public void runMinute(int i, TestResult tr, IBarDay barday, int dayNumber, IDayCandle prev, IDayCandle today)
{
//Console.WriteLine($"dayno={dayNumber} minteNumber={i}");
this.today = today;
this.prev = prev;
if (i == 3)
{
string ip = inPosition ? "t" : "f";
string oif = orderInForce ? "t" : "f";
//results.Add($"{today.Symbol} {today.Open} {today.Date} {i} {ip} {oif}");
}
if (today.Symbol == "XOM")
{
}
this.i = i;
if (i == 0)
{
//inPosition = false;
orderInForce = false;
orderInForceExpiry = 0;
enterLimitPrice = 0;
//exitLimitPrice = 0;
//enterExecPrice = 0;
exitExecPrice = 0;
//stopTime = 0;
}
bd = barday;
//Console.WriteLine($"{i} {bd.Symbol}");
underflow = false;
Test.messages.Clear();
if (!inPosition && !orderInForce)
{
//double tt = MinuteOpen(1, 0);
int minuteNumber = i;
CheckEntryCriteria(results, barday, ref orderInForce, ref orderInForceExpiry, ref enterLimitPrice, dayNumber, minuteNumber);
}
else if (!inPosition)
{
if (orderInForce)
{
if (i < orderInForceExpiry)
{
//ProcessTradeEntry(results, barday, ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
ProcessTradeEntry(results, barday);// ref inPosition, ref orderInForce, enterLimitPrice, ref exitLimitPrice, ref enterExecPrice, ref stopTime);
}
else //tif expired
{
orderInForce = false;
results.Add($"{barday.Symbol} tif expired {i}");
}
}
}
else if (inPosition)
{
ProcessTradeExit(results, barday);//, ref inPosition, exitLimitPrice, enterExecPrice, ref exitExecPrice, stopTime);
}
}
public static TestResult TestDay(ILookup <DateTime, IBarDay> bdl, DateTime date, string[] dates, string[] symbols, float[][] arrs, Dictionary <string, IDayCandle> dcPrev, Dictionary <string, IDayCandle> dcToday)
{
TestResult tr = new TestResult();
Test.testResult = tr;
tr.Date = date;
string dateString = date.ToString("MM/dd/yyyy");
int dayNumber = Array.BinarySearch(dates, dateString);
for (int i = 0; i < 390; i++)
{
foreach (IBarDay bd in bdl[date])
{
string symbol = bd.Symbol;
Test t;
if (!testDictionary.ContainsKey(symbol))
{
t = (Test)Activator.CreateInstance(type);
t.symbolNumber = Array.BinarySearch(symbols, symbol);
t.symbolCount = symbols.Count();
t.minutesPerDay = 390;
t.shortsPerBar = 7;
t.calcBPD();
t.dates = dates;
t.symbols = symbols;
t.arr = arrs[0];
testDictionary[symbol] = t;
}
t = testDictionary[symbol];
try
{
if (dcPrev.ContainsKey(symbol) && dcToday.ContainsKey(symbol))
{
IDayCandle prev = dcPrev[symbol];
IDayCandle today = dcToday[symbol];
t.runMinute(i, tr, bd, dayNumber, prev, today);
}
else
{
if (i == 0)
{
results.Add($"missing day candle for {symbol} + {date}");
Console.WriteLine($"missing day candle for {symbol} + {date}");
}
}
}
catch (Exception e)
{
Console.WriteLine(e.Message);
Console.WriteLine(e.StackTrace);
//Console.WriteLine($"crap {symbol} {t.dates[0]}" );
}
}
}
foreach (Test t in testDictionary.Values)
{
if (t.inPosition && t.maxOvernights > 0)
{
t.inPositionDays++;
}
}
return(tr);
}
