public static async Task Returns_Correct_Movement(decimal price1, decimal price2, PriceMovement expected)
{
var subject = new ReplaySubject<IPrice>();
var result = subject.ToPriceMovementStream();
subject.OnNext(new Price { Mid = price1 });
subject.OnNext(new Price { Mid = price2 });
subject.OnCompleted();
// Assert
await result.SingleAsync(movement => movement == expected);
}
public static NSAttributedString ToAttributedArrow(this PriceMovement priceMovement, IPrice price)
{
if (price == null)
{
return(new NSAttributedString(string.Empty));
}
var movementText = new Dictionary <PriceMovement, NSAttributedString>
{
{ PriceMovement.Up, new NSAttributedString("▲", _arrowFont, UIColor.Green) },
{ PriceMovement.Down, new NSAttributedString("▼", _arrowFont, UIColor.Red) },
{ PriceMovement.None, new NSAttributedString("▼", _arrowFont, UIColor.Clear) }
};
return(movementText[priceMovement]);
}
private Color IndicatorColor(PriceMovement priceMovement)
{
Color returnColor;
switch (priceMovement)
{
case (PriceMovement.Up):
returnColor = Color.Red;
break;
case (PriceMovement.Down):
returnColor = Color.LightGreen;
break;
default:
returnColor = Color.Orange;
break;
}
return(returnColor);
}
public static NSAttributedString ToAttributedString(this PriceMovement priceMovement, IPrice price)
{
if (price == null)
{
return(new NSAttributedString(string.Empty));
}
var movementText = new Dictionary <PriceMovement, NSAttributedString>
{
{ PriceMovement.Up, new NSAttributedString("▲", _arrowFont, UIColor.Green) },
{ PriceMovement.Down, new NSAttributedString("▼", _arrowFont, UIColor.Red) },
{ PriceMovement.None, new NSAttributedString("▼", _arrowFont, UIColor.Clear) }
};
var spread = new NSAttributedString(price.Spread.ToString("0.0") + " ");
var text = new NSMutableAttributedString(spread);
text.Append(movementText[priceMovement]);
return(text);
}
public void Run(Position initialPosition, Position finalPosition, FeeType feeType, PriceMovement priceMovement, int leverage)
{
//Console.WriteLine("----------");
//Console.WriteLine("PARAMETERS");
//Console.WriteLine("Initial position: " + initialPosition);
//Console.WriteLine("Final position: " + finalPosition);
//Console.WriteLine("Fee type: " + feeType);
//Console.WriteLine("Price movement: " + priceMovement);
//Console.WriteLine("Leverage: " + leverage);
//Console.WriteLine("----------");
//Console.WriteLine();
var algorithm = new QCAlgorithm();
var security = algorithm.AddSecurity(_symbol.ID.SecurityType, _symbol.ID.Symbol);
security.FeeModel = _feeModels[feeType];
security.SetLeverage(leverage);
algorithm.SetCash(Cash);
Update(security, BasePrice);
decimal targetPercentage;
OrderDirection orderDirection;
MarketOrder order;
decimal orderFee;
OrderEvent fill;
int orderQuantity;
decimal freeMargin;
decimal requiredMargin;
if (initialPosition != Position.Zero)
{
targetPercentage = (decimal)initialPosition;
orderDirection = initialPosition == Position.Long ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = algorithm.Portfolio.GetMarginRemaining(_symbol, orderDirection);
requiredMargin = security.MarginModel.GetInitialMarginRequiredForOrder(security, order);
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(security, order);
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
if (priceMovement == PriceMovement.RisingSmall)
{
Update(security, HighPrice);
}
else if (priceMovement == PriceMovement.FallingSmall)
{
Update(security, LowPrice);
}
else if (priceMovement == PriceMovement.RisingLarge)
{
Update(security, VeryHighPrice);
}
else if (priceMovement == PriceMovement.FallingLarge)
{
Update(security, VeryLowPrice);
}
}
targetPercentage = (decimal)finalPosition;
orderDirection = finalPosition == Position.Long || (finalPosition == Position.Zero && initialPosition == Position.Short) ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = algorithm.Portfolio.GetMarginRemaining(_symbol, orderDirection);
requiredMargin = security.MarginModel.GetInitialMarginRequiredForOrder(security, order);
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(security, order);
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
}
public static async Task Returns_Correct_Movement(decimal price1, decimal price2, PriceMovement expected)
{
var subject = new ReplaySubject <IPrice>();
var result = subject.ToPriceMovementStream();
subject.OnNext(new Price {
Mid = price1
});
subject.OnNext(new Price {
Mid = price2
});
subject.OnCompleted();
// Assert
await result.SingleAsync(movement => movement == expected);
}
void OnPrice(IPrice currentPrice)
{
if (!currentPrice.IsStale)
{
// TODO: Cover all statuses (Done, Executing)...
if (this.Status == PriceTileStatus.DoneStale)
{
this.Status = PriceTileStatus.Done;
}
if (this.Status == PriceTileStatus.Stale)
{
this.Status = PriceTileStatus.Streaming;
}
var bid = PriceFormatter.GetFormattedPrice(currentPrice.Bid.Rate, currentPrice.CurrencyPair.RatePrecision, currentPrice.CurrencyPair.PipsPosition);
var ask = PriceFormatter.GetFormattedPrice(currentPrice.Ask.Rate, currentPrice.CurrencyPair.RatePrecision, currentPrice.CurrencyPair.PipsPosition);
LeftSideNumber = bid.BigFigures;
LeftSideBigNumber = bid.Pips;
LeftSidePips = bid.TenthOfPip;
RightSideNumber = ask.BigFigures;
RightSideBigNumber = ask.Pips;
RightSidePips = ask.TenthOfPip;
Spread = currentPrice.Spread.ToString("0.0");
if (_lastPrice != null && !_lastPrice.IsStale)
{
if (_lastPrice.Mid < currentPrice.Mid)
{
Movement = PriceMovement.Up;
}
else if (_lastPrice.Mid > currentPrice.Mid)
{
Movement = PriceMovement.Down;
}
else
{
Movement = PriceMovement.None;
}
}
else
{
Movement = PriceMovement.None;
}
this.NotifyOnChanged(this);
}
else
{
// Stale!
Movement = PriceMovement.None;
if (this.Status == PriceTileStatus.Done)
{
this.Status = PriceTileStatus.DoneStale;
this.NotifyOnChanged(this);
}
// TODO: Cover all statuses (Done, Executing)...
if (this.Status == PriceTileStatus.Streaming)
{
this.Status = PriceTileStatus.Stale;
this.NotifyOnChanged(this);
}
}
_lastPrice = currentPrice;
}
public void Run(object[] parameters)
{
Position initialPosition = (Position)parameters[0];
Position finalPosition = (Position)parameters[1];
FeeType feeType = (FeeType)parameters[2];
PriceMovement priceMovement = (PriceMovement)parameters[3];
int leverage = (int)parameters[4];
//Console.WriteLine("----------");
//Console.WriteLine("PARAMETERS");
//Console.WriteLine("Initial position: " + initialPosition);
//Console.WriteLine("Final position: " + finalPosition);
//Console.WriteLine("Fee type: " + feeType);
//Console.WriteLine("Price movement: " + priceMovement);
//Console.WriteLine("Leverage: " + leverage);
//Console.WriteLine("----------");
//Console.WriteLine();
var algorithm = new QCAlgorithm();
algorithm.SubscriptionManager.SetDataManager(new DataManagerStub(algorithm));
var security = algorithm.AddSecurity(_symbol.ID.SecurityType, _symbol.ID.Symbol);
security.FeeModel = _feeModels[feeType];
security.SetLeverage(leverage);
var buyingPowerModel = new TestSecurityMarginModel(leverage);
security.BuyingPowerModel = buyingPowerModel;
algorithm.SetCash(Cash);
Update(security, BasePrice);
decimal targetPercentage;
OrderDirection orderDirection;
MarketOrder order;
OrderFee orderFee;
OrderEvent fill;
decimal orderQuantity;
decimal freeMargin;
decimal requiredMargin;
if (initialPosition != Position.Zero)
{
targetPercentage = (decimal)initialPosition;
orderDirection = initialPosition == Position.Long ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(
new IdentityCurrencyConverter(algorithm.Portfolio.CashBook.AccountCurrency), security, order));
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(
new OrderFeeParameters(security, order));
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
if (priceMovement == PriceMovement.RisingSmall)
{
Update(security, HighPrice);
}
else if (priceMovement == PriceMovement.FallingSmall)
{
Update(security, LowPrice);
}
else if (priceMovement == PriceMovement.RisingLarge)
{
Update(security, VeryHighPrice);
}
else if (priceMovement == PriceMovement.FallingLarge)
{
Update(security, VeryLowPrice);
}
}
targetPercentage = (decimal)finalPosition;
orderDirection = finalPosition == Position.Long || (finalPosition == Position.Zero && initialPosition == Position.Short) ? OrderDirection.Buy : OrderDirection.Sell;
orderQuantity = algorithm.CalculateOrderQuantity(_symbol, targetPercentage);
order = new MarketOrder(_symbol, orderQuantity, DateTime.UtcNow);
freeMargin = buyingPowerModel.GetMarginRemaining(algorithm.Portfolio, security, orderDirection);
requiredMargin = buyingPowerModel.GetInitialMarginRequiredForOrder(
new InitialMarginRequiredForOrderParameters(
new IdentityCurrencyConverter(algorithm.Portfolio.CashBook.AccountCurrency), security, order));
//Console.WriteLine("Current price: " + security.Price);
//Console.WriteLine("Target percentage: " + targetPercentage);
//Console.WriteLine("Order direction: " + orderDirection);
//Console.WriteLine("Order quantity: " + orderQuantity);
//Console.WriteLine("Free margin: " + freeMargin);
//Console.WriteLine("Required margin: " + requiredMargin);
//Console.WriteLine();
Assert.That(Math.Abs(requiredMargin) <= freeMargin);
orderFee = security.FeeModel.GetOrderFee(
new OrderFeeParameters(security, order));
fill = new OrderEvent(order, DateTime.UtcNow, orderFee)
{
FillPrice = security.Price, FillQuantity = orderQuantity
};
algorithm.Portfolio.ProcessFill(fill);
//Console.WriteLine("Portfolio.Cash: " + algorithm.Portfolio.Cash);
//Console.WriteLine("Portfolio.TotalPortfolioValue: " + algorithm.Portfolio.TotalPortfolioValue);
//Console.WriteLine();
}
