/// <summary>
/// returns true if sim event binding is needed
/// </summary>
/// <param name="sim"></param>
/// <param name="ga"></param>
bool prepsim_needsbind(ref HistSim sim, GauntArgs ga)
{
// see if filter or folder has changed
string thistff = TickFileFilter.Serialize(ga.Filter) + ga.Folder;
bool fullreset = lasttff != thistff;
if ((sim == null) || fullreset)
{
if (_portfoliosim.Checked)
{
if (_siminmemory.Checked)
{
sim = new HistSimMemory(ga.Folder, ga.Filter);
}
else
{
debug("Using portfolio simulation. (realistic)");
sim = new MultiSimImpl(ga.Folder, ga.Filter);
}
}
else
{
debug("Using sequential symbol simulation. (faster)");
sim = new SingleSimImpl(ga.Folder, ga.Filter);
}
lasttff = thistff;
return(true);
}
else
{
sim.Reset();
}
return(false);
}
public void RawSingleFromZip()
{
SingleSimImpl h = new SingleSimImpl(new string[] { @"Common\AUDJPY.zip\AUDJPY20070510.TIK" });
rawbase("rawsingle", 1, h);
Assert.Equal(5616, tickcount);
}
public void BarPerformance()
{
SingleSimImpl h = new SingleSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
h.GotTick += h_GotTick;
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.Equal(0, lasttime);
Assert.True(h.TicksPresent > 0);
if (Environment.ProcessorCount == 1)
{
EXPECTBARS *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.Endsim);
double time = DateTime.Now.Subtract(start).TotalSeconds;
h.Stop();
Assert.True(tickcount >= 50000);
Assert.Equal(3, bt.SymbolCount);
Assert.True(time <= EXPECTBARS);
debug("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
debug("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
public void RawPerformanceWithLoad()
{
System.ComponentModel.BackgroundWorker bw = new System.ComponentModel.BackgroundWorker();
bw.DoWork += bw_DoWork;
bw.WorkerSupportsCancellation = true;
SingleSimImpl h = new SingleSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
rawbase("raw performance multi w/load", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Equal(42610 + 4991 + 8041, tickcount);
// check running time
Assert.True(h.RunTimeSec <= EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
//Assert.Equal(20080318155843, lasttime);
Assert.Equal(20080318000155843, lasttime);
RawPerformance();
bw.CancelAsync();
run = false;
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.Equal(42610 + 4991 + 8041, tickcount);
// check running time
Assert.True(h.RunTimeSec <= EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
//Assert.Equal(20080318155843, lasttime);
Assert.Equal(20080318000155843, lasttime);
}
//[Test]
public void BarPerformance()
{
SingleSimImpl h = new SingleSimImpl(new string[] { "FTI20070926.TIK", "ABN20080318.TIK", "SPX20070926.TIK" });
h.GotTick += new TradeLink.API.TickDelegate(h_GotTick);
h.Initialize();
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTBARS *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
h.Stop();
Assert.GreaterOrEqual(tickcount, 50000);
Assert.AreEqual(3, bt.SymbolCount);
Assert.LessOrEqual(time, EXPECTBARS);
rt.d("BarList runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTBARS + "sec expected.");
rt.d("BarList " + ((double)tickcount / time).ToString("N0") + " ticks/sec");
}
public void ExecutionPerformance()
{
System.Threading.Thread.Sleep(100);
h = new SingleSimImpl(new string[] { @"Common\FTI20070926.TIK", @"Common\ABN20080318.TIK", @"Common\SPX20070926.TIK" });
h.Initialize();
h.GotTick += execute_GotTick;
h.SimBroker.GotFill += SimBroker_GotFill;
tickcount = 0;
lasttime = 0;
Assert.Equal(0, tickcount);
Assert.Equal(0, syms.Count);
Assert.Equal(0, lasttime);
Assert.True(h.TicksPresent > 0);
if (Environment.ProcessorCount == 1)
{
EXPECTEX *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.Endsim);
double time = DateTime.Now.Subtract(start).TotalSeconds;
debug("Execution runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTEX + "sec expected.");
debug("Execution " + ((double)tickcount / time).ToString("N0") + " ticks/sec. " + ((double)fillcount / time).ToString("N0") + " fills/sec");
Assert.Equal(desiredfills, fillcount);
Assert.True(time <= EXPECTEX);
h.Stop();
}
//[Test]
public void ExecutionPerformance()
{
System.Threading.Thread.Sleep(100);
h = new SingleSimImpl(new string[] { "FTI20070926.TIK", "ABN20080318.TIK", "SPX20070926.TIK" });
h.Initialize();
h.GotTick += new TradeLink.API.TickDelegate(execute_GotTick);
h.SimBroker.GotFill += new TradeLink.API.FillDelegate(SimBroker_GotFill);
tickcount = 0;
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
Assert.Greater(h.TicksPresent, 0);
if (Environment.ProcessorCount == 1)
{
EXPECTEX *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
double time = DateTime.Now.Subtract(start).TotalSeconds;
rt.d("Execution runtime: " + time.ToString("N2") + "sec, versus: " + EXPECTEX + "sec expected.");
rt.d("Execution " + ((double)tickcount / time).ToString("N0") + " ticks/sec. " + ((double)fillcount / time).ToString("N0") + " fills/sec");
Assert.AreEqual(desiredfills, fillcount);
Assert.LessOrEqual(time, EXPECTEX);
h.Stop();
}
public void RawPerformanceWithLoad()
{
System.ComponentModel.BackgroundWorker bw = new System.ComponentModel.BackgroundWorker();
bw.DoWork += new System.ComponentModel.DoWorkEventHandler(bw_DoWork);
bw.WorkerSupportsCancellation = true;
SingleSimImpl h = new SingleSimImpl(Environment.CurrentDirectory);
rawbase("raw performance multi w/load", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
RawPerformance();
bw.CancelAsync();
run = false;
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
public void RawSingle()
{
SingleSimImpl h = new SingleSimImpl(new string[] { @"Common\FTI20070926.TIK" });
rawbase("rawsingle", 1, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.True(tickcount > 40000);
}
public void RawPerformance()
{
SingleSimImpl h = new SingleSimImpl(new string[] { "FTI20070926.TIK", "ABN20080318.TIK", "SPX20070926.TIK" });
rawbase("raw performance multi", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
public void RawPerformance()
{
SingleSimImpl h = new SingleSimImpl(Environment.CurrentDirectory);
rawbase("raw performance multi", 3, h);
// tick count is = 42610 (FTI) + 5001 (SPX) + 8041 (ABN)
Assert.AreEqual(42610 + 4991 + 8041, tickcount);
// check running time
Assert.LessOrEqual(h.RunTimeSec, EXPECTRAW, "may fail on slow machines");
// last time is 1649 on SPX
Assert.AreEqual(20080318155843, lasttime);
}
public void rawbase(string name, int symcount, SingleSimImpl sim)
{
rt.d(name.ToUpper());
SingleSimImpl h = sim;
h.GotTick += new TradeLink.API.TickDelegate(raw_GotTick);
h.GotDebug += new DebugDelegate(h_GotDebug);
tickcount = 0;
syms.Clear();
lasttime = 0;
Assert.AreEqual(0, tickcount);
Assert.AreEqual(0, syms.Count);
Assert.AreEqual(0, lasttime);
if (Environment.ProcessorCount == 1)
{
EXPECTRAW *= 2.5;
}
DateTime start = DateTime.Now;
h.PlayTo(SingleSimImpl.ENDSIM);
// printout simulation runtime
rt.d("Ticks received: " + tickcount + " sent: " + h.TicksProcessed + " estimate: " + h.TicksPresent);
rt.d("Raw runtime: " + h.RunTimeSec.ToString("N2") + "sec, versus: " + EXPECTRAW + "sec expected.");
rt.d("Raw speed: " + h.RunTimeTicksPerSec.ToString("N0") + " ticks/sec");
// make sure ticks arrived in order
Assert.IsTrue(h.isTickPlaybackOrdered, "Tick arrived out-of-order.");
// ensure got expected number of symbols
Assert.AreEqual(symcount, syms.Count);
// variance from approximate count should be less than 1%
Assert.Less((tickcount - h.TicksPresent) / h.TicksPresent, .01);
// actual count should equal simulation count
Assert.AreEqual(h.TicksProcessed, tickcount);
h.Stop();
rt.d(name.ToUpper());
}
