public void MultiFire()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.VerboseDebugging = true;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
tt.SendDebug += new DebugDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m,0,.5m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
// get feed
Tick[] tape = MultiFireSampleData();
// test broker
Broker b = new Broker();
b.Reset();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 400));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.AreEqual(200,p.UnsignedSize, "position is not flat: " + p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc,"too many fires");
}
public void Basics()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.SendOrder += new OrderDelegate(tt_SendOrder);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0,.15m);
// verify it's set
Assert.AreEqual(.15m,tt.DefaultTrail.StopDist);
// get feed
Tick [] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// take initial position
b.SendOrderStatus(new MarketOrder(SYM, 100));
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++ )
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
// get position
Position p = b.GetOpenPosition(SYM);
// verify position is flat
Assert.IsTrue(p.isFlat,p.ToString());
// one retrace sent at the end
Assert.AreEqual(1, oc);
}
public void Basics()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.SendOrder += new OrderDelegate(tt_SendOrder);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0,.15m);
// verify it's set
Assert.AreEqual(.15m,tt.DefaultTrail.StopDist);
// get feed
Tick [] tape = SampleData();
// test position
Position tp = new PositionImpl(SYM, 10, 100);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++ )
{
Tick k = tape[i];
// nothing to do on first two ticks
if (i==2)
{
// position established on third tick
tt.Adjust(tp);
}
// no orders sent until retrace happens
Assert.AreEqual(0, oc);
// pass every tick to tracker
tt.GotTick(k);
}
// one retrace sent at the end
Assert.AreEqual(1, oc);
// verify it offsets position
Assert.AreEqual(trail.UnsignedSize,tp.UnsignedSize);
Assert.AreEqual(trail.side, !tp.isLong);
}
public void TrailStartedAfterFirePoint()
{
// setup trail tracker
TrailTracker tt = new TrailTracker();
tt.isValid = true;
const string acct = "DEFAULT";
tt.pt.DefaultAccount = acct;
tt.SendOrder += new OrderDelegate(tt_SendOrder);
//tt.SendDebug += new DebugFullDelegate(tt_SendDebug);
// set 15c trailing stop
tt.DefaultTrail = new OffsetInfo(0, .15m);
// verify it's set
Assert.AreEqual(.15m, tt.DefaultTrail.StopDist);
//
tt.TrailByDefault = true;
// put in a position to track
tt.Adjust(new PositionImpl(SYM, 11.00m, 100, 0m,acct));
// check position in tt-pt
Assert.AreEqual(1, tt.pt.Count);
// manually enter a trail
tt[SYM] = new OffsetInfo(0m, .25m);
// check if trail entered for symbol
Assert.AreEqual(.25m, tt[SYM].StopDist);
// get feed
Tick[] tape = SampleData();
// test broker
Broker b = new Broker();
// get fills over to trail tracker
b.GotFill += new FillDelegate(tt.Adjust);
// get orders from trail tracker
tt.SendOrder += new OrderDelegate(b.SendOrder);
// no orders to start
oc = 0;
// iterate through feed
for (int i = 0; i < tape.Length; i++)
{
Tick k = tape[i];
// set a date and time
k.date = 20070926;
k.time = 95500;
// execute orders, nothing to do on first two ticks
b.Execute(k);
// pass every tick to tracker
tt.newTick(k);
}
Assert.AreEqual(1, oc);
}