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 BitstampGetOpenOrdersTest()
{
Bitstamp bitstamp = new Bitstamp(FiatType.Usd);
//If there is any problem connecting to the exchange, this will throw an error.
bitstamp.GetAllOpenOrders();
}
public void GetTotalBalances()
{
ItBit itbit = new ItBit();
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
//Btce btce = new Btce();
Bitfinex bitfinex = new Bitfinex();
itbit.UpdateBalances();
anx.UpdateBalances();
bitstamp.UpdateBalances();
bitfinex.UpdateBalances();
//TODO: Fix these! Should be calls to UpdateTotalBalances!
kraken.UpdateBalances();
//btce.UpdateBalances();
Decimal itBitBtcAmount = itbit.TotalBtc;
Decimal itBitFiatAmount = itbit.TotalFiat;
Decimal anxBtcAmount = anx.TotalBtc;
Decimal anxFiatAmount = anx.TotalFiat;
Decimal bitstampBtcAmount = bitstamp.TotalBtc;
Decimal bitstampFiatoAmount = bitstamp.TotalFiat;
Decimal bitfinexBtcAmount = bitfinex.TotalBtc;
Decimal bitfinexFiatAmount = bitfinex.TotalFiat;
//TODO Fix these! They should be the total amounts!
Decimal krakenBtcAmount = kraken.AvailableBtc;
Decimal krakenEurAmount = kraken.AvailableFiat;
//Decimal btceBtcAmount = btce.AvailableBtc;
//Decimal btceEuroAmount = btce.AvailableFiat;
}
public void BitstampGetUsdEurConversionRateTest()
{
Bitstamp bitstamp = new Bitstamp();
decimal conversionRate = bitstamp.GetUsdEurConversionRate();
//As long as this returned a number, the call to the api was successful
Assert.IsTrue(conversionRate > 0);
}
public void BitstampAccountInformationUpdateTest()
{
Bitstamp bitstamp = new Bitstamp();
//If there is any problem connecting to the exchange, this will throw an error.
bitstamp.UpdateAccountInformation();
//Only need to ensure UpdateAccountInformation updates trade fee, as btc and fiat balances are allowed to be zero.
Assert.IsTrue(bitstamp.TradeFee > 0.0m);
}
public void BitstampAvailableBalanceUpdateTest()
{
Bitstamp bitstamp = new Bitstamp(FiatType.Usd);
//If there is any problem connecting to the exchange, this will throw an error.
bitstamp.UpdateBalances();
//Only need to ensure UpdateBalances updates trade fee, as btc and fiat balances are allowed to be zero.
Assert.IsTrue(bitstamp.TradeFee > 0.0m);
}
public void BitstampUpdateOrderBookTest()
{
Bitstamp bitstamp = new Bitstamp();
//If there is any problem connecting to the exchange, this will throw an error.
bitstamp.UpdateOrderBook(1);
//This assumes that the exchange has at least 1 order on each side. Technically this can give a false negative, but it's unlikely.
Assert.IsTrue(bitstamp.OrderBook.Asks.Count == 1);
Assert.IsTrue(bitstamp.OrderBook.Bids.Count == 1);
}
public void BitstampBuyCostRoundTest()
{
Bitstamp bitstamp = new Bitstamp(FiatType.Usd);
//Need to set the trade fee for this test to work
bitstamp.TradeFee = 0.25m;
Assert.IsTrue(bitstamp.ApplyFeeToBuyCost(20.09m) == 20.15m);
Assert.IsTrue(bitstamp.ApplyFeeToBuyCost(90.95m) == 91.18m);
//Buy 0.02 @ 395.65 = 7.91
//Fee price = 7.91 * 0.0025 = 0.019775 = 0.02
//Total cost = 7.91 + 0.02 = 7.93
Assert.IsTrue(bitstamp.ApplyFeeToBuyCost(Decimal.Multiply(395.65m, 0.02m)) == 7.93m);
}
public void TransferInsertTest()
{
BaseExchange sellExchange = new Kraken();
BaseExchange buyExchange = new Bitstamp();
int MaxId = 0;
sellExchange.AvailableBtc = 1.0234234234m;
buyExchange.AvailableBtc = 2.4534534m;
decimal transferAmount = 0.6319841998m;
//First need to create an arbitration run and opportunity
ArbitrationRun testRun = TestsHelper.CreateArbitrationRun();
ArbitrationOpportunity testOpportunity = TestsHelper.CreateArbitrationOpportunity(buyExchange, sellExchange, testRun.Id.Value);
//Before the test can continue, ensure the arbitraiton opportunity was properly inserted
Assert.IsTrue(testOpportunity.Id != null);
Transfer testTransfer = new Transfer(buyExchange, sellExchange, transferAmount);
//Get the max id from TRANSFER table
Object result = DatabaseManager.ExecuteQuery("select MaxId = max(id) from TRANSFER").Rows[0]["MaxId"];
if (result != DBNull.Value)
{
MaxId = (int)result;
}
//Now save the TRANSFER to the db
testTransfer.PersistToDb();
//Select the transfer from the db
result = DatabaseManager.ExecuteQuery(string.Format("select id from TRANSFER where id = {0} AND ORIGIN_EXCHANGE = '{1}' and DESTINATION_EXCHANGE = '{2}' AND AMOUNT = {3}", testTransfer.Id, buyExchange.Name, sellExchange.Name, transferAmount)).Rows[0][0];
//Clean up before testing result
if (result != DBNull.Value)
{
//Remove the test transfer
DatabaseManager.ExecuteNonQuery(String.Format("delete from TRANSFER where id = {0}", testTransfer.Id));
}
TestsHelper.DeleteArbitrationTrade(testOpportunity.Id.Value);
TestsHelper.DeleteArbitrationRun(testRun.Id.Value);
//The above query should return the transfer that was created.
Assert.IsTrue(result != DBNull.Value);
}
public void BitstampSellCostRoundTest()
{
Bitstamp bitstamp = new Bitstamp(FiatType.Usd);
//Need to set the trade fee for this test to work
bitstamp.TradeFee = 0.25m;
Assert.IsTrue(bitstamp.ApplyFeeToSellCost(20.09m) == 20.03m);
Assert.IsTrue(bitstamp.ApplyFeeToSellCost(90.95m) == 90.72m);
//Sell 0.04831514 @ 415.5 = 20.07494067 = 20.07
//Fee price = 20.07 * 0.0025 = 0.050175 = 0.06
//Total cost = 20.07 - 0.06 = 20.01
Assert.IsTrue(bitstamp.ApplyFeeToSellCost(Decimal.Multiply(0.04831514m, 415.5m)) == 20.01m);
//Sell 0.05513812 @ 365 = 20.1254138 = 20.13
//Fee price = 20.13 * 0.0025 = 0.050325 = 0.06
//Total cost = 20.13 - 0.06 = 20.07
Assert.IsTrue(bitstamp.ApplyFeeToSellCost(Decimal.Multiply(0.05513812m, 365.0m)) == 20.07m);
}
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_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 BitstampBuySellQueryDeleteTest()
{
Bitstamp bitstamp = new Bitstamp(FiatType.Usd);
string buyOrderId;
string sellorderId;
//First, insert a buy and sell order. If there are any errors with either of these operations,
//an exception will be thrown.
//This is the lowest possible buy order you can put in bitstamp
buyOrderId = bitstamp.Buy(1, 5.00m);
//Set the sell price at an absurdely high value so the sell order doesn't actully get executed.
sellorderId = bitstamp.Sell(bitstamp.MinimumBitcoinOrderAmount, 99999m);
//Both orders should still be open
Assert.IsFalse(bitstamp.IsOrderFulfilled(buyOrderId));
Assert.IsFalse(bitstamp.IsOrderFulfilled(sellorderId));
//Now delete both orders. If there are any errors with either of these operations,
//an exception will be thrown.
bitstamp.DeleteOrder(buyOrderId);
bitstamp.DeleteOrder(sellorderId);
}
private static void PopulateExchanges(string securityJsonFilename)
{
m_security = new ApiSecurity(securityJsonFilename);
foreach (var exch in m_security.ApiKeys.Keys)
{
var c = m_security.ApiKeys[exch];
//Console.WriteLine("{0} '{1}' '{2}'", exch, c.ApiKey, c.ApiSecret);
}
ApiCredentials creds;
/*creds = m_security.ApiKeys["B2C2"]; // BINANCE
* b2c2 = B2C2.Create(creds);
* Exchanges[CryptoExch.B2C2] = b2c2;*/
creds = m_security.ApiKeys["BINANCE"]; // BINANCE
binance = Binance.Create(creds);
Exchanges[CryptoExch.BINANCE] = binance;
creds = m_security.ApiKeys["BITFINEX"]; // BITFINEX
bitfinex = Bitfinex.Create(creds);
Exchanges[CryptoExch.BITFINEX] = bitfinex;
creds = m_security.ApiKeys["BITFLYER"]; // BITFLYER
bitflyer = BitFlyer.Create(creds);
Exchanges[CryptoExch.BITFLYER] = bitflyer;
creds = m_security.ApiKeys["BITSTAMP"]; // BITSTAMP
bitstamp = Bitstamp.Create(creds, "client_id");
Exchanges[CryptoExch.BITSTAMP] = bitstamp;
creds = m_security.ApiKeys["BITTREX"]; // BITTREX
bittrex = Bittrex.Create(creds);
Exchanges[CryptoExch.BITTREX] = bittrex;
creds = m_security.ApiKeys["GDAX"]; // GDAX
gdax = GDAX.Create(creds, "mickey+mouse");
Exchanges[CryptoExch.GDAX] = gdax;
creds = m_security.ApiKeys["HITBTC"]; // HITBTC
hitbtc = HitBTC.Create(creds);
Exchanges[CryptoExch.HITBTC] = hitbtc;
creds = m_security.ApiKeys["ITBIT"]; // ITBIT
itbit = ItBit.Create(creds);
Exchanges[CryptoExch.ITBIT] = itbit;
creds = m_security.ApiKeys["KRAKEN"]; // KRAKEN
kraken = Kraken.Create(creds);
Exchanges[CryptoExch.KRAKEN] = kraken;
creds = m_security.ApiKeys["POLONIEX"]; // POLONIEX
poloniex = Poloniex.Create(creds);
Exchanges[CryptoExch.POLONIEX] = poloniex;
/*creds = m_security.ApiKeys["BLEUTRADE"]; // BLEUTRADE
* bleutrade = Bleutrade.Create(creds);
* Exchanges[CryptoExch.BLEUTRADE] = bleutrade;
*
* creds = m_security.ApiKeys["BLINKTRADE"]; // BLINKTRADE
* blinktrade = BlinkTrade.Create(creds);
* Exchanges[CryptoExch.BLINKTRADE] = blinktrade;*/
gemini = Gemini.Instance;
Exchanges[CryptoExch.GEMINI] = Gemini.Instance;
// For each exchange, subscribe to the various events
foreach (var exchange in Exchanges.Values)
{
exchange.UpdateOrderBookEvent += Exchanges_UpdateOrderBookEvent;
exchange.UpdateOrdersEvent += Exchanges_UpdateOrdersEvent;
exchange.UpdateTickerEvent += Exchanges_UpdateTickerEvent;
/*var ws = exchange as IExchangeWebSocket;
* if (ws != null)
* ws.StartWebSocket(null);*/
}
/*Exchanges[CryptoExch.VAULTORO] = Vaultoro.Instance;
* Exchanges[CryptoExch.CHANGELLY] = Changelly.Instance;
* Exchanges[CryptoExch.BITHUMB] = Bithumb.Instance;
* Exchanges[CryptoExch.BITMEX] = BitMEX.Instance;
* Exchanges[CryptoExch.BITSQUARE] = Bitsquare.Instance;
* Exchanges[CryptoExch.BTCC] = BTCC.Instance;
* //Exchanges[CryptoExch.BTER] = BTER.Instance;
* Exchanges[CryptoExch.CEX] = Cex.Instance;
* //Exchanges[CryptoExch.COINIGY] = Coinigy.Instance;
* Exchanges[CryptoExch.COINONE] = Coinone.Instance;
* Exchanges[CryptoExch.GATEIO] = GateIO.Instance;
* Exchanges[CryptoExch.HUOBI] = Huobi.Instance;
* Exchanges[CryptoExch.KORBIT] = Korbit.Instance;
* Exchanges[CryptoExch.KUCOIN] = Kucoin.Instance;
* Exchanges[CryptoExch.OKCOIN] = OkCoin.Instance;
* Exchanges[CryptoExch.OKEX] = OKEx.Instance;
* Exchanges[CryptoExch.WEX] = Wex.Instance;
* Exchanges[CryptoExch.XCRYPTO] = XCrypto.Instance;*/
}
public async Task <ITickers> GetTicker([FromBody] CompositeStockExchangeObject compositeStockExchangeObject)
{
decimal exchangeRate = compositeStockExchangeObject.ExchangeRate;
Common.StockExchange.Types.StockExchange selectedStockExchange = compositeStockExchangeObject.StockExchange;
string selectedPairs = compositeStockExchangeObject.SelectedPairs;
IStockExchanges stockExchanges;
switch (selectedStockExchange)
{
case Common.StockExchange.Types.StockExchange.Binance:
stockExchanges = new Binance();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Bitfinex:
stockExchanges = new Bitfinex();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Bitmex:
stockExchanges = new Bitmex();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Bitstamp:
stockExchanges = new Bitstamp();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Bittrex:
stockExchanges = new Bittrex();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Cex:
stockExchanges = new Cex();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Exmo:
stockExchanges = new Exmo();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Gdax:
stockExchanges = new Gdax();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Gemini:
stockExchanges = new Gemini();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Kraken:
stockExchanges = new Kraken();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.Poloniex:
stockExchanges = new Poloniex();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
case Common.StockExchange.Types.StockExchange.QuadrigaCx:
stockExchanges = new QuadrigaCx();
return(await stockExchanges.GetTickers(selectedPairs, exchangeRate));
default:
throw new NullStockExchangeException("Invalid StockExchange Selection");
}
}
public void OpportunityListValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
List <ArbitrationOpportunity> validatedList;
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Build of a list of opportunities:
ArbitrationOpportunity krakenItBitopportunity = new ArbitrationOpportunity(kraken, itBit)
{
Profit = 2.23m
};
ArbitrationOpportunity krakenBitstampopportunity = new ArbitrationOpportunity(kraken, bitstamp)
{
Profit = 0.50m
};
ArbitrationOpportunity anxItBitopportunity = new ArbitrationOpportunity(anx, itBit)
{
Profit = 2.01m
};
ArbitrationOpportunity anxItBitopportunity2 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 1.98m
};
ArbitrationOpportunity anxItBitopportunity3 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 0.27m
};
opportunityList.Add(krakenItBitopportunity);
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Add(anxItBitopportunity);
//Round one:
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round two:
opportunityList.Remove(krakenBitstampopportunity);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round three: An oppportunity between Anx and ItBit has survived until now (alebit with a different profit)
//Add the Kraken - Bitstamp opportunity.
//Remove Krakken - ItBit opportunity; it only lasts two rounds.
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Remove(krakenItBitopportunity);
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity2);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 1.98m);
//Round 4: anxItBitopportunity should still be in the returned list
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity3);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 0.27m);
//Round 5: anxItBitopportunity should still be in the returned list, krakenBitstampopportunity should have been added
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 2);
Assert.IsTrue(validatedList[0].Profit == 0.50m);
Assert.IsTrue(validatedList[1].Profit == 0.27m);
}
public void OpportunityProfitValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <BaseExchange> exchangeList = new List <BaseExchange>();
decimal amount = 0.2m;
decimal buyPrice = 150m;
decimal totalBuyCost = 30m;
decimal sellPrice = 200m;
decimal totalSellCost = 40m;
decimal profit = 10m;
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Note, can use a fake run id here because the trade is never persisted to the db.
ArbitrationOpportunity testOpportunity = new ArbitrationOpportunity(anx, bitstamp, amount, buyPrice, totalBuyCost, sellPrice, totalSellCost, profit, 1);
//First, set the balances for all the exchanges.
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Scenario 1; happy path. Buy and selling works as expected.
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through
anx.AvailableFiat -= totalBuyCost;
anx.AvailableBtc += amount;
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
//If there was as error, this will throw it.
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
//Scenario 2: Buy never happens. Validator should throw an error
bool errorThrown = false;
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through, but buy never happens. This should cause the validator to throw an error.
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
try
{
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
}
catch (Exception e)
{
errorThrown = true;
}
Assert.IsTrue(errorThrown);
}
public void PersistArbitrationOpportunity()
{
//Arbitraty test values
decimal buyAmount = 351.654316m;
decimal sellAmount = 351.654316m;
decimal buyPrice = 409.21m;
decimal sellPrice = 410.87m;
decimal totalBuyCost = 1201.14m;
decimal totalSellCost = 1301.54m;
decimal profit = totalSellCost - totalBuyCost;
string buyOrderId = "Abc-123";
string sellOrderId = "123-Abc";
DateTime executionDateTime = DateTime.Now;
Bitstamp buyExchange = new Bitstamp();
Btce sellExchange = new Btce();
ArbitrationRun testRun = null;
ArbitrationRun updateTestRun = null;
ArbitrationOpportunity testArbitrationTrade = null;
try
{
testRun = TestsHelper.CreateArbitrationRun();
updateTestRun = TestsHelper.CreateArbitrationRun();
testArbitrationTrade = new ArbitrationOpportunity(buyExchange, sellExchange);
testArbitrationTrade.BuyAmount = buyAmount;
testArbitrationTrade.SellAmount = sellAmount;
testArbitrationTrade.ArbitrationRunId = testRun.Id.Value;
testArbitrationTrade.BuyPrice = buyPrice;
testArbitrationTrade.ExecutionDateTime = executionDateTime;
testArbitrationTrade.Profit = profit;
testArbitrationTrade.SellPrice = sellPrice;
testArbitrationTrade.TotalBuyCost = totalBuyCost;
testArbitrationTrade.TotalSellCost = totalSellCost;
testArbitrationTrade.BuyOrderId = buyOrderId;
testArbitrationTrade.SellOrderId = sellOrderId;
//Now that the arbitration trade has been set up, save it to the db.
testArbitrationTrade.PersistToDb();
//Ensure an id was set after the initial insert
Assert.IsTrue(testArbitrationTrade.Id != null);
string insertFetchSql = string.Format("" +
"select " +
" ID, " +
" CREATE_DATETIME, " +
" LAST_MODIFIED_DATETIME " +
"from " +
" ARBITRATION_TRADE " +
"where " +
" ID = {0} AND " +
" BUY_AMOUNT = {1} AND " +
" BUY_PRICE = {2} AND " +
" SELL_PRICE = {3} AND" +
" TOTAL_BUY_COST = {4} AND " +
" TOTAL_SELL_COST = {5} AND " +
" PROFIT = {6} AND " +
" EXECUTION_DATETIME = '{7}' AND " +
" SELL_EXCHANGE = '{8}' AND " +
" BUY_EXCHANGE = '{9}' AND " +
" BUY_ORDER_ID = '{10}' AND " +
" SELL_ORDER_ID = '{11}' AND " +
" ARBITRATION_RUN_ID = {12} AND " +
" SELL_AMOUNT = {13}", testArbitrationTrade.Id.Value, buyAmount, buyPrice, sellPrice, totalBuyCost, totalSellCost, profit, executionDateTime.ToString("yyy-MM-dd HH:mm:ss"), sellExchange.Name, buyExchange.Name, buyOrderId, sellOrderId, testRun.Id.Value, sellAmount);
//Ensure all the values were properly inserted.
DataTable result = DatabaseManager.ExecuteQuery(insertFetchSql);
Assert.IsTrue(result != null && Convert.ToInt32(result.Rows[0]["ID"]) == testArbitrationTrade.Id.Value);
//Create some bogus dates for CREATE_DATETIME and LAST_MODIFIED_DATETIME
DateTime createDateTime = new DateTime(2014, 1, 1, 13, 25, 05);
DateTime lastModifiedDateTime = new DateTime(2014, 1, 1, 13, 25, 05);
//In order to test that CREATE_DATETIME and LAST_MODIFIED_DATETIME behave properly on updates, need to put some bogus data in there:
DatabaseManager.ExecuteNonQuery(string.Format("update ARBITRATION_TRADE set CREATE_DATETIME = '{0}', LAST_MODIFIED_DATETIME = '{1}' where ID = {2}", createDateTime.ToString("yyy-MM-dd HH:mm:ss"), lastModifiedDateTime.ToString("yyy-MM-dd HH:mm:ss"), testArbitrationTrade.Id.Value));
//Update properties with arbitraty test values.
buyAmount = 103264798.175785743216m;
sellAmount = 103264798.175785743216m;
buyPrice = 1.02m;
sellPrice = 10.02m;
totalBuyCost = 2.01m;
totalSellCost = 18.01m;
profit = totalSellCost - totalBuyCost;
executionDateTime = DateTime.Now;
buyOrderId = "Choctaw-47";
sellOrderId = "Apache-48";
//Update arbitration trade to have new values
testArbitrationTrade.BuyAmount = buyAmount;
testArbitrationTrade.SellAmount = sellAmount;
testArbitrationTrade.ArbitrationRunId = updateTestRun.Id.Value;
testArbitrationTrade.BuyPrice = buyPrice;
testArbitrationTrade.ExecutionDateTime = executionDateTime;
testArbitrationTrade.Profit = profit;
testArbitrationTrade.SellPrice = sellPrice;
testArbitrationTrade.TotalBuyCost = totalBuyCost;
testArbitrationTrade.TotalSellCost = totalSellCost;
testArbitrationTrade.BuyOrderId = buyOrderId;
testArbitrationTrade.SellOrderId = sellOrderId;
testArbitrationTrade.PersistToDb();
string updateFetchSql = string.Format("" +
"select " +
" ID, " +
" CREATE_DATETIME, " +
" LAST_MODIFIED_DATETIME " +
"from " +
" ARBITRATION_TRADE " +
"where " +
" ID = {0} AND " +
" BUY_AMOUNT = {1} AND " +
" BUY_PRICE = {2} AND " +
" SELL_PRICE = {3} AND" +
" TOTAL_BUY_COST = {4} AND " +
" TOTAL_SELL_COST = {5} AND " +
" PROFIT = {6} AND " +
" EXECUTION_DATETIME = '{7}' AND " +
" SELL_EXCHANGE = '{8}' AND " +
" BUY_EXCHANGE = '{9}' AND " +
" BUY_ORDER_ID = '{10}' AND " +
" SELL_ORDER_ID = '{11}' AND " +
" ARBITRATION_RUN_ID = {12} AND " +
" SELL_AMOUNT = {13}", testArbitrationTrade.Id.Value, buyAmount, buyPrice, sellPrice, totalBuyCost, totalSellCost, profit, executionDateTime.ToString("yyy-MM-dd HH:mm:ss"), sellExchange.Name, buyExchange.Name, buyOrderId, sellOrderId, updateTestRun.Id.Value, sellAmount);
result = DatabaseManager.ExecuteQuery(updateFetchSql);
//Ensure a record was found with all the updated values
Assert.IsTrue(result != null);
//Ensure the CREATE_DATETIME is the same, but the LAST_MODIFIED_DATETIME is different
Assert.IsTrue(createDateTime == (DateTime)result.Rows[0]["CREATE_DATETIME"]);
Assert.IsTrue(lastModifiedDateTime != (DateTime)result.Rows[0]["LAST_MODIFIED_DATETIME"]);
}
finally
{
//Remove test data from the database
if (testArbitrationTrade.Id != null)
{
TestsHelper.DeleteArbitrationTrade(testArbitrationTrade.Id.Value);
}
if (testRun.Id != null)
{
TestsHelper.DeleteArbitrationRun(testRun.Id.Value);
}
if (updateTestRun.Id != null)
{
TestsHelper.DeleteArbitrationRun(updateTestRun.Id.Value);
}
}
}
public void NotEnoughtBtcExceptionAreSwallowedCorrectly()
{
ArbitrationRun testRun = null;
ArbitrationOpportunity opportunity1 = null;
ArbitrationOpportunity opportunity2 = null;
ArbitrationOpportunity opportunity3 = null;
try
{
//Set up a test run
testRun = TestsHelper.CreateArbitrationRun();
//Set up the buy and sell exchanges.
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
bitstamp.AvailableBtc = 0.2m;
bitstamp.AvailableFiat = 100m;
kraken.AvailableBtc = 0.2m;
kraken.AvailableFiat = 30m;
//Initial trad; bitstamp will need to transfer 0.1 btc to kraken for this. It will be found in the rollup later.
//Bitstamp now has 0.4 btc.
opportunity1 = TestsHelper.CreateArbitrationOpportunity(bitstamp, kraken, testRun.Id.Value, 0.1m);
//Made up numbers; they don't really matter for this test
opportunity1.TotalBuyCost = 10m;
opportunity1.TotalSellCost = 10m;
bitstamp.SimulatedBuy(opportunity1.BuyAmount, opportunity1.TotalBuyCost);
kraken.SimulatedSell(opportunity1.BuyAmount, opportunity1.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.3m);
//Now a couple a trade where btc is sold off at Bitstamp; enough to make the rollup transfer fail
//Bitstamp now has 0.1
opportunity2 = TestsHelper.CreateArbitrationOpportunity(kraken, bitstamp, testRun.Id.Value, 0.3m);
//Made up numbers; they don't really matter for this test
opportunity2.TotalBuyCost = 30m;
opportunity2.TotalSellCost = 30m;
kraken.SimulatedBuy(opportunity2.BuyAmount, opportunity2.TotalBuyCost);
bitstamp.SimulatedSell(opportunity2.BuyAmount, opportunity2.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.0m);
//Now assume this trigger a transfer, so lets say 0.5btc is in transfer to bitstamp from kraken
bitstamp.BTCInTransfer = 0.5m;
//Now another buy at bitstamp; this will trigger a transfer rollup from bitstamp to kraken
opportunity3 = TestsHelper.CreateArbitrationOpportunity(bitstamp, kraken, testRun.Id.Value, 0.15m);
//Made up numbers; they don't really matter for this test
opportunity3.TotalBuyCost = 15m;
opportunity3.TotalSellCost = 15m;
bitstamp.SimulatedBuy(opportunity3.BuyAmount, opportunity3.TotalBuyCost);
kraken.SimulatedSell(opportunity3.BuyAmount, opportunity3.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.15m);
//This should detect a transfer, but not actually create it
List <Transfer> transferFound = TransferManager.DetectAndExecuteRollupTransfers_Simulate(3, testRun.Id.Value, exchangeList);
Assert.IsTrue(transferFound == null);
//Erase btc in transfer and look for transfers again, this time the TransferManager should throw an exception because
//a bad transfer has been found (it's amount is > bitstamp total btc)
bool errorFound = false;
bitstamp.BTCInTransfer = 0m;
try
{
TransferManager.DetectAndExecuteRollupTransfers_Simulate(2, testRun.Id.Value, exchangeList);
}
catch (NotEnoughBtcException e)
{
errorFound = true;
}
Assert.IsTrue(errorFound, "TransferManager did not throw NotEnoughBtcException.");
}
//Clean up test data
finally
{
if (opportunity1 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity1.Id.Value);
}
if (opportunity2 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity2.Id.Value);
}
if (opportunity3 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity3.Id.Value);
}
if (testRun != null)
{
TestsHelper.DeleteArbitrationTrade(testRun.Id.Value);
}
}
}
