static void ExceptionTraceIsCorrect(bool reallyDie, Exception e, ICollection <string> patterns)
{
if (reallyDie)
{
Fail("expected failure did not occur");
}
if (O.isEmpty(patterns))
{
Bomb.toss("expected failure occurred, provide regex to Bombs\nEXPECTED:" + e);
}
var exceptions = O.list <Exception>();
exceptions.Add(e);
while (e != e.GetBaseException())
{
e = e.GetBaseException();
exceptions.Add(e);
}
var messages = O.convert(exceptions, anE => anE.Message);
try {
Bomb.when(
patterns.Count > exceptions.Count,
() => "exception stack not deep enough for " + patterns.Count + " patterns:\n" + e
);
O.each(patterns, messages, Matches);
} catch (Exception matchFailed) {
Bomb.toss("expected patterns:\n" + O.toShortString(patterns) +
"\ndid not match exception messages:\n" + O.toShortString(messages), matchFailed);
}
}
public void testMetrics()
{
bar(1, 2, 10, 4);
fill(A, 0, 2);
fill(B, 0, 2);
fill(C, 0, 2);
fill(D, 0, 2);
bar(2, 4, 6, 8);
bar(0, 0, 0, 0);
bar(3, 6, 9, 2);
bar(2, 3, 4, 5);
O.each(O.copy(system().allPositions()), p => system().systems_[p.symbol].placeOrder(p.exit("f-in a", market(), fillOrKill())));
fill(A, 0, 0);
fill(B, 0, 0);
fill(C, 0, 0);
fill(D, 0, 0);
bar(5, 7, 9, 11);
bridge().statistics().writeSTOFiles(true);
checkMetrics(A.name, "QNetProfit", -2);
checkMetrics("ALL", "QNetProfit", -8);
checkMetrics(A.name, "QMaxDrawdown", -3);
checkMetrics("ALL", "QMaxDrawdown", -20);
checkMetrics("P1", "QMaxDrawdown", -15);
checkMetrics("P2", "QMaxDrawdown", -30);
}
protected override void initializeSymbols()
{
base.initializeSymbols();
var names = new List <string>();
O.zeroTo(50, i => names.Add("sym" + (i + 1)));
symbols = O.list(O.convert(names, name => new Symbol(name)));
O.each(symbols, symbol => insertMarket(symbol.name, 0.0));
O.each(symbols, symbol => insertSymbol("RC." + symbol.name));
}
protected override void initializeSymbols()
{
var names = new List <string>();
O.zeroTo(5, i => names.Add("sym" + (i + 1)));
symbols = O.list(O.convert(names, name => new Symbol(name)));
var series = createEmptyTestSeries();
O.each(symbols, symbol => setupSymbol(symbol, series));
}
void populateNoClear(IEnumerable <string> rest, bool sortEntries)
{
if (O.isEmpty(rest))
{
return;
}
var items = sortEntries ? O.sort(rest) : rest;
O.each(items, item => Items.Add(new ComboBoxItem {
Content = item
}));
}
[Test] public void testEach()
{
var result = new List <string>();
O.each(LETTERS, result.Add);
AreEqual(LETTERS, result);
result.Clear();
O.eachIt(LETTERS, (i, s) => result.Add(i + " " + s));
AreEqual(O.list("0 a", "1 b", "2 c"), result);
int[] sum = { 0 };
O.eachIt(START, delegate(int i, int val) { sum[0] += val + i; });
AreEqual(sum[0], 21);
sum[0] = 0;
O.eachIt(O.list(7, 8, 9), delegate(int i, int val) { sum[0] += val * i; });
AreEqual(sum[0], 26);
}
void close(double c1, double c2, double c3, double c4, double c5)
{
var date = nextTime();
var bars = new Dictionary <Symbol, Bar> {
{ symbol1, new Bar(c1, date) },
{ symbol2, new Bar(c2, date) },
{ symbol3, new Bar(c3, date) },
{ symbol4, new Bar(c4, date) },
{ symbol5, new Bar(c5, date) },
};
O.each(system().systems_, (pair, pairSystem) => {
pairSystem.leftPrior.add(date, bars[CommodityCarry.prior(pair.left)]);
pairSystem.rightPrior.add(date, bars[CommodityCarry.prior(pair.right)]);
});
bars.Remove(symbol1);
processClose(lastBar => bars);
}
public void testSystem()
{
var rc = 0.0;
O.each(symbols, symbol => system().richCheap[symbol].enterTestMode());
O.each(symbols, symbol => system().richCheap[symbol].add(time, rc++));
bridge().processBar(bars(time));
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[1], symbols[1].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[2], symbols[2].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[49], symbols[49].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[48], symbols[48].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[47], symbols[47].sell("enter short", market(), 1, oneBar()));
var i = 1;
system().richCheap[O.first(symbols)].add(time.AddDays(i++), 100);
processBar(bars(time.AddDays(1)));
hasOrders(symbols[3], symbols[3].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[1], symbols[1].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[2], symbols[2].buy("enter long", market(), 1, oneBar()));
hasOrders(symbols[49], symbols[49].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[48], symbols[48].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[0], symbols[0].sell("enter short", market(), 1, oneBar()));
O.each(orders(), order => fill(order, 0));
processBar(bars(time.AddDays(i++)));
noOrders();
processBar(bars(time.AddDays(i++)));
noOrders();
processBar(bars(time.AddDays(i++)));
noOrders();
system().richCheap[O.first(symbols)].add(time.AddDays(i), 0);
processBar(bars(time.AddDays(i++)));
hasOrders(symbols[3], symbols[3].sell("exit long", market(), 1, oneBar()));
hasOrders(symbols[47], symbols[47].sell("enter short", market(), 1, oneBar()));
hasOrders(symbols[0], symbols[0].buy("enter long", market(), 1, oneBar()), symbols[0].buy("exit short", market(), 1, oneBar()));
O.each(O.copy(orders()), order => fill(order, 0));
system().richCheap[O.first(symbols)].add(time.AddDays(i), 100);
processBar(bars(time.AddDays(i)));
noOrders(); // holding period
}
[Test] public void testParallelEach()
{
string[] content = { "" };
O.each(
LETTERS,
START,
delegate(int i, string s, int val) {
content[0] += i + ":" + s + "(" + val + ")";
O.info(i + ":" + s + "(" + val + ")");
});
AreEqual("0:a(5)1:b(6)2:c(7)", content[0]);
content[0] = "";
O.each(LETTERS, START, delegate(string s, int val) { content[0] += s + "(" + val + ")"; });
AreEqual("a(5)b(6)c(7)", content[0]);
Bombs(() => O.each(O.list(1, 2, 3, 4), O.list(2, 3, 4), delegate(int i1, int i2) { }),
"failed",
"mismatched");
Bombs(() => O.each(O.list(1, 2, 3), O.list(1, 2, 3, 4), delegate(int i1, int i2) { }), "mismatched");
Bombs(() => O.each(O.list(4, 5, 6), val => Bomb.when(val == 5, () => "VALUE IS 5!")),
"failed@1, processing: 5 in \\[4, 5, 6\\]", "VALUE IS 5");
}
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;
}
