public static void OnStatisticsMessage(AlgoInstrumentStatisticsDto[] statistics)
{
Console.WriteLine("OnStatisticsMessage");
if (statistics == null)
{
return;
}
bool isSavePricer = _isChange;
// Select trade statistic for our algorithm
var tradeStatistic = statistics.FirstOrDefault(a => a.AlgoId == _algoId);
if (tradeStatistic != null)
{
//Console.WriteLine("Current position size: {0}", tradeStatistic.CurrentPositionSize);
if (tradeStatistic.CurrentPositionSize < 0)
{
if (Math.Abs(tradeStatistic.CurrentPositionSize) >
_instrument.RiskLimitsConfig.MaxShortExposure * _topMarginThreshold && !_isChange)
{
_instrument.PricerConfig.SellMargins = ChangeMargins(_originalSellMargins, 1.5);
_isChange = true;
}
if (Math.Abs(tradeStatistic.CurrentPositionSize) <
_instrument.RiskLimitsConfig.MaxShortExposure * _bottomMarginThreshold && _isChange)
{
_instrument.PricerConfig.SellMargins = ChangeMargins(_originalSellMargins, 1.0);
_isChange = false;
}
}
if (tradeStatistic.CurrentPositionSize > 0)
{
if (Math.Abs(tradeStatistic.CurrentPositionSize) >
_instrument.RiskLimitsConfig.MaxLongExposure * _topMarginThreshold && !_isChange)
{
_instrument.PricerConfig.BuyMargins = ChangeMargins(_originalBuyMargins, 1.5);
_isChange = true;
}
if (Math.Abs(tradeStatistic.CurrentPositionSize) <
_instrument.RiskLimitsConfig.MaxLongExposure * _bottomMarginThreshold && _isChange)
{
_instrument.PricerConfig.BuyMargins = ChangeMargins(_originalBuyMargins, 1.0);
_isChange = false;
}
}
// check condition, and change margins if needed
}
// Save pricer
if (isSavePricer != _isChange)
{
mmRestService.SavePricer(_instrument.PricerConfig);
}
}
public void AddChangeStopFullInstrumentConfig()
{
Initialize();
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[0].HedgerConfigInfo);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[0].RiskLimitConfigInfo);
Thread.Sleep(1000);
// Check full config
bool testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId));
_mmRest.StartInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = true;
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = true;
_mmRest.StartHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = true;
Thread.Sleep(1000);
// Check start
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
// Change hedger
HedgerConfigDto newHedgerConfig = AlgorithmInfo.CreateConfig <HedgerConfigDto>("hedger2.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(newHedgerConfig);
// Change riskLimits
RiskLimitsConfigDto newRiskLimitsConfig = AlgorithmInfo.CreateConfig <RiskLimitsConfigDto>("riskLimit3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(newRiskLimitsConfig);
Thread.Sleep(1000);
// Check after change
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.StopHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = false;
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = false;
_mmRest.StopInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = false;
Thread.Sleep(1000);
// Check stop
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
Thread.Sleep(1000);
// Check delete and test result
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, testResult, TestFail);
}
