public void MOCs()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl moc = new OrderImpl(tsec, Direction.Long, 200);
moc.ValidInstruct = OrderInstructionType.MOC;
PendingOrderImpl pmoc = new PendingOrderImpl(moc);
Assert.True(moc.ValidInstruct == OrderInstructionType.MOC, "unexpected order instruction: " + moc.ValidInstruct);
Assert.Equal(0, broker.SendOrderStatus(pmoc));
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 9, 10000, "NYS");
int c = 0;
c = broker.Execute(openingTick); Assert.Equal(0, c);
c = broker.Execute(endMornTick); Assert.Equal(0, c);
c = broker.Execute(endLunchTick); Assert.Equal(0, c);
c = broker.Execute(closingTick); Assert.Equal(1, c); // should execute on the first tick at/after 16:00:00
}
public void DayFill()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl day = new OrderImpl(tsec, Direction.Long, 200);
PendingOrderImpl pday = new PendingOrderImpl(day);
broker.SendOrderStatus(pday);
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 9, 10000, "NYS");
int c;
c = broker.Execute(openingTick); Assert.Equal(1, c); // should execute on first received tick
c = broker.Execute(endMornTick); Assert.Equal(0, c);
c = broker.Execute(endLunchTick); Assert.Equal(0, c);
c = broker.Execute(closingTick); Assert.Equal(0, c);
}
public void Fill_RegularLiquidity()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
OrderImpl limitBuy = new OrderImpl(tsec, Direction.Long, 1, 133m);
OrderImpl limitSell = new OrderImpl(tsec, Direction.Short, 1, 133.5m);
OrderImpl stopBuy = new OrderImpl(tsec, Direction.Long, 3, 0, 135.70m);
OrderImpl stopSell = new OrderImpl(tsec, Direction.Short, 4, 0, 135.75m);
PendingOrderImpl plimitBuy = new PendingOrderImpl(limitBuy);
PendingOrderImpl plimitSell = new PendingOrderImpl(limitSell);
PendingOrderImpl pstopBuy = new PendingOrderImpl(stopBuy);
PendingOrderImpl pstopSell = new PendingOrderImpl(stopSell);
broker.SendOrderStatus(plimitBuy);
broker.SendOrderStatus(plimitSell);
broker.SendOrderStatus(pstopBuy);
broker.SendOrderStatus(pstopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(9, 30, 00, 000), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(12, 00, 00, 000), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(14, 15, 00, 000), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(S, Util.ToQLDate(DateTime.Now), Util.QL2FT(16, 00, 00, 000), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List <Trade> trades = broker.GetTradeList();
Assert.True(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.Xsize == 1)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 2)
{
Assert.Equal(132.33m, trade.Xprice);
}
else if (trade.Xsize == 3)
{
Assert.Equal(135.78m, trade.Xprice);
}
else if (trade.Xsize == 4)
{
Assert.Equal(135.78m, trade.Xprice);
}
}
}
void HistSource_gotTick(Tick t)
{
// process next tick if present
if (hasnext)
{
// execute any pending orders
SimBroker.Execute(next);
// send existing tick
if (hasevent)
{
GotTick(next);
}
// update last time
lasttime = next.datetime;
orderok &= lasttick || (t.datetime >= next.datetime) || (cidx != next.symidx);
}
if (lasttick)
{
hasnext = false;
return;
}
// update next tick
next = t;
next.symidx = cidx;
hasnext = true;
_nextticktime = t.datetime;
_tickcount++;
}
void FlushCache(long endsim)
{
bool simrunning = true;
while (simrunning)
{
// get next times of ticks in cache
long[] times = nexttimes();
// copy our master index list into a temporary for sorting
Buffer.BlockCopy(idx, 0, cidx, 0, idx.Length * 4);
// sort loaded instruments by time
Array.Sort(times, cidx);
int nextidx = 0;
// get next time from all instruments we have loaded
while ((nextidx < times.Length) && (times[nextidx] == -1))
{
nextidx++;
}
// test to see if ticks left in simulation
simrunning = (nextidx < times.Length) && (times[nextidx] <= endsim);
// if no ticks left or we exceeded simulation time, quit
if (!simrunning)
{
break;
}
// get next tick
Tick k = Workers[cidx[nextidx]].NextTick();
// process pending orders
_executions += SimBroker.Execute(k);
// notify tick
GotTick(k);
// count tick
_tickcount++;
}
}
public void OpGs()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
const string s = "NYS";
ForexSecurity tsec = new ForexSecurity(s);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
// build and send an OPG order
OrderImpl opg = new OrderImpl(tsec, Direction.Long, 200, 10);
PendingOrderImpl popg = new PendingOrderImpl(opg);
Assert.Equal(0, broker.SendOrderStatus(popg));
// build a tick on another exchange
TickImpl it = TickImpl.NewTrade(s, 9, 100);
it.Exchange = "ISLD";
// fill order (should fail)
int c = broker.Execute(it);
Assert.Equal(0, c);
// build opening price for desired exchange
TickImpl nt = TickImpl.NewTrade(s, 9, 10000);
nt.Exchange = "NYS";
// fill order (should work)
c = broker.Execute(nt);
Assert.Equal(1, c);
// add another OPG, make sure it's not filled with another tick
TickImpl next = TickImpl.NewTrade(s, 9, 2000);
next.Exchange = "NYS";
OrderImpl late = new OrderImpl(tsec, Direction.Long, 200, 10);
PendingOrderImpl plate = new PendingOrderImpl(late);
broker.SendOrderStatus(plate);
c = broker.Execute(next);
Assert.Equal(0, c);
}
public void Basics()
{
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.PipValue = 1;
tsec.PipSize = 1;
tsec.OrderStepSize = 1;
SimAccount account = new SimAccount("TEST", "testing", 1000M, 100);
account.Securities.AddSecurity(tsec);
SimBroker broker = new SimBroker(account, _trans);
broker.BrokerModel = _trans;
broker.GotFill += broker_GotFill;
broker.GotOrder += broker_GotOrder;
OrderImpl o = new OrderImpl();
PendingOrderImpl po = new PendingOrderImpl(o);
int error = broker.SendOrderStatus(po);
Assert.NotEqual((int)StatusType.OK, error);
Assert.True(_orders == 0);
Assert.True(_fills == 0);
o = new OrderImpl(tsec, Direction.Long, 100);
po = new PendingOrderImpl(o);
broker.SendOrderStatus(po);
Assert.True(_orders == 1);
Assert.True(_fills == 0);
Assert.True(broker.Execute(TickImpl.NewTrade(S, 10, 200)) == 1);
Assert.True(_fills == 1);
// test that a limit order is not filled outside the market
o = new OrderImpl(tsec, Direction.Long, 100, 9);
po = new PendingOrderImpl(o);
broker.SendOrderStatus(po);
Assert.Equal(0, broker.Execute(TickImpl.NewTrade(S, 10, 100)));
Assert.True(_fills == 1); // redundant but for counting
// test that limit order is filled inside the market
Assert.Equal(1, broker.Execute(TickImpl.NewTrade(S, 8, 100)));
Assert.True(_fills == 2);
}
void runopt()
{
isRunning = true;
while (isNextAvail)
{
gauntletArgs ga = new gauntletArgs(DLL, RNAME, SIM);
ga.value = NextParam;
ga.id = id;
Response r = ResponseLoader.FromDLL(ga.response, ga.dll);
if (changeVars(ref r, ga.value))
{
//GauntletEngine ge = new GauntletEngine(r, ga.hsim);
//Thread.SpinWait(1000);
//debugControl1.GotDebug("Starting a Gauntlet instance");
debug("Started Gauntlet Engine: " + ga.id);
Go();
List <Trade> trades = SimBroker.GetTradeList();
Results results = Results.ResultsFromTradeList(trades, 0, .01m, new DebugDelegate(debug));
GauntletOptimizationResults gor = new GauntletOptimizationResults();
gor.parameter = ga.value;
gor.results = results;
gor.resultsCalculated = true;
allResults.Add(gor);
decimal rv = 0;
getresult(results, out rv);
debug("optimize " + ga.id + " finished. Used: " + gor.parameter + " -> " + OptimizeDecisionsName + ": " + rv + " trades: " + gor.results.Trades + " SimsRemaining: " + OptimizeRemain);
progress(id, OptimizeCount);
}
else
{
debug("Unable to start gauntlet engine: " + ga.id + " with: " + ga.value);
}
}
debug("All optimization runs complete, computing optimum...");
var sorted = calculateBest(allResults);
// unbind
UnbindEvents();
if (SendOptimizationCompleteEvent != null)
{
SendOptimizationCompleteEvent(sorted);
}
isRunning = false;
}
public void BBO()
{
SimBroker broker = new SimBroker();
broker.BrokerModel = _trans;
ForexSecurity tsec = new ForexSecurity(S);
tsec.LotSize = 1;
tsec.OrderStepSize = 1;
const decimal p1 = 10m;
const decimal p2 = 11m;
const int x = 100;
Order bid, offer;
// send bid, make sure it's BBO (since it's only order on any book)
broker.SendOrderStatus(new PendingOrderImpl(new OrderImpl(tsec, Direction.Long, x, p1)));
bid = broker.BestBid(S);
offer = broker.BestOffer(S);
Assert.True(bid.IsValid && (bid.LimitPrice == p1) && (bid.Quantity == x), bid.ToString());
Assert.True(!offer.IsValid, offer.ToString());
// add better bid, make sure it's BBO
OrderImpl o;
// Order#1... 100 shares buy at $11
o = new OrderImpl(tsec, Direction.Long, x, p2);
PendingOrderImpl po = new PendingOrderImpl(o);
broker.SendOrderStatus(po);
bid = broker.BestBid(S);
offer = broker.BestOffer(S);
Assert.True(bid.IsValid);
Assert.Equal(p2, bid.LimitPrice);
Assert.Equal(x, bid.Size);
Assert.True(!offer.IsValid, offer.ToString());
// add another bid at same price on another account, make sure it's additive
//order #2... 100 shares buy at $11
o = new OrderImpl(tsec, Direction.Long, x, p2);
po = new PendingOrderImpl(o, new SimAccount("ANOTHER_ACCOUNT"));
o.AccountName = "ANOTHER_ACCOUNT";
broker.SendOrderStatus(po);
bid = broker.BestBid(S);
offer = broker.BestOffer(S);
Assert.True(bid.IsValid);
Assert.Equal(p2, bid.LimitPrice);
Assert.Equal(x * 2, bid.Size);
Assert.True(!offer.IsValid, offer.ToString());
// cancel order and make sure bbo returns
po.Cancel();
bid = broker.BestBid(S);
offer = broker.BestOffer(S);
Assert.True(bid.IsValid);
Assert.Equal(p2, bid.LimitPrice);
Assert.Equal(x, bid.Size);
Assert.True(!offer.IsValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
public SimpleBacktester(PortfolioManager nsystem, string folder, int cpunr, string[] filter = null)
{
try
{
//Set start time
Started = DateTime.Now;
var transactioncosts = new GenericBrokerModel()
{
CommPerLot = 0M, SlippageInPips = 0M, LatencyInMS = 0, SpreadInPips = 0M
};
SimBroker = new SimBroker((SimAccount)nsystem.Account, transactioncosts);
//Initialize
nsystem.Initialize();
foreach (var stream in nsystem.Streams)
{
((OHLCBarStream)stream.Value).Initialize();
}
//set response
portfolio = nsystem;
//Set progress
if (OnProgress != null)
{
OnProgress(this, "Starting...", cpunr);
}
//Set simulator
if (filter == null || nsystem.Streams.Count == 1)
{
histsim = new SingleSimImpl(filter);
}
else
{
histsim = new MultiSimImpl(filter);
}
//Set events
histsim.GotTick += histsim_GotTick;
SimBroker.GotFill += SimBroker_GotFill;
SimBroker.GotOrder += SimBroker_GotOrder;
SimBroker.GotOrderCancel += SimBroker_GotOrderCancel;
SimBroker.GotOrderUpdate += SimBroker_GotOrderChanged;
BindPortfolioEvents();
//Start simulation
histsim.PlayTo(SingleSimImpl.Endsim);
//Notify Complete
if (OnProgress != null)
{
OnProgress(this, "Finished!", cpunr);
}
Stopped = DateTime.Now;
if (OnMessage != null)
{
OnMessage(this, string.Format("SystemID: {0} - CPU: {1} - Finished in: {2} seconds - Tick p/s: {3} - Trades - {4}",
0,
cpunr,
Math.Round((Stopped - Started).TotalSeconds, 2),
Math.Round(TicksSecond),
SimBroker.GetTradeList().Count
));
}
Thread.Sleep(1000);
WriteResults();
}
catch (Exception exc)
{
if (OnProgress != null)
{
OnProgress(this, "FAILED: Exception!", cpunr);
}
if (OnMessage != null)
{
OnMessage(this, string.Format("Error (cpu {0}) Message: {1} Stacktrace: {2}", cpunr, exc.Message, exc.StackTrace));
}
}
}
