public void BatchAlphaResultPacketDuplicateOrder()
{
var btcusd = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX);
var orders = new List <Order>
{
new MarketOrder(btcusd, 1000, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 1
},
new MarketOrder(btcusd, 100, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 2
},
new MarketOrder(btcusd, 2000, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 1
},
new MarketOrder(btcusd, 10, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 3
},
new MarketOrder(btcusd, 3000, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 1
}
};
var orders2 = new List <Order>
{
new MarketOrder(btcusd, 200, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 2
},
new MarketOrder(btcusd, 20, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 3
}
};
var packet1 = new AlphaResultPacket("1", 1, orders: orders);
var packet2 = new AlphaResultPacket("1", 1, orders: orders2);
var result = new List <AlphaResultPacket> {
packet1, packet2
}.Batch();
// we expect just 1 order instance per order id
Assert.AreEqual(3, result.Orders.Count);
Assert.IsTrue(result.Orders.Any(order => order.Id == 1 && order.Quantity == 3000));
Assert.IsTrue(result.Orders.Any(order => order.Id == 2 && order.Quantity == 200));
Assert.IsTrue(result.Orders.Any(order => order.Id == 3 && order.Quantity == 20));
var expected = new List <Order> {
orders[4], orders2[0], orders2[1]
};
Assert.IsTrue(result.Orders.SequenceEqual(expected));
}
/// <summary>
/// Handles the algorithm's <see cref="IAlgorithm.AlphasGenerated"/> event
/// and broadcasts the new alpha using the messaging handler
/// </summary>
protected void OnAlphasGenerated(AlphaCollection collection)
{
// send message for newly created alphas
Packet packet = new AlphaResultPacket(AlgorithmId, Job.UserId, collection.Alphas);
_messages.Enqueue(packet);
AlphaManager.AddAlphas(collection);
// aggregate alpha counts per symbol
foreach (var grouping in collection.Alphas.GroupBy(alpha => alpha.Symbol))
{
// predictions for this time step
var count = grouping.Count();
// track daily assets
_dailyAlphaCountPerSymbol.AddOrUpdate(grouping.Key, sym => count, (sym, cnt) => cnt + count);
// track total assets for life of backtest
_alphaCountPerSymbol.AddOrUpdate(grouping.Key, sym => count, (sym, cnt) => cnt + count);
}
}
public void BatchAlphaResultPacket()
{
var btcusd = Symbol.Create("BTCUSD", SecurityType.Crypto, Market.GDAX);
var insights = new List <Insight>
{
new Insight(DateTime.UtcNow, btcusd, Time.OneMillisecond, InsightType.Price, InsightDirection.Up, 1, 2, "sourceModel1"),
new Insight(DateTime.UtcNow, btcusd, Time.OneSecond, InsightType.Price, InsightDirection.Down, 1, 2, "sourceModel1")
};
var orderEvents = new List <OrderEvent>
{
new OrderEvent(1, btcusd, DateTime.UtcNow, OrderStatus.Submitted, OrderDirection.Buy, 0, 0, OrderFee.Zero, message: "OrderEvent1"),
new OrderEvent(1, btcusd, DateTime.UtcNow, OrderStatus.Filled, OrderDirection.Buy, 1, 1000, OrderFee.Zero, message: "OrderEvent2")
};
var orders = new List <Order> {
new MarketOrder(btcusd, 1000, DateTime.UtcNow, "ExpensiveOrder")
{
Id = 1
}
};
var packet1 = new AlphaResultPacket("1", 1, insights: insights);
var packet2 = new AlphaResultPacket("1", 1, orders: orders);
var packet3 = new AlphaResultPacket("1", 1, orderEvents: orderEvents);
var result = new List <AlphaResultPacket> {
packet1, packet2, packet3
}.Batch();
Assert.AreEqual(2, result.Insights.Count);
Assert.AreEqual(2, result.OrderEvents.Count);
Assert.AreEqual(1, result.Orders.Count);
Assert.IsTrue(result.Insights.SequenceEqual(insights));
Assert.IsTrue(result.OrderEvents.SequenceEqual(orderEvents));
Assert.IsTrue(result.Orders.SequenceEqual(orders));
Assert.IsNull(new List <AlphaResultPacket>().Batch());
}
