public void testStopOnCloseWorks()
{
close(15);
close(0);
hasOrders(symbol().buy("buy stuff", market(), 100, fillOrKill()));
fill(0, 10); // bought 100 at 10, so stop should be at 0
noOrders();
close(5);
hasOrders(position().exit("TrailingStoppage", stop(0), oneBar()));
close(15);
AreEqual(5, O.the(symbolSystem.dynamicExitsOnClose)[0]);
AreEqual(0, O.the(symbolSystem.dynamicExitsOnClose)[1]);
AreEqual(0, O.the(symbolSystem.dynamicExitsOnClose)[2]);
hasOrders(position().exit("TrailingStoppage", stop(5), oneBar()));
close(0);
hasOrders(Order.ANY, position().exit("get out", market(), fillOrKill()));
fill(1, 0);
noOrders();
close(-5);
hasOrders(symbol().sell("sell stuff", market(), 100, fillOrKill()));
fill(0, -10);
noOrders();
close(-5);
hasOrders(position().exit("TrailingStoppage", stop(0), oneBar()));
close(-15);
hasOrders(position().exit("TrailingStoppage", stop(-5), oneBar()));
}
public void testObjectiveExit()
{
processBar(15, 15, 15, 15);
processBar(0, 0, 0, 0);
hasOrders(symbol().buy("buy stuff", market(), 100, fillOrKill()));
fill(0, 10); // bought 100 at 10, so exit should be at 20
AreEqual(20, O.the(symbolSystem.dynamicExits)[0]);
hasOrders(position().exit("ObjectiveReached", limit(20), oneBar()));
processBar(5, 5, 5, 5);
hasOrders(position().exit("ObjectiveReached", limit(20), oneBar()));
processBar(15, 15, 15, 15);
AreEqual(20, O.the(symbolSystem.dynamicExits)[0]);
hasOrders(position().exit("ObjectiveReached", limit(20), oneBar()));
processBar(0, 0, 0, 0);
hasOrders(Order.ANY, position().exit("get out", market(), fillOrKill()));
fill(1, 0);
noOrders();
processBar(-5, -5, -5, -5);
hasOrders(symbol().sell("sell stuff", market(), 100, fillOrKill()));
fill(0, -10);
hasOrders(position().exit("ObjectiveReached", limit(-20), oneBar()));
processBar(-5, -5, -5, -5);
hasOrders(position().exit("ObjectiveReached", limit(-20), oneBar()));
processBar(-15, -15, -15, -15);
hasOrders(position().exit("ObjectiveReached", limit(-20), oneBar()));
}
public void testStopWorks()
{
processBar(15, 15, 15, 15);
processBar(0, 0, 0, 0);
hasOrders(symbol().buy("buy stuff", market(), 100, fillOrKill()));
fill(0, 20); // bought 100 at 20, so stop should be at 10
AreEqual(10, O.the(symbolSystem.dynamicExits)[0]);
hasOrders(position().exit("TrailingStoppage", stop(10), oneBar()));
processBar(5, 5, 5, 5);
hasOrders(position().exit("TrailingStoppage", stop(10), oneBar()));
processBar(15, 15, 15, 15);
AreEqual(10, O.the(symbolSystem.dynamicExits)[0]);
AreEqual(10, O.the(symbolSystem.dynamicExits)[1]);
AreEqual(10, O.the(symbolSystem.dynamicExits)[2]);
hasOrders(position().exit("TrailingStoppage", stop(10), oneBar()));
processBar(0, 0, 0, 0);
hasOrders(Order.ANY, position().exit("get out", market(), fillOrKill()));
fill(1, 0);
noOrders();
processBar(-5, -5, -5, -5);
hasOrders(symbol().sell("sell stuff", market(), 100, fillOrKill()));
fill(0, -100);
hasOrders(position().exit("TrailingStoppage", stop(-90), oneBar()));
processBar(-95, -95, -95, -95);
hasOrders(position().exit("TrailingStoppage", stop(-90), oneBar()));
processBar(-92, -92, -92, -92);
hasOrders(position().exit("TrailingStoppage", stop(-90), oneBar()));
}
void addPoints(string fileName)
{
var csv = new QFile(fileName).csv();
Collection c = csv.records();
foreach (var record in O.list <List>(c))
{
addPoint(Double.Parse(O.the(O.list <string>(record))));
}
}
public static string testName()
{
var frames = new StackTrace(false).GetFrames();
if (frames == null)
{
throw Bomb.toss("no frames on stack?");
}
foreach (var frame in frames)
{
var mb = frame.GetMethod();
var attributes = mb.GetCustomAttributes(typeof(TestAttribute), true);
if (O.isEmpty(attributes))
{
continue;
}
return(((TestAttribute)O.the(attributes)).Description);
}
throw Bomb.toss("no test attribute found on current test!");
}
