public virtual void WaitForSinceLastBuyRuleIsSatisfied()
{
// Waits for 3 ticks since last buy order
_rule = new WaitForRule(OrderType.Buy, 3);
Assert.IsFalse(_rule.IsSatisfied(0, null));
Assert.IsFalse(_rule.IsSatisfied(1, _tradingRecord));
_tradingRecord.Enter(10);
Assert.IsFalse(_rule.IsSatisfied(10, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(11, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(12, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(13, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(14, _tradingRecord));
_tradingRecord.Exit(15);
Assert.IsTrue(_rule.IsSatisfied(15, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(16, _tradingRecord));
_tradingRecord.Enter(17);
Assert.IsFalse(_rule.IsSatisfied(17, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(18, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(19, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(20, _tradingRecord));
}
public override double Calculate(TimeSeries series, Trade trade)
{
var fakeRecord = new TradingRecord();
fakeRecord.Enter(series.Begin);
fakeRecord.Exit(series.End);
return(_criterion.Calculate(series, trade) / _criterion.Calculate(series, fakeRecord));
}
public void DynamicAddTrade()
{
var data = new double[] { 2, 1, 3, 5, 6, 3, 20, 20, 3 };
// We will rely on this being correct as it duplicates tests above...
TimeSeries confirmedSeries = GenerateTimeSeries.From(data);
var confirmedTradingRecord = new TradingRecord(Order.BuyAt(0), Order.SellAt(2), Order.BuyAt(3), Order.SellAt(4), Order.BuyAt(5), Order.SellAt(6), Order.BuyAt(7), Order.SellAt(8));
// use these results to check against the dynamically added Trades
var confirmedCashFlow = new CashFlow(confirmedSeries, confirmedTradingRecord);
TimeSeries sampleTimeSeries = new TimeSeries();
var tradingRecord = new TradingRecord();
var cashFlow = new CashFlow(sampleTimeSeries, tradingRecord);
for (var i = 0; i < data.Length; i++)
{
sampleTimeSeries.AddTick(GenerateTick.From((new LocalDateTime()).WithMillisOfSecond(i), data[i]));
switch (i)
{
case 0: // buy
case 3: // buy
case 5: // buy
case 7: // buy
tradingRecord.Enter(i);
break;
case 2: // sell
case 4: // sell
case 6: // sell
case 8: // sell
tradingRecord.Exit(i);
cashFlow.AddTrade(tradingRecord.LastTrade);
break;
default:
// don't do anything
break;
}
}
// Check all the data off...
Assert.Multiple(() =>
{
for (var i = 0; i < data.Length; i++)
{
TaTestsUtils.AssertDecimalEquals(cashFlow.GetValue(i), confirmedCashFlow.GetValue(i).ToDouble());
}
});
}
public virtual void IsSatisfied()
{
Decimal tradedAmount = Decimal.One;
// 30% stop-gain
_rule = new StopGainRule(_closePrice, Decimal.ValueOf("30"));
Assert.IsFalse(_rule.IsSatisfied(0, null));
Assert.IsFalse(_rule.IsSatisfied(1, _tradingRecord));
// Enter at 108
_tradingRecord.Enter(2, Decimal.ValueOf("108"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(2, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(3, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(4, _tradingRecord));
// Exit
_tradingRecord.Exit(5);
// Enter at 118
_tradingRecord.Enter(5, Decimal.ValueOf("118"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(5, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(6, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(7, _tradingRecord));
}
public virtual void IsSatisfied()
{
Decimal tradedAmount = Decimal.One;
// 5% stop-loss
_rule = new StopLossRule(_closePrice, Decimal.ValueOf("5"));
Assert.IsFalse(_rule.IsSatisfied(0, null));
Assert.IsFalse(_rule.IsSatisfied(1, _tradingRecord));
// Enter at 114
_tradingRecord.Enter(2, Decimal.ValueOf("114"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(2, _tradingRecord));
Assert.IsFalse(_rule.IsSatisfied(3, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(4, _tradingRecord));
// Exit
_tradingRecord.Exit(5);
// Enter at 128
_tradingRecord.Enter(5, Decimal.ValueOf("128"), tradedAmount);
Assert.IsFalse(_rule.IsSatisfied(5, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(6, _tradingRecord));
Assert.IsTrue(_rule.IsSatisfied(7, _tradingRecord));
}
