public void HandlePartialTrade_RemainingVolumeLessThenMinimal_OneAddedOneRemoved()
{
var settings = new OrderBookTraderSettings
{
AssetPairId = "BTCAUD",
Count = 5,
Delta = 0.1m,
InitialPrice = 5,
IsEnabled = true,
Volume = 10
};
var minVolume = 3m;
var trader = new OrderBookTrader(settings);
var orders = trader.CreateOrders();
var(addedOrders, removedOrders) = trader.HandleTrades(new[]
{
new Trade
{
AssetPairId = "BTCAUD",
Type = TradeType.Sell,
Price = 5.2m,
Volume = 8
}
}, minVolume);
Assert.Equal(1, removedOrders.Count);
Assert.Equal(1, addedOrders.Count);
}
public async Task UpdateAsync(OrderBookTrader orderBookTrader)
{
var entity = new OrderBookEntity(GetPartitionKey(), GetRowKey(orderBookTrader.AssetPairId));
Mapper.Map(orderBookTrader, entity);
await _storage.InsertOrMergeAsync(entity);
}
public Task PersistOrderBookTraderAsync([NotNull] OrderBookTrader orderBookTrader)
{
if (orderBookTrader == null)
{
throw new ArgumentNullException(nameof(orderBookTrader));
}
return(_orderBookTraderRepository.UpdateAsync(orderBookTrader));
}
public async Task AddOrderBookTraderAsync([NotNull] OrderBookTraderSettings orderBookSettings)
{
if (orderBookSettings == null)
{
throw new ArgumentNullException(nameof(orderBookSettings));
}
var orderBook = new OrderBookTrader(orderBookSettings);
await _orderBookTraderRepository.AddAsync(orderBook);
_orderBookTraders.Add(orderBook.AssetPairId, orderBook);
}
public void InventoryUpdate()
{
var settings = new OrderBookTraderSettings
{
AssetPairId = "BTCJPY",
Count = 10,
Delta = 1000m,
InitialPrice = 100000,
IsEnabled = true,
Volume = 0.1m,
CountInMarket = 8
};
var minVolume = 0m;
var trader = new OrderBookTrader(settings);
var orders = trader.CreateOrders();
var trades = new List <Trade>()
{
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 103000m
},
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 102000m
},
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 101000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 99000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 98000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 97000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 97000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 97000m
},
new Trade
{
Type = TradeType.Buy,
Volume = 0.1m,
Price = 97000m
},
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 98000m
},
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 99000m
},
new Trade
{
Type = TradeType.Sell,
Volume = 0.1m,
Price = 100000m
}
};
trader.HandleTrades(trades, minVolume);
Assert.Equal(trader.Inventory, 0m);
Assert.Equal(trader.OppositeInventory, 1800m);
}
