public BackTest()
{
this.name = "GauntletRun";
this.mybroker = new Broker();
EarlyClose = Util.GetCloseTime();
this.WorkerReportsProgress = true;
this.WorkerSupportsCancellation = false;
this.DoWork += new DoWorkEventHandler(BackTest_DoWork);
}
public void DataProvider()
{
Tick t = Tick.NewTrade(s, 10, 700);
// feature to pass-through ticks to any subscriber
// this can be connected to tradelink library to allow filtered subscribptions
// and interapplication communication
Broker broker = new Broker();
broker.GotTick += new TickDelegate(broker_GotTick);
Assert.That((receivedtickDP == null) && (gottickDP == 0));
broker.Execute(t); // should fire a gotTick
Assert.That(gottickDP != 0);
Assert.That((receivedtickDP != null) && (receivedtickDP.trade == t.trade));
}
public void BBO()
{
Broker broker = new Broker();
const string s = "TST";
const decimal p1 = 10m;
const decimal p2 = 11m;
const int x = 100;
Order bid,offer;
// send bid, make sure it's BBO (since it's only order on any book)
broker.sendOrder(new BuyLimit(s, x, p1));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price==p1) && (bid.size==x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add better bid, make sure it's BBO
uint id1 = broker.sendOrder(new BuyLimit(s, x, p2));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p2) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add another bid at same price on another account, make sure it's additive
uint id2 = broker.sendOrder(new BuyLimit(s, x, p2),new Account("ANOTHER_ACCOUNT"));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p2) && (bid.size == (2*x)), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// cancel order and make sure bbo returns
broker.CancelOrder(id1);
broker.CancelOrder(id2);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price == p1) && (bid.size == x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
broker.GotWarning += new DebugDelegate(broker_GotWarning);
Order o = new Order();
uint failsoninvalid= broker.sendOrder(o);
Assert.That(failsoninvalid==0);
Assert.That(warn == 1);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
Assert.That(broker.sendOrder(o)>0);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(Tick.NewTrade(s,10,200)) == 1);
Assert.That(fills == 1);
// no warnings since first warning
Assert.That(warn == 1);
}
// make sure this box only generates orders when last one has been filled
public void OneOrderAtTime()
{
Always b = new Always();
b.AllowMultipleOrders = false; // this is the default, but it's what we're testing
b.MaxSize = Int32.MaxValue; // lets not restrict our maximum position for this example
Broker broker = new Broker();
Tick t;
Assert.That(b.MinSize == 100);
int good = 0;
int i = 0;
Order o = new Order();
t = new Tick(timesales[i++]);
broker.Execute(t);
o = b.Trade(t, new BarList(), broker.GetOpenPosition(s), new BoxInfo());
broker.sendOrder(o);
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 0);
t = new Tick(timesales[i++]);
broker.Execute(t);
o = b.Trade(t, new BarList(), broker.GetOpenPosition(s), new BoxInfo());
broker.sendOrder(o);
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 1);
t = new Tick(timesales[i++]);
broker.Execute(t);
o = b.Trade(t, new BarList(), broker.GetOpenPosition(s), new BoxInfo());
// lets change this to a limit order, so he doesn't get filled on just any tick
o.price = 1;
broker.sendOrder(o);
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 2);
t = new Tick(timesales[i++]);
broker.Execute(t);
o = b.Trade(t, new BarList(), broker.GetOpenPosition(s), new BoxInfo());
broker.sendOrder(o);
if (o.isValid)
good++;
Assert.That(b.Turns == 0);
Assert.That(b.Adjusts == 2);
// first trade was pre-market 2nd order was never filled so 3rd was ignored... 2 total.
Assert.That(good == 2);
}
