public void Allocation_AddValue()
{
Allocation alloc = AllocationsTools.GetAllocation();
alloc.AddValue(new Price(1, Currency.XBT));
Assert.AreEqual(alloc.GetElement(Currency.XBT).Amount, 1 + 1);
}
public void Allocation_Update()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
alloc.Update(fx);
Assert.AreEqual(alloc.GetElement(Currency.USD).Share, 0.1 / 1.1);
}
public void Allocation_CalculateTotal()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
alloc.CalculateTotal(fx);
Assert.IsTrue(alloc.Total.Equals(new Price(100 + 1 * 1000, Currency.USD)));
}
public void AllocationHistory_Init()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
AllocationHistory allocH = AllocationsTools.GetAllocationHistory(fxmh);
Allocation alloc = allocH.GetAllocation(MarketTestTools.date1);
Allocation allocTest = AllocationsTools.GetAllocation();
allocTest.Update(MarketTestTools.CreateMarket());
Assert.IsTrue(alloc.Total.Equals(allocTest.Total));
}
public void Allocaton_GetCurrencyPairs()
{
Allocation alloc = AllocationsTools.GetAllocation();
TestTools <CurrencyPair> .ListComparisonTest(alloc.GetCurrencyPairs(Currency.EUR),
new List <CurrencyPair> {
new CurrencyPair(Currency.USD, Currency.EUR),
new CurrencyPair(Currency.XBT, Currency.EUR)
});
}
public void AggPnL_AddTransaction()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
Dictionary <string, PnLElement> table = pnl.ToTable(fxmh);
TestTools <PnLElement> .DictionaryTest(pnlref, table);
}
public void AggPnL_Equation()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(elmt.Position - elmt.Deposit + elmt.Withdrawal == elmt.TotalPnLWithFees);
}
public void Allocation_GetReturn()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
FXMarket fx2 = MarketTestTools.CreateMarket2();
alloc.Update(fx);
Allocation alloc2 = (Allocation)alloc.Clone();
alloc2.Update(fx2);
Assert.IsTrue(Math.Abs(1 / 1.1 * 0.05 - alloc2.GetReturn(alloc)) < Math.Pow(10, -6));
}
public void Allocation_AddTransaction_DepositCrypto()
{
Allocation alloc = AllocationsTools.GetAllocation();
Transaction DCtx = new Transaction("ID_DC",
TransactionType.Deposit,
DateTime.UtcNow,
null,
new Price(0.1, Currency.XBT));
Allocation newAlloc = alloc.AddTransaction(DCtx);
Assert.AreEqual(newAlloc.GetElement(Currency.XBT).Amount, 1);
}
public void Allocation_AddTransaction_DepositFiat()
{
Allocation alloc = AllocationsTools.GetAllocation();
Transaction DFtx = new Transaction("ID_DF",
TransactionType.Deposit,
DateTime.UtcNow,
null,
new Price(100, Currency.USD));
Allocation newAlloc = alloc.AddTransaction(DFtx);
Assert.AreEqual(newAlloc.GetElement(Currency.USD).Amount, 200);
}
public void AllocationHistory_Update()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
AllocationHistory allocH = AllocationsTools.GetAllocationHistory(fxmh, Fiat: Currency.EUR);
CurrencyPair testCP = new CurrencyPair(Currency.EUR, Currency.USD);
//fxmh.ConstructQuotes(testCP);
allocH.UpdateHistory(Currency.EUR, fxmh);
Price total = allocH.GetLastAllocation().Total;
Assert.IsTrue(total
.Equals(new Price(932.687, Currency.EUR), precision: 2));
}
public void Allocation_AddTransaction_WithDrawCrypto()
{
Allocation alloc = AllocationsTools.GetAllocation();
Transaction WCtx = new Transaction("ID_WdCrypto",
TransactionType.WithDrawal,
DateTime.UtcNow,
new Price(0.5, Currency.XBT),
null,
new Price(0.01, Currency.XBT));
Allocation newAlloc = alloc.AddTransaction(WCtx);
Assert.AreEqual(newAlloc.GetElement(Currency.XBT).Amount, 1 - 0.01);
}
public void Allocation_AddTransaction_WithDrawFiat()
{
Allocation alloc = AllocationsTools.GetAllocation();
Transaction WFtx = new Transaction("ID_WDFiat",
TransactionType.WithDrawal,
DateTime.UtcNow,
new Price(20, Currency.USD),
null,
new Price(2, Currency.USD));
Allocation newAlloc = alloc.AddTransaction(WFtx);
Assert.AreEqual(newAlloc.GetElement(Currency.USD).Amount, 100 - 20 - 2);
}
public void AggPnL_EquationXCCY()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
fxmh.ConstructQuotes(new CurrencyPair(Currency.EUR, Currency.USD));
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.EUR);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(Math.Abs(elmt.Position - elmt.Deposit + elmt.Withdrawal - elmt.TotalPnLWithFees) < 0.00001);
}
public void Allocation_AddTransaction_Trade()
{
Allocation alloc = AllocationsTools.GetAllocation();
Price Fees = new Price(50, Currency.USD);
Transaction Ttx = new Transaction("ID_Trade",
TransactionType.Trade,
DateTime.UtcNow,
new Price(0.5, Currency.XBT),
new Price(450, Currency.USD),
Fees);
Allocation newAlloc = alloc.AddTransaction(Ttx);
bool test1 = newAlloc.GetElement(Currency.XBT).Amount == 0.5;
bool test2 = newAlloc.GetElement(Currency.USD).Amount == 100 + 450 - 50;
bool test3 = newAlloc.Fees.Price.Equals(Fees);
Assert.IsTrue(test1 && test2 && test3);
}
public void Allocation_GetKeyType()
{
Allocation alloc = AllocationsTools.GetAllocation();
Assert.AreEqual(TimeSeriesKeyType.Allocation, alloc.GetKeyType());
}
public void Allocation_GetTimeSeriesKey()
{
Allocation alloc = AllocationsTools.GetAllocation();
Assert.IsTrue(alloc.GetTimeSeriesKey() == null);
}