public void testRest()
{
var numbers = O.seq(10);
AreEqual(Objects.second(numbers), O.first(O.rest(numbers)));
AreEqual(Objects.nth(numbers, 3), O.second(O.rest(numbers)));
}
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
}
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;
}
