public GauntletEngine(TradeLink.API.Response r, HistSim h)
{
responseengine = r;
bindresponse(ref responseengine);
myhistsim = h;
bindsim(ref myhistsim);
SimBroker = new Broker();
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
SimBroker.GotOrder += new OrderDelegate(responseengine.GotOrder);
SimBroker.GotFill += new FillDelegate(responseengine.GotFill);
}
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 Basics()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.SendOrder += new OrderDelegate(tt_SendOrder);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0,.15m);
// verify it's set
Assert.AreEqual(.15m,tt.DefaultTrail.StopDist);
// get feed
Tick [] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 100));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++ )
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.IsTrue(p.isFlat,p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc);
}
bool loadsim()
{
h = new MultiSimImpl(epffiles.ToArray());
SimBroker = new Broker();
SimBroker.GotOrder += new OrderDelegate(broker_GotOrder);
SimBroker.GotFill += new FillDelegate(broker_GotFill);
h.GotTick += new TickDelegate(h_GotTick);
SimBroker.UseBidAskFills = Properties.Settings.Default.UseBidAskFills;
SimBroker.GotOrderCancel += new OrderCancelDelegate(broker_GotOrderCancel);
try
{
updatetitle();
status("Loaded tickdata: " + PrettyEPF());
return true;
}
catch (IOException ex)
{
if (ex.Message.Contains("used by another process"))
{
status("Simulation file still in use.");
debug("Try again, one of following in use: " + string.Join(",",epffiles.ToArray()));
}
return false;
}
}
void reset(bool reloadcurrentstudy)
{
try
{
// clear all GUIs
_msg = new StringBuilder(10000);
SimBroker = new Broker();
debugControl1.Clear();
dt.Clear();
ptab.Clear();
poslist.Clear();
_tradelist.Clear();
ot.Clear();
ft.Clear();
_tabs.Refresh();
c = new ChartControl();
_tr.Clear();
if (it != null)
{
it.Clear();
it.Columns.Clear();
ig.Invalidate();
SafeBindingSource.refreshgrid(ig, ibs,true);
}
unbindresponseevents();
if (reloadcurrentstudy)
{
loadsim();
loadboxname(resname);
}
else
{
epffiles.Clear();
}
nowtime = "0";
}
catch (Exception ex)
{
status("An error occured, try again.");
debug("reset error: " + ex.Message + ex.StackTrace);
}
}
// runs the simulation in background
void bw_DoWork(object sender, DoWorkEventArgs e)
{
FillCount = 0;
// get simulation arguments
GauntArgs ga = (GauntArgs)e.Argument;
// notify user
debug("Run started: " + ga.Name);
status("Started: " + ga.ResponseName);
// prepare simulator
if (prepsim_needsbind(ref h, ga))
bindsim(ref h);
// prep broker
SimBroker = new Broker();
SimBroker.UseBidAskFills = _usebidask.Checked;
SimBroker.UseHighLiquidityFillsEOD = _usehighliquidityEOD.Checked;
SimBroker.GotFill += new FillDelegate(SimBroker_GotFill);
SimBroker.GotOrder += new OrderDelegate(SimBroker_GotOrder);
SimBroker.GotOrderCancel += new OrderCancelDelegate(SimBroker_GotOrderCancel);
// start simulation
try
{
h.PlayTo(ga.PlayTo);
}
catch (DirectoryNotFoundException ex)
{
debug("Error locating tick files, err: " + ex.Message + ex.StackTrace);
debug("You may want to ensure your tick files are in the TradeLinkTicks folder.");
}
// end simulation
ga.Stopped = DateTime.Now;
ga.TicksProcessed = h.TicksProcessed;
ga.Executions = FillCount;
// save result
e.Result = ga;
}
public void BBO()
{
Broker broker = new Broker();
const string s = "TST";
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 BuyLimit(s, x, p1));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price==p1) && (bid.size==x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add better bid, make sure it's BBO
Order o;
// Order#1... 100 shares buy at $11
o = new BuyLimit(s, x, p2,1);
broker.SendOrderStatus(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2,bid.price);
Assert.AreEqual(x, bid.size);
Assert.That(!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 BuyLimit(s, x, p2,2);
o.Account = "ANOTHER_ACCOUNT";
broker.SendOrderStatus(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2, bid.price);
Assert.AreEqual(x*2, bid.size);
Assert.That(!offer.isValid, offer.ToString());
// cancel order and make sure bbo returns
broker.CancelOrder(1);
broker.CancelOrder(2);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p1,bid.price);
Assert.AreEqual(x,bid.size);
Assert.IsTrue(!offer.isValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
public void OPGs()
{
Broker broker = new Broker();
const string s = "TST";
// build and send an OPG order
OrderImpl opg = new BuyOPG(s, 200, 10);
broker.SendOrderStatus(opg);
// build a tick on another exchange
TickImpl it = TickImpl.NewTrade(s, 9, 100);
it.ex = "ISLD";
// fill order (should fail)
int c = broker.Execute(it);
Assert.AreEqual(0, c);
// build opening price for desired exchange
TickImpl nt = TickImpl.NewTrade(s, 9, 10000);
nt.ex = "NYS";
// fill order (should work)
c = broker.Execute(nt);
Assert.AreEqual(1, c);
// add another OPG, make sure it's not filled with another tick
TickImpl next = TickImpl.NewTrade(s, 9, 2000);
next.ex = "NYS";
OrderImpl late = new BuyOPG(s, 200, 10);
broker.SendOrderStatus(late);
c = broker.Execute(next);
Assert.AreEqual(0, c);
}
public void MultiFire()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.VerboseDebugging = true;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
tt.SendDebug += new DebugDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m,0,.5m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
// get feed
Tick[] tape = MultiFireSampleData();
// test broker
Broker b = new Broker();
b.Reset();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 400));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.AreEqual(200,p.UnsignedSize, "position is not flat: " + p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc,"too many fires");
}
public void TrailStartedAfterFirePoint()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.isValid = true;
const string acct = "DEFAULT";
tt.pt.DefaultAccount = acct;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
//tt.SendDebug += new DebugFullDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
//
tt.TrailByDefault = true;
// put in a position to track
tt.Adjust(new PositionImpl(SYM, 11.00m, 100, 0m,acct));
// check position in tt-pt
Assert.AreEqual(1, tt.pt.Count);
// manually enter a trail
tt[SYM] = new OffsetInfo(0m, .25m);
// check if trail entered for symbol
Assert.AreEqual(.25m, tt[SYM].StopDist);
// get feed
Tick[] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
Assert.AreEqual(1, oc);
}
public void MOCs()
{
Broker broker = new Broker();
const string s = "TST";
OrderImpl moc = new MOCOrder(s, true, 200);
Assert.IsTrue(moc.ValidInstruct == OrderInstructionType.MOC, "unexpected order instruction: " + moc.ValidInstruct);
Assert.AreEqual(0, broker.SendOrderStatus(moc), "send moc order failed");
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 9, 10000, "NYS");
int c = 0;
c = broker.Execute(openingTick); Assert.AreEqual(0, c,"MOC filled on open");
c = broker.Execute(endMornTick); Assert.AreEqual(0, c, "MOC filled in morning");
c = broker.Execute(endLunchTick); Assert.AreEqual(0, c, "MOC filled at lunch");
c = broker.Execute(closingTick); Assert.AreEqual(1, c, "MOC did not fill at close"); // should execute on the first tick at/after 16:00:00
}
public void DayFill()
{
Broker broker = new Broker();
const string s = "TST";
OrderImpl day = new MarketOrder(s, true, 200);
broker.SendOrderStatus(day);
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 9, 10000, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 9, 10000, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 9, 10000, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 9, 10000, "NYS");
int c;
c = broker.Execute(openingTick); Assert.AreEqual(1, c); // should execute on first received tick
c = broker.Execute(endMornTick); Assert.AreEqual(0, c);
c = broker.Execute(endLunchTick); Assert.AreEqual(0, c);
c = broker.Execute(closingTick); Assert.AreEqual(0, c);
}
public void Fill_HighLiquidity()
{
Broker broker = new Broker();
broker.UseHighLiquidityFillsEOD = true;
const string s = "SPY";
OrderImpl limitBuy = new LimitOrder(s, true, 1, 133m);
OrderImpl limitSell = new LimitOrder(s, false, 2, 133.5m);
OrderImpl stopBuy = new StopOrder(s, true, 3, 135.70m);
OrderImpl stopSell = new StopOrder(s, false, 4, 135.75m);
broker.SendOrderStatus(limitBuy);
broker.SendOrderStatus(limitSell);
broker.SendOrderStatus(stopBuy);
broker.SendOrderStatus(stopSell);
// OHLC for 6/21/2012 on SPY
TickImpl openingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(9, 30, 00), 135.67m, 10670270, "NYS");
TickImpl endMornTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(12, 00, 00), 135.78m, 10670270, "NYS");
TickImpl endLunchTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(14, 15, 00), 132.33m, 10670270, "NYS");
TickImpl closingTick = TickImpl.NewTrade(s, Util.ToTLDate(DateTime.Now), Util.TL2FT(16, 00, 00), 132.44m, 10670270, "NYS");
broker.Execute(openingTick);
broker.Execute(endMornTick);
broker.Execute(endLunchTick);
broker.Execute(closingTick);
List<Trade> trades = broker.GetTradeList();
Assert.IsTrue(trades.Count == 4);
foreach (Trade trade in trades)
{
if (trade.xsize == 1)
Assert.AreEqual(133m, trade.xprice);
else if (trade.xsize == 2)
Assert.AreEqual(133.5m, trade.xprice);
else if (trade.xsize == 3)
Assert.AreEqual(135.7m, trade.xprice);
else if (trade.xsize == 4)
Assert.AreEqual(135.75m, trade.xprice);
}
}
void reset()
{
try
{
// clear all GUIs
_msg = new StringBuilder(10000);
SimBroker = new Broker();
debugControl1.Clear();
dt.Clear();
ptab.Clear();
poslist.Clear();
_tradelist.Clear();
ot.Clear();
ft.Clear();
_tabs.Refresh();
c = new ChartControl();
_tr.Clear();
if (it != null) { it.Clear(); it.Columns.Clear(); ig.Invalidate(); }
loadsim();
unbindresponseevents();
loadboxname(resname);
nowtime = "0";
}
catch (Exception ex)
{
status("An error occured, try again.");
debug("reset error: " + ex.Message + ex.StackTrace);
}
}
public void DataProvider()
{
TickImpl t = TickImpl.NewTrade(s, 10, 700);
// feature to pass-through ticks to any subscriber
// this can be connected to tradelink library to allow filtered subscribptions
// and interapplication communication
Broker broker = new Broker();
broker.GotTick += new TickDelegate(broker_GotTick);
Assert.That((receivedtickDP == null) && (gottickDP == 0));
broker.Execute(t); // should fire a gotTick
Assert.That(gottickDP != 0);
Assert.That((receivedtickDP != null) && (receivedtickDP.trade == t.trade));
}