void RebalanceStateTest_RebalanceRun(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
//Run실행 후 sweeper, state, availableCount check
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmdElw = monitorData.RmdElw;
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tvElw = ProductUtil.Ins().GetTick(rmdElw.Code, elwReqPrice);
double oneTickUpElwPrice = elwReqPrice + tvElw.UpTickValue;
double oneTickDownElwPrice = elwReqPrice - tvElw.DownTickValue;
double optionPriceOfOneTickUpElwReqPrice =
ElwOptionUtil.ConvertToOptionPrice(elwCode, oneTickUpElwPrice);
TickValue tv = ProductUtil.Ins().GetTick(rmd_3.Code, optionPriceOfOneTickUpElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfOneTickUpElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfOneTickUpElwReqPrice - tv.DownTickValue;
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
String log = "";
Assert.AreEqual(true, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
int prevChannel = centerData.GetAvailableChannelCount();
POrder o = each._data.LiveOrder;
IEDoorEachMonitorEnterState next = rsa.Run(centerData, each._data, monitorData);
Assert.AreEqual(next.GetState(), EDoorEachMonitorEnterState.MonitorState);
Assert.AreEqual(prevChannel - 1, centerData.GetAvailableChannelCount());
Assert.AreEqual(true, o.IsCancelRemains());
}
void RebalanceStateTest_NoRebalanceCase(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(false, actual);
}
void InvalidRMDCase_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(true, actual);
}
void NotFrontBidAndLowerPrice_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmdElw = monitorData.RmdElw;
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tvElw = ProductUtil.Ins().GetTick(rmdElw.Code, elwReqPrice);
double oneTickUpElwPrice = elwReqPrice + tvElw.UpTickValue;
double oneTickDownElwPrice = elwReqPrice - tvElw.DownTickValue;
double optionPriceOfOneTickUpElwReqPrice =
ElwOptionUtil.ConvertToOptionPrice(elwCode, oneTickUpElwPrice);
TickValue tv = ProductUtil.Ins().GetTick(rmd_3.Code, optionPriceOfOneTickUpElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfOneTickUpElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfOneTickUpElwReqPrice - tv.DownTickValue;
// Elw가격이 FrontBid가 되도록 설정
// 같아도 FrontBid이다.
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(true, rsa.IsFrontBidPrice(each._data, monitorData));
rmdElw.BidPrice1 = oneTickDownElwPrice;
Assert.AreEqual(true, rsa.IsFrontBidPrice(each._data, monitorData));
// Elw가격이 FrontBid가 아니도록 설정
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsFrontBidPrice(each._data, monitorData));
//Elw가격 + 1tick < 3's bid case
rmd_3.BidPrice1 = oneTickUpOptionPrice;
Assert.AreEqual(true, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//Elw가격 + 1tick == 3's bid case
//같을 때는 기본적으로 리밸런스를 하지 않는다.
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
Assert.AreEqual(false, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//Elw가격 + 1tick > 3's bid case
rmd_3.BidPrice1 = oneTickDownOptionPrice;
Assert.AreEqual(false, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//1. 3's Bid > elw && Not frontBid
// rebalance case
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
String log = "";
Assert.AreEqual(true, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//2. 3's Bid == elw && Not frontBid
// No rebalance case
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//3. 3's Bid < elw && Not front Bid
rmd_3.BidPrice1 = oneTickDownOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//4. 3's Bid > elw && frontBid
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//5. 3's Bid == elw && frontBid
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//6. 3's Bid < elw && frontBid
rmd_3.BidPrice1 = oneTickDownOptionPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
}
void HigherThanKoi_2_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tv = ProductUtil.Ins().GetTick(rmd_2.Code, optionPriceOfElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfElwReqPrice - tv.DownTickValue;
// Elw가격보다 아직은 2's Bid가 높다.
// Rebalance 필요 없다.
SetAsDefaultPrice(monitorData);
rmd_2.BidPrice1 = oneTickUpOptionPrice;
rmd_3.BidPrice1 = rmd_2.BidPrice1 - 0.05;
rmd_4.BidPrice1 = rmd_3.BidPrice1 - 0.05;
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(false, actual);
// Elw가격이 2's bid보다 높다.
// Elw가 너무 높은 가격인 상태이므로 리밸런스 해주어야 한다.
rmd_2.BidPrice1 = oneTickDownOptionPrice;
rmd_3.BidPrice1 = rmd_2.BidPrice1 - 0.05;
rmd_4.BidPrice1 = rmd_3.BidPrice1 - 0.05;
actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(true, actual);
}