public void CapitalUsageCorrectlyTracked()
{
var inst2 = new Instrument { ID = 2, Multiplier = 1, AssetCategory = AssetClass.Stock };
var order1 = new Order
{
Instrument = _inst,
InstrumentID = _inst.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 10,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 2)
};
var order2 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 20,
Quantity = -100,
CurrencyID = 1,
BuySell = "SELL",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 12, 0, 0)
};
var order3 = new Order
{
Instrument = inst2,
InstrumentID = inst2.ID,
Multiplier = 1,
FXRateToBase = 1,
Price = 19,
Quantity = 100,
CurrencyID = 1,
BuySell = "BUY",
IsReal = true,
TradeDate = new DateTime(2000, 1, 3, 13, 0, 0)
};
var trade = new Trade
{
Orders = new List<Order> { order1, order2, order3 }
};
var trades = new List<Trade> { trade };
_data = new Dictionary<int, TimeSeries>
{
{ 1, TimeSeriesGenerator.GenerateData(new DateTime(2000,1,1), new DateTime(2000,2,1), 11) },
{ 2, TimeSeriesGenerator.GenerateData(new DateTime(2000,1,1), new DateTime(2000,2,1), 20) }
};
var tracker = new PortfolioTracker(_data, _fxData, trades, "test", new DateTime(2000, 1, 1), 1);
var date = new DateTime(2000, 1, 1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(0, tracker.Capital.Gross.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(10 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(10 * 100, tracker.Capital.Long.Last());
date = date.AddDays(1);
foreach (TimeSeries ts in _data.Values)
{
ts.ProgressTo(date);
}
tracker.ProcessItemsAt(date);
tracker.OnDayClose(date, 10000);
Assert.AreEqual(11 * 100 + 20 * 100, tracker.Capital.Gross.Last());
Assert.AreEqual(11 * 100, tracker.Capital.Long.Last());
Assert.AreEqual(20 * 100, tracker.Capital.Short.Last());
}