@Test
public void testAddTradeOrder() {
try {
String side = this.tradestrategy.getSide();
String action = Action.BUY;
if (Side.SLD.equals(side)) {
action = Action.SELL;
}
double risk = this.tradestrategy.getRiskAmount().doubleValue();
double stop = 0.20;
BigDecimal price = new BigDecimal(20);
int quantity = (int) ((int) risk / stop);
ZonedDateTime createDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(5);
TradeOrder tradeOrder =
new TradeOrder(
this.tradestrategy,
action,
OrderType.STPLMT,
quantity,
price,
price.add(new BigDecimal(0.004)),
TradingCalendar.getDateTimeNowMarketTimeZone());
tradeOrder.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder.setClientId(clientId);
tradeOrder.setTransmit(true);
tradeOrder.setStatus("SUBMITTED");
tradeOrder.validate();
tradeOrder = tradeOrderHome.persist(tradeOrder);
assertNotNull("1", tradeOrder);
_log.info("IdOrder: " + tradeOrder.getIdTradeOrder());
TradeOrder tradeOrder1 =
new TradeOrder(
this.tradestrategy,
Action.SELL,
OrderType.STP,
quantity,
price.subtract(new BigDecimal(1)),
null,
createDate);
tradeOrder1.setAuxPrice(price.subtract(new BigDecimal(1)));
tradeOrder1.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder1.setClientId(clientId);
tradeOrder1.setTransmit(true);
tradeOrder1.setStatus("SUBMITTED");
tradeOrder1.validate();
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
assertNotNull("2", tradeOrder1);
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
@Test
public void testAddTradeOrderFill() {
try {
testAddTradeOrder();
boolean stopped = true;
int minute = 25;
for (TradeOrder tradeOrder : this.tradestrategy.getTradeOrders()) {
tradeOrder = tradeOrderHome.findTradeOrderByKey(tradeOrder.getOrderKey());
minute = minute + 3;
ZonedDateTime filledDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(minute);
if (tradeOrder.getIsOpenPosition()) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"1234",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate);
tradeOrder.addTradeOrderfill(orderfill);
TradeOrderfill orderfill1 =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(3));
tradeOrder.addTradeOrderfill(orderfill1);
tradeOrder.setIsFilled(true);
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
tradeOrder.setStatus("FILLED");
tradeOrder.setFilledDate(filledDate.plusMinutes(3));
tradeOrder.setAverageFilledPrice(tradeOrder.getLimitPrice());
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
} else {
if (stopped) {
if (OrderType.STP.equals(tradeOrder.getOrderType())) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getAuxPrice(),
tradeOrder.getQuantity(),
"ISLAND",
"12345",
tradeOrder.getAuxPrice(),
tradeOrder.getQuantity(),
this.tradestrategy.getSide(),
filledDate.plusMinutes(5));
tradeOrder.addTradeOrderfill(orderfill);
tradeOrder.setIsFilled(true);
tradeOrder.setStatus(OrderStatus.FILLED);
tradeOrder.setAverageFilledPrice(tradeOrder.getAuxPrice());
tradeOrder.setFilledDate(filledDate.plusMinutes(5));
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
} else {
tradeOrder.setStatus(OrderStatus.CANCELLED);
}
} else {
if (OrderType.LMT.equals(tradeOrder.getOrderType())) {
TradeOrderfill orderfill =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(5));
tradeOrder.addTradeOrderfill(orderfill);
TradeOrderfill orderfill1 =
new TradeOrderfill(
tradeOrder,
"Paper",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
"ISLAND",
"12345",
tradeOrder.getLimitPrice(),
tradeOrder.getQuantity() / 2,
this.tradestrategy.getSide(),
filledDate.plusMinutes(6));
orderfill1.setTradeOrder(tradeOrder);
tradeOrder.addTradeOrderfill(orderfill1);
tradeOrder.setIsFilled(true);
tradeOrder.setStatus(OrderStatus.FILLED);
tradeOrder.setFilledQuantity(tradeOrder.getQuantity());
tradeOrder.setFilledDate(filledDate.plusMinutes(15));
tradeOrder.setAverageFilledPrice(tradeOrder.getLimitPrice());
tradeOrder.setCommission(new BigDecimal(tradeOrder.getQuantity() * 0.005));
} else {
tradeOrder.setStatus(OrderStatus.CANCELLED);
}
}
}
tradeOrder = tradeOrderHome.persist(tradeOrder);
_log.info(
"IdOrder: "
+ tradeOrder.getIdTradeOrder()
+ " Action:"
+ tradeOrder.getAction()
+ " OrderType:"
+ tradeOrder.getOrderType()
+ " Status:"
+ tradeOrder.getStatus()
+ " filledDate:"
+ filledDate);
}
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}
@Test
public void testAddOpenStopTargetTradeOrder() {
try {
String side = this.tradestrategy.getSide();
String action = Action.BUY;
if (Side.SLD.equals(side)) {
action = Action.SELL;
}
double risk = this.tradestrategy.getRiskAmount().doubleValue();
double stop = 0.20;
BigDecimal price = new BigDecimal(20);
int quantity = (int) ((int) risk / stop);
ZonedDateTime createDate = this.tradestrategy.getTradingday().getOpen().plusMinutes(5);
TradeOrder tradeOrder1 =
new TradeOrder(
this.tradestrategy, action, OrderType.STPLMT, quantity, price, price, createDate);
tradeOrder1.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder1.setClientId(clientId);
tradeOrder1.setOcaGroupName("");
tradeOrder1.setTransmit(true);
tradeOrder1.setStatus("SUBMITTED");
tradeOrder1.validate();
tradeOrder1 = tradeOrderHome.persist(tradeOrder1);
int buySellMultiplier = 1;
if (action.equals(Action.BUY)) {
action = Action.SELL;
} else {
action = Action.BUY;
buySellMultiplier = -1;
}
TradeOrder tradeOrder2 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.LMT,
quantity / 2,
null,
price.add(new BigDecimal((stop * 3) * buySellMultiplier)),
createDate);
tradeOrder2.setClientId(clientId);
tradeOrder2.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder2.setOcaType(2);
tradeOrder2.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder2.setTransmit(true);
tradeOrder2.setStatus("SUBMITTED");
tradeOrder2.validate();
tradeOrder2 = tradeOrderHome.persist(tradeOrder2);
TradeOrder tradeOrder3 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.LMT,
quantity / 2,
null,
price.add(new BigDecimal((stop * 4) * buySellMultiplier)),
createDate);
tradeOrder3.setClientId(clientId);
tradeOrder3.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder3.setOcaType(2);
tradeOrder3.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder3.setTransmit(true);
tradeOrder3.setStatus("SUBMITTED");
tradeOrder3.validate();
tradeOrder3 = tradeOrderHome.persist(tradeOrder3);
TradeOrder tradeOrder4 =
new TradeOrder(
this.tradestrategy,
action,
OrderType.STP,
quantity,
price.add(new BigDecimal(stop * buySellMultiplier * -1)),
null,
createDate);
tradeOrder4.setLimitPrice(new BigDecimal(0));
tradeOrder4.setAuxPrice(price.add(new BigDecimal(stop * buySellMultiplier * -1)));
tradeOrder4.setClientId(clientId);
tradeOrder4.setOrderKey((new BigDecimal((Math.random() * 1000000))).intValue());
tradeOrder4.setOcaType(2);
tradeOrder4.setOcaGroupName(this.tradestrategy.getIdTradeStrategy() + "q1w2e3");
tradeOrder4.setTransmit(true);
tradeOrder4.setStatus("SUBMITTED");
tradeOrder4.validate();
tradeOrder4 = tradeOrderHome.persist(tradeOrder4);
_log.info("IdOrder: " + tradeOrder1.getIdTradeOrder());
} catch (Exception | AssertionError ex) {
String msg = "Error running " + name.getMethodName() + " msg: " + ex.getMessage();
_log.error(msg);
fail(msg);
}
}