public void MultiAccount()
{
const string sym = "TST";
Order o = new BuyMarket(sym, 100);
const string me = "tester";
const string other = "anotherguy";
Account a = new Account(me);
Account b = new Account(other);
Account c = new Account("sleeper");
// send order to account for jfranta
Assert.That(broker.sendOrder(o, a) > 0);
Assert.That(broker.sendOrder(o, b) > 0);
Tick t = new Tick(sym);
t.trade = 100m;
t.size = 200;
Assert.That(broker.Execute(t) == 2);
Position apos = broker.GetOpenPosition(sym, a);
Position bpos = broker.GetOpenPosition(sym, b);
Position cpos = broker.GetOpenPosition(sym, c);
Assert.That(apos.Side && (apos.Size == 100));
Assert.That(bpos.Side && (bpos.Size == 100));
Assert.That(cpos.Flat);
// make sure that default account doesn't register
// any trades
Assert.That(broker.GetOpenPosition(sym).Flat);
}
public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
OrderImpl o = new OrderImpl();
int error = broker.SendOrderStatus(o);
Assert.AreNotEqual((int)MessageTypes.OK, error);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
broker.SendOrderStatus(o);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(TickImpl.NewTrade(s, 10, 200)) == 1);
Assert.That(fills == 1);
// test that a limit order is not filled outside the market
o = new BuyLimit(s, 100, 9);
broker.SendOrderStatus(o);
Assert.AreEqual(0, broker.Execute(TickImpl.NewTrade(s, 10, 100)));
Assert.That(fills == 1); // redudant but for counting
// test that limit order is filled inside the market
Assert.AreEqual(1, broker.Execute(TickImpl.NewTrade(s, 8, 100)));
Assert.That(fills == 2);
OrderImpl x = new OrderImpl();
// test that a market order is filled when opposite book exists
o = new SellLimit(s, 100, 11);
x = new BuyMarket(s, 100);
const string t2 = "trader2";
x.Account = t2;
broker.SendOrderStatus(o);
broker.SendOrderStatus(x);
Assert.AreEqual(3, fills);
// test that a market order is not filled when no book exists
// on opposite side
// clear existing orders
broker.CancelOrders();
o = new SellMarket(s, 100);
o.Account = t2;
broker.SendOrderStatus(o);
Assert.AreEqual(3, fills);
}
public void FillBidAsk()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 8, 100)));
// buy limit
// limit should fill if order price is inside market
o = new BuyLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 10, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.FillBidAsk(TickImpl.NewTrade(s, 0, 0)));
}
public void DoubleBasicWithFlat()
{
long id = 1;
sho = new REGSHO_ShortTracker();
sho.SendDebugEvent += new DebugDelegate(sho_SendDebugEvent);
sho.VerboseDebugging = true;
Order o = new OrderImpl();
// take a position
sho.GotPosition(new PositionImpl(sym, 89.7m, 100));
// accept two exits
o = new SellStop(sym, 100, 89.65m, id++);
long stop1 = o.id;
Assert.IsFalse(sho.isOrderShort(o), "entry1: first sell was incorrectly short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 89.75m, id++);
long profit1 = o.id;
Assert.IsTrue(sho.isOrderShort(o), "entry1: second sell was incorrectly sell");
sho.GotOrder(o);
// flat
o = new SellStop(sym, 100, 89.65m, stop1);
o.Fill(TickImpl.NewTrade(sym, 89.62m, 100));
sho.GotFill((Trade)o);
sho.GotCancel(profit1);
// do again
// take a position
o = new BuyMarket(sym, 100);
o.id = id++;
o.Fill(TickImpl.NewTrade(sym, 89.64m, 100));
sho.GotFill((Trade)o);
// accept two exits
o = new SellStop(sym, 100, 89.65m, id++);
Assert.IsFalse(sho.isOrderShort(o), "entry2: first sell was incorrectly short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 89.75m, id++);
Assert.IsTrue(sho.isOrderShort(o), "entry2: second sell was incorrectly NOT short");
sho.GotOrder(o);
}
public void MultiAccount()
{
const string sym = "TST";
const string me = "tester";
const string other = "anotherguy";
const int od = 20070926;
const int ot = 95400;
Account a = new Account(me);
Account b = new Account(other);
Account c = new Account("sleeper");
OrderImpl oa = new BuyMarket(sym, 100);
OrderImpl ob = new BuyMarket(sym, 100);
oa.time = ot;
oa.date = od;
ob.time = ot;
ob.date = od;
oa.Account = me;
ob.Account = other;
// send order to account for jfranta
broker.SendOrderStatus(oa);
broker.SendOrderStatus(ob);
TickImpl t = new TickImpl(sym);
t.trade = 100m;
t.size = 200;
t.date = od;
t.time = ot;
Assert.AreEqual(2, broker.Execute(t));
Position apos = broker.GetOpenPosition(sym, a);
Position bpos = broker.GetOpenPosition(sym, b);
Position cpos = broker.GetOpenPosition(sym, c);
Assert.That(apos.isLong);
Assert.AreEqual(100, apos.Size);
Assert.That(bpos.isLong);
Assert.AreEqual(100, bpos.Size);
Assert.That(cpos.isFlat);
// make sure that default account doesn't register
// any trades
Assert.That(broker.GetOpenPosition(sym).isFlat);
}
/// <summary>
///
/// </summary>
/// <param name="symbol"></param>
/// <param name="tOther"></param>
/// <param name="message"></param>
protected void Buy(string symbol, decimal signal = 0, string message = null)
{
Tick tOther = _kt[symbol];
if (message != null)
{
D(message);
}
// Specify we are buying
_side = true;
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
int size = (int)Math.Round(EntrySize * signal);
Order order;
order = new BuyMarket(symbol, EntrySize, _orderidLocal);
sendorder(order);
// wait for fill
_wait[symbol] = true;
}
public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
broker.GotWarning += new DebugDelegate(broker_GotWarning);
Order o = new Order();
uint failsoninvalid = broker.sendOrder(o);
Assert.That(failsoninvalid == 0);
Assert.That(warn == 1);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
Assert.That(broker.sendOrder(o) > 0);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(Tick.NewTrade(s, 10, 200)) == 1);
Assert.That(fills == 1);
// no warnings since first warning
Assert.That(warn == 1);
}
public void Test()
{
// reset measurements
reset();
// create tests
long id = 1;
Order o = new BuyMarket(sym, 2 * size);
o.id = id++;
// start measuring
lt.sendorder(o);
// ack
lt.GotOrder(o);
// ensure we got a measurement
Assert.IsTrue(gotmeasurement(), mez);
// reset measurements
reset();
// fill
o.Fill(TickImpl.NewTrade(sym, 100, size));
Trade t = (Trade)o;
lt.GotFill(t);
// ensure we got a measurement
Assert.IsTrue(gotmeasurement(), mez);
// reset measurements
reset();
// cancel
lt.sendcancel(o.id);
System.Threading.Thread.Sleep(50);
// ack cancel
lt.GotCancel(o.id);
// ensure we got a measurement
Assert.IsTrue(gotmeasurement(), mez);
}
/// <summary>
///
/// </summary>
/// <param name="symbol"></param>
/// <param name="tOther"></param>
/// <param name="message"></param>
void Buy(string symbol, decimal signal, string message = null)
{
Tick tOther = _kt[symbol];
if (message != null)
{
D(message);
}
// Specify we are buying
_side = true;
_adj = (_side ? -1 : +1) * _quasiMarketOrderAdjSize;
Int64 _orderidLocal = _idtLocal.AssignId;
int size = (int)Math.Round(EntrySize * signal);
Order order;
order = new BuyMarket(symbol, EntrySize, _orderidLocal);
sendorder(order);
// If stop loss option is specified
if (_isStop)
{
//BuyStop bsOrder = new BuyStop(symbol,size,
//order = new BuyStop(symbol, EntrySize, tOther.trade + _adj, _orderidLocal);
//order = new SellStop(symbol, EntrySize, tOther.trade + _adj, _orderidLocal);
//sendorder(order);
}
else
{
//order = new BuyLimit(symbol, EntrySize, tOther.trade - _adj, _orderidLocal);
//BuyLimit blOrder = new BuyLimit(symbol, (int)Math.Round(EntrySize * signal), tOther.trade - _adj, _orderidLocal);
//sendorder(blOrder);
}
// wait for fill
_wait[symbol] = true;
}
public void Fill()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.Fill(TickImpl.NewBid(s, 8, 100)));
// buy limit
// limit should fill if order price is inside market
o = new BuyLimit(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(TickImpl.NewTrade(s, 0, 0)));
// always fail filling invalid order
o = new BuyLimit(s, 100, 10);
OrderImpl x = new OrderImpl();
Assert.IsFalse(o.Fill(x));
// always fail filling an order that doesn't cross market
x = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(x));
const string t2 = "trader2";
// suceed on crossing market
x = new SellMarket(s, 100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// fail when accounts are the same
x = new SellMarket(s, 100);
x.Account = o.Account;
Assert.IsFalse(o.Fill(x));
// fail on match outside of market
x = new SellLimit(s, 100, 11);
x.Account = t2;
Assert.IsFalse(o.Fill(x));
// succeed on limit cross
o = new BuyLimit(s, 100, 10);
x = new SellLimit(s, 100, 10);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// make sure we can stop cross
o = new SellStop(s, 100, 10);
x = new BuyMarket(s, 100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
}
