public void MultipleAccount()
{
// setup defaults for 1st and 2nd accounts and positions
string sym = "TST";
string a1 = "account1";
string a2 = "account2";
int s1 = 300;
int s2 = 500;
decimal p = 100m;
// create position tracker
PositionTracker pt = new PositionTracker();
// set initial position in 1st account
pt.Adjust(new PositionImpl(sym, p, s1, 0, a1));
// set initial position in 2nd account
pt.Adjust(new PositionImpl(sym, p, s2, 0, a2));
// verify I can query default account and it's correct
Assert.AreEqual(s1, pt[sym].Size);
// change default to 2nd account
pt.DefaultAccount = a2;
// verify I can query default and it's correct
Assert.AreEqual(s2, pt[sym].Size);
// verify I can query 1st account and correct
Assert.AreEqual(s1, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2, pt[sym, a2].Size);
// get fill in sym for 1st account
TradeImpl f = new TradeImpl(sym, p, s1);
f.Account = a1;
pt.Adjust(f);
// get fill in sym for 2nd account
TradeImpl f2 = new TradeImpl(sym, p, s2);
f2.Account = a2;
pt.Adjust(f2);
// verify that I can querry 1st account and correct
Assert.AreEqual(s1 * 2, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.AreEqual(s2 * 2, pt[sym, a2].Size);
// reset
pt.Clear();
// ensure I can query first and second account and get flat symbols
Assert.AreEqual(0, pt[sym].Size);
Assert.AreEqual(0, pt[sym, a1].Size);
Assert.AreEqual(0, pt[sym, a2].Size);
Assert.IsTrue(pt[sym, a1].isFlat);
Assert.IsTrue(pt[sym, a2].isFlat);
Assert.IsTrue(pt[sym].isFlat);
Assert.AreEqual(string.Empty, pt.DefaultAccount);
}
public override void Reset() //对于新的一天来计算的时候要进行重置
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
Int32 numOfInterval = 1;
BarInterval[] intervaltypes = new BarInterval[numOfInterval];
Int32[] intervalValues = new Int32[numOfInterval];
for (Int32 i = 0; i < numOfInterval; i++)
{
intervaltypes[i] = BarType;
intervalValues[i] = NumItemPerBar;
}
_blt = new BarListTracker(intervalValues, intervaltypes);
_blt.GotNewBar += new SymBarIntervalDelegate(blt_GotNewBar);
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
Hashtable ShortSMAInputParamTmp = new Hashtable(); //对于SMA indicator进行更新，用今天重新计算的SMA，而不用昨天
Hashtable LongSMAInputParamTmp = new Hashtable();
ShortSMAInputParamTmp["lookbackperiod"] = _shortbarsback;
LongSMAInputParamTmp["lookbackperiod"] = _shortbarsback + _incrementbarsback;
ShortSMAInputParamTmp["minmumsignallength"] = _shortbarsback;
LongSMAInputParamTmp["minmumsignallength"] = _shortbarsback + _incrementbarsback;
_ShortSMAFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.SMA();
_LongSMAFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.SMA();
_ShortSMAFromATSGlobalIndicator.Param = ShortSMAInputParamTmp;
_LongSMAFromATSGlobalIndicator.Param = LongSMAInputParamTmp;
_ShortSMAFromATSGlobalIndicator.Initializatin();
_LongSMAFromATSGlobalIndicator.Initializatin();
// reset the parameters of ATR
Hashtable ATRInputParamTmp = new Hashtable();
ATRInputParamTmp["lookbackperiod"] = _shortbarsback;
ATRInputParamTmp["minmumsignallength"] = 14;
_ATRFromATSGlobalIndicator = new ATSGlobalIndicatorPersonal.ATR();
_ATRFromATSGlobalIndicator.Param = ATRInputParamTmp;
_ATRFromATSGlobalIndicator.Initializatin();
//---------------------------------------------------------
_isShutDown = false;
TotalProfit = 0m;
_pt.Clear();
if (_shortbarsback != 34 || _incrementbarsback != 84)
{
Console.WriteLine("yo hey");
}
}
/// <summary>
/// Reset the respose system
/// </summary>
public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
// Initialize "_blt", the bar list tracker
Initialize_blt();
// Update generic parameters
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
#if EXTERNAL_PARAM
//传递优化参数或系统参数
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
if (File.Exists(SMAExternalParam))
{
DataTable paramTableInput = null;
StreamReader sr = new StreamReader(SMAExternalParam, Encoding.GetEncoding("GB18030"));
paramTableInput = CsvParser.Parse(sr, true);
sr.Close();
foreach (DataRow dr in paramTableInput.Rows)
{
if (paramTableInput.Columns.Contains("key") && paramTableInput.Columns.Contains("value"))
{
string tmpKey = dr["key"].ToString();
string tmpValue = dr["value"].ToString();
if (tmpKey == "genericparam")
{
GenericParameter = tmpValue;
}
//传递外部参数
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
}
}
}
#endif
//Initialize_Indicators();
// set to false to indicate the system is on
_isShutDown = false;
// clear total profit
TotalProfit = 0m;
// Clear all position
_pt.Clear();
ResetIndicators();
LocalReset();
}
/// <summary>
/// Reset the respose system
/// </summary>
public override void Reset()
{
// enable prompting of system parameters to user,
// so they do not have to recompile to change things
ParamPrompt.Popup(this, true, _black);
// Initialize "_blt", the bar list tracker
Initialize_blt();
// Update generic parameters
GenericParamUpdateHelper.updateParam(this, GenericParameter, false);
Initialize_Indicators();
// set to false to indicate the system is on
_isShutDown = false;
// clear total profit
_totalprofit = 0m;
// Clear all position
_pt.Clear();
}
public void FillBidAskPartial()
{
PapertradeTracker ptt = new PapertradeTracker();
PositionTracker pt = new PositionTracker();
ptt.UseBidAskFills = true;
ptt.GotFillEvent += new FillDelegate(pt.GotFill);
foreach (bool side in new bool[] { true, false })
{
pt.Clear();
Order o = new MarketOrder("IBM", side, 1000);
int size = o.size;
o.id = 1;
ptt.sendorder(o);
Tick k = TickImpl.NewQuote("IBM", 100, 101, 400, 400, "", "");
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill
ptt.newTick(k); // partial fill, completed
Expect(pt["IBM"].Size, Is.EqualTo(size));
}
}
public void MultipleAccount()
{
// setup defaults for 1st and 2nd accounts and positions
string s = "TST";
ForexSecurity sym = new ForexSecurity(s);
IAccount a1 = new SimAccount("account1");
a1.Securities.AddSecurity(sym);
IAccount a2 = new SimAccount("account2");
a1.Securities.AddSecurity(sym);
int s1 = 300;
int s2 = 500;
decimal p = 100m;
// create position tracker
PositionTracker pt = new PositionTracker(a1);
// set initial position in 1st account
pt.Adjust(new PositionImpl(sym, p, s1, 0, a1));
// set initial position in 2nd account
pt.Adjust(new PositionImpl(sym, p, s2, 0, a2));
// verify I can query default account and it's correct
Assert.Equal(s1, pt[sym].Size);
// change default to 2nd account
pt.DefaultAccount = a2;
// verify I can query default and it's correct
Assert.Equal(s2, pt[sym].Size);
// verify I can query 1st account and correct
Assert.Equal(s1, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.Equal(s2, pt[sym, a2].Size);
// get fill in sym for 1st account
TradeImpl f = new TradeImpl(sym.Name, p, s1);
f.Account = a1;
f.Security = sym;
pt.Adjust(f);
// get fill in sym for 2nd account
TradeImpl f2 = new TradeImpl(sym.Name, p, s2);
f2.Account = a2;
f2.Security = sym;
pt.Adjust(f2);
// verify that I can querry 1st account and correct
Assert.Equal(s1 * 2, pt[sym, a1].Size);
// verify I can query 2nd account and correct
Assert.Equal(s2 * 2, pt[sym, a2].Size);
// reset
pt.Clear();
// ensure I can query first and second account and get flat symbols
Assert.Equal(0, pt[sym].Size);
Assert.Equal(0, pt[sym, a1].Size);
Assert.Equal(0, pt[sym, a2].Size);
Assert.True(pt[sym, a1].IsFlat);
Assert.True(pt[sym, a2].IsFlat);
Assert.True(pt[sym].IsFlat);
Assert.Equal(null, pt.DefaultAccount);
}
