public void cant_add_two_confirmations_for_one_order_to_hashset()
{
ObservableHashSet <OrderDeliveryConfirmation> confirmations =
new ObservableHashSet <OrderDeliveryConfirmation>(new OrderDeliveryConfirmationComparer());
Order o1 = new Order(1,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Buy,
OrderType.Limit,
10,
136000,
0);
OrderDeliveryConfirmation c1 =
new OrderDeliveryConfirmation(o1, BrokerDateTime.Make(DateTime.Now));
confirmations.Add(c1);
Assert.AreEqual(1, confirmations.Count);
OrderDeliveryConfirmation c2 =
new OrderDeliveryConfirmation(o1, BrokerDateTime.Make(DateTime.Now));
confirmations.Add(c2);
Assert.AreEqual(1, confirmations.Count);
}
public void BuySpreadOnQuote_ignore_updates_when_any_position_from_basket_of_strategies_exists()
{
StrategyHeader strtgy = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
Signal sgnl = new Signal(strtgy, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 143000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(sgnl);
Order ordr = new Order(sgnl);
this.tradingData.Get <ICollection <Order> >().Add(ordr);
OrderDeliveryConfirmation cnfrmtn = new OrderDeliveryConfirmation(ordr, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(cnfrmtn);
Assert.IsTrue(ordr.IsDelivered);
Trade trd = new Trade(ordr, ordr.Portfolio, ordr.Symbol, 1430000, ordr.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trd);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Position> >().Count());
this.qProvider.Update(0, "RTS-12.13_FT", 128990, 20, 129000, 100);
this.qProvider.Update(0, "Si-12.13_FT", 33000, 50, 33001, 40);
this.qProvider.Update(0, "Eu-12.13_FT", 44000, 30, 44001, 0);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Signal> >().Count());
}
public void MakeOrderCancellationRequest_adds_order_cancellaction_request_for_short()
{
MockOrderManager mom = (MockOrderManager)this.orderManager;
Assert.AreEqual(0, mom.CancelCounter);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Signal signal = new Signal(this.strategyHeader,
BrokerDateTime.Make(DateTime.Now),
TradeAction.Sell,
OrderType.Limit,
145000,
0,
145100);
this.signalQueue.Enqueue(signal);
Order order = this.tradingData.Get <IEnumerable <Order> >().Last();
OrderDeliveryConfirmation odc = new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(odc);
this.quotesProvider.Update(0, this.strategyHeader.Symbol, 145040, 150, 145050, 150);
Assert.AreEqual(1, this.tradingData.CancellationRequests.Count());
Assert.AreEqual(1, mom.CancelCounter);
}
public void two_confirmations_for_different_orders_are_not_equals()
{
Order o1 = new Order(1,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Buy,
OrderType.Limit,
10,
136000,
0);
OrderDeliveryConfirmation c1 =
new OrderDeliveryConfirmation(o1, BrokerDateTime.Make(DateTime.Now));
Order o2 = new Order(2,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Sell,
OrderType.Limit,
10,
136000,
0);
OrderDeliveryConfirmation c2 =
new OrderDeliveryConfirmation(o2, BrokerDateTime.Make(DateTime.Now));
EqualityComparer <OrderDeliveryConfirmation> ec =
new OrderDeliveryConfirmationComparer();
Assert.IsFalse(ec.Equals(c1, c2));
}
public void MakeOrderCancellationRequest_does_not_add_order_cancellaction_request_for_long()
{
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Signal signal = new Signal(this.strategyHeader,
BrokerDateTime.Make(DateTime.Now),
TradeAction.Buy,
OrderType.Limit,
145000,
0,
145100);
this.signalQueue.Enqueue(signal);
Order order = this.tradingData.Get <IEnumerable <Order> >().Last();
OrderDeliveryConfirmation odc = new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(odc);
this.quotesProvider.Update(0, this.strategyHeader.Symbol, 145140, 150, 145150, 150);
Assert.AreEqual(0, this.tradingData.CancellationRequests.Count());
}
public void repeat_cancellation_request_if_previous_is_older_than_sixty_seconds_for_sell_test()
{
MockOrderManager mom = (MockOrderManager)this.orderManager;
Assert.AreEqual(0, mom.CancelCounter);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(0, this.tradingData.CancellationRequests.Count());
Signal signal = new Signal(this.strategyHeader,
BrokerDateTime.Make(DateTime.Now),
TradeAction.Sell,
OrderType.Limit,
145000,
0,
145100);
this.signalQueue.Enqueue(signal);
Order order = this.tradingData.Get <IEnumerable <Order> >().Last();
OrderCancellationRequest firstRequest = new OrderCancellationRequest(order, "First request");
firstRequest.DateTime = BrokerDateTime.Make(DateTime.Now.AddSeconds(-61));
this.tradingData.Get <ICollection <OrderCancellationRequest> >().Add(firstRequest);
OrderDeliveryConfirmation odc = new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(odc);
this.quotesProvider.Update(0, this.strategyHeader.Symbol, 144800, 150, 144810, 150);
Assert.AreEqual(2, this.tradingData.CancellationRequests.Count());
Assert.AreEqual(1, mom.CancelCounter);
}
public void SetDeliveryDate_test()
{
StrategyHeader strategyHeader = new StrategyHeader(1, "Sample strategyHeader", "BP12345-RF-01", "RTS-9.13_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(strategyHeader);
Signal signal = new Signal(strategyHeader, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 150000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(signal);
Order order = new Order(signal, 150);
this.tradingData.Get <ICollection <Order> >().Add(order);
Assert.IsFalse(order.IsDelivered);
Assert.AreEqual(0, this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Count());
OrderSucceeded os = new OrderSucceeded(order.Id, "12345");
this.rawData.GetData <OrderSucceeded>().Add(os);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Count());
OrderDeliveryConfirmation confirmation = this.tradingData.Get <IEnumerable <OrderDeliveryConfirmation> >().Last();
Assert.AreEqual(order.Id, confirmation.OrderId);
Assert.AreEqual(order, confirmation.Order);
Assert.AreEqual(os.DateTime, confirmation.DateTime);
}
public void Handlers_update_order_on_delivery_confirmation()
{
Order o = new Order(this.s1);
Assert.IsFalse(o.IsDelivered);
this.tradingData.Get <ICollection <Order> >().Add(o);
OrderDeliveryConfirmation c = new OrderDeliveryConfirmation(o, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(c);
Assert.IsTrue(o.IsDelivered);
}
public override void Update(OrderSucceeded item)
{
Order order = GetOrder(item.Cookie);
if (order == null)
{
return;
}
OrderDeliveryConfirmation confirmation = new OrderDeliveryConfirmation(order, item.DateTime);
this.logger.Log(String.Format("{0:dd/MM/yyyy H:mm:ss.fff}, {1}, сформировано уведомление о доставке заявки {2}",
BrokerDateTime.Make(DateTime.Now),
this.GetType().Name,
confirmation.ToString()));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(confirmation);
}
public void Handlers_do_not_update_order_that_already_delivered()
{
Order o = new Order(this.s1);
Assert.IsFalse(o.IsDelivered);
this.tradingData.Get <ICollection <Order> >().Add(o);
DateTime date = BrokerDateTime.Make(DateTime.Now);
OrderDeliveryConfirmation c = new OrderDeliveryConfirmation(o, date);
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(c);
Assert.IsTrue(o.IsDelivered);
Assert.AreEqual(date, o.DeliveryDate);
OrderDeliveryConfirmation c1 = new OrderDeliveryConfirmation(o, BrokerDateTime.Make(DateTime.Now).AddSeconds(5));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(c1);
Assert.AreEqual(date, o.DeliveryDate);
}
public void OrderDeliveryConfirmation_constructor_test()
{
Order order =
new Order(1,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Buy,
OrderType.Limit,
10,
136000,
0);
DateTime deliveryDate = BrokerDateTime.Make(DateTime.Now).AddSeconds(1);
OrderDeliveryConfirmation orderDeliveryConfirmation =
new OrderDeliveryConfirmation(order, deliveryDate);
Assert.AreEqual(order, orderDeliveryConfirmation.Order);
Assert.AreEqual(order.Id, orderDeliveryConfirmation.OrderId);
Assert.AreEqual(deliveryDate, orderDeliveryConfirmation.DateTime);
}
public void OrderDeliveryConfirmation_ToString_test()
{
Order order =
new Order(1,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Buy,
OrderType.Limit,
10,
136000,
0);
DateTime deliveryDate = BrokerDateTime.Make(DateTime.Now).AddSeconds(1);
OrderDeliveryConfirmation orderDeliveryConfirmation =
new OrderDeliveryConfirmation(order, deliveryDate);
string result = String.Format("Order delivery confirmation for: {0}, {1}",
orderDeliveryConfirmation.OrderId,
orderDeliveryConfirmation.DateTime.ToString(CultureInfo.InvariantCulture));
Assert.AreEqual(result, orderDeliveryConfirmation.ToString());
}
public void two_confirmations_for_one_order_are_equals()
{
Order order = new Order(1,
BrokerDateTime.Make(DateTime.Now),
"BP12345-RF-01",
"RTS-9.13_FT",
TradeAction.Buy,
OrderType.Limit,
10,
136000,
0);
OrderDeliveryConfirmation c1 =
new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
OrderDeliveryConfirmation c2 =
new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
EqualityComparer <OrderDeliveryConfirmation> ec =
new OrderDeliveryConfirmationComparer();
Assert.IsTrue(ec.Equals(c1, c2));
}
private void ConfirmOrderDelivery(Order order)
{
OrderDeliveryConfirmation dc = new OrderDeliveryConfirmation(order, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(dc);
}
public void CoverSpreadOnQuote_make_signals_to_close_existing_position()
{
StrategyHeader strtgy = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1);
Signal sgnl = new Signal(strtgy, BrokerDateTime.Make(DateTime.Now), TradeAction.Sell, OrderType.Market, 140000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(sgnl);
Order ordr = new Order(sgnl);
this.tradingData.Get <ICollection <Order> >().Add(ordr);
OrderDeliveryConfirmation cnfrmtn = new OrderDeliveryConfirmation(ordr, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(cnfrmtn);
Assert.IsTrue(ordr.IsDelivered);
Trade trd = new Trade(ordr, ordr.Portfolio, ordr.Symbol, 1430000, -ordr.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trd);
Assert.AreEqual(1, this.tradingData.Get <IEnumerable <Position> >().Count());
StrategyHeader strategy2 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2);
Signal signal2 = new Signal(strategy2, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 31000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(signal2);
Order order2 = new Order(signal2);
this.tradingData.Get <ICollection <Order> >().Add(order2);
OrderDeliveryConfirmation confirmation2 = new OrderDeliveryConfirmation(order2, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(confirmation2);
Assert.IsTrue(order2.IsDelivered);
Trade trade2 = new Trade(order2, order2.Portfolio, order2.Symbol, 31000, order2.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trade2);
Assert.AreEqual(2, this.tradingData.Get <IEnumerable <Position> >().Count());
StrategyHeader strategy3 = this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 3);
Signal signal3 = new Signal(strategy3, BrokerDateTime.Make(DateTime.Now), TradeAction.Buy, OrderType.Market, 41000, 0, 0);
this.tradingData.Get <ICollection <Signal> >().Add(signal3);
Order order3 = new Order(signal3);
this.tradingData.Get <ICollection <Order> >().Add(order3);
OrderDeliveryConfirmation confirmation3 = new OrderDeliveryConfirmation(order3, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <OrderDeliveryConfirmation> >().Add(confirmation3);
Assert.IsTrue(order3.IsDelivered);
Trade trade3 = new Trade(order3, order3.Portfolio, order3.Symbol, 41000, order3.Amount, BrokerDateTime.Make(DateTime.Now));
this.tradingData.Get <ObservableHashSet <Trade> >().Add(trade3);
Assert.AreEqual(3, this.tradingData.Get <IEnumerable <Position> >().Count());
this.qProvider.Update(0, "RTS-12.13_FT", 144990, 20, 145000, 100);
this.qProvider.Update(0, "Si-12.13_FT", 32000, 50, 32001, 40);
this.qProvider.Update(0, "Eu-12.13_FT", 44000, 30, 44001, 0);
Assert.AreEqual(6, this.tradingData.Get <IEnumerable <Signal> >().Count());
Assert.AreEqual(6, this.tradingData.Get <IEnumerable <Order> >().Count());
Assert.AreEqual(TradeAction.Buy, this.tradingData.Make <Order>().ElementAt(3).TradeAction);
Assert.AreEqual(TradeAction.Sell, this.tradingData.Make <Order>().ElementAt(4).TradeAction);
Assert.AreEqual(TradeAction.Sell, this.tradingData.Make <Order>().ElementAt(5).TradeAction);
foreach (Order o in this.tradingData.Make <Order>())
{
Assert.AreEqual(OrderType.Market, o.OrderType);
}
}
