public void DoubleBasicWithFlat()
{
long id = 1;
sho = new REGSHO_ShortTracker();
sho.SendDebugEvent += new DebugDelegate(sho_SendDebugEvent);
sho.VerboseDebugging = true;
Order o = new OrderImpl();
// take a position
sho.GotPosition(new PositionImpl(sym, 89.7m, 100));
// accept two exits
o = new SellStop(sym, 100, 89.65m, id++);
long stop1 = o.id;
Assert.IsFalse(sho.isOrderShort(o), "entry1: first sell was incorrectly short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 89.75m, id++);
long profit1 = o.id;
Assert.IsTrue(sho.isOrderShort(o), "entry1: second sell was incorrectly sell");
sho.GotOrder(o);
// flat
o = new SellStop(sym, 100, 89.65m, stop1);
o.Fill(TickImpl.NewTrade(sym,89.62m,100));
sho.GotFill((Trade)o);
sho.GotCancel(profit1);
// do again
// take a position
o = new BuyMarket(sym,100);
o.id = id++;
o.Fill(TickImpl.NewTrade(sym, 89.64m, 100));
sho.GotFill((Trade)o);
// accept two exits
o = new SellStop(sym, 100, 89.65m, id++);
Assert.IsFalse(sho.isOrderShort(o), "entry2: first sell was incorrectly short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 89.75m, id++);
Assert.IsTrue(sho.isOrderShort(o), "entry2: second sell was incorrectly NOT short");
sho.GotOrder(o);
}
public void Fill()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.Fill(TickImpl.NewBid(s, 8, 100)));
// buy limit
// limit should fill if order price is inside market
o = new BuyLimit(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(TickImpl.NewTrade(s, 0, 0)));
// always fail filling invalid order
o = new BuyLimit(s, 100, 10);
OrderImpl x = new OrderImpl();
Assert.IsFalse(o.Fill(x));
// always fail filling an order that doesn't cross market
x = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(x));
const string t2 = "trader2";
// suceed on crossing market
x = new SellMarket(s,100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// fail when accounts are the same
x = new SellMarket(s, 100);
x.Account = o.Account;
Assert.IsFalse(o.Fill(x));
// fail on match outside of market
x = new SellLimit(s, 100, 11);
x.Account = t2;
Assert.IsFalse(o.Fill(x));
// succeed on limit cross
o = new BuyLimit(s, 100, 10);
x = new SellLimit(s, 100, 10);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// make sure we can stop cross
o = new SellStop(s, 100, 10);
x = new BuyMarket(s, 100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
}
public void FillBidAsk()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 8, 100)));
// buy limit
// limit should fill if order price is inside market
o = new BuyLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 10, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.FillBidAsk(TickImpl.NewTrade(s, 0, 0)));
}
public void IdentityStops()
{
string sym = "SPY";
bool side = false;
int size = -256;
decimal stop = 134.40m;
string comment = "Hello, World!"; // not checked for
long id = 8675309; // not checked for
Order orig = new StopOrder(sym, side, size, stop);
Order comp;
comp = new StopOrder(sym, size, stop, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SignedStop");
Assert.AreEqual(orig.side, comp.side, "Side, SignedStop");
Assert.AreEqual(orig.size, comp.size, "Size, SignedStop");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, SignedStop");
Assert.AreEqual(orig.price, comp.price, "Price, SignedStop");
comp = new StopOrder(sym, side, size, stop, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, StopID");
Assert.AreEqual(orig.side, comp.side, "Side, StopID");
Assert.AreEqual(orig.size, comp.size, "Size, StopID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, StopID");
Assert.AreEqual(orig.price, comp.price, "Price, StopID");
comp = new StopOrder(sym, side, size, stop, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, StopComment");
Assert.AreEqual(orig.side, comp.side, "Side, StopComment");
Assert.AreEqual(orig.size, comp.size, "Size, StopComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, StopComment");
Assert.AreEqual(orig.price, comp.price, "Price, StopComment");
comp = new SellStop(sym, size, stop);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellStop");
Assert.AreEqual(orig.side, comp.side, "Side, SellStop");
Assert.AreEqual(orig.size, comp.size, "Size, SellStop");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, SellStop");
Assert.AreEqual(orig.price, comp.price, "Price, SellStop");
comp = new SellStop(sym, size, stop, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellStopID");
Assert.AreEqual(orig.side, comp.side, "Side, SellStopID");
Assert.AreEqual(orig.size, comp.size, "Size, SellStopID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, SellStopID");
Assert.AreEqual(orig.price, comp.price, "Price, SellStopID");
comp = new SellStop(sym, size, stop, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, SellStopComment");
Assert.AreEqual(orig.side, comp.side, "Side, SellStopComment");
Assert.AreEqual(orig.size, comp.size, "Size, SellStopComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, SellStopComment");
Assert.AreEqual(orig.price, comp.price, "Price, SellStopComment");
side = true;
orig = new StopOrder(sym, side, size, stop);
comp = new BuyStop(sym, size, stop);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyStop");
Assert.AreEqual(orig.side, comp.side, "Side, BuyStop");
Assert.AreEqual(orig.size, comp.size, "Size, BuyStop");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, BuyStop");
Assert.AreEqual(orig.price, comp.price, "Price, BuyStop");
comp = new BuyStop(sym, size, stop, id);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyStopID");
Assert.AreEqual(orig.side, comp.side, "Side, BuyStopID");
Assert.AreEqual(orig.size, comp.size, "Size, BuyStopID");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, BuyStopID");
Assert.AreEqual(orig.price, comp.price, "Price, BuyStopID");
comp = new BuyStop(sym, size, stop, comment);
Assert.AreEqual(orig.symbol, comp.symbol, "Symbol, BuyStopComment");
Assert.AreEqual(orig.side, comp.side, "Side, BuyStopComment");
Assert.AreEqual(orig.size, comp.size, "Size, BuyStopComment");
Assert.AreEqual(orig.stopp, comp.stopp, "Stop, BuyStopComment");
Assert.AreEqual(orig.price, comp.price, "Price, BuyStopComment");
}
public void Basic()
{
long id = 1;
sho = new REGSHO_ShortTracker();
sho.SendDebugEvent+=new DebugDelegate(rt.d);
Order o = new OrderImpl();
// take a position
sho.GotPosition(new PositionImpl(sym,100,300));
// accept two exits
o = new SellLimit(sym, 100, 200, id++);
Assert.IsFalse(sho.isOrderShort(o));
sho.GotOrder(o);
o = new SellLimit(sym, 200, 105, id++);
Assert.IsFalse(sho.isOrderShort(o));
sho.GotOrder(o);
// send another short
o = new SellStop(sym, 300, 99);
Assert.IsTrue(sho.isOrderShort(o));
}
public void BasicStopAndLimit()
{
long id = 1;
sho = new REGSHO_ShortTracker();
sho.SendDebugEvent += new DebugDelegate(rt.d);
sho.VerboseDebugging = true;
Order o = new OrderImpl();
// take a position
o = new BuyLimit(sym, 100, 21.18m, id++);
o.Account = ACCT;
Assert.IsFalse(sho.isOrderShort(o), "entry buy never a short.");
sho.GotOrder(o);
Assert.IsTrue(o.Fill(TickImpl.NewTrade(sym,21.14m,100)),"unable to fill order");
Trade t = (Trade)o;
Assert.IsTrue(t.isValid && t.isFilled, "not a valid trade");
sho.GotFill(t);
// accept two exits
o = new SellStop(sym, 100, 21.09m, id++);
o.Account = ACCT;
Assert.IsFalse(sho.isOrderShort(o),"first exit was wrongly a short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 21.19m, id++);
o.Account = ACCT;
Assert.IsTrue(sho.isOrderShort(o), "second exit was wrongly a sell");
sho.GotOrder(o);
}
public void FillThenStopAndLimitOversell()
{
long id = 1;
sho = new REGSHO_ShortTracker();
sho.SendDebugEvent += new DebugDelegate(rt.d);
sho.VerboseDebugging = true;
lastids.Clear();
Order o = new OrderImpl();
// send some initial orders
so(new SellLimit(sym, 100, 25.83m, id++));
so(new SellStop(sym, 100, 25.83m, id++));
o = new SellStop(sym, 200, 25.83m, id++);
so(o);
// cancel first two orders
sho.GotCancel(lastids[0]);
sho.GotCancel(lastids[1]);
// fill last order
Assert.IsTrue(o.Fill(TickImpl.NewTrade(sym, 25.80m, 200)), "missing initial fill");
sho.GotFill((Trade)o);
// check pending size
Assert.AreEqual(0, pendingsize(sym), "had pending size after cancels and fills");
// flat position
sho.GotPosition(new PositionImpl(sym,0,0,0,ACCT));
// take a position
o = new BuyLimit(sym, 100, 25.83m, id++);
o.Account = ACCT;
Assert.IsFalse(sho.isOrderShort(o), "entry buy never a short.");
sho.GotOrder(o);
Assert.IsTrue(o.Fill(TickImpl.NewTrade(sym, 25.80m, 100)), "unable to fill order");
Trade t = (Trade)o;
Assert.IsTrue(t.isValid && t.isFilled, "not a valid trade");
sho.GotFill(t);
// accept two exits
o = new SellStop(sym, 100, 21.09m, id++);
o.Account = ACCT;
Assert.IsFalse(sho.isOrderShort(o), "first exit was wrongly a short");
sho.GotOrder(o);
o = new SellLimit(sym, 100, 21.19m, id++);
o.Account = ACCT;
Assert.IsTrue(sho.isOrderShort(o), "second exit was wrongly a sell");
sho.GotOrder(o);
}