/// <summary>
/// This is used to ensure each test starts with a clean, known state.
/// </summary>
protected void LiquidateHoldings()
{
Log.Trace("");
Log.Trace("LIQUIDATE HOLDINGS");
Log.Trace("");
var holdings = Brokerage.GetAccountHoldings();
foreach (var holding in holdings)
{
if (holding.Quantity == 0)
{
continue;
}
Log.Trace("Liquidating: " + holding);
var order = new MarketOrder(holding.Symbol, (int)-holding.Quantity, DateTime.Now, type: holding.Type);
_orderMapping.Add(order);
PlaceOrderWaitForStatus(order, OrderStatus.Filled);
}
}
/// <summary>
/// Places the specified order with the brokerage and wait until we get the <paramref name="expectedStatus"/> back via an OrderStatusChanged event.
/// This function handles adding the order to the <see cref="IOrderMapping"/> instance as well as incrementing the order ID.
/// </summary>
/// <param name="order">The order to be submitted</param>
/// <param name="expectedStatus">The status to wait for</param>
/// <param name="secondsTimeout">Maximum amount of time to wait for <paramref name="expectedStatus"/></param>
/// <returns>The same order that was submitted.</returns>
protected Order PlaceOrderWaitForStatus(Order order, OrderStatus expectedStatus = OrderStatus.Filled, double secondsTimeout = 10.0)
{
var requiredStatusEvent = new ManualResetEvent(false);
var desiredStatusEvent = new ManualResetEvent(false);
EventHandler <OrderEvent> brokerageOnOrderStatusChanged = (sender, args) =>
{
// no matter what, every order should fire at least one of these
if (args.Status == OrderStatus.Submitted || args.Status == OrderStatus.Invalid)
{
Log.Trace("");
Log.Trace("SUBMITTED: " + args);
Log.Trace("");
requiredStatusEvent.Set();
}
// make sure we fire the status we're expecting
if (args.Status == expectedStatus)
{
Log.Trace("");
Log.Trace("EXPECTED: " + args);
Log.Trace("");
desiredStatusEvent.Set();
}
};
Brokerage.OrderStatusChanged += brokerageOnOrderStatusChanged;
OrderMapping.Add(order);
if (!Brokerage.PlaceOrder(order))
{
Assert.Fail("Brokerage failed to place the order: " + order);
}
requiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "Expected every order to fire a submitted or invalid status event");
desiredStatusEvent.WaitOneAssertFail((int)(1000 * secondsTimeout), "OrderStatus " + expectedStatus + " was not encountered within the timeout.");
Brokerage.OrderStatusChanged -= brokerageOnOrderStatusChanged;
return(order);
}
private IBrokerage InitializeBrokerage()
{
Log.Trace("");
Log.Trace("- INITIALIZING BROKERAGE -");
Log.Trace("");
var brokerage = CreateBrokerage(OrderMapping, HoldingsProvider);
brokerage.Connect();
if (!brokerage.IsConnected)
{
Assert.Fail("Failed to connect to brokerage");
}
Log.Trace("");
Log.Trace("GET OPEN ORDERS");
Log.Trace("");
foreach (var openOrder in brokerage.GetOpenOrders())
{
OrderMapping.Add(openOrder);
}
Log.Trace("");
Log.Trace("GET ACCOUNT HOLDINGS");
Log.Trace("");
foreach (var accountHolding in brokerage.GetAccountHoldings())
{
HoldingsProvider[accountHolding.Symbol] = accountHolding;
}
brokerage.OrderStatusChanged += (sender, args) =>
{
Log.Trace("");
Log.Trace("ORDER STATUS CHANGED: " + args);
Log.Trace("");
// we need to keep this maintained properly
if (args.Status == OrderStatus.Filled || args.Status == OrderStatus.PartiallyFilled)
{
Log.Trace("FILL EVENT: " + args.FillQuantity + " units of " + args.Symbol);
Holding holding;
if (_holdingsProvider.TryGetValue(args.Symbol, out holding))
{
_holdingsProvider[args.Symbol].Quantity += args.FillQuantity;
}
else
{
var accountHoldings = brokerage.GetAccountHoldings().ToDictionary(x => x.Symbol);
if (accountHoldings.ContainsKey(args.Symbol))
{
_holdingsProvider[args.Symbol] = accountHoldings[args.Symbol];
}
else
{
_holdingsProvider[args.Symbol] = new Holding {
Symbol = args.Symbol
};
}
}
Log.Trace("--HOLDINGS: " + _holdingsProvider[args.Symbol]);
// update order mapping
var order = _orderMapping.GetOrderById(args.OrderId);
order.Status = args.Status;
}
};
return(brokerage);
}