public void testTimeTolerance2()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 09:59:46"));
hasOrders(buy("Entry L", limit(913.5), 48, oneDay()));
fill(0, 913);
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:00"));
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
}
public void testJDateCanHandleDefaultCDate()
{
var defalt = new DateTime();
AreEqual("1753/01/01", O.ymdHuman(new DateTime(1753, 1, 1)));
AreEqual("0001/01/03", O.ymdHuman(defalt));
AreEqual("0001/01/03", O.ymdHuman(O.jDate(defalt)));
AreEqual("0001/01/03", O.ymdHuman(O.date(O.ymdHuman(defalt))));
}
public void testTimeTolerance1()
{
startingBars();
AreEqual(false, symbolSystem.hasBeenMarked);
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:14"));
AreEqual(true, symbolSystem.hasBeenMarked);
AreEqual(false, symbolSystem.hasBeenClosed);
hasOrders(buy("Entry L", limit(913.5), 48, oneDay()));
fill(0, 913);
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:16"));
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
AreEqual(true, symbolSystem.hasBeenMarked);
}
public void startingBars()
{
processBar(908, 909, 907.5, 908.25, O.date("2009-06-17 09:00:00"));
AreEqual(133, symbolSystem.tradeSize());
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-06-17 10:00:00"));
AreEqual(99, symbolSystem.tradeSize());
processBar(913, 913.5, 911.75, 912.25, O.date("2009-06-17 14:00:00"));
AreEqual(65, symbolSystem.tradeSize());
processBar(905.5, 905.75, 905, 905, O.date("2009-06-17 16:00:00"));
AreEqual(55, symbolSystem.tradeSize());
AreEqual(0.5, symbolSystem.scaleWins[0]);
processBar(908.5, 909, 907.5, 908.5, O.date("2009-06-18 09:00:00"));
}
public void testCase3()
{
processBar(908, 909, 907.5, 908.25, O.date("2009-06-17 09:00:00"));
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-06-17 10:00:00"));
processBar(913, 913.5, 911.75, 912.25, O.date("2009-06-17 14:00:00"));
processBar(905.5, 905.75, 905, 905, O.date("2009-06-17 16:00:00"));
processBar(908.5, 909, 907.5, 908.5, O.date("2009-06-18 09:00:00"));
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:00"));
fill(0, 913);
processBar(916.25, 916.75, 914.75, 915, O.date("2009-06-18 14:00:00"));
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-06-18 16:00:00"));
fill(0, 913.75);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-19 09:00:00"));
processBar(921.5, 922.5, 920.75, 921.25, O.date("2009-06-19 10:00:00"));
fill(0, 921.25);
processBar(915.5, 916.5, 914.5, 917.5, O.date("2009-06-19 14:00:00"));
processBar(914.75, 916, 914.75, 916, O.date("2009-06-19 16:00:00"));
fill(0, 916);
processBar(906.25, 906.75, 906, 906.25, O.date("2009-06-22 09:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0.5, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
O.zeroTo(27, i => processBar(914.75, 916, 914.75, 916, date("2009-06-22 09:00:00").AddDays(i + 1)));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
processBar(906.25, 906.75, 906, 906.25, date("2009-06-22 09:00:00").AddDays(29));
AreEqual(0.5, symbolSystem.scaleWins[0]);
AreEqual(0.5, symbolSystem.scaleWins[1]);
processBar(908, 909, 907.5, 908.25, O.date("2009-07-21 09:00:00"));
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-07-21 10:00:00"));
processBar(913, 913.5, 911.75, 912.25, O.date("2009-07-21 14:00:00"));
processBar(905.5, 905.75, 905, 905, O.date("2009-07-21 16:00:00"));
processBar(908.5, 909, 907.5, 908.5, O.date("2009-07-22 09:00:00"));
processBar(907.25, 913.5, 906.25, 913, O.date("2009-07-22 10:00:00"));
hasOrders(buy("Entry L", limit(913.5), 43, oneDay()));
fill(0, 913);
processBar(916.25, 916.75, 914.75, 915, O.date("2009-07-22 14:00:00"));
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-07-22 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(908.35), 43, oneDay()),
sell("Exit EOD L", limit(908.75), 43, oneDay())
);
fill(0, 913.75);
AreEqual(1612.5, symbolSystem.lastTradePNL);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-23 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(0.5, symbolSystem.scaleWins[1]);
}
internal void close(double tri0, double tri1, double tri2, double tri3, double tri4)
{
if (lastBars != null)
{
processBar(lastBars);
}
var tris = O.array(tri0, tri1, tri2, tri3, tri4);
lastBars = new Dictionary <Symbol, Bar>();
O.zeroTo(5, i => lastBars.Add(symbols[i], bar(tris[i])));
processClose(lastBars);
var jTime = O.jDate(time);
time = O.date(Dates.businessDaysAhead(1, jTime, "nyb"));
}
public void testCase2()
{
processBar(908, 909, 907.5, 908.25, O.date("2009-06-17 09:00:00"));
AreEqual(53, symbolSystem.tradeSize());
processBar(904.25, 905.5, 902.75, 903.25, O.date("2009-06-17 10:00:00"));
AreEqual(40, symbolSystem.tradeSize());
processBar(913, 913.5, 911.75, 912.25, O.date("2009-06-17 14:00:00"));
AreEqual(26, symbolSystem.tradeSize());
processBar(905.5, 905.75, 905, 905, O.date("2009-06-17 16:00:00"));
AreEqual(0.5, symbolSystem.scaleWins[0]);
processBar(908.5, 909, 907.5, 908.5, O.date("2009-06-18 09:00:00"));
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:00"));
hasOrders(buy("Entry L", limit(913.5), 19, oneDay()));
fill(0, 913);
hasOrders(sell("Stop L", protectiveStop(908.87), 19, oneDay()));
processBar(916.25, 916.75, 914.75, 915, O.date("2009-06-18 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(908.87), 19, oneDay()));
AreEqual(1900, symbolSystem.lastTradePNL);
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-06-18 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(908.87), 19, oneDay()),
sell("Exit EOD L", limit(908.75), 19, oneDay())
);
fill(0, 913.75);
AreEqual(712.5, symbolSystem.lastTradePNL);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-19 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(0.5, symbolSystem.scaleWins[1]);
processBar(921.5, 922.5, 920.75, 921.25, O.date("2009-06-19 10:00:00"));
hasOrders(buy("Entry L", limit(921.75), 29, oneDay()));
fill(0, 921.25);
processBar(915.5, 916.5, 914.5, 917.5, O.date("2009-06-19 14:00:00"));
processBar(914.75, 916, 914.75, 916, O.date("2009-06-19 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(917.08), 29, oneDay()),
sell("Exit EOD L", limit(911), 29, oneDay())
);
fill(0, 916);
processBar(906.25, 906.75, 906, 906.25, O.date("2009-06-22 09:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0.5, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
}
public void testMarketPeriods()
{
var testSymbol = new Symbol("CDS.TEST.CAH.5Y.ACB20");
IsTrue(testSymbol.isPeriodStart(O.date("2003-06-25")));
IsTrue(testSymbol.isPeriodStart(O.date("2008-06-01")));
IsTrue(testSymbol.isPeriodEnd(O.date("2007-10-10")));
IsFalse(testSymbol.isPeriodStart(O.date("2003-06-26")));
IsFalse(testSymbol.isPeriodEnd(O.date("2009-01-01")));
IsTrue(testSymbol.isPeriodInactive(O.date("2007-10-11")));
IsFalse(testSymbol.isPeriodInactive(O.date("2007-10-10")));
MarketHistoryTable.MARKET_HISTORY.insert(
new systemdb.metadata.Market(testSymbol.name), null, O.jDate("1980-06-30"));
Symbol.clearPeriodsCache();
IsFalse(testSymbol.isPeriodInactive(O.date("1980-06-29")));
IsFalse(testSymbol.isPeriodInactive(O.date("2008-06-30")));
}
public void testOnCloseCalledInForecastMode()
{
var date = O.date("2009/09/09 11:22:33");
var bar = new Bar(1, 1, 1, 1, date);
processBar(bar);
var counter = positionPublishCounter();
processTick(2, date);
counter.requireCount(2);
AreEqual(0, counter.get <int>(1, "beginValue"));
AreEqual(0, counter.get <int>(1, "liveValue"));
AreEqual(100, counter.get <int>(1, "forecastCloseValue"));
date = date.AddSeconds(59);
symbolSystem.tickProcessed = false;
processTick(2, date);
IsFalse(symbolSystem.tickProcessed);
counter.requireCount(2);
date = date.AddSeconds(1);
processTick(2, date);
IsTrue(symbolSystem.tickProcessed);
counter.requireCount(3);
AreEqual(100, counter.get <int>(2, "forecastCloseValue"));
}
public static DateTime date(string s)
{
return(O.date(s));
}
public void testProcessCloseOrdersTime()
{
AreEqual(O.date(Dates.todayAt("12:30:00")), new Symbol("MKT2").processCloseOrdersTime());
}
public void testCase1()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:10"));
hasOrders(buy("Entry L", limit(913.5), 48, oneDay()));
fill(0, 913);
AreEqual(true, symbolSystem.hasBeenMarked);
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
processBar(916.25, 916.75, 914.75, 915, O.date("2009-06-18 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(908.87), 48, oneDay()));
AreEqual(4800, symbolSystem.lastTradePNL);
AreEqual(true, symbolSystem.hasBeenMarked);
AreEqual(false, symbolSystem.hasBeenClosed);
processBar(912.25, 913.75, 911.5, 913.75, O.date("2009-06-18 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(908.87), 48, oneDay()),
sell("Exit EOD L", limit(908.75), 48, oneDay())
);
fill(0, 913.75);
noOrders();
AreEqual(false, symbolSystem.hasBeenMarked);
AreEqual(true, symbolSystem.hasBeenClosed);
AreEqual(1800, symbolSystem.lastTradePNL);
processBar(921.25, 921.75, 920.5, 921, O.date("2009-06-19 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(false, symbolSystem.hasBeenMarked);
AreEqual(true, symbolSystem.hasBeenClosed);
processBar(921.5, 922.5, 920.75, 921.25, O.date("2009-06-19 10:00:00"));
hasOrders(buy("Entry L", limit(921.75), 48, oneDay()));
fill(0, 921.25);
AreEqual(true, symbolSystem.hasBeenMarked);
AreEqual(false, symbolSystem.hasBeenClosed);
hasOrders(sell("Stop L", protectiveStop(917.08), 48, oneDay()));
processBar(915.5, 916.5, 914.5, 917.5, O.date("2009-06-19 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(917.08), 48, oneDay()));
AreEqual(-9000, symbolSystem.lastTradePNL);
processBar(914.75, 916, 914.75, 916, O.date("2009-06-19 16:00:00"));
hasOrders(
sell("Stop L", protectiveStop(917.08), 48, oneDay()),
sell("Exit EOD L", limit(911), 48, oneDay())
);
fill(0, 916);
AreEqual(-12600, symbolSystem.lastTradePNL);
processBar(906.25, 906.75, 906, 906.25, O.date("2009-06-22 09:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0.5, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(902.5, 903, 899.5, 900.25, O.date("2009-06-22 10:00:00"));
hasOrders(sell("Entry S", limit(899.75), 38, oneDay()));
fill(0, 900.25);
hasOrders(buy("Stop S", protectiveStop(905.49), 38, oneDay()));
processBar(893, 893.5, 892.25, 893, O.date("2009-06-22 14:00:00"));
hasOrders(buy("Stop S", protectiveStop(905.49), 38, oneDay()));
AreEqual(13775, symbolSystem.lastTradePNL);
processBar(888.5, 889.5, 888, 884, O.date("2009-06-22 16:00:00"));
hasOrders(
buy("Stop S", protectiveStop(905.49), 38, oneDay()),
buy("Exit EOD S", limit(889), 38, oneDay())
);
fill(0, 884);
noOrders();
noPositions();
AreEqual(30875, symbolSystem.lastTradePNL);
processBar(893.5, 893.75, 892, 892.25, O.date("2009-06-23 09:00:00"));
AreEqual(1, symbolSystem.scaleWins[0]);
AreEqual(0, symbolSystem.scaleWins[1]);
AreEqual(1, symbolSystem.scaleWins[2]);
AreEqual(0.5, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(891.25, 894, 891, 893.5, O.date("2009-06-23 10:00:00"));
hasOrders(buy("Entry L", limit(894), 35, oneDay()));
fill(0, 893.5);
hasOrders(sell("Stop L", protectiveStop(887.83), 35, oneDay()));
processBar(889.75, 890.75, 888.25, 887, O.date("2009-06-23 14:00:00"));
hasOrders(sell("Stop L", protectiveStop(887.83), 35, oneDay()));
fill(0, 887.83);
noOrders();
AreEqual(-11375, symbolSystem.lastTradePNL);
noPositions();
processBar(889.5, 890.25, 889.25, 890, O.date("2009-06-23 16:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0, symbolSystem.scaleWins[2]);
AreEqual(1, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[4]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
processBar(893.5, 893.75, 892, 892.25, O.date("2009-06-24 09:00:00"));
processBar(891.25, 894, 891, 897.5, O.date("2009-06-24 10:00:00"));
noOrders();
noPositions();
processBar(889.75, 890.75, 888.25, 887, O.date("2009-06-24 14:00:00"));
noOrders();
noPositions();
processBar(889.5, 890.25, 889.25, 890, O.date("2009-06-24 16:00:00"));
AreEqual(0, symbolSystem.scaleWins[0]);
AreEqual(1, symbolSystem.scaleWins[1]);
AreEqual(0, symbolSystem.scaleWins[2]);
AreEqual(1, symbolSystem.scaleWins[3]);
AreEqual(0.5, symbolSystem.scaleWins[4]);
AreEqual(0.5, symbolSystem.scaleWins[9]);
noOrders();
noPositions();
}
public void testTimeTolerance4()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 10:00:16"));
noOrders();
}
public void testTimeTolerance3()
{
startingBars();
processBar(907.25, 913.5, 906.25, 913, O.date("2009-06-18 09:59:44"));
noOrders();
}
