public void test_reqHistDataIfValid()
{
//[Test : Request Hist Data valid, needMergeFlag is true, isReqHistDataSent is false, current message time is after the hist data send time]
DateTime processStartTime = new DateTime(2015, 10, 21, 10, 15, 0, DateTimeKind.Local);
IAppMDManager appMDManager = getAppRTBSynchronizer_for_reqHistDataIfValid(processStartTime);
AppRTBSynchronizer synchronizer = new AppRTBSynchronizer(appMDManager);
synchronizer.setNeedMergeFlag(true);
synchronizer.setIsReqHistDataSent(false);
DateTime validStartTime = new DateTime(2015, 10, 21, 10, 15, 35, DateTimeKind.Local);
//Console.Write(""+ synchronizer.);
synchronizer.reqHistDataIfValid(validStartTime, "MIDPOINT", null);
Assert.IsTrue(synchronizer.getIsReqHistDataSent());
//[Test : Request Hist Data not valid, needMergeFlag is true, isReqHistDataSent is false, current message time is before the hist data send time]
appMDManager = getAppRTBSynchronizer_for_reqHistDataIfValid(processStartTime);
synchronizer = new AppRTBSynchronizer(appMDManager);
synchronizer.setNeedMergeFlag(true);
synchronizer.setIsReqHistDataSent(false);
DateTime invalidStartTime = new DateTime(2015, 10, 21, 10, 15, 25, DateTimeKind.Local);
synchronizer.reqHistDataIfValid(invalidStartTime, "MIDPOINT", null);
Assert.IsFalse(synchronizer.getIsReqHistDataSent());
}
public void test_isRTBarMergeNeed()
{
DateTime afterSetTime = new DateTime(2015, 11, 21, 9, 15, 55, DateTimeKind.Local);
DateTime afterSetTime2 = new DateTime(2015, 11, 21, 9, 16, 0, DateTimeKind.Local);
DateTime beforeSetTime = new DateTime(2015, 11, 21, 9, 10, 55, DateTimeKind.Local);
DateTime beforeSetTime2 = new DateTime(2015, 11, 21, 9, 11, 0, DateTimeKind.Local);
IBMessage afterSetTimeMessage = createTimeMessage(afterSetTime);
IBMessage beforeSetTimeMessage = createTimeMessage(beforeSetTime);
IBMessage afterSetTimeMessage2 = createTimeMessage(afterSetTime2);
IBMessage beforeSetTimeMessage2 = createTimeMessage(beforeSetTime2);
String strTickerStartTimeOfDay = "09:15:00";
//[Test : method return true, message time equal to RtbDataStartTime]
IAppMDManager appMDManager = getAppRTBSynchronizer_for_isRTBarMergeNeed(afterSetTime);
AppRTBSynchronizer synchronizer = new AppRTBSynchronizer(appMDManager);
//IAppRTBSynchronizer synchronizer = appMDManager.getAppRTBSynchronizer();
Assert.AreEqual(true, synchronizer.isRTBarMergeNeed(strTickerStartTimeOfDay));
//[Test : method return true, message time later than RtbDataStartTime]
appMDManager = getAppRTBSynchronizer_for_isRTBarMergeNeed(afterSetTime);
synchronizer = new AppRTBSynchronizer(appMDManager);
Assert.AreEqual(true, synchronizer.isRTBarMergeNeed(strTickerStartTimeOfDay));
//[Test : method return false, RtbDataStartTime before the strTickerStartTimeOfDay]
appMDManager = getAppRTBSynchronizer_for_isRTBarMergeNeed(beforeSetTime);
synchronizer = new AppRTBSynchronizer(appMDManager);
Assert.AreEqual(false, synchronizer.isRTBarMergeNeed(strTickerStartTimeOfDay));
//[Test : method return false, RtbDataStartTime before the strTickerStartTimeOfDay]
appMDManager = getAppRTBSynchronizer_for_isRTBarMergeNeed(beforeSetTime);
synchronizer = new AppRTBSynchronizer(appMDManager);
Assert.AreEqual(false, synchronizer.isRTBarMergeNeed(strTickerStartTimeOfDay));
}
public AppStrategyManager(IIBTradeAppBridge appForm)
{
appMDManager = new AppMDManager(appForm);
appEventManager = new AppEventManager(this);
appOrderManager = new AppOrderManager(this);
appMaintenanceManager = new AppMainteanceManager(this);
appMaintenanceManager.startManager();
ParentUI = appForm;
//OrderRepositry = new ConcurrentDictionary<string, OrderRecord>();
activeStgNamesMap = new ConcurrentDictionary <String, String>();
storeStg = new Dictionary <string, IStrategy>();
storeStg.Add(AppConstant.STG1_SHORT_NAME, new StrategyRandom1(AppConstant.STG1_SHORT_NAME, 0));
storeStg.Add(AppConstant.STG2_SHORT_NAME, new StrategyRBreakerReverse1(AppConstant.STG2_SHORT_NAME, 1));
storeStg.Add(AppConstant.STG3_SHORT_NAME, new StrategyRBreakerTrend1(AppConstant.STG3_SHORT_NAME, 2));
storeStg.Add(AppConstant.STG4_SHORT_NAME, new StrategyRandom4(AppConstant.STG4_SHORT_NAME, 3));
/*
* storeStg.Add(AppConstant.STG5_SHORT_NAME, new StrategyStastic1(AppConstant.STG5_SHORT_NAME, 4));
* storeStg.Add(AppConstant.STG6_SHORT_NAME, new StrategyRBreaker1(AppConstant.STG6_SHORT_NAME, 5));
* storeStg.Add(AppConstant.STG7_SHORT_NAME, new StrategyRBreakerTrend2(AppConstant.STG7_SHORT_NAME, 6));
*/
StoreCancelToken = new ConcurrentDictionary <string, CancellationTokenSource>();
TimeDiffServer = long.MaxValue;
appEventManager.startGenerateTimeEvents();
}
public RealTimeBarsManager(IBClient ibClient, Chart rtBarsChart, DataGridView rtBarsGrid, IAppMDManager MDManager, IBTradeApp appForm)
: base(ibClient, rtBarsChart, rtBarsGrid, appForm)
{
this.MDManager = MDManager;
//this.marketDataHelper = marketDataHelper;
//this.appForm = appForm;
}
public override void init(Object caller, Dictionary <String, String> inputArgs, TickerInfo info)
{
stgManager = (AppStrategyManager)caller;
execution = new SignalContext();
eventManager = stgManager.getAppEventManager();
MDManager = stgManager.getAppMDManager();
stgHelper = new StrategyHelper(stgManager, stgName, stgIndex, execution);
WTS = info.whatToShow;
}
/*
* private DateTime extractDateTimeFromMessage(IBMessage message)
* {
* RealTimeBarMessage rtBar = (RealTimeBarMessage)message;
* DateTime start = new DateTime(1970, 1, 1, 0, 0, 0);
* DateTime dt = start.AddMilliseconds(rtBar.Timestamp * 1000).ToLocalTime();
* return dt;
* }*/
private IAppMDManager getAppRTBSynchronizer_for_isRTBarMergeNeed(DateTime dt)
{
var mock = new Mock <IAppMDManager>();
mock.Setup(foo => foo.getRtbDataStartTime()).Returns(dt);
IAppMDManager fooObj = mock.Object;
return(fooObj);
}
public void test_mergeRTBHistDataIfValid_negative4()
{
//[Test : merge unsuccess, RTB data serie is null]
IAppRTBSynchronizer synchronizer = getSynchronizer_for_mergeRTBHistDataIfValid_negative4();
synchronizer.mergeRTBHistDataIfValid();
IAppMDManager appMDManager = synchronizer.getAppMDManager();
Series <DateTime, MarketDataElement> TimeBarSeries = appMDManager.getTimeBarSeries();
Assert.IsNull(TimeBarSeries);
Assert.AreEqual(false, synchronizer.getIsDataMerged());
}
public void test_mergeRTBHistDataIfValid_negative2()
{
//[Test : merge unsuccess, hist data is not fully loaded yet, missing the last hist data]
IAppRTBSynchronizer synchronizer = getSynchronizer_for_mergeRTBHistDataIfValid_negative2();
synchronizer.mergeRTBHistDataIfValid();
IAppMDManager appMDManager = synchronizer.getAppMDManager();
Series <DateTime, MarketDataElement> TimeBarSeries = appMDManager.getTimeBarSeries();
Assert.IsNull(TimeBarSeries);
Assert.AreEqual(false, synchronizer.getIsDataMerged());
}
public HistoricalDataManager(IBClient ibClient, Chart chart, DataGridView gridView, IBTradeApp appForm)
: base(ibClient, chart)
{
/*
* Chart historicalChart = (Chart)uiControl;
* historicalChart.Series[0]["PriceUpColor"] = "Green";
* historicalChart.Series[0]["PriceDownColor"] = "Red";
*/
this.gridView = gridView;
this.appForm = appForm;
AppStrategyManager stgManager = appForm.appStrategyManager;
this.appMDManager = stgManager.getAppMDManager();
this.RTBSynchronizer = appMDManager.getAppRTBSynchronizer();
}
public void test_mergeRTBHistDataIfValid_positive2()
{
//[Test : merge success, histDataSeries and RTBDataSeries is not continuous]
IAppRTBSynchronizer synchronizer = getSynchronizer_for_mergeRTBHistDataIfValid_positive2();
synchronizer.mergeRTBHistDataIfValid();
IAppMDManager appMDManager = synchronizer.getAppMDManager();
Series <DateTime, MarketDataElement> TimeBarSeries = appMDManager.getTimeBarSeries();
Assert.AreEqual(10, TimeBarSeries.KeyCount);
Assert.AreEqual(true, TimeBarSeries.TryGet(new DateTime(2015, 10, 21, 9, 15, 0, DateTimeKind.Local)).HasValue);
Assert.AreEqual(true, TimeBarSeries.TryGet(new DateTime(2015, 10, 21, 9, 23, 0, DateTimeKind.Local)).HasValue);
Assert.AreEqual(true, TimeBarSeries.TryGet(new DateTime(2015, 10, 21, 9, 24, 0, DateTimeKind.Local)).HasValue);
Assert.AreEqual(true, TimeBarSeries.TryGet(new DateTime(2015, 10, 21, 9, 26, 0, DateTimeKind.Local)).HasValue);
Assert.AreEqual(true, synchronizer.getIsDataMerged());
}
public override void init(Object caller, Dictionary <String, String> inputArgs, TickerInfo info)
{
stgManager = (AppStrategyManager)caller;
execution = new SignalContext();
stgHelper = new StrategyHelper(stgManager, stgName, stgIndex, execution);
eventManager = stgManager.getAppEventManager();
MDManager = stgManager.getAppMDManager();
WTS = info.whatToShow;
this.inputArgs = inputArgs;
num_short_ma = Double.Parse(inputArgs["PARA1"]);
orderSize = Int32.Parse(inputArgs["PARA2"]);
cutLoss = Double.Parse(inputArgs["PARA3"]);
profitTarget = Double.Parse(inputArgs["PARA4"]);
log.Info(stgName + " Started !");
log.Info("short_ma = " + num_short_ma);
log.Info("long_ma = " + num_long_ma);
log.Info("cutLoss = " + cutLoss);
log.Info("profitTarget = " + profitTarget);
}
private void btn_req_mkt_data_Click(object sender, EventArgs e)
{
if (isConnected)
{
Contract contract = GetMDContract();
TickerInfo tickerInfo = getTickerInfo();
IAppMDManager appMDManager = appStrategyManager.getAppMDManager();
appMDManager.tickerInfo = tickerInfo;
string genericTickList = "";
marketDataManager.AddRequest(contract, genericTickList);
string whatToShow = txt_ticker_wts.Text;
if (AppConstant.USE_OUT_REGULAR_DATA)
{
realTimeBarManager.AddRequest(contract, whatToShow, false);
}
else
{
realTimeBarManager.AddRequest(contract, whatToShow, true);
}
}
}
//2015-10-27
private Boolean isHistDataRequested(IBMessage message)
{
IAppMDManager appMDMManager = appStrategyManager.getAppMDManager();
switch (message.Type)
{
case MessageType.HistoricalData:
HistoricalDataMessage hMessage = (HistoricalDataMessage)message;
if (appMDMManager.isHistDataAdHocRequested(hMessage.RequestId))
{
return(true);
}
break;
case MessageType.HistoricalDataEnd:
return(false);
break;
}
return(false);
}
public void test_mergeRTBHistDataIfValid_negative1()
{
//[Test : merge unsuccess, needMerge Flag is set to false]
IAppRTBSynchronizer synchronizer = getSynchronizer_for_mergeRTBHistDataIfValid_negative1();
synchronizer.setNeedMergeFlag(false);
synchronizer.setIsDataMerged(false);
synchronizer.mergeRTBHistDataIfValid();
IAppMDManager appMDManager = synchronizer.getAppMDManager();
Series <DateTime, MarketDataElement> TimeBarSeries = appMDManager.getTimeBarSeries();
Assert.IsNull(TimeBarSeries);
Assert.AreEqual(false, synchronizer.getIsDataMerged());
//[Test : merge unsuccess, data merged Flag is set to true]
synchronizer = getSynchronizer_for_mergeRTBHistDataIfValid_negative1();
synchronizer.setNeedMergeFlag(true);
synchronizer.setIsDataMerged(true);
synchronizer.mergeRTBHistDataIfValid();
appMDManager = synchronizer.getAppMDManager();
TimeBarSeries = appMDManager.getTimeBarSeries();
Assert.IsNull(TimeBarSeries);
}
public override void UpdateUI(IBMessage message)
{
IAppMDManager appMDMManager = appStrategyManager.getAppMDManager();
IAppEventManager appEventManager = appStrategyManager.getAppEventManager();
MarketDataMessage dataMessage = (MarketDataMessage)message;
checkToAddRow(dataMessage.RequestId);
DataGridView grid = (DataGridView)uiControl;
if (grid.Rows.Count >= dataMessage.RequestId - TICK_ID_BASE)
{
if (message is TickPriceMessage)
{
TickPriceMessage priceMessage = (TickPriceMessage)message;
switch (dataMessage.Field)
{
case 1:
{
//BID
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[BID_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 2:
{
//ASK
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[ASK_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 4:
{
//LAST
appEventManager.putTickPriceEvents(priceMessage, dataMessage);
//stgManager.handleTickMessage(message);
grid[LAST_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 6:
{
//HIGH
grid[HIGH_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 7:
{
//LOW
grid[LOW_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
case 9:
{
//CLOSE
grid[CLOSE_PRICE_INDEX, GetIndex(dataMessage.RequestId)].Value = priceMessage.Price;
break;
}
}
}
else if (dataMessage is TickSizeMessage)
{
TickSizeMessage sizeMessage = (TickSizeMessage)message;
switch (dataMessage.Field)
{
case 0:
{
//BID SIZE
grid[BID_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 3:
{
//ASK SIZE
grid[ASK_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 5:
{
//LAST SIZE
grid[LAST_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
case 8:
{
//VOLUME
//stgManager.handleTickMessage(message);
grid[VOLUME_SIZE_INDEX, GetIndex(dataMessage.RequestId)].Value = sizeMessage.Size;
break;
}
}
}
}
}
public void injectAppMDManager(IAppMDManager appMDManager)
{
this.appMDManager = appMDManager;
}
public AppRTBSynchronizer(IAppMDManager appMDManager)
{
this.appMDManager = appMDManager;
}
private void UpdateUI(IBMessage message)
{
switch (message.Type)
{
case MessageType.ConnectionStatus:
{
ConnectionStatusMessage statusMessage = (ConnectionStatusMessage)message;
if (statusMessage.IsConnected)
{
btn_connect_light.BackColor = Color.LightGreen;
btn_connect_light.Text = "ON";
accountManager.RequestAccountSummary();
grid_order_summary.Rows.Clear();
ibClient.ClientSocket.reqExecutions(1, new ExecutionFilter());
ibClient.ClientSocket.reqCurrentTime();
//grid_open_order.Rows.Clear();
//ibClient.ClientSocket.reqAllOpenOrders();
}
else
{
btn_connect_light.BackColor = Color.Red;
btn_connect_light.Text = "OFF";
}
break;
}
case MessageType.ManagedAccounts:
{
accountManager.ManagedAccounts = ((ManagedAccountsMessage)message).ManagedAccounts;
accountManager.SubscribeAccountUpdates();
break;
}
case MessageType.AccountValue:
{
accountManager.UpdateUI(message);
break;
}
case MessageType.TickOptionComputation:
case MessageType.TickPrice:
case MessageType.TickSize:
{
HandleTickMessage((MarketDataMessage)message);
break;
}
case MessageType.RealTimeBars:
{
realTimeBarManager.UpdateUI(message);
break;
}
case MessageType.HistoricalData:
case MessageType.HistoricalDataEnd:
{
IAppMDManager appMDMManager = appStrategyManager.getAppMDManager();
//2015-10-27
if (isHistDataRequested(message))
{
appMDMManager.updateHistDataAdHoc((HistoricalDataMessage)message);
}
else
{
historicalDataManager.UpdateUI(message);
}
//historicalDataManager.UpdateUI(message);
break;
}
case MessageType.PortfolioValue:
{
accountManager.UpdateUI(message);
break;
}
case MessageType.OpenOrder:
case MessageType.OpenOrderEnd:
case MessageType.OrderStatus:
case MessageType.ExecutionData:
case MessageType.CommissionsReport:
{
if (message.Type == MessageType.ExecutionData)
{
orderManager.processExecution((ExecutionMessage)message);
}
//HandleExecutionMessage((ExecutionMessage)message);
orderManager.UpdateUI(message);
break;
}
case MessageType.ServerTime:
{
ServerTimeMessage tm = (ServerTimeMessage)message;
appStrategyManager.calculateTimeDiffServer(tm.Time);
//strategyManager.calculateTimeDiffServer(tm.Time);
break;
}
case MessageType.Error:
{
ErrorMessage error = (ErrorMessage)message;
ShowMessageOnPanel("Request " + error.RequestId + ", Code: " + error.ErrorCode + " - " + error.Message + "\r\n");
HandleErrorMessage(error);
break;
}
}
}
