public void CalculateArbitrationTests_18()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.99999375m, 405.0m));
bidBook.Bids.Add(new Order(0.9975m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 99m, 1000m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.99999375m);
Assert.IsTrue(opportunity.SellAmount == 0.99749377m);
Assert.IsTrue(opportunity.TotalBuyCost == 404.99746875m);
Assert.IsTrue(opportunity.TotalSellCost == 407.54104214005m);
Assert.IsTrue(opportunity.Profit == 2.54357339005m);
}
public void CalculateArbitrationTests_15()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.0m, 405.0m));
bidBook.Bids.Add(new Order(1.04m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 99m, 10.9872m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.02712888m);
Assert.IsTrue(opportunity.SellAmount == 0.02706106m);
Assert.IsTrue(opportunity.TotalBuyCost == 10.9871964m);
Assert.IsTrue(opportunity.TotalSellCost == 11.0562019789m);
Assert.IsTrue(opportunity.Profit == 0.0690055789m);
}
public void CalculateArbitrationTests_16()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.1m, 405.0m));
bidBook.Bids.Add(new Order(1.0m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 0.45127846m, 200m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.45240665m);
Assert.IsTrue(opportunity.SellAmount == 0.45127563m);
Assert.IsTrue(opportunity.TotalBuyCost == 183.22469325m);
Assert.IsTrue(opportunity.TotalSellCost == 184.37542777095m);
Assert.IsTrue(opportunity.Profit == 1.15073452095m);
}
public void CalculateArbitrationTests_23()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.0m, 405.0m));
bidBook.Bids.Add(new Order(0.78m, 410.0m));
opportunity = hunter.CalculateArbitration(kraken, anx, 0.09m, 30.01m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.07391398m);
Assert.IsTrue(opportunity.SellAmount == 0.07391398m);
Assert.IsTrue(opportunity.TotalSellCost == 30.1986652387m);
//Note, because Kraken rounds to 4 decimal places, the total buy cost and profit will be different that what is calculated on the sheet
Assert.IsTrue(opportunity.TotalBuyCost == 30.01m);
Assert.IsTrue(opportunity.Profit == 0.1886652387m);
}
public void CalculateArbitrationTests_12()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Bitstamp bitstamp = new Bitstamp();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
bitstamp.OrderBook = bidBook;
//Test case 12: Part of ask order is fulfilled, not profitable after taking into account transfer fee
//IMPORTANT NOTE! This test assumes Kraken has a trade fee of 0.0005, if that changes, this test *MIGHT* fail!
kraken.TradeFee = 0.0m;
bitstamp.TradeFee = 0.0m;
askBook.Asks.Add(new Order(1.1m, 400.0m));
askBook.Asks.Add(new Order(0.8m, 402.0m));
askBook.Asks.Add(new Order(1.0m, 410.0m));
bidBook.Bids.Add(new Order(0.6m, 400.25m));
bidBook.Bids.Add(new Order(1.0m, 399m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, bitstamp, 99m, 999999m, 0.01m, true);
//Make sure opportunity was not found, as it is not profitable when taking into account transfer fee
Assert.IsTrue(opportunity == null);
//Calculate arbitration again, but this time, don't take into account the transfer fee. An opportunity should be found this time.
opportunity = hunter.CalculateArbitration(kraken, bitstamp, 99m, 999999m, 0.01m, false);
Assert.IsTrue(opportunity != null);
}
public void CalculateArbitrationTests_24()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.21482587m, 405.0m));
bidBook.Bids.Add(new Order(0.35417808m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 1000m, 2000m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.21482587m);
Assert.IsTrue(opportunity.SellAmount == 0.21428881m);
Assert.IsTrue(opportunity.TotalBuyCost == 87.00447735m);
Assert.IsTrue(opportunity.TotalSellCost == 87.55090765765m);
Assert.IsTrue(opportunity.Profit == 0.54643030765m);
}
public void CalculateArbitrationTests_19()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.0m, 405.0m));
bidBook.Bids.Add(new Order(0.5m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 99m, 50m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.12345679m);
Assert.IsTrue(opportunity.SellAmount == 0.12314815m);
Assert.IsTrue(opportunity.TotalBuyCost == 49.99999995m);
Assert.IsTrue(opportunity.TotalSellCost == 50.31402390475m);
Assert.IsTrue(opportunity.Profit == 0.31402395475m);
}
public void CalculateArbitrationTests_26()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.21482587m, 405.0m));
bidBook.Bids.Add(new Order(0.35417808m, 410.0m));
opportunity = hunter.CalculateArbitration(btce, anx, 0.12478543m, 25.01m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.BuyAmount == 0.06175308m);
Assert.IsTrue(opportunity.SellAmount == 0.06159870m);
Assert.IsTrue(opportunity.TotalBuyCost == 25.0099974m);
Assert.IsTrue(opportunity.TotalSellCost == 25.1670728655m);
Assert.IsTrue(opportunity.Profit == 0.1570754655m);
}
public void CalculateArbitrationTests_10()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
decimal maxFiatForTrade;
decimal maxBtcForTrade;
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
//Test Case 10: Cannot take full advantage of arbitration due to max USD limitation
maxFiatForTrade = 200m;
maxBtcForTrade = 10.0m;
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.2m, 418m));
askBook.Asks.Add(new Order(0.1m, 419m));
askBook.Asks.Add(new Order(1.0m, 420m));
bidBook.Bids.Add(new Order(0.2m, 430m));
bidBook.Bids.Add(new Order(0.24m, 429m));
bidBook.Bids.Add(new Order(1.0m, 425m));
opportunity = hunter.CalculateArbitration(kraken, anx, maxBtcForTrade, maxFiatForTrade, 0.01m, false);
//Make sure opportunity was found correctly
//Note, C# carries out more digits than when I do manual calculations, so manual calculations will be a little different than what
//is calculated by the hunter. In these checks, I make sure the numbers returned by the hunter round to the manual calculations.
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 0.47619344m);
Assert.IsTrue(opportunity.SellAmount == 0.47619344m);
Assert.IsTrue(opportunity.BuyPrice == 420m);
Assert.IsTrue(opportunity.SellPrice == 425m);
Assert.IsTrue(opportunity.TotalSellCost == 203.627014258m);
//Note, because Kraken rounds to 4 decimal places, the total buy cost and profit will be different that what is calculated on the sheet
Assert.IsTrue(opportunity.TotalBuyCost == 200.00m);
Assert.IsTrue(opportunity.Profit == 3.627014258m);
}
public void CalculateArbitrationTests_08()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
decimal maxFiatForTrade;
decimal maxBtcForTrade;
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
//Test Case 8: Cannot take full advantage of arbitration due to max USD limitation
maxFiatForTrade = 100m;
maxBtcForTrade = 10.0m;
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.0m, 405m));
bidBook.Bids.Add(new Order(1.0m, 410m));
opportunity = hunter.CalculateArbitration(kraken, anx, maxBtcForTrade, maxFiatForTrade, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 0.24629783m);
Assert.IsTrue(opportunity.SellAmount == 0.24629783m);
Assert.IsTrue(opportunity.BuyPrice == 405m);
Assert.IsTrue(opportunity.SellPrice == 410m);
Assert.IsTrue(opportunity.TotalSellCost == 100.62867291395m);
//Note, because Kraken rounds to 4 decimal places, the total buy cost and profit will be different that what is calculated on the sheet
Assert.IsTrue(opportunity.TotalBuyCost == 100m);
Assert.IsTrue(opportunity.Profit == 0.62867291395m);
}
public void CalculateArbitrationTests_11()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Bitstamp bitstamp = new Bitstamp();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
bitstamp.OrderBook = bidBook;
//Test case 11: Part of ask order is fulfilled, taking into account transfer fee
//IMPORTANT NOTE! This test assumes Kraken has a transfer fee of 0.0005, if that changes, this test will fail!
kraken.TradeFee = 0.0m;
bitstamp.TradeFee = 0.0m;
askBook.Asks.Add(new Order(1.1m, 400.0m));
askBook.Asks.Add(new Order(0.8m, 402.0m));
askBook.Asks.Add(new Order(1.0m, 410.0m));
bidBook.Bids.Add(new Order(0.6m, 401.0m));
bidBook.Bids.Add(new Order(1.0m, 399m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, bitstamp, 99m, 999999m, 0.01m, true);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == bitstamp);
Assert.IsTrue(opportunity.BuyAmount == 0.6m);
Assert.IsTrue(opportunity.SellAmount == 0.6m);
Assert.IsTrue(opportunity.Profit == 0.39975m);
Assert.IsTrue(opportunity.BuyPrice == 400m);
Assert.IsTrue(opportunity.SellPrice == 401m);
Assert.IsTrue(opportunity.TotalBuyCost == 240m);
Assert.IsTrue(opportunity.TotalSellCost == 240.60m);
}
public void CalculateArbitrationTests_04()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
ItBit itbit = new ItBit();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
itbit.OrderBook = askBook;
anx.OrderBook = bidBook;
//Test Case 4: Multiple asks orders are fulfilled across multiple bids
itbit.TradeFee = 0.25m;
anx.TradeFee = 0.3m;
askBook.Asks.Add(new Order(0.5m, 397m));
askBook.Asks.Add(new Order(0.4m, 399m));
askBook.Asks.Add(new Order(1.0m, 410m));
bidBook.Bids.Add(new Order(0.2m, 405m));
bidBook.Bids.Add(new Order(0.5m, 403m));
bidBook.Bids.Add(new Order(0.4m, 402m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(itbit, anx, 99m, 999999m, 2.80m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == itbit);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 0.9m);
Assert.IsTrue(opportunity.SellAmount == 0.9m);
Assert.IsTrue(opportunity.Profit == 2.81605m);
Assert.IsTrue(opportunity.BuyPrice == 399m);
Assert.IsTrue(opportunity.SellPrice == 402m);
Assert.IsTrue(opportunity.TotalBuyCost == 358.99525m);
Assert.IsTrue(opportunity.TotalSellCost == 361.8113m);
}
public void CalculateArbitrationTests_14()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
anx.OrderBook = bidBook;
//Test case 13: Amount is floor rounded to the minimum of the two exchanges
btce.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(1.1m, 398.0m));
askBook.Asks.Add(new Order(0.8m, 402.0m));
askBook.Asks.Add(new Order(1.0m, 410.0m));
bidBook.Bids.Add(new Order(0.65479204m, 401.0m));
bidBook.Bids.Add(new Order(1.0m, 399m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(btce, anx, 99m, 999999m, 0.30m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == btce);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyPrice == 398m);
Assert.IsTrue(opportunity.SellPrice == 401m);
Assert.IsTrue(opportunity.BuyAmount == 0.65642902m);
Assert.IsTrue(opportunity.SellAmount == 0.65478795m);
Assert.IsTrue(opportunity.TotalBuyCost == 261.25874996m);
Assert.IsTrue(opportunity.TotalSellCost == 261.650973062175m);
Assert.IsTrue(opportunity.Profit == 0.392223102175m);
}
public void CalculateArbitrationTests_07()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
//Test Case 7: Max amount is lower than possible arbitration
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.2m, 399m));
askBook.Asks.Add(new Order(0.4m, 401m));
askBook.Asks.Add(new Order(1.0m, 410m));
bidBook.Bids.Add(new Order(0.6m, 405m));
bidBook.Bids.Add(new Order(1.0m, 401m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, anx, 0.4m, 999999m, 0.032m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 0.4m);
Assert.IsTrue(opportunity.SellAmount == 0.4m);
Assert.IsTrue(opportunity.Profit == 1.033m);
Assert.IsTrue(opportunity.BuyPrice == 401m);
Assert.IsTrue(opportunity.SellPrice == 405m);
Assert.IsTrue(opportunity.TotalBuyCost == 160.4m);
Assert.IsTrue(opportunity.TotalSellCost == 161.433m);
}
public void CalculateArbitrationTests_13()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
ItBit itBit = new ItBit();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
itBit.OrderBook = bidBook;
//Test case 13: Amount is floor rounded to the minimum of the two exchanges
kraken.TradeFee = 0.0m;
itBit.TradeFee = 0.0m;
askBook.Asks.Add(new Order(1.1m, 400.0m));
askBook.Asks.Add(new Order(0.8m, 402.0m));
askBook.Asks.Add(new Order(1.0m, 410.0m));
bidBook.Bids.Add(new Order(0.65471204m, 401.0m));
bidBook.Bids.Add(new Order(1.0m, 399m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, itBit, 99m, 999999m, 0.58m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == itBit);
Assert.IsTrue(opportunity.BuyAmount == 0.6547m);
Assert.IsTrue(opportunity.SellAmount == 0.6547m);
Assert.IsTrue(opportunity.Profit == 0.6547m);
Assert.IsTrue(opportunity.BuyPrice == 400m);
Assert.IsTrue(opportunity.SellPrice == 401m);
Assert.IsTrue(opportunity.TotalBuyCost == 261.88m);
Assert.IsTrue(opportunity.TotalSellCost == 262.5347m);
}
public void CalculateArbitrationTests_01()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Bitstamp bitstamp = new Bitstamp();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
bitstamp.OrderBook = bidBook;
//Test case 1: Part of ask order is fulfilled, no trade fees to account for
kraken.TradeFee = 0.0m;
bitstamp.TradeFee = 0.0m;
askBook.Asks.Add(new Order(1.1m, 400.0m));
askBook.Asks.Add(new Order(0.8m, 402.0m));
askBook.Asks.Add(new Order(1.0m, 410.0m));
bidBook.Bids.Add(new Order(0.6m, 401.0m));
bidBook.Bids.Add(new Order(1.0m, 399m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, bitstamp, 99m, 999999m, 0.58m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == bitstamp);
Assert.IsTrue(opportunity.BuyAmount == 0.6m);
Assert.IsTrue(opportunity.SellAmount == 0.6m);
Assert.IsTrue(opportunity.Profit == 0.6m);
Assert.IsTrue(opportunity.BuyPrice == 400m);
Assert.IsTrue(opportunity.SellPrice == 401m);
Assert.IsTrue(opportunity.TotalBuyCost == 240m);
Assert.IsTrue(opportunity.TotalSellCost == 240.60m);
}
public void CalculateArbitrationTests_03()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
//Test case 3: Multiple asks orders are fulfilled across one bid
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.35m;
askBook.Asks.Add(new Order(0.2m, 399m));
askBook.Asks.Add(new Order(0.4m, 401m));
askBook.Asks.Add(new Order(1.0m, 410m));
bidBook.Bids.Add(new Order(0.6m, 405m));
bidBook.Bids.Add(new Order(1.0m, 401m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, anx, 99m, 999999m, 1.348m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 0.6m);
Assert.IsTrue(opportunity.SellAmount == 0.6m);
Assert.IsTrue(opportunity.Profit == 1.349m);
Assert.IsTrue(opportunity.BuyPrice == 401);
Assert.IsTrue(opportunity.SellPrice == 405);
Assert.IsTrue(opportunity.TotalBuyCost == 240.8005m);
Assert.IsTrue(opportunity.TotalSellCost == 242.1495m);
}
public void CalculateArbitrationTests_02()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Kraken kraken = new Kraken();
ArbitrationOpportunity opportunity;
Anx anx = new Anx();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
kraken.OrderBook = askBook;
anx.OrderBook = bidBook;
//Test case 2: All of ask order is fulfilled across multiple bids
kraken.TradeFee = 0.25m;
anx.TradeFee = 0.25m;
askBook.Asks.Add(new Order(1.2m, 398m));
askBook.Asks.Add(new Order(0.8m, 402m));
askBook.Asks.Add(new Order(1.0m, 410m));
bidBook.Bids.Add(new Order(0.6m, 402m));
bidBook.Bids.Add(new Order(1.0m, 401m));
bidBook.Bids.Add(new Order(2.8m, 398m));
opportunity = hunter.CalculateArbitration(kraken, anx, 99m, 999999m, 1.79m, false);
Assert.IsTrue(opportunity != null);
Assert.IsTrue(opportunity.BuyExchange == kraken);
Assert.IsTrue(opportunity.SellExchange == anx);
Assert.IsTrue(opportunity.BuyAmount == 1.2m);
Assert.IsTrue(opportunity.SellAmount == 1.2m);
Assert.IsTrue(opportunity.Profit == 1.8015m);
Assert.IsTrue(opportunity.BuyPrice == 398m);
Assert.IsTrue(opportunity.SellPrice == 401m);
Assert.IsTrue(opportunity.TotalBuyCost == 478.794m);
Assert.IsTrue(opportunity.TotalSellCost == 480.5955m);
}
public void Current()
{
ArbitrationHunter hunter = new ArbitrationHunter(null);
Btce btce = new Btce();
ArbitrationOpportunity opportunity;
ItBit itBit = new ItBit();
OrderBook askBook = new OrderBook();
OrderBook bidBook = new OrderBook();
btce.OrderBook = askBook;
itBit.OrderBook = bidBook;
btce.TradeFee = 0.2m;
itBit.TradeFee = 0.2m;
askBook.Asks.Add(new Order(43.01161324m, 400.00m));
bidBook.Bids.Add(new Order(50m, 403.00m));
opportunity = hunter.CalculateArbitration(btce, itBit, 0.1m, 20.00m, 0.01m, false);
//Make sure opportunity was found correctly
Assert.IsTrue(opportunity != null);
}