tradingrobotdsl 0.0.1 → 0.0.2
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- data/History.txt +11 -0
- data/lib/dsl.rb +426 -156
- data/spec/contract_spec.rb +42 -42
- data/spec/robot_spec.rb +77 -77
- metadata +2 -2
data/History.txt
CHANGED
@@ -1,3 +1,14 @@
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== 0.0.2 / 2007-11-22
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* New features
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* Plugin system for smarting
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* IB online and history quotes plugins
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* IB order placement plugin
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* Techical analysis plugin new functions: SMA and EMA
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* Bug fixes
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* OpenTick plugins temporary removed for testing
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9
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* Bug fixes
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* duration command
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== 0.0.1 / 2007-11-18
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* Birthday!
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data/lib/dsl.rb
CHANGED
@@ -1,173 +1,443 @@
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require '
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#add_stubs(@user, :password= => nil, :password_confirmation= => nil, :new_password= => nil)
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=begin
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Trading robot Domain specific language implementation
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=end
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require 'thread'
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module DSL
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-
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VERSION='0.0.2'
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class NoDataException < RuntimeError
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attr :deep_level
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def initialize(deep_level)
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@deep_level = deep_level
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end
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-
end # class NoDataException
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-
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end # class NoDataException
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############################### class Plugin ##$################################
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module Plugin
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def initialize(robot)
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@robot = robot
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@connection = nil
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self.class.message.each do |name, command|
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if name == :input
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command.each do |name, command|
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@robot.register_command(name, lambda {|*args| self.send(command, *args)}, self)
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end
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else
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@robot.register_command(name, lambda {|*args| self.send(command, *args)})
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end
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end
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end
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def run(hash)
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raise "you must define own run method in subclasses"
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end
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def parse_params(hash)
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hash.each do |param|
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self.instance_variable_set "@" + param[0].to_s, param[1]
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end
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end
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end # module Plugin
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module IBPluginFunctions
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# make structure Contract for ib-ruby module
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def make_contract(contract)
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IB::Datatypes::Contract.new(:symbol => contract.symbol.to_s, :exchange => contract.exchange.to_s,
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:expiry => contract.expiry, :currency => contract.currency, :sec_type => contract.sec_type)
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end
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end
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class IBHistoryPlugin
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include Plugin
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include IBPluginFunctions
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@@ticker_id = 1
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def self.message
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{
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:input => { :history => :run }
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}
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end
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def run(*args)
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hash=args[0]
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$:.push(File.dirname(__FILE__) + "/../../ib-ruby/lib/")
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require 'ib'
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require 'datatypes'
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require 'messages'
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require 'timeout'
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@duration = 0
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parse_params(hash)
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@id = []
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@connection = IB::IB.new({:client_id => "quotes"})
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#@connection.dispatch(IB::OutgoingMessages::SetServerLoglevel.new(:loglevel => 5))
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@connection.subscribe(IB::IncomingMessages::HistoricalData, lambda {|msg| on_quote(msg)})
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@mutex = Mutex.new
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@condition = ConditionVariable.new
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end # run
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def subscribe_contract(contract)
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ib_contract = make_contract(contract)
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msg = IB::OutgoingMessages::RequestHistoricalData.new(:ticker_id => @@ticker_id += 1,
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:contract => ib_contract, :end_date_time => @end, :duration => @duration,
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:bar_size => @size, :what_to_show => @show, :use_RTH => 1, :format_date => 2)
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@id[@@ticker_id] = contract.queue
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@connection.dispatch(msg)
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end # subscribe_contract
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def query()
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while !@id.inject(true) {|s,x| s &&=x.nil? } do
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#|| (Contract.list_by_value.inject(true) {|s,x| s &&= (x.queue.size >= @deep)})
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@mutex.synchronize do
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begin
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@condition.wait(@mutex) unless @id.inject(true) {|s,x| x == nil ? s : s &&= x.size >= @robot.deep_level}
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yield
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rescue NoDataException => e
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@robot.deep_level = e.deep_level
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retry
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end
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end # synchronize
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end # while
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end
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def on_quote(msg)
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queue = @id[msg.data[:req_id]]
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cond = @id.inject(true) {|s,x| x == nil ? s : s &&= x.size >= @robot.deep_level}
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@mutex.synchronize do
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msg.data[:history].each do |q|
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queue.push q
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end
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end
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@condition.signal if !cond && @id.inject(true) {|s,x| x == nil ? s : s &&= x.size >= @robot.deep_level}
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end
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end # class IBHistoryPlugin
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class IBOnlinePlugin
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include Plugin
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include IBPluginFunctions
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@@ticker_id = 1
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def self.message
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{
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:input => { :online => :run }
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}
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end
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def run(*args)
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hash=args[0]
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$:.push(File.dirname(__FILE__) + "/../../ib-ruby/lib/")
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require 'ib'
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require 'datatypes'
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require 'messages'
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require 'timeout'
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@duration = 0
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parse_params(hash)
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@id = []
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@data = []
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@connection = IB::IB.new({:client_id => "quotes"})
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#@connection.dispatch(IB::OutgoingMessages::SetServerLoglevel.new(:loglevel => 5))
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@connection.subscribe(IB::IncomingMessages::TickPrice, lambda {|msg| on_quote(msg)})
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# @connection.subscribe(IB::IncomingMessages::TickSize, lambda {|msg| on_trade(msg)})
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@mutex = Mutex.new
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@condition = ConditionVariable.new
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end
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def subscribe_contract(contract)
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ib_contract = make_contract(contract)
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msg = IB::OutgoingMessages::RequestMarketData.new(:ticker_id => @@ticker_id += 1,
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:contract => ib_contract)
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@id[@@ticker_id] = contract
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@data[@@ticker_id] = {:open => 0, :high => 0, :low => 1e6, :close => 0}
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@connection.dispatch(msg)
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end
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def filter
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while true
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begin
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timeout(@duration) do
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# fake loop
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while true do
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end
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end
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rescue TimeoutError
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@id.size.times do |request_id|
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next if @id[request_id].nil?
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@id[request_id].queue.push :open => @data[request_id][:open],
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:high => @data[request_id][:high],
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:low => @data[request_id][:low],
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:close => @data[request_id][:close]
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@data[request_id][:open] = @data[request_id][:high] = @data[request_id][:low] = @data[request_id][:close]
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end # times
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@condition.signal if @id.inject(true) {|s,x| x == nil ? s : s &&= x.queue.size >= @robot.deep_level}
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end # begin
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end # while
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end
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def on_quote(msg)
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return unless msg.data[:type] == :last
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@mutex.synchronize do
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case @duration
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when 0:
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@id[msg.data[:ticker_id]].queue.push :price => msg.data[:price].to_f, :size => msg.data[:size].to_i
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@condition.signal
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else
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id = msg.data[:ticker_id]
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price = msg.data[:price].to_f
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@data[id][:open] = price if @data[id][:open] == 0
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@data[id][:high] = price if price > @data[id][:high]
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@data[id][:low] = price if price < @data[id][:low]
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@data[id][:close] = price
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end
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end
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# p "#{@id[msg.data[:ticker_id]].symbol.to_s} #{msg.data[:size]} #{msg.data[:price].to_digits}"
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end
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def query(*args)
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Thread.abort_on_exception = true
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@filter_thread = Thread.new do
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self.filter
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end
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while true
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@mutex.synchronize do
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begin
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@condition.wait(@mutex) unless @id.inject(true) {|s,x| x == nil ? s : s &&= x.queue.size >= @robot.deep_level}
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yield
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rescue NoDataException => e
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@robot.deep_level = e.deep_level
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retry
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end
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end # synchronize
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end # while
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end
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end # IBOnlinePlugin
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class IBOrderPlugin
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include Plugin
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include IBPluginFunctions
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@@order_id = 1
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def self.message
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{ :order => :order }
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end
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230
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231
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def initialize(robot)
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$:.push(File.dirname(__FILE__) + "/../../ib-ruby/lib/")
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require 'ib'
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234
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require 'datatypes'
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235
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require 'messages'
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236
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237
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super(robot)
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238
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@connection = IB::IB.new({:client_id => "orders"})
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239
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#@connection.dispatch(IB::OutgoingMessages::SetServerLoglevel.new(:loglevel => 5))
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@connection.subscribe(IB::IncomingMessages::NextValidID, lambda {|msg| @@order_id = msg.data[:order_id]})
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241
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@robot.class.const_set "BUY", "BUY"
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@robot.class.const_set "SELL", "SELL"
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243
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@robot.class.const_set "MKT", "MKT"
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@robot.class.const_set "LMT", "LMT"
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end # hash
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246
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+
|
247
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# usage CONTRACT, ORDER_SIDE (BUY, SELL), ORDER_TYPE (MKT, LMT), SIZE, LIMIT_PRICE
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248
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def order(*args)
|
249
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contract = args.shift
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250
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side = args.shift
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type = args.shift
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size = args.shift
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order = {
|
254
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:id => 1,
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:action => side,
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256
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:order_type => type,
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:total_quantity => size,
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:transmit => "1"
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}
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260
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case type
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when "LMT":
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order[:limit_price] = args.shift
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263
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end
|
264
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@connection.dispatch(IB::OutgoingMessages::PlaceOrder.new(
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265
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:order_id => @@order_id += 1,
|
266
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:contract => make_contract(contract),
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267
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:order => IB::Datatypes::Order.new(order)
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268
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))
|
269
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+
end
|
270
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end # IBOrderPlugin
|
271
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+
|
272
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class TAPlugin
|
273
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include Plugin
|
274
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def self.message
|
275
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{ :sma => :sma,
|
276
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:ema => :ema
|
277
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}
|
278
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end
|
279
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+
|
280
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def sma(contract, period)
|
281
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+
raise NoDataException.new(period) if @robot.deep_level < period
|
282
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(@robot.deep_level-period..@robot.deep_level-1).inject(0) {|s,x| s+=contract.price(x)} / period.to_f
|
283
|
+
end # def sma
|
284
|
+
|
285
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def ema(contract, period, step = @robot.deep_level - period)
|
286
|
+
raise NoDataException.new(period) if @robot.deep_level < period
|
287
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+
case period
|
288
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+
when 1
|
289
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return contract.queue[step][:close].to_f
|
290
|
+
else
|
291
|
+
k = 2 / ( 1 + period )
|
292
|
+
ema_prev = ema(contract, period - 1, step + 1)
|
293
|
+
return ema_prev + k * ( contract.price(step) - ema_prev )
|
294
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+
end
|
295
|
+
end # def ema
|
296
|
+
end
|
297
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+
|
298
|
+
############################### class Contract ##################################
|
299
|
+
|
300
|
+
class Contract
|
301
|
+
@@list_by_symbol={}
|
302
|
+
attr_reader :symbol, :exchange, :expiry, :sec_type, :currency, :queue
|
303
|
+
attr_accessor :request_id
|
304
|
+
|
305
|
+
def initialize(contract_symbol)
|
306
|
+
@symbol = contract_symbol
|
307
|
+
@queue = []
|
308
|
+
end
|
309
|
+
|
310
|
+
def self.list_by_symbol
|
311
|
+
@@list_by_symbol
|
312
|
+
end
|
313
|
+
|
314
|
+
def self.find(contract_symbol)
|
315
|
+
@@list_by_symbol[contract_symbol]=Contract.new(contract_symbol) unless @@list_by_symbol.key?(contract_symbol)
|
316
|
+
@@list_by_symbol[contract_symbol]
|
317
|
+
end
|
318
|
+
|
319
|
+
def method_missing(m, *args)
|
320
|
+
if m.to_s =~ /[A-Z]+/
|
321
|
+
@exchange = m unless instance_variable_defined?(:@exchange)
|
322
|
+
@sec_type = "STK" unless instance_variable_defined?(:@sec_type) || (args.size > 0 && @sec_type = args.shift)
|
323
|
+
@currency = "USD" unless instance_variable_defined?(:@currency) || (args.size > 0 && @currency = args.shift)
|
324
|
+
@expiry = "" unless instance_variable_defined?(:@expiry) || (args.size > 0 && @expiry = args.shift)
|
325
|
+
self
|
326
|
+
else
|
327
|
+
super
|
328
|
+
end
|
49
329
|
end
|
50
330
|
|
51
|
-
def price
|
52
|
-
@queue
|
53
|
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|
56
|
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|
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|
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|
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|
-
|
59
|
-
|
60
|
-
|
61
|
-
end
|
331
|
+
def price(lag = 0)
|
332
|
+
f = @queue[lag]
|
333
|
+
return if f.nil?
|
334
|
+
if f.key?(:price)
|
335
|
+
f[:price]
|
336
|
+
else
|
337
|
+
f[:close].to_f #FIXME
|
338
|
+
end
|
339
|
+
end
|
340
|
+
|
62
341
|
end # class Contract
|
63
342
|
|
64
|
-
############################### class Robot ##################################
|
65
|
-
|
66
|
-
class Robot
|
67
|
-
attr_accessor :
|
68
|
-
|
69
|
-
|
70
|
-
|
71
|
-
@logged = false
|
343
|
+
############################### class Robot ##################################
|
344
|
+
|
345
|
+
class Robot
|
346
|
+
attr_accessor :deep_level
|
347
|
+
@@commands = {}
|
348
|
+
|
349
|
+
def initialize
|
72
350
|
@mutex = Mutex.new
|
73
351
|
@condition = ConditionVariable.new
|
74
|
-
@
|
75
|
-
end
|
76
|
-
|
77
|
-
|
78
|
-
|
79
|
-
|
80
|
-
|
81
|
-
|
82
|
-
|
83
|
-
|
84
|
-
|
85
|
-
|
86
|
-
|
87
|
-
|
88
|
-
|
89
|
-
|
90
|
-
|
91
|
-
|
92
|
-
|
93
|
-
|
94
|
-
|
95
|
-
|
96
|
-
|
97
|
-
|
98
|
-
|
99
|
-
|
100
|
-
|
101
|
-
|
102
|
-
|
103
|
-
|
104
|
-
|
105
|
-
|
106
|
-
|
107
|
-
|
108
|
-
|
109
|
-
|
110
|
-
|
111
|
-
|
112
|
-
end
|
113
|
-
end
|
114
|
-
|
115
|
-
def query_history(*args)
|
116
|
-
@ot.subscribe(OpenTick::IncomingMessages::HistoryStreamResponse, lambda {|msg| on_history_quote(msg)})
|
117
|
-
args.each do |contract|
|
118
|
-
contract.subscribe(@ot, self)
|
119
|
-
end
|
120
|
-
begin
|
121
|
-
while (Contract.list_by_name.values.inject(0) {|s,x| s+=x.request_id } > 0) ||
|
122
|
-
(args.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}) do
|
123
|
-
@mutex.synchronize do
|
124
|
-
begin
|
125
|
-
@condition.wait(@mutex) unless args.inject(true) {|s,x| s &&= (x.queue.size >= @deep)}
|
126
|
-
yield
|
127
|
-
rescue NoDataException => e
|
128
|
-
@deep = e.deep_level
|
129
|
-
retry
|
130
|
-
end
|
131
|
-
args.each {|contract|
|
132
|
-
contract.queue.shift
|
133
|
-
}
|
134
|
-
end # synchronize
|
135
|
-
end # while
|
136
|
-
end # begin
|
137
|
-
end # query_history
|
138
|
-
|
139
|
-
def avg(contract, period)
|
140
|
-
raise unless contract.is_a?(DSL::Contract)
|
141
|
-
raise unless period.is_a?(Fixnum)
|
142
|
-
raise NoDataException.new(period) if @deep < period
|
143
|
-
contract.queue[0..period-1].inject(0) {|s,x| s+=x[:closePrice]} / period
|
144
|
-
end
|
145
|
-
end # class Robot
|
146
|
-
|
147
|
-
end # module DSL
|
352
|
+
@deep_level = 1
|
353
|
+
end
|
354
|
+
|
355
|
+
def commands
|
356
|
+
@@commands
|
357
|
+
end
|
358
|
+
|
359
|
+
def method_missing(m, *args)
|
360
|
+
raise "unknown command #{m}" unless @@commands.key?(m)
|
361
|
+
@@commands[m].call(*args)
|
362
|
+
end
|
363
|
+
|
364
|
+
# load plugins
|
365
|
+
def plugin(*args)
|
366
|
+
args.each { |plugin| plugin.new(self) }
|
367
|
+
end # plugin
|
368
|
+
|
369
|
+
# query quotes from input_plugin
|
370
|
+
def query(*args)
|
371
|
+
args.each do |contract|
|
372
|
+
@input_plugin.subscribe_contract(contract)
|
373
|
+
end
|
374
|
+
@input_plugin.query do
|
375
|
+
yield
|
376
|
+
args.each {|contract|
|
377
|
+
contract.queue.shift
|
378
|
+
}
|
379
|
+
end
|
380
|
+
end
|
381
|
+
|
382
|
+
# register plugin command in global commands list
|
383
|
+
def register_command(command, body, input_plugin=nil)
|
384
|
+
@@commands[command] = body
|
385
|
+
@input_plugin = input_plugin if input_plugin
|
386
|
+
end
|
387
|
+
end # class Robot
|
388
|
+
|
389
|
+
end # module DSL
|
148
390
|
|
149
391
|
############################### module Kernel ################################
|
150
|
-
|
151
|
-
module Kernel
|
152
|
-
|
153
|
-
|
154
|
-
|
155
|
-
|
156
|
-
end # Kernel
|
392
|
+
|
393
|
+
module Kernel
|
394
|
+
def robot(&blk)
|
395
|
+
DSL::Robot.new.instance_eval(&blk)
|
396
|
+
end
|
397
|
+
end # Kernel
|
157
398
|
|
158
399
|
############################### class Object #################################
|
159
|
-
|
160
|
-
def Object.const_missing(m)
|
161
|
-
|
162
|
-
|
163
|
-
|
164
|
-
|
165
|
-
|
166
|
-
|
167
|
-
|
168
|
-
|
169
|
-
|
170
|
-
|
171
|
-
|
172
|
-
|
173
|
-
end
|
400
|
+
|
401
|
+
def Object.const_missing(m)
|
402
|
+
if m.to_s =~ /[A-Z]+/
|
403
|
+
# FIXME workaround
|
404
|
+
case m
|
405
|
+
when :FUT
|
406
|
+
"FUT"
|
407
|
+
when :STK
|
408
|
+
"STK"
|
409
|
+
when :USD
|
410
|
+
"USD"
|
411
|
+
else
|
412
|
+
return DSL::Robot.const_get(m) if DSL::Robot.const_defined?(m)
|
413
|
+
DSL::Contract::find(m)
|
414
|
+
end
|
415
|
+
else
|
416
|
+
super
|
417
|
+
end
|
418
|
+
end # Object.const_missing
|
419
|
+
|
420
|
+
if $0 == __FILE__
|
421
|
+
robot do
|
422
|
+
|
423
|
+
# loading plugins, first must be plugin for query
|
424
|
+
plugin DSL::IBHistoryPlugin, DSL::IBOrderPlugin, DSL::TAPlugin
|
425
|
+
# input plugin configuration
|
426
|
+
#online :duration => 10
|
427
|
+
history :end => "20071101 00:00:00 GMT", :duration => "1 D",
|
428
|
+
:size => 10, :show => "TRADES"
|
429
|
+
# contract specifications
|
430
|
+
YM.ECBOT FUT, USD, 200712
|
431
|
+
# main loop
|
432
|
+
query YM do
|
433
|
+
if (ema YM, 9)/(ema YM, 25) - 1 > 0.05
|
434
|
+
order YM, BUY, MKT, 1
|
435
|
+
end
|
436
|
+
if (ewa YM, 9)/(ewa YM, 25) - 1 < -0.05
|
437
|
+
order YM, SELL, MKT, 1
|
438
|
+
end
|
439
|
+
end
|
440
|
+
|
441
|
+
|
442
|
+
end # robot
|
443
|
+
end
|
data/spec/contract_spec.rb
CHANGED
@@ -1,32 +1,32 @@
|
|
1
|
-
require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
|
2
|
-
require "#{LIB_DIR}/dsl"
|
3
|
-
|
4
|
-
describe DSL::Contract, "before created" do
|
5
|
-
it "contract list_by_name should be empty" do
|
6
|
-
DSL::Contract.list_by_name.should be_empty
|
1
|
+
require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
|
2
|
+
require "#{LIB_DIR}/dsl"
|
3
|
+
|
4
|
+
describe DSL::Contract, "before created" do
|
5
|
+
it "contract list_by_name should be empty" do
|
6
|
+
DSL::Contract.list_by_name.should be_empty
|
7
7
|
end
|
8
8
|
it "contract list_by_id should be empty" do
|
9
9
|
DSL::Contract.list_by_id.should be_empty
|
10
|
-
end
|
11
|
-
end
|
12
|
-
|
13
|
-
describe DSL::Contract, "when created" do
|
14
|
-
before :each do
|
15
|
-
@contract = robot(nil) do
|
16
|
-
MSFT.Q
|
17
|
-
end
|
18
|
-
end
|
19
|
-
|
20
|
-
it "should exists" do
|
21
|
-
@contract.should_not be_nil
|
10
|
+
end
|
11
|
+
end
|
12
|
+
|
13
|
+
describe DSL::Contract, "when created" do
|
14
|
+
before :each do
|
15
|
+
@contract = robot(nil) do
|
16
|
+
MSFT.Q
|
17
|
+
end
|
18
|
+
end
|
19
|
+
|
20
|
+
it "should exists" do
|
21
|
+
@contract.should_not be_nil
|
22
22
|
end
|
23
23
|
|
24
24
|
it "should be instance of DSL::Contract" do
|
25
|
-
@contract.should be_an_instance_of(DSL::Contract)
|
25
|
+
@contract.should be_an_instance_of(DSL::Contract)
|
26
26
|
end
|
27
|
-
|
28
|
-
it "should set contract name" do
|
29
|
-
@contract.name.should eql(:MSFT)
|
27
|
+
|
28
|
+
it "should set contract name" do
|
29
|
+
@contract.name.should eql(:MSFT)
|
30
30
|
end
|
31
31
|
|
32
32
|
it "should set exchange" do
|
@@ -37,23 +37,23 @@ describe DSL::Contract, "when created" do
|
|
37
37
|
pending "ror2ru question" do
|
38
38
|
@contract.public_methods.should_not include("subscribe")
|
39
39
|
end
|
40
|
-
end
|
41
|
-
|
42
|
-
after :each do
|
43
|
-
DSL::Contract.list_by_name.clear
|
44
|
-
DSL::Contract.list_by_id.clear
|
45
|
-
end
|
46
|
-
end
|
47
|
-
|
48
|
-
describe DSL::Contract, "in history mode" do
|
49
|
-
it "should create method alias subscribe->subscribe_query" do
|
50
|
-
@robot = DSL::Robot.new(nil)
|
51
|
-
@robot.history :duration => 1, :from => Time.now - 2, :to => Time.now
|
52
|
-
DSL::Contract.new("MSFT").public_methods.should include("subscribe")
|
53
|
-
end
|
54
|
-
|
55
|
-
it "should subscribe to history quotes" do
|
56
|
-
@robot = DSL::Robot.new(nil)
|
57
|
-
@ot = mock("OpenTick")
|
58
|
-
end
|
59
|
-
end
|
40
|
+
end
|
41
|
+
|
42
|
+
after :each do
|
43
|
+
DSL::Contract.list_by_name.clear
|
44
|
+
DSL::Contract.list_by_id.clear
|
45
|
+
end
|
46
|
+
end
|
47
|
+
|
48
|
+
describe DSL::Contract, "in history mode" do
|
49
|
+
it "should create method alias subscribe->subscribe_query" do
|
50
|
+
@robot = DSL::Robot.new(nil)
|
51
|
+
@robot.history :duration => 1, :from => Time.now - 2, :to => Time.now
|
52
|
+
DSL::Contract.new("MSFT").public_methods.should include("subscribe")
|
53
|
+
end
|
54
|
+
|
55
|
+
it "should subscribe to history quotes" do
|
56
|
+
@robot = DSL::Robot.new(nil)
|
57
|
+
@ot = mock("OpenTick")
|
58
|
+
end
|
59
|
+
end
|
data/spec/robot_spec.rb
CHANGED
@@ -1,23 +1,23 @@
|
|
1
|
-
# robot_spec.rb
|
2
|
-
|
3
|
-
require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
|
4
|
-
require "#{LIB_DIR}/dsl"
|
5
|
-
|
6
|
-
describe Kernel, "robot method" do
|
7
|
-
it "should change context" do
|
8
|
-
robot(nil) {self}.should be_a_kind_of(DSL::Robot)
|
9
|
-
end
|
10
|
-
end # robot method
|
11
|
-
|
12
|
-
describe DSL::Robot, "when created" do
|
13
|
-
before :each do
|
14
|
-
@ot = mock("OpenTick")
|
15
|
-
@robot = DSL::Robot.new(@ot)
|
16
|
-
end
|
17
|
-
|
18
|
-
it "should exists" do
|
19
|
-
@robot.should_not be_nil
|
20
|
-
end
|
1
|
+
# robot_spec.rb
|
2
|
+
|
3
|
+
require File.join(File.expand_path(File.dirname(__FILE__)),"helper")
|
4
|
+
require "#{LIB_DIR}/dsl"
|
5
|
+
|
6
|
+
describe Kernel, "robot method" do
|
7
|
+
it "should change context" do
|
8
|
+
robot(nil) {self}.should be_a_kind_of(DSL::Robot)
|
9
|
+
end
|
10
|
+
end # robot method
|
11
|
+
|
12
|
+
describe DSL::Robot, "when created" do
|
13
|
+
before :each do
|
14
|
+
@ot = mock("OpenTick")
|
15
|
+
@robot = DSL::Robot.new(@ot)
|
16
|
+
end
|
17
|
+
|
18
|
+
it "should exists" do
|
19
|
+
@robot.should_not be_nil
|
20
|
+
end
|
21
21
|
|
22
22
|
it "should be instance of DSL::Robot" do
|
23
23
|
@robot.should be_an_instance_of(DSL::Robot)
|
@@ -30,59 +30,59 @@ describe DSL::Robot, "when created" do
|
|
30
30
|
it "should not have query method alias" do
|
31
31
|
@robot.public_methods.should_not include("query")
|
32
32
|
end
|
33
|
-
|
34
|
-
it "should connect to opentick server on login" do
|
35
|
-
@ot.should_receive(:login).
|
36
|
-
once.
|
37
|
-
with(an_instance_of(String), an_instance_of(String))
|
38
|
-
|
33
|
+
|
34
|
+
it "should connect to opentick server on login" do
|
35
|
+
@ot.should_receive(:login).
|
36
|
+
once.
|
37
|
+
with(an_instance_of(String), an_instance_of(String))
|
38
|
+
|
39
39
|
@robot.login("test_opentick", "123123")
|
40
|
-
|
41
|
-
@robot.login?.should be_true
|
42
|
-
end
|
43
|
-
end # when created
|
44
|
-
|
45
|
-
describe DSL::Robot, "in history mode" do
|
46
|
-
before :each do
|
47
|
-
@robot = DSL::Robot.new(nil)
|
48
|
-
end
|
49
|
-
|
50
|
-
it "should set @duration, @from and @to" do
|
51
|
-
now = Time.now
|
52
|
-
@robot.history :duration => 300, :from => now-24*3600, :to => now
|
53
|
-
@robot.duration.should eql(300)
|
54
|
-
@robot.from.should eql(now-24*3600)
|
55
|
-
@robot.to.should eql(now)
|
56
|
-
end
|
57
|
-
|
58
|
-
it "should raise exception on parameter absence" do
|
59
|
-
lambda { @robot.history({}) }.should raise_error
|
60
|
-
end
|
61
|
-
|
62
|
-
it "should check @to - @from > @duration" do
|
63
|
-
lambda {@robot.history :duration => 300, :from => 1, :to => 2 }.should raise_error
|
64
|
-
end
|
65
|
-
|
66
|
-
it "should create method alias query->query_history" do
|
67
|
-
@robot.history :duration => 300, :from => Time.now-24*3600, :to => Time.now
|
68
|
-
@robot.public_methods.should include("query")
|
69
|
-
end
|
70
|
-
end # in history mode
|
71
|
-
|
72
|
-
describe DSL::Robot, "on query command" do
|
73
|
-
before :each do
|
40
|
+
|
41
|
+
@robot.login?.should be_true
|
42
|
+
end
|
43
|
+
end # when created
|
44
|
+
|
45
|
+
describe DSL::Robot, "in history mode" do
|
46
|
+
before :each do
|
47
|
+
@robot = DSL::Robot.new(nil)
|
48
|
+
end
|
49
|
+
|
50
|
+
it "should set @duration, @from and @to" do
|
51
|
+
now = Time.now
|
52
|
+
@robot.history :duration => 300, :from => now-24*3600, :to => now
|
53
|
+
@robot.duration.should eql(300)
|
54
|
+
@robot.from.should eql(now-24*3600)
|
55
|
+
@robot.to.should eql(now)
|
56
|
+
end
|
57
|
+
|
58
|
+
it "should raise exception on parameter absence" do
|
59
|
+
lambda { @robot.history({}) }.should raise_error
|
60
|
+
end
|
61
|
+
|
62
|
+
it "should check @to - @from > @duration" do
|
63
|
+
lambda {@robot.history :duration => 300, :from => 1, :to => 2 }.should raise_error
|
64
|
+
end
|
65
|
+
|
66
|
+
it "should create method alias query->query_history" do
|
67
|
+
@robot.history :duration => 300, :from => Time.now-24*3600, :to => Time.now
|
68
|
+
@robot.public_methods.should include("query")
|
69
|
+
end
|
70
|
+
end # in history mode
|
71
|
+
|
72
|
+
describe DSL::Robot, "on query command" do
|
73
|
+
before :each do
|
74
74
|
@ot = mock("OpenTick")
|
75
|
-
@contract = mock("DSL::Contract")
|
76
|
-
@robot = robot(@ot) do
|
77
|
-
history :duration => 1, :from => 2, :to => 5
|
78
|
-
query @contract do
|
79
|
-
end
|
80
|
-
end
|
81
|
-
end
|
82
|
-
|
83
|
-
it "should subscribe history quotes" do
|
84
|
-
@ot.should_receive(:subscribe).once
|
85
|
-
#with(OpenTick::IncomingMessages::HistoryStreamResponse, an_instance_of(Proc))
|
75
|
+
@contract = mock("DSL::Contract")
|
76
|
+
@robot = robot(@ot) do
|
77
|
+
history :duration => 1, :from => 2, :to => 5
|
78
|
+
query @contract do
|
79
|
+
end
|
80
|
+
end
|
81
|
+
end
|
82
|
+
|
83
|
+
it "should subscribe history quotes" do
|
84
|
+
@ot.should_receive(:subscribe).once
|
85
|
+
#with(OpenTick::IncomingMessages::HistoryStreamResponse, an_instance_of(Proc))
|
86
86
|
end
|
87
87
|
|
88
88
|
it "should send subscribe message to contracts" do
|
@@ -94,9 +94,9 @@ describe DSL::Robot, "on query command" do
|
|
94
94
|
after :each do
|
95
95
|
DSL::Contract.list_by_name.clear
|
96
96
|
DSL::Contract.list_by_id.clear
|
97
|
-
end
|
98
|
-
end # on query command
|
99
|
-
|
100
|
-
|
101
|
-
|
102
|
-
|
97
|
+
end
|
98
|
+
end # on query command
|
99
|
+
|
100
|
+
|
101
|
+
|
102
|
+
|
metadata
CHANGED
@@ -3,8 +3,8 @@ rubygems_version: 0.9.4
|
|
3
3
|
specification_version: 1
|
4
4
|
name: tradingrobotdsl
|
5
5
|
version: !ruby/object:Gem::Version
|
6
|
-
version: 0.0.
|
7
|
-
date: 2007-11-
|
6
|
+
version: 0.0.2
|
7
|
+
date: 2007-11-24 00:00:00 +03:00
|
8
8
|
summary: Domain specific language for automated trading (robots)
|
9
9
|
require_paths:
|
10
10
|
- lib
|