public void SetUp()
        {
            _dataProvider           = StockDataProviderUtils.CreateSubstitute(DateTime.MinValue);
            _dataLoader             = SystemDataLoaderUtils.CreateSubstituteWithConstantPriceInRange(PricesCount, StartingPrice, PriceRange, LastDate);
            _dataDefinitionProvider = Substitute.For <ISystemDataDefinitionProvider>();
            _signalGeneratorOnOpen  = Substitute.For <ISignalGeneratorOnOpen>();
            _signalGeneratorOnClose = Substitute.For <ISignalGeneratorOnClose>();
            _commission             = CommissionUtils.CreateSubstitute();
            _slippage = SlippageUtils.CreateSusbstitute();
            _mmPositionCloseCalculator = Substitute.For <IMMPositionCloseCalculator>();
            _systemState = new SystemState()
            {
                Cash = InitialCash
            };

            _slippage.CalculateOpen(default, default, default, default).ReturnsForAnyArgs(args => args.ArgAt <float>(3));
示例#2
0
 public SystemProcessor(
     IStockDataProvider dataProvider,
     ISystemDataLoader dataLoader,
     ISystemDataDefinitionProvider dataDefinitionProvider,
     ISignalGeneratorOnOpen signalGeneratorOnOpen,
     ISignalGeneratorOnClose signalGeneratorOnClose,
     ICommission commission,
     ISlippage slippage,
     IMMPositionCloseCalculator mmPositionCloseCalculator)
 {
     _dataProvider           = dataProvider;
     _dataLoader             = dataLoader;
     _dataDefinitionProvider = dataDefinitionProvider;
     _signalGeneratorOnOpen  = signalGeneratorOnOpen;
     _signalGeneratorOnClose = signalGeneratorOnClose;
     _commission             = commission;
     _slippage = slippage;
     _mmPositionCloseCalculator = mmPositionCloseCalculator;
     _signalsProcessor          = new SignalsProcessor(_dataLoader, _commission, _slippage);
     _positionCloser            = new PositionsCloser(_dataLoader, _commission, _slippage);
 }