public void MatchedAndUnmatchedTransactions()
{
string path = @"C:\Users\Nick\Documents\Visual Studio 2013\Projects\LeanITrend\Engine\bin\Debug\";
string pathname = path + "transactions.csv";
// This part of the test is just to look at the JsonConvert
//string txt;
//using (StreamReader sr = new StreamReader(pathname))
//{
// txt = sr.ReadToEnd();
// sr.Close();
//}
//int index = txt.IndexOf("\r\n", System.StringComparison.Ordinal);
//string titlesremoved = txt.Substring(index + 2);
int counter = 0;
List<OrderTransaction> list = new List<OrderTransaction>();
OrderTransactionProcessor processor = new OrderTransactionProcessor();
using (StreamReader sr = new StreamReader(pathname))
{
string line = sr.ReadLine(); // read the header but do not count it.
while (!sr.EndOfStream)
{
line = sr.ReadLine();
if (line != null && line.Contains("Symbol")) continue;
Assert.IsNotNull(line);
counter++;
OrderTransaction t = new OrderTransaction();
CsvSerializer.Deserialize(",",line,ref t,false);
list.Add(t);
processor.ProcessTransaction(t);
}
sr.Close();
}
var csv = CsvSerializer.Serialize(",", processor.Trades, true);
using (StreamWriter sw = new StreamWriter(path + "Trades.csv"))
{
foreach (var s in csv)
{
sw.WriteLine(s);
}
sw.Flush();
sw.Close();
}
var x = JsonConvert.SerializeObject(list);
Assert.IsTrue(counter == list.Count);
Assert.IsTrue(processor.TotalProfit == 52.75m);
Assert.IsTrue(processor.TotalCommission == -26m);
}
/// <summary>
/// Local processing of the order event
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
var security = Securities[orderEvent.Symbol];
IEnumerable <OrderTicket> tickets;
var tm = this.BrokerageModel.GetTransactionModel(security);
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
iTrendStrategy.orderFilled = false;
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
iTrendStrategy.orderFilled = true;
if (Portfolio[orderEvent.Symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice < 0 ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nEntryPrice = 0;
}
#region "log the ticket as a OrderTransacton"
var transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
var t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit();
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
}
}
break;
}
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
// just checking to make sure they are coming through
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
// just checking
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
#region logging
if (Portfolio[orderEvent.Symbol].Invested)
{
nEntryPrice = Portfolio[symbol].IsLong ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nExitPrice = 0;
}
else
{
nExitPrice = nEntryPrice < 0 ? orderEvent.FillPrice : orderEvent.FillPrice * -1;
nEntryPrice = 0;
}
#region "log the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit();
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
#endregion "logging"
}
}
break;
}
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
var currentSignalInfo = signalInfos.FirstOrDefault(s => s.Symbol == orderEvent.Symbol);
orderId = orderEvent.OrderId;
if (currentSignalInfo != null)
{
currentSignalInfo.Status = orderEvent.Status;
}
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId);
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
case OrderStatus.Invalid:
break;
case OrderStatus.PartiallyFilled:
if (currentSignalInfo != null)
{
nEntryPrice = Portfolio[symbol].HoldStock ? Portfolio[symbol].AveragePrice : 0;
}
break;
case OrderStatus.Canceled:
if (currentSignalInfo != null)
{
currentSignalInfo.IsActive = true;
}
break;
case OrderStatus.Filled:
if (currentSignalInfo != null)
{
currentSignalInfo.IsActive = true;
}
nEntryPrice = Portfolio[symbol].HoldStock ? Portfolio[symbol].AveragePrice : 0;
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
//int infoId = Convert.ToInt32(ticket.Tag);
#region "save the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
tradenet = CalculateTradeProfit(t.Symbol);
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
}
}
break;
}
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
if (orderId == 92)
{
System.Diagnostics.Debug.WriteLine("92");
}
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
// just checking to make sure they are coming through
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
// just checking
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Invalid:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
#region logging
#region "log the ticket as a OrderTransacton"
var transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
var t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit();
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
#endregion "logging"
}
}
break;
}
}
/// <summary>
/// Local processing of the order event. It only logs the transaction and orderEvent
/// </summary>
/// <param name="orderEvent">OrderEvent - the order event</param>
private void ProcessOrderEvent(OrderEvent orderEvent)
{
IEnumerable <OrderTicket> tickets;
//add to the list of order events which is saved to a file when running locally
// I will use this file to test Stefano Raggi's code
if (orderEvent.Status == OrderStatus.Filled)
{
_orderEvents.Add(orderEvent);
}
orderId = orderEvent.OrderId;
tradeResult = orderEvent.Status;
switch (orderEvent.Status)
{
case OrderStatus.New:
case OrderStatus.None:
case OrderStatus.Submitted:
// just checking to make sure they are coming through
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
break;
case OrderStatus.Canceled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
int infoId = Convert.ToInt32(ticket.Tag);
SignalInfo si = signalInfos.FirstOrDefault(f => f.Id == infoId);
if (si != null)
{
si.IsActive = true;
}
}
}
break;
case OrderStatus.Filled:
case OrderStatus.PartiallyFilled:
tickets = Transactions.GetOrderTickets(t => t.OrderId == orderId && t.Status == orderEvent.Status);
if (tickets != null)
{
foreach (OrderTicket ticket in tickets)
{
int infoId = Convert.ToInt32(ticket.Tag);
SignalInfo si = signalInfos.FirstOrDefault(f => f.Id == infoId);
if (si != null)
{
si.IsActive = true;
}
#region "log the ticket as a OrderTransacton"
OrderTransactionFactory transactionFactory = new OrderTransactionFactory((QCAlgorithm)this);
OrderTransaction t = transactionFactory.Create(orderEvent, ticket, false);
_transactions.Add(t);
_orderTransactionProcessor.ProcessTransaction(t);
_tradecount++;
if (_orderTransactionProcessor.TotalProfit != totalProfit)
{
CalculateTradeProfit(t.Symbol);
}
totalProfit = _orderTransactionProcessor.TotalProfit;
#endregion
}
}
break;
}
}
