public void TestMarketOrder()
{
using (VerifyFeed verify = Factory.Utility.VerifyFeed(symbol))
using (Agent provider = ProviderFactory()) {
verify.PauseSeconds = secondsDelay;
provider.SendEvent(new EventItem(verify, null, EventType.Connect, null));
if (debug)
{
log.Debug("===TestMarketOrder===");
}
provider.SendEvent(new EventItem(verify, symbol, EventType.StartSymbol, new StartSymbolDetail(TimeStamp.MinValue)));
VerifyConnected(verify);
ClearOrders(0);
ClearPosition(provider, verify, secondsDelay);
var desiredPosition = 2 * LotSize;
log.Notice("Sending 1");
CreateEntry(strategy, OrderType.BuyMarket, 0.0, desiredPosition, 0);
var actualPosition = verify.VerifyPosition(desiredPosition, secondsDelay, () => {
SendOrders(provider, verify, 0, 30);
});
Assert.AreEqual(desiredPosition, actualPosition, "position");
desiredPosition = 0;
log.Warn("Sending 2");
ClearOrders(0);
CreateExit(strategy, OrderType.SellMarket, 0.0, actualPosition);
actualPosition = verify.VerifyPosition(desiredPosition, secondsDelay, () => {
SendOrders(provider, verify, actualPosition, 30);
});
Assert.AreEqual(desiredPosition, actualPosition, "position");
desiredPosition = 2 * LotSize;
log.Warn("Sending 3");
ClearOrders(0);
CreateEntry(strategy, OrderType.BuyMarket, 0.0, desiredPosition, actualPosition);
actualPosition = verify.VerifyPosition(desiredPosition, secondsDelay, () => {
SendOrders(provider, verify, actualPosition, 30);
});
desiredPosition = 2 * LotSize;
log.Warn("Sending 4");
ClearOrders(0);
CreateEntry(strategy, OrderType.BuyMarket, 0.0, desiredPosition, actualPosition);
actualPosition = verify.VerifyPosition(desiredPosition, secondsDelay, () => {
SendOrders(provider, verify, actualPosition, 30);
});
Assert.AreEqual(desiredPosition, actualPosition, "position");
desiredPosition = 0;
log.Warn("Sending 5");
ClearOrders(0);
CreateExit(strategy, OrderType.SellMarket, 0.0, actualPosition);
actualPosition = verify.VerifyPosition(desiredPosition, secondsDelay, () => {
SendOrders(provider, verify, actualPosition, 30);
});
Assert.AreEqual(desiredPosition, actualPosition, "position");
}
}
public void TestFIXPositionFilterSell()
{
var expectedPosition = 0;
var sizeIncrease = 2;
int secondsDelay = 3;
using (VerifyFeed verify = Factory.Utility.VerifyFeed())
using (Provider provider = ProviderFactory()) {
provider.SendEvent(verify, null, (int)EventType.Connect, null);
provider.SendEvent(verify, symbol, (int)EventType.StartSymbol, new StartSymbolDetail(TimeStamp.MinValue));
VerifyConnected(verify);
ClearOrders(0);
ClearPosition(provider, verify, secondsDelay);
long count = verify.Verify(2, assertTick, symbol, 25);
Assert.GreaterOrEqual(count, 2, "tick count");
var actualPosition = 0;
while (true)
{
ClearOrders(0);
var strategy = Factory.Utility.Strategy();
CreateEntry(strategy, OrderType.SellMarket, 0.0, sizeIncrease, actualPosition);
SendOrders(provider, verify, actualPosition, 30);
expectedPosition -= sizeIncrease;
actualPosition += verify.VerifyPosition(sizeIncrease, symbol, secondsDelay);
Assert.AreEqual(expectedPosition, actualPosition, "Increasing position.");
}
}
}
public void TestFIXPositionFilterSell()
{
var expectedPosition = 0;
using (VerifyFeed verify = Factory.Utility.VerifyFeed(symbol))
using (Agent provider = ProviderFactory()) {
provider.SendEvent(new EventItem(verify, EventType.Connect));
provider.SendEvent(new EventItem(verify, symbol, EventType.StartSymbol, new StartSymbolDetail(TimeStamp.MinValue)));
VerifyConnected(verify);
ClearOrders(0);
ClearPosition(provider, verify, secondsDelay);
long count = verify.Verify(2, assertTick, secondsDelay);
Assert.GreaterOrEqual(count, 2, "tick count");
var actualPosition = 0;
var strategy = Factory.Utility.Strategy();
strategy.Context = new MockContext();
while (true)
{
ClearOrders(0);
CreateChange(strategy, OrderType.SellMarket, 0.0, sizeIncrease, actualPosition);
SendOrders(provider, verify, actualPosition, 30);
expectedPosition -= sizeIncrease;
actualPosition = verify.VerifyPosition(sizeIncrease, secondsDelay);
Assert.AreEqual(expectedPosition, actualPosition, "Increasing position.");
}
}
}
public void ClearPosition(Agent provider, VerifyFeed verify, int secondsDelay)
{
var expectedPosition = 0;
var actualPosition = verify.VerifyPosition(expectedPosition, secondsDelay, () => {
ClearPositionInternal(provider, verify, expectedPosition);
});
Assert.AreEqual(expectedPosition, actualPosition, "Starting position.");
}
public void TestFIXPretradeOrderFilterSell()
{
var expectedPosition = 0;
int secondsDelay = 3;
using (VerifyFeed verify = Factory.Utility.VerifyFeed())
using (Provider provider = ProviderFactory()) {
provider.SendEvent(verify, null, (int)EventType.Connect, null);
provider.SendEvent(verify, symbol, (int)EventType.StartSymbol, new StartSymbolDetail(TimeStamp.MinValue));
VerifyConnected(verify);
ClearOrders(0);
ClearPosition(provider, verify, secondsDelay);
long count = verify.Verify(2, assertTick, symbol, 25);
Assert.GreaterOrEqual(count, 2, "tick count");
expectedPosition = -10;
var strategy = Factory.Utility.Strategy();
CreateEntry(strategy, OrderType.SellMarket, 0.0, (int)Math.Abs(expectedPosition), 0);
SendOrders(provider, verify, 0, 30);
var position = verify.VerifyPosition(expectedPosition, symbol, secondsDelay);
Assert.AreEqual(expectedPosition, position, "Increasing position.");
Thread.Sleep(2000);
}
}
public void TestFIXPretradeOrderFilterSell()
{
var expectedPosition = 0;
using (VerifyFeed verify = Factory.Utility.VerifyFeed(symbol))
using (Agent provider = ProviderFactory()) {
provider.SendEvent(new EventItem(verify, EventType.Connect));
provider.SendEvent(new EventItem(verify, symbol, EventType.StartSymbol, new StartSymbolDetail(TimeStamp.MinValue)));
VerifyConnected(verify);
ClearOrders(0);
ClearPosition(provider, verify, secondsDelay);
long count = verify.Verify(2, assertTick, secondsDelay);
Assert.GreaterOrEqual(count, 2, "tick count");
expectedPosition = -overSizeIncrease;
var strategy = Factory.Utility.Strategy();
strategy.Context = new MockContext();
CreateChange(strategy, OrderType.SellMarket, 0.0, (int)Math.Abs(expectedPosition), 0);
SendOrders(provider, verify, 0, 30);
var position = verify.VerifyPosition(expectedPosition, secondsDelay);
Assert.AreEqual(expectedPosition, position, "Increasing position.");
Thread.Sleep(2000);
}
}