public void testJDateCanHandleDefaultCDate()
{
var defalt = new DateTime();
AreEqual("1753/01/01", O.ymdHuman(new DateTime(1753, 1, 1)));
AreEqual("0001/01/03", O.ymdHuman(defalt));
AreEqual("0001/01/03", O.ymdHuman(O.jDate(defalt)));
AreEqual("0001/01/03", O.ymdHuman(O.date(O.ymdHuman(defalt))));
}
public void addFirstMonth()
{
addThreeDays();
O.zeroTo(7, i => addThreeDays());
close(47, 80, 30, 70, 16);
AreEqual(O.jDate("2006-08-29"), system().barDate);
AreEqual(O.jDate("2006-07-31"), system().refDate);
AreEqual(O.jDate("2006-08-31"), system().evaluationDate);
close(48, 79, 31, 71, 14);
AreEqual(O.jDate("2006-08-30"), system().barDate);
AreEqual(O.jDate("2006-07-31"), system().refDate);
AreEqual(O.jDate("2006-08-31"), system().evaluationDate);
AreEqual(5, system().basketSize);
}
internal void close(double tri0, double tri1, double tri2, double tri3, double tri4)
{
if (lastBars != null)
{
processBar(lastBars);
}
var tris = O.array(tri0, tri1, tri2, tri3, tri4);
lastBars = new Dictionary <Symbol, Bar>();
O.zeroTo(5, i => lastBars.Add(symbols[i], bar(tris[i])));
processClose(lastBars);
var jTime = O.jDate(time);
time = O.date(Dates.businessDaysAhead(1, jTime, "nyb"));
}
public void testMarketPeriods()
{
var testSymbol = new Symbol("CDS.TEST.CAH.5Y.ACB20");
IsTrue(testSymbol.isPeriodStart(O.date("2003-06-25")));
IsTrue(testSymbol.isPeriodStart(O.date("2008-06-01")));
IsTrue(testSymbol.isPeriodEnd(O.date("2007-10-10")));
IsFalse(testSymbol.isPeriodStart(O.date("2003-06-26")));
IsFalse(testSymbol.isPeriodEnd(O.date("2009-01-01")));
IsTrue(testSymbol.isPeriodInactive(O.date("2007-10-11")));
IsFalse(testSymbol.isPeriodInactive(O.date("2007-10-10")));
MarketHistoryTable.MARKET_HISTORY.insert(
new systemdb.metadata.Market(testSymbol.name), null, O.jDate("1980-06-30"));
Symbol.clearPeriodsCache();
IsFalse(testSymbol.isPeriodInactive(O.date("1980-06-29")));
IsFalse(testSymbol.isPeriodInactive(O.date("2008-06-30")));
}
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()));
}
