public override void SubscribeTrades(TradeEventArgs tradeEventArgs)
{
if (Strategy == null)
{
return;
}
var strategyNotification = new StrategyNotification {
Name = Strategy.Name, NotificationLevel = NotificationLevel.Trade
};
string message;
try
{
var previousLastTrade = tradeCache.GetLastTrade();
ITrade[] trades;
MovingAverageTrade[] movingAverageTrades;
if (previousLastTrade == null)
{
trades = (from t in tradeEventArgs.Trades
orderby t.Time, t.Id
select t).ToArray();
movingAverageTrades = tradeCache.AddRange(trades);
}
else
{
trades = (from t in tradeEventArgs.Trades
where t.Time > previousLastTrade.Time && t.Id > previousLastTrade.Id
orderby t.Time, t.Id
select t).ToArray();
movingAverageTrades = tradeCache.AddRange(trades);
}
var lastTrade = tradeCache.GetLastTrade();
if (!suspend)
{
PlaceOrder(lastTrade);
}
message = JsonConvert.SerializeObject(movingAverageTrades);
}
catch (Exception ex)
{
message = JsonConvert.SerializeObject(ex);
}
strategyNotification.Message = message;
StrategyTradeNotification(new StrategyNotificationEventArgs {
StrategyNotification = strategyNotification
});
}
public void TradeCache_AddTrades_Resize()
{
// Arrange
int incrementalSize = 5;
var tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
var trade1 = new TestTrade {
Id = 1, Price = 0123m, Quantity = 1000m, Time = new DateTime(2000, 1, 1, 1, 0, 1)
};
var trade2 = new TestTrade {
Id = 2, Price = 0121m, Quantity = 500m, Time = new DateTime(2000, 1, 1, 1, 0, 2)
};
var trade3 = new TestTrade {
Id = 3, Price = 0124m, Quantity = 750m, Time = new DateTime(2000, 1, 1, 1, 0, 3)
};
var trade4 = new TestTrade {
Id = 4, Price = 0122m, Quantity = 2000m, Time = new DateTime(2000, 1, 1, 1, 0, 4)
};
var trade5 = new TestTrade {
Id = 5, Price = 0120m, Quantity = 1500m, Time = new DateTime(2000, 1, 1, 1, 0, 5)
};
var trade6 = new TestTrade {
Id = 6, Price = 0119m, Quantity = 2750m, Time = new DateTime(2000, 1, 1, 1, 0, 6)
};
// Act
tradeCache.Add(trade1);
tradeCache.Add(trade2);
tradeCache.Add(trade3);
tradeCache.Add(trade4);
tradeCache.Add(trade5);
tradeCache.Add(trade6);
var trades = tradeCache.GetTrades();
var lastTrade = tradeCache.GetLastTrade();
var lastTradesOver = tradeCache.GetLastTrades(10);
var lastTradesUnder = tradeCache.GetLastTrades(2);
// Assert
Assert.AreEqual(tradeCache.Position, 5);
Assert.AreEqual(tradeCache.CacheSize, 10);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(trades.Length, 6);
Assert.AreEqual(lastTrade, trade6);
Assert.AreEqual(lastTradesOver.Length, 6);
Assert.AreEqual(lastTradesOver[0], trade1);
Assert.AreEqual(lastTradesOver[1], trade2);
Assert.AreEqual(lastTradesOver[2], trade3);
Assert.AreEqual(lastTradesOver[3], trade4);
Assert.AreEqual(lastTradesOver[4], trade5);
Assert.AreEqual(lastTradesOver[5], trade6);
Assert.AreEqual(lastTradesUnder.Length, 2);
Assert.AreEqual(lastTradesUnder[0], trade5);
Assert.AreEqual(lastTradesUnder[1], trade6);
}
public void TradeCache_Initialise()
{
// Arrange
int incrementalSize = 5;
TradeCache <TestTradeCreator, TestTrade, TestTradeParameters> tradeCache;
// Act
tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
// Assert
Assert.AreEqual(tradeCache.Position, -1);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(tradeCache.CacheSize, incrementalSize);
Assert.IsNull(tradeCache.GetLastTrade());
Assert.IsNull(tradeCache.GetTrades());
Assert.IsNull(tradeCache.GetLastTrades(1));
Assert.IsNull(tradeCache.GetLastTrades(5));
}
public void TradeCache_AddTradeRange_NoResize()
{
// Arrange
int incrementalSize = 5;
var tradeCache = new TradeCache <TestTradeCreator, TestTrade, TestTradeParameters>(incrementalSize);
var trade1 = new TestTrade {
Id = 1, Price = 0123m, Quantity = 1000m, Time = new DateTime(2000, 1, 1, 1, 0, 1)
};
var trade2 = new TestTrade {
Id = 2, Price = 0121m, Quantity = 500m, Time = new DateTime(2000, 1, 1, 1, 0, 2)
};
var trade3 = new TestTrade {
Id = 3, Price = 0124m, Quantity = 750m, Time = new DateTime(2000, 1, 1, 1, 0, 3)
};
var tradeRange = new[] { trade1, trade2, trade3 };
// Act
tradeCache.AddRange(tradeRange);
var trades = tradeCache.GetTrades();
var lastTrade = tradeCache.GetLastTrade();
var lastTradesOver = tradeCache.GetLastTrades(4);
var lastTradesUnder = tradeCache.GetLastTrades(2);
// Assert
Assert.AreEqual(tradeCache.Position, 2);
Assert.AreEqual(tradeCache.CacheSize, 5);
Assert.AreEqual(tradeCache.TradeRange, 5);
Assert.AreEqual(trades.Length, 3);
Assert.AreEqual(lastTrade, trade3);
Assert.AreEqual(lastTradesOver.Length, 3);
Assert.AreEqual(lastTradesOver[0], trade1);
Assert.AreEqual(lastTradesOver[1], trade2);
Assert.AreEqual(lastTradesOver[2], trade3);
Assert.AreEqual(lastTradesUnder.Length, 2);
Assert.AreEqual(lastTradesUnder[0], trade2);
Assert.AreEqual(lastTradesUnder[1], trade3);
}