public override void setUp()
{
base.setUp();
symbolSystem.richCheap.enterTestMode();
symbolSystem.dtd.enterTestMode();
O.zeroTo(leadBars(), i => newBarWithRC(i));
}
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(), 3077, oneBar()));
hasOrders(symbols[3], symbols[3].buy("enter long", market(), 267, oneBar()));
hasOrders(symbols[4], symbols[4].buy("enter long", market(), 1538, oneBar()));
O.zeroTo(5, i => fill(symbols[i], 0, 1));
close(47, 80, 30, 70, 16); // Close of 9/01/2006
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], -3077);
hasPosition(symbols[3], 267);
hasPosition(symbols[4], 1538);
close(49, 82, 26, 75, 13);
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(), 3077, oneBar()));
hasOrders(symbols[3], symbols[3].sell("exit on days in trade", market(), 267, oneBar()));
hasOrders(symbols[4], symbols[4].sell("exit on days in trade", market(), 1538, oneBar()));
O.zeroTo(5, i => fill(symbols[i], 0, 1));
}
public void testNullBarDate()
{
addThreeDays();
O.zeroTo(7, i => addThreeDays());
close(47, 80, 30, 70, 16);
AreEqual(null, system().barDate);
}
public override void setUp()
{
base.setUp();
O.zeroTo(arguments().leadBars, i => {
processBar(1, 3, 1, 2);
noOrders();
});
}
public override void setUp()
{
base.setUp();
symbolSystem.modelPrice.enterTestMode();
symbolSystem.actualPrice.enterTestMode();
symbolSystem.rollDecimal.enterTestMode();
lastBar = null;
O.zeroTo(leadBars(), i => close(1, 0, 0, 0));
}
public override void setUp()
{
base.setUp();
symbolSystem.doRunOnTick = true;
O.zeroTo(arguments().leadBars, i => {
processBar(1, 3, 1, 2);
noOrders();
});
emailer.allowMessages();
}
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));
}
public void testMultiThreadDictionaryLookup()
{
var refDict = new WeakRefDictionary <Bar, double>();
O.zeroTo(10000000, i => {
refDict[new Bar(1, 1, 1, 1)] = 0.0;
refDict[new Bar(2, 2, 2, 2)] = 1.0;
new Thread(() => O.toShortString(refDict.Keys)).Start();
O.toShortString(refDict.Keys);
});
}
public override void setUp()
{
base.setUp();
symbolSystem.zScore.enterTestMode();
symbolSystem.residual.enterTestMode();
symbolSystem.betaShort.enterTestMode();
symbolSystem.tc.enterTestMode();
symbolSystem.beta.enterTestMode();
lastBar = null;
O.zeroTo(leadBars(), i => close(1, 0, 0, 0, 0, 0));
}
public override void setUp()
{
base.setUp();
symbolSystem.zScore.enterTestMode();
symbolSystem.residual.enterTestMode();
symbolSystem.tc.enterTestMode();
symbolSystem.rSquare.enterTestMode();
symbolSystem.hedge.enterTestMode();
symbolSystem.scale.enterTestMode();
lastBar = null;
O.zeroTo(leadBars(), i => close(1, 0, 0, 0, 0, 0, -999999));
}
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);
}
public void testCase3()
{
processBar(908, 909, 907.5, 908.25, O.date("2009-06-17 09:00:00"));
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-06-17 10:00:00"));
processBar(913, 913.5, 911.75, 912.25, O.date("2009-06-17 14:00:00"));
processBar(905.5, 905.75, 905, 905, O.date("2009-06-17 16:00:00"));
processBar(908.5, 909, 907.5, 908.5, O.date("2009-06-18 09:00:00"));
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:00"));
fill(0, 913);
processBar(916.25, 916.75, 914.75, 915, O.date("2009-06-18 14:00:00"));
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-06-18 16:00:00"));
fill(0, 913.75);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-19 09:00:00"));
processBar(921.5, 922.5, 920.75, 921.25, O.date("2009-06-19 10:00:00"));
fill(0, 921.25);
processBar(915.5, 916.5, 914.5, 917.5, O.date("2009-06-19 14:00:00"));
processBar(914.75, 916, 914.75, 916, O.date("2009-06-19 16:00:00"));
fill(0, 916);
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]);
O.zeroTo(27, i => processBar(914.75, 916, 914.75, 916, date("2009-06-22 09:00:00").AddDays(i + 1)));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
processBar(906.25, 906.75, 906, 906.25, date("2009-06-22 09:00:00").AddDays(29));
AreEqual(0.5, symbolSystem.scaleWins[0]);
AreEqual(0.5, symbolSystem.scaleWins[1]);
processBar(908, 909, 907.5, 908.25, O.date("2009-07-21 09:00:00"));
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-07-21 10:00:00"));
processBar(913, 913.5, 911.75, 912.25, O.date("2009-07-21 14:00:00"));
processBar(905.5, 905.75, 905, 905, O.date("2009-07-21 16:00:00"));
processBar(908.5, 909, 907.5, 908.5, O.date("2009-07-22 09:00:00"));
processBar(907.25, 913.5, 906.25, 913, O.date("2009-07-22 10:00:00"));
hasOrders(buy("Entry L", limit(913.5), 43, oneDay()));
fill(0, 913);
processBar(916.25, 916.75, 914.75, 915, O.date("2009-07-22 14:00:00"));
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-07-22 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(908.35), 43, oneDay()),
sell("Exit EOD L", limit(908.75), 43, oneDay())
);
fill(0, 913.75);
AreEqual(1612.5, symbolSystem.lastTradePNL);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-23 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(0.5, symbolSystem.scaleWins[1]);
}
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 testMemoryCalculator()
{
var l = new List <double>();
Stopwatch.doMemoryProfiling();
Stopwatch.start("foo");
O.zeroTo(10, i => {
Stopwatch.start("foo");
l.Add(1.0);
Stopwatch.stop("foo");
});
IsTrue(Stopwatch.bytesUsed("foo") >= 80 && Stopwatch.bytesUsed("foo") < 160, "used " + Stopwatch.bytesUsed("foo"));
IsTrue(Stopwatch.bytesUsedPer("foo") >= 8 && Stopwatch.bytesUsedPer("foo") < 16);
Matches("bytes", Stopwatch.report("foo"));
}
public void testAccumulatingSomeRunTime()
{
const string A = "a";
const string B = "b";
O.zeroTo(10, i => {
Stopwatch.start(A);
Objects.sleep(10);
Stopwatch.stop(A);
});
Stopwatch.start(B);
O.zeroTo(100, i => O.sleep(10));
Stopwatch.stop(B);
IsTrue(Stopwatch.millis(A) > 100, "elapsed outside allowed range: " + Stopwatch.millis(A) + " " + Stopwatch.seconds(A));
IsTrue(Stopwatch.seconds(A) < 0.3, "elapsed outside allowed range: " + Stopwatch.millis(A) + " " + Stopwatch.seconds(A));
IsTrue(Stopwatch.millis(B) > 1000 && Stopwatch.seconds(B) < 4, "elapsed outside allowed range: " + Stopwatch.seconds(B));
IsTrue(Stopwatch.millisPer(A) >= 10 && Stopwatch.millisPer(A) < 30);
Matches("a - total", Stopwatch.report(A));
}
public void testSystem()
{
addThreeDays();
O.zeroTo(7, i => addThreeDays());
close(47, 80, 30, 70, 16);
close(48, 79, 31, 71, 14);
noOrders();
close(49, 82, 26, 75, 13); // Close of 8/31/2006
close(47, 80, 30, 70, 16); // Close of 9/01/2006
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);
close(49, 82, 26, 75, 13);
O.zeroTo(25, i => addThreeDays());
}
public void addColumns(int n)
{
O.zeroTo(n, i => addColumn());
}
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 override void setUp()
{
base.setUp();
O.zeroTo(leadBars(), i => processBar(0, 0, 0, 0));
}
public void testRaceCondition()
{
O.zeroTo(10000000, i => new WeakRef <Bar>(new Bar(1, 1, 1, 1)).safeValue());
}
