static void tryAnotherFile(string destination, string source)
{
var match = Regex.Match(destination, @"(.*)\.([^\.]+)$");
var extension = match.Groups[2].Value;
var everythingElse = match.Groups[1].Value;
Bomb.unless(match.Success, () => "log file must have an extension: " + destination);
match = Regex.Match(everythingElse, @"(.*)\.(\d+)$");
string nextDestination;
if (match.Success)
{
var number = int.Parse(match.Groups[2].Value) + 1;
Bomb.unless(number < 10, () => "log files 1-9 are locked, nowhere to log to!");
var prefix = match.Groups[1].Value;
nextDestination = O.join(".", O.list(prefix, "" + number, extension));
}
else
{
nextDestination = everythingElse + ".2." + extension;
}
setOut(source, nextDestination, true);
}
public void testOnCloseCalledInForecastMode()
{
var date = O.date("2009/09/09 11:22:33");
var bar = new Bar(1, 1, 1, 1, date);
processBar(bar);
var counter = positionPublishCounter();
processTick(2, date);
counter.requireCount(2);
AreEqual(0, counter.get <int>(1, "beginValue"));
AreEqual(0, counter.get <int>(1, "liveValue"));
AreEqual(100, counter.get <int>(1, "forecastCloseValue"));
date = date.AddSeconds(59);
symbolSystem.tickProcessed = false;
processTick(2, date);
IsFalse(symbolSystem.tickProcessed);
counter.requireCount(2);
date = date.AddSeconds(1);
processTick(2, date);
IsTrue(symbolSystem.tickProcessed);
counter.requireCount(3);
AreEqual(100, counter.get <int>(2, "forecastCloseValue"));
}
public void doPlot(IEnumerable <Position> positions)
{
clear();
var closed = O.accept(positions, position => position.isClosed());
var pnls = O.sort(O.convert(closed, toValue));
var min = O.first(pnls);
var max = O.last(pnls);
var range = max - min;
var bucketCount = Math.Max(Math.Min(150, pnls.Count / 5), 1);
var blockSize = Math.Max(1, range / bucketCount);
if (blockSize == 1)
{
bucketCount = (int)range + 1;
}
var buckets = O.array(O.nCopies(bucketCount, 0.0));
O.each(pnls, pnl => {
var bucket = (int)((pnl - min) / blockSize);
if (bucket == bucketCount)
{
bucket--;
}
buckets[bucket]++;
});
var bucketStarts = O.array(O.convert(buckets, (i, unused) => i * blockSize + min));
var pnlCount = O.count(pnls);
var lowerQuartile = pnls[pnlCount / 4];
var upperQuartile = pnls[3 * pnlCount / 4];
var median = pnls[pnlCount / 2];
var mean = O.average(pnls);
var sd = O.populationStandardDeviation(pnls);
var colors = O.array(O.convert(bucketStarts, (i, bucket) => {
var isLow = bucket < median;
var isBright = bucket <= lowerQuartile || bucket >= upperQuartile;
if (isLow)
{
return(isBright ? (2.0 / 3.0) : 0.0);
}
return(isBright ? 1.0 : (1.0 / 3.0));
}));
var points = new PointPairList(bucketStarts, buckets, colors);
addBars("pnls", O.array(Color.DarkRed, Color.FromArgb(0, 18, 110), Color.Red, Color.FromArgb(0, 60, 255)), points);
GraphObjList.Add(new LineObj(Color.Lime, 0, 0, 0, 1)
{
Location = { CoordinateFrame = CoordType.XScaleYChartFraction },
Line = { Style = DashStyle.Dot, Width = 2 }
});
GraphObjList.Add(new TextObj(O.join("\n", O.list(
"min = " + O.prettyNumber(min),
"25% = " + O.prettyNumber(lowerQuartile),
"50% = " + O.prettyNumber(median),
"75% = " + O.prettyNumber(upperQuartile),
"max = " + O.prettyNumber(max), "",
"mean = " + O.prettyNumber(mean),
"sd(pop) = " + O.prettyNumber(sd)
)), 0.9, 0.12, CoordType.ChartFraction)
{
FontSpec = { StringAlignment = StringAlignment.Near }
});
BarSettings.MinClusterGap = 0;
XAxis.Scale.MinGrace = 0;
XAxis.Scale.MaxGrace = 0;
}
protected override SystemArguments arguments()
{
return(new SystemArguments(O.list(FOO, BAR), parameters()));
}
public void testSystem()
{
addFirstMonth();
noOrders();
close(49, 82, 26, 75, 13); // Close of 8/31/2006
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 408, oneBar()));
hasOrders(symbols[1], symbols[1].buy("enter long", market(), 244, oneBar()));
hasOrders(symbols[2], symbols[2].sell("enter short", market(), 1154, oneBar()));
hasOrders(symbols[3], symbols[3].buy("enter long", market(), 267, oneBar()));
hasOrders(symbols[4], symbols[4].sell("enter short", market(), 2308, oneBar()));
AreEqual(O.jDate("2006-08-31"), system().barDate);
AreEqual(O.jDate("2006-07-31"), system().refDate);
AreEqual(O.jDate("2006-08-31"), system().evaluationDate);
AreEqual(O.jDate("2006-08-31"), system().rebalancingDate);
AreEqual(O.jDate("2006-09-22"), system().tradeExitDate);
O.zeroTo(5, i => fill(symbols[i], 0, 1));
close(47, 80, 30, 70, 16); // Close of 9/01/2006
AreEqual(O.jDate("2006-09-01"), system().barDate);
AreEqual(O.jDate("2006-07-31"), system().refDate);
AreEqual(O.jDate("2006-08-31"), system().evaluationDate);
AreEqual(O.jDate("2006-08-31"), system().rebalancingDate);
AreEqual(O.jDate("2006-09-22"), system().tradeExitDate);
hasPosition(symbols[0], 408);
hasPosition(symbols[1], 244);
hasPosition(symbols[2], -1154);
hasPosition(symbols[3], 267);
hasPosition(symbols[4], -2308);
close(48, 79, 31, 71, 14);
close(49, 82, 26, 75, 13);
addThreeDays();
addThreeDays();
addThreeDays();
close(47, 80, 30, 70, 16);
close(48, 79, 31, 71, 14);
hasPosition(symbols[0], 408);
hasPosition(symbols[1], 244);
hasPosition(symbols[2], -1154);
hasPosition(symbols[3], 267);
hasPosition(symbols[4], -2308);
AreEqual(O.jDate("2006-09-21"), system().barDate);
close(49, 82, 26, 75, 13);
AreEqual(O.jDate("2006-09-22"), system().barDate);
hasOrders(symbols[0], symbols[0].sell("exit on days in trade", market(), 408, oneBar()));
hasOrders(symbols[1], symbols[1].sell("exit on days in trade", market(), 244, oneBar()));
hasOrders(symbols[2], symbols[2].buy("exit on days in trade", market(), 1154, oneBar()));
hasOrders(symbols[3], symbols[3].sell("exit on days in trade", market(), 267, oneBar()));
hasOrders(symbols[4], symbols[4].buy("exit on days in trade", market(), 2308, oneBar()));
O.zeroTo(5, i => fill(symbols[i], 0, 1));
close(47, 80, 30, 70, 16);
AreEqual(O.jDate("2006-09-25"), system().barDate);
AreEqual(O.jDate("2006-08-31"), system().refDate);
AreEqual(O.jDate("2006-09-29"), system().evaluationDate);
AreEqual(O.jDate("2006-09-29"), system().rebalancingDate);
//AreEqual(O.jDate("2006-10-23"), system().tradeExitDate);
noOrders();
close(48, 79, 31, 71, 14);
close(49, 82, 26, 75, 13);
close(47, 80, 30, 70, 16);
close(48, 79, 31, 71, 14);
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 417, oneBar()));
hasOrders(symbols[1], symbols[1].sell("enter short", market(), 380, oneBar()));
hasOrders(symbols[2], symbols[2].buy("enter long", market(), 645, oneBar()));
hasOrders(symbols[3], symbols[3].sell("enter short", market(), 423, oneBar()));
hasOrders(symbols[4], symbols[4].buy("enter long", market(), 1429, oneBar()));
}
public void testRaceCondition()
{
O.zeroTo(10000000, i => new WeakRef <Bar>(new Bar(1, 1, 1, 1)).safeValue());
}
public static DateTime date(string s)
{
return(O.date(s));
}
public static void HaveSameCount <T1, T2>(List <T1> ones, List <T2> twos)
{
if (ones.Count == twos.Count)
{
return;
}
throw Bomb.toss("lists have different counts - \nONES: \n" + O.toShortString(ones) + "\nTWOS:\n" + O.toShortString(twos));
}
public void addColumns(int n)
{
O.zeroTo(n, i => addColumn());
}
public void testTimeTolerance4()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:16"));
noOrders();
}
public void testTimeTolerance3()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 09:59:44"));
noOrders();
}
[Test] public void testLogPrologIsCallable()
{
// info(util.Log.prolog() + "some string");
O.info("some string");
}
UIElement filterPanel()
{
var result = new QGrid {
Height = 25
};
result.addColumn(200);
result.addColumn(100);
result.addColumn(100);
result.add(new QComboBox("ALL", selected => watcher.setTagFilter(selected), O.list <string>(BloombergTagsTable.TAGS.C_TAG.distinct(Clause.TRUE))));
result.add(new QCheckBox("Show Zeros", false, setting => watcher.setFilterZeroes(!setting)), 1);
result.add(new QCheckBox("Show Hidden", false, setting => watcher.setShowHidden(setting)), 2);
return(result);
}
public void testReverse()
{
AreEqual(O.list(4, 3, 2, 1), O.list(O.reverse(Objects.list(1, 2, 3, 4))));
AreEqual(O.list(O.reverse(O.reverse(Objects.seq(15)))), O.list(O.seq(15)));
}
List <Order> orders()
{
return(O.collect(symbols, s => orders(s)));
}
Dictionary <Symbol, Bar> bars(DateTime current)
{
return(O.dictionary(symbols, symbol => new Bar(1, 1, 1, 1, current)));
}
public void testCase1()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:10"));
hasOrders(buy("Entry L", limit(913.5), 48, oneDay()));
fill(0, 913);
AreEqual(true, symbolSystem.hasBeenMarked);
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
processBar(916.25, 916.75, 914.75, 915, O.date("2009-06-18 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
AreEqual(4800, symbolSystem.lastTradePNL);
AreEqual(true, symbolSystem.hasBeenMarked);
AreEqual(false, symbolSystem.hasBeenClosed);
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-06-18 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(908.87), 48, oneDay()),
sell("Exit EOD L", limit(908.75), 48, oneDay())
);
fill(0, 913.75);
noOrders();
AreEqual(false, symbolSystem.hasBeenMarked);
AreEqual(true, symbolSystem.hasBeenClosed);
AreEqual(1800, symbolSystem.lastTradePNL);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-19 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(false, symbolSystem.hasBeenMarked);
AreEqual(true, symbolSystem.hasBeenClosed);
processBar(921.5, 922.5, 920.75, 921.25, O.date("2009-06-19 10:00:00"));
hasOrders(buy("Entry L", limit(921.75), 48, oneDay()));
fill(0, 921.25);
AreEqual(true, symbolSystem.hasBeenMarked);
AreEqual(false, symbolSystem.hasBeenClosed);
hasOrders(sell("Stop L", protectiveStop(917.08), 48, oneDay()));
processBar(915.5, 916.5, 914.5, 917.5, O.date("2009-06-19 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(917.08), 48, oneDay()));
AreEqual(-9000, symbolSystem.lastTradePNL);
processBar(914.75, 916, 914.75, 916, O.date("2009-06-19 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(917.08), 48, oneDay()),
sell("Exit EOD L", limit(911), 48, oneDay())
);
fill(0, 916);
AreEqual(-12600, symbolSystem.lastTradePNL);
processBar(906.25, 906.75, 906, 906.25, O.date("2009-06-22 09:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0.5, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(902.5, 903, 899.5, 900.25, O.date("2009-06-22 10:00:00"));
hasOrders(sell("Entry S", limit(899.75), 38, oneDay()));
fill(0, 900.25);
hasOrders(buy("Stop S", protectiveStop(905.49), 38, oneDay()));
processBar(893, 893.5, 892.25, 893, O.date("2009-06-22 14:00:00"));
hasOrders(buy("Stop S", protectiveStop(905.49), 38, oneDay()));
AreEqual(13775, symbolSystem.lastTradePNL);
processBar(888.5, 889.5, 888, 884, O.date("2009-06-22 16:00:00"));
hasOrders(
buy("Stop S", protectiveStop(905.49), 38, oneDay()),
buy("Exit EOD S", limit(889), 38, oneDay())
);
fill(0, 884);
noOrders();
noPositions();
AreEqual(30875, symbolSystem.lastTradePNL);
processBar(893.5, 893.75, 892, 892.25, O.date("2009-06-23 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(0, symbolSystem.scaleWins[1]);
AreEqual(1, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(891.25, 894, 891, 893.5, O.date("2009-06-23 10:00:00"));
hasOrders(buy("Entry L", limit(894), 35, oneDay()));
fill(0, 893.5);
hasOrders(sell("Stop L", protectiveStop(887.83), 35, oneDay()));
processBar(889.75, 890.75, 888.25, 887, O.date("2009-06-23 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(887.83), 35, oneDay()));
fill(0, 887.83);
noOrders();
AreEqual(-11375, symbolSystem.lastTradePNL);
noPositions();
processBar(889.5, 890.25, 889.25, 890, O.date("2009-06-23 16:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0, symbolSystem.scaleWins[2]);
AreEqual(1, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[4]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(893.5, 893.75, 892, 892.25, O.date("2009-06-24 09:00:00"));
processBar(891.25, 894, 891, 897.5, O.date("2009-06-24 10:00:00"));
noOrders();
noPositions();
processBar(889.75, 890.75, 888.25, 887, O.date("2009-06-24 14:00:00"));
noOrders();
noPositions();
processBar(889.5, 890.25, 889.25, 890, O.date("2009-06-24 16:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0, symbolSystem.scaleWins[2]);
AreEqual(1, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[4]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
}
public void testProcessCloseOrdersTime()
{
AreEqual(O.date(Dates.todayAt("12:30:00")), new Symbol("MKT2").processCloseOrdersTime());
}
protected override SystemArguments arguments()
{
return(new SystemArguments(O.list(symbol2, symbol3, symbol4, symbol5), parameters()));
}
public static void HaveSameCount <T1, T2>(T1[] ones, T2[] twos)
{
if (ones.GetLength(0) == twos.GetLength(0))
{
return;
}
throw Bomb.toss("lists have different counts - \nONES: \n" + O.toShortString(ones) + "\nTWOS:\n" + O.toShortString(twos));
}
public override void setUp()
{
base.setUp();
O.eachValue(system().systems_, s => s.enterTestMode());
}
public override void setUp()
{
base.setUp();
O.zeroTo(leadBars(), i => processBar(0, 0, 0, 0));
}
static DateTime millisAhead(int millis)
{
return(O.now().AddMilliseconds(millis));
}
