick);
Assert.AreEqual(2, enumerator.Count);
enumerator.MoveNext();
Assert.AreEqual(1, enumerator.Count);
enumerator.MoveNext();
Assert.AreEqual(0, enumerator.Count);
}
public void RecordsMostRecentlyEnqueuedItem()
{
var enumerator = new EnqueueableEnumerator<Tick>();
var currentTime = new DateTime(2015, 12, 01);
var tick1 = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick1);
Assert.AreEqual(null, enumerator.Current);
Assert.AreEqual(tick1, enumerator.LastEnqueued);
var tick2 = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick2);
Assert.AreEqual(tick2, enumerator.LastEnqueued);
enumerator.MoveNext();
Assert.AreEqual(tick1, enumerator.Current);
enumerator.MoveNext();
Assert.AreEqual(tick2, enumerator.Current);
}
public void Step1D(decimal min, decimal max, decimal step)
{
var param = new OptimizationStepParameter("ema-fast", min, max, step);
var set = new HashSet <OptimizationParameter>()
{
param
};
_strategy.Initialize(new Target("Profit", new Maximization(), null), new List <Constraint>(), set, new StepBaseOptimizationStrategySettings());
var counter = 0;
using (var enumerator = new EnqueueableEnumerator <ParameterSet>())
{
_strategy.NewParameterSet += (s, parameterSet) =>
{
enumerator.Enqueue(parameterSet);
};
_strategy.PushNewResults(OptimizationResult.Initial);
using (var paramEnumerator = new OptimizationStepParameterEnumerator(param))
{
while (paramEnumerator.MoveNext())
{
var value = paramEnumerator.Current;
counter++;
Assert.IsTrue(enumerator.MoveNext());
var suggestion = enumerator.Current;
Assert.IsNotNull(suggestion);
Assert.IsTrue(suggestion.Value.All(s => set.Any(arg => arg.Name == s.Key)));
Assert.AreEqual(1, suggestion.Value.Count);
Assert.AreEqual(value, suggestion.Value["ema-fast"]);
}
}
Assert.AreEqual(0, enumerator.Count);
}
Assert.Greater(counter, 0);
Assert.AreEqual(Math.Floor((param.MaxValue - param.MinValue) / param.Step.Value) + 1, counter);
}
public void Step3D()
{
var args = new HashSet <OptimizationParameter>()
{
new OptimizationStepParameter("ema-fast", 10, 100, 1),
new OptimizationStepParameter("ema-slow", 20, 200, 4),
new OptimizationStepParameter("ema-custom", 30, 300, 2)
};
_strategy.Initialize(new Target("Profit", new Maximization(), null), null, args, new StepBaseOptimizationStrategySettings());
var counter = 0;
using (var enumerator = new EnqueueableEnumerator <ParameterSet>())
{
_strategy.NewParameterSet += (s, parameterSet) =>
{
enumerator.Enqueue(parameterSet);
};
_strategy.PushNewResults(OptimizationResult.Initial);
var fastParam = args.First(arg => arg.Name == "ema-fast") as OptimizationStepParameter;
var slowParam = args.First(arg => arg.Name == "ema-slow") as OptimizationStepParameter;
var customParam = args.First(arg => arg.Name == "ema-custom") as OptimizationStepParameter;
using (var fastEnumerator = new OptimizationStepParameterEnumerator(fastParam))
{
using (var slowEnumerator = new OptimizationStepParameterEnumerator(slowParam))
{
using (var customEnumerator = new OptimizationStepParameterEnumerator(customParam))
{
while (fastEnumerator.MoveNext())
{
var fast = fastEnumerator.Current;
slowEnumerator.Reset();
while (slowEnumerator.MoveNext())
{
var slow = slowEnumerator.Current;
customEnumerator.Reset();
while (customEnumerator.MoveNext())
{
var custom = customEnumerator.Current;
counter++;
Assert.IsTrue(enumerator.MoveNext());
var suggestion = enumerator.Current;
Assert.IsNotNull(suggestion);
Assert.IsTrue(suggestion.Value.All(s =>
args.Any(arg => arg.Name == s.Key)));
Assert.AreEqual(3, suggestion.Value.Count());
Assert.AreEqual(fast, suggestion.Value["ema-fast"]);
Assert.AreEqual(slow, suggestion.Value["ema-slow"]);
Assert.AreEqual(custom, suggestion.Value["ema-custom"]);
}
}
}
}
}
}
Assert.AreEqual(0, enumerator.Count);
}
Assert.Greater(counter, 0);
var total = 1m;
foreach (var arg in args.Cast <OptimizationStepParameter>())
{
total *= (arg.MaxValue - arg.MinValue) / arg.Step.Value + 1;
}
Assert.AreEqual(total, counter);
}
public void RecordsMostRecentlyEnqueuedItem()
{
var enumerator = new EnqueueableEnumerator<Tick>();
var currentTime = new DateTime(2015, 12, 01);
var tick1 = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick1);
Assert.AreEqual(null, enumerator.Current);
Assert.AreEqual(tick1, enumerator.LastEnqueued);
var tick2 = new Tick(currentTime, Symbols.SPY, 100, 101);
enumerator.Enqueue(tick2);
Assert.AreEqual(tick2, enumerator.LastEnqueued);
enumerator.MoveNext();
Assert.AreEqual(tick1, enumerator.Current);
enumerator.MoveNext();
Assert.AreEqual(tick2, enumerator.Current);
}
public void MoveNextBlocks()
{
var finished = new ManualResetEvent(false);
var enumerator = new EnqueueableEnumerator<Tick>(true);
// producer
int count = 0;
Task.Run(() =>
{
while (!finished.WaitOne(TimeSpan.FromMilliseconds(50)))
{
enumerator.Enqueue(new Tick(DateTime.Now, Symbols.SPY, 100, 101));
count++;
// 5 data points is plenty
if (count > 5)
{
finished.Set();
enumerator.Stop();
}
}
});
// consumer
int dequeuedCount = 0;
bool encounteredError = false;
var consumerTaskFinished = new ManualResetEvent(false);
Task.Run(() =>
{
while (enumerator.MoveNext())
{
dequeuedCount++;
if (enumerator.Current == null)
{
encounteredError = true;
}
}
consumerTaskFinished.Set();
});
finished.WaitOne(Timeout.Infinite);
consumerTaskFinished.WaitOne(Timeout.Infinite);
Assert.IsFalse(enumerator.MoveNext());
Assert.IsFalse(encounteredError);
Assert.AreEqual(count, dequeuedCount);
}
