public void PersistArbitrationOpportunityWithoutRunId()
{
ArbitrationOpportunity testArbitrationTrade = new ArbitrationOpportunity(new Bitstamp(), new Kraken());
//This should result in an error since testArbitrationTrade.ArbitrationRunId was not set.
testArbitrationTrade.PersistToDb();
}
public void MostProfitableTrade_Rule_OpportunityList_Null_Or_Empty()
{
ArbitrationOpportunity result = ArbitrationFilter.MostProfitableTrade(null);
Assert.IsTrue(result == null);
result = ArbitrationFilter.MostProfitableTrade(new List <ArbitrationOpportunity>());
Assert.IsTrue(result == null);
}
public void TradeForExchangeWithLowestBtc_Rule_Validate()
{
List <BaseExchange> exchangeList = CreateExchangeList(new Anx(), new Bitstamp(), new Btce(), new ItBit(), new Btce(), new Kraken(), new Anx());
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
ArbitrationOpportunity result;
exchangeList[0].AvailableBtc = 0.6524987m;
exchangeList[1].AvailableBtc = 0.9654689m;
exchangeList[2].AvailableBtc = 1.069509478320m;
exchangeList[3].AvailableBtc = 8.657849810m;
exchangeList[4].AvailableBtc = 98.14651m;
exchangeList[5].AvailableBtc = 9.98163521m;
exchangeList[6].AvailableBtc = 0.0m;
ArbitrationOpportunity opportunity1 = new ArbitrationOpportunity(exchangeList[0], exchangeList[1]);
opportunity1.Profit = 7.87m;
opportunity1.SellExchange = exchangeList[1];
opportunityList.Add(opportunity1);
//Test case: only 1 opportunity in list
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == opportunity1);
ArbitrationOpportunity opportunity2 = new ArbitrationOpportunity(exchangeList[3], exchangeList[2]);
opportunity2.Profit = 7.48m;
opportunityList.Add(opportunity2);
ArbitrationOpportunity opportunity3 = new ArbitrationOpportunity(exchangeList[5], exchangeList[0]);
opportunity3.Profit = 4.57m;
opportunityList.Add(opportunity3);
ArbitrationOpportunity opportunity4 = new ArbitrationOpportunity(exchangeList[1], exchangeList[4]);
opportunity4.Profit = 87.00m;
opportunityList.Add(opportunity4);
//Test case: no exchanges in the exchangelist map to any sell exchanges for an opportunity
List <BaseExchange> exchangeList2 = CreateExchangeList(new ItBit(), new Kraken(), new ItBit(), new Kraken());
result = ArbitrationFilter.TradeForExchangeWithLowestBtc(opportunityList, exchangeList2);
Assert.IsTrue(result == null);
//Test case: Correct opportunity is in the middle of the opportunity list
result = ArbitrationFilter.TradeForExchangeWithLowestBtc(opportunityList, exchangeList);
Assert.IsTrue(result == opportunity3);
//Test case: All opportunities have the same profit, opportunity for UseCryptos is returned because it has the least balance
ArbitrationOpportunity opportunity5 = new ArbitrationOpportunity(exchangeList[1], exchangeList[6]);
opportunity4.Profit = 87.00m;
opportunityList.Add(opportunity5);
result = ArbitrationFilter.TradeForExchangeWithLowestBtc(opportunityList, exchangeList);
Assert.IsTrue(result == opportunity5);
}
public void TradeForExchangeWithLowestBtc_Rule_OpportunityList_Empty()
{
List <BaseExchange> exchangeList = CreateExchangeList(new Anx(), new Btce(), new Bitstamp());
//Pass in a non empty exchange list
ArbitrationOpportunity result = ArbitrationFilter.TradeForExchangeWithLowestBtc(new List <ArbitrationOpportunity>(), exchangeList);
Assert.IsTrue(result == null);
}
public void TradeForExchangeWithLowestBtc_Rule_ExchangeList_Empty()
{
//Create a list of opportunities with at least 1 opportunity
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
ArbitrationOpportunity opportunity1 = new ArbitrationOpportunity(new Anx(), new Bitstamp());
opportunityList.Add(opportunity1);
ArbitrationOpportunity result = ArbitrationFilter.TradeForExchangeWithLowestBtc(opportunityList, new List <BaseExchange>());
Assert.IsTrue(result == null);
}
public static ArbitrationOpportunity CreateArbitrationOpportunity(BaseExchange BuyExchange, BaseExchange SellExchange, int ArbitrationRunId, decimal amount = 0.0m)
{
ArbitrationOpportunity returnOpportunity = new ArbitrationOpportunity(BuyExchange, SellExchange);
returnOpportunity.ArbitrationRunId = ArbitrationRunId;
returnOpportunity.BuyAmount = amount;
returnOpportunity.PersistToDb();
//If there was a problem saving the opportunity to the db.
if (returnOpportunity.Id == null)
{
throw new Exception();
}
return(returnOpportunity);
}
public void TransferInsertTest()
{
BaseExchange sellExchange = new Kraken();
BaseExchange buyExchange = new Bitstamp();
int MaxId = 0;
sellExchange.AvailableBtc = 1.0234234234m;
buyExchange.AvailableBtc = 2.4534534m;
decimal transferAmount = 0.6319841998m;
//First need to create an arbitration run and opportunity
ArbitrationRun testRun = TestsHelper.CreateArbitrationRun();
ArbitrationOpportunity testOpportunity = TestsHelper.CreateArbitrationOpportunity(buyExchange, sellExchange, testRun.Id.Value);
//Before the test can continue, ensure the arbitraiton opportunity was properly inserted
Assert.IsTrue(testOpportunity.Id != null);
Transfer testTransfer = new Transfer(buyExchange, sellExchange, transferAmount);
//Get the max id from TRANSFER table
Object result = DatabaseManager.ExecuteQuery("select MaxId = max(id) from TRANSFER").Rows[0]["MaxId"];
if (result != DBNull.Value)
{
MaxId = (int)result;
}
//Now save the TRANSFER to the db
testTransfer.PersistToDb();
//Select the transfer from the db
result = DatabaseManager.ExecuteQuery(string.Format("select id from TRANSFER where id = {0} AND ORIGIN_EXCHANGE = '{1}' and DESTINATION_EXCHANGE = '{2}' AND AMOUNT = {3}", testTransfer.Id, buyExchange.Name, sellExchange.Name, transferAmount)).Rows[0][0];
//Clean up before testing result
if (result != DBNull.Value)
{
//Remove the test transfer
DatabaseManager.ExecuteNonQuery(String.Format("delete from TRANSFER where id = {0}", testTransfer.Id));
}
TestsHelper.DeleteArbitrationTrade(testOpportunity.Id.Value);
TestsHelper.DeleteArbitrationRun(testRun.Id.Value);
//The above query should return the transfer that was created.
Assert.IsTrue(result != DBNull.Value);
}
public void MostProfitableTrade_Rule_Validate()
{
List <BaseExchange> exchangeList = CreateExchangeList(new Anx(), new Bitstamp(), new Btce(), new ItBit(), new Kraken());
List <ArbitrationOpportunity> opportunityList = null;
ArbitrationOpportunity result;
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == null);
opportunityList = new List <ArbitrationOpportunity>();
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == null);
ArbitrationOpportunity opportunity1 = new ArbitrationOpportunity(exchangeList[0], exchangeList[1]);
opportunity1.Profit = 7.87m;
ArbitrationOpportunity opportunity2 = new ArbitrationOpportunity(exchangeList[3], exchangeList[2]);
opportunity2.Profit = 7.48m;
ArbitrationOpportunity opportunity3 = new ArbitrationOpportunity(exchangeList[4], exchangeList[3]);
opportunity3.Profit = 4.57m;
ArbitrationOpportunity opportunity4 = new ArbitrationOpportunity(exchangeList[1], exchangeList[4]);
opportunity4.Profit = 87.00m;
opportunityList.Add(opportunity1);
opportunityList.Add(opportunity2);
opportunityList.Add(opportunity3);
opportunityList.Add(opportunity4);
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == opportunity4);
opportunity2.Profit = 87.01m;
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == opportunity2);
opportunity1.Profit = 1000.00m;
result = ArbitrationFilter.MostProfitableTrade(opportunityList);
Assert.IsTrue(result == opportunity1);
}
public void BtceOrdersDoNotGetCheckedForFulfillment()
{
int requiredRoundsForValidarion = 3;
Btce btce = new Btce();
Kraken kraken = new Kraken();
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(btce);
exchangeList.Add(kraken);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
ArbitrationOpportunity testOpportunity = new ArbitrationOpportunity(btce, btce, 0.1m, 10.22m, 1.022m, 20.00m, 2.00m, 78m, 1);
//Set the buy and sell order id to 0 to mimic the behavior of immediately filled orders for Btce.
testOpportunity.BuyOrderId = "0";
testOpportunity.SellOrderId = "0";
//This will throw an error if it is not correct.
opportunityValidator.ValidateArbitrationTradeOrderExecution(testOpportunity);
}
public void PersistArbitrationOpportunity()
{
//Arbitraty test values
decimal buyAmount = 351.654316m;
decimal sellAmount = 351.654316m;
decimal buyPrice = 409.21m;
decimal sellPrice = 410.87m;
decimal totalBuyCost = 1201.14m;
decimal totalSellCost = 1301.54m;
decimal profit = totalSellCost - totalBuyCost;
string buyOrderId = "Abc-123";
string sellOrderId = "123-Abc";
DateTime executionDateTime = DateTime.Now;
Bitstamp buyExchange = new Bitstamp();
Btce sellExchange = new Btce();
ArbitrationRun testRun = null;
ArbitrationRun updateTestRun = null;
ArbitrationOpportunity testArbitrationTrade = null;
try
{
testRun = TestsHelper.CreateArbitrationRun();
updateTestRun = TestsHelper.CreateArbitrationRun();
testArbitrationTrade = new ArbitrationOpportunity(buyExchange, sellExchange);
testArbitrationTrade.BuyAmount = buyAmount;
testArbitrationTrade.SellAmount = sellAmount;
testArbitrationTrade.ArbitrationRunId = testRun.Id.Value;
testArbitrationTrade.BuyPrice = buyPrice;
testArbitrationTrade.ExecutionDateTime = executionDateTime;
testArbitrationTrade.Profit = profit;
testArbitrationTrade.SellPrice = sellPrice;
testArbitrationTrade.TotalBuyCost = totalBuyCost;
testArbitrationTrade.TotalSellCost = totalSellCost;
testArbitrationTrade.BuyOrderId = buyOrderId;
testArbitrationTrade.SellOrderId = sellOrderId;
//Now that the arbitration trade has been set up, save it to the db.
testArbitrationTrade.PersistToDb();
//Ensure an id was set after the initial insert
Assert.IsTrue(testArbitrationTrade.Id != null);
string insertFetchSql = string.Format("" +
"select " +
" ID, " +
" CREATE_DATETIME, " +
" LAST_MODIFIED_DATETIME " +
"from " +
" ARBITRATION_TRADE " +
"where " +
" ID = {0} AND " +
" BUY_AMOUNT = {1} AND " +
" BUY_PRICE = {2} AND " +
" SELL_PRICE = {3} AND" +
" TOTAL_BUY_COST = {4} AND " +
" TOTAL_SELL_COST = {5} AND " +
" PROFIT = {6} AND " +
" EXECUTION_DATETIME = '{7}' AND " +
" SELL_EXCHANGE = '{8}' AND " +
" BUY_EXCHANGE = '{9}' AND " +
" BUY_ORDER_ID = '{10}' AND " +
" SELL_ORDER_ID = '{11}' AND " +
" ARBITRATION_RUN_ID = {12} AND " +
" SELL_AMOUNT = {13}", testArbitrationTrade.Id.Value, buyAmount, buyPrice, sellPrice, totalBuyCost, totalSellCost, profit, executionDateTime.ToString("yyy-MM-dd HH:mm:ss"), sellExchange.Name, buyExchange.Name, buyOrderId, sellOrderId, testRun.Id.Value, sellAmount);
//Ensure all the values were properly inserted.
DataTable result = DatabaseManager.ExecuteQuery(insertFetchSql);
Assert.IsTrue(result != null && Convert.ToInt32(result.Rows[0]["ID"]) == testArbitrationTrade.Id.Value);
//Create some bogus dates for CREATE_DATETIME and LAST_MODIFIED_DATETIME
DateTime createDateTime = new DateTime(2014, 1, 1, 13, 25, 05);
DateTime lastModifiedDateTime = new DateTime(2014, 1, 1, 13, 25, 05);
//In order to test that CREATE_DATETIME and LAST_MODIFIED_DATETIME behave properly on updates, need to put some bogus data in there:
DatabaseManager.ExecuteNonQuery(string.Format("update ARBITRATION_TRADE set CREATE_DATETIME = '{0}', LAST_MODIFIED_DATETIME = '{1}' where ID = {2}", createDateTime.ToString("yyy-MM-dd HH:mm:ss"), lastModifiedDateTime.ToString("yyy-MM-dd HH:mm:ss"), testArbitrationTrade.Id.Value));
//Update properties with arbitraty test values.
buyAmount = 103264798.175785743216m;
sellAmount = 103264798.175785743216m;
buyPrice = 1.02m;
sellPrice = 10.02m;
totalBuyCost = 2.01m;
totalSellCost = 18.01m;
profit = totalSellCost - totalBuyCost;
executionDateTime = DateTime.Now;
buyOrderId = "Choctaw-47";
sellOrderId = "Apache-48";
//Update arbitration trade to have new values
testArbitrationTrade.BuyAmount = buyAmount;
testArbitrationTrade.SellAmount = sellAmount;
testArbitrationTrade.ArbitrationRunId = updateTestRun.Id.Value;
testArbitrationTrade.BuyPrice = buyPrice;
testArbitrationTrade.ExecutionDateTime = executionDateTime;
testArbitrationTrade.Profit = profit;
testArbitrationTrade.SellPrice = sellPrice;
testArbitrationTrade.TotalBuyCost = totalBuyCost;
testArbitrationTrade.TotalSellCost = totalSellCost;
testArbitrationTrade.BuyOrderId = buyOrderId;
testArbitrationTrade.SellOrderId = sellOrderId;
testArbitrationTrade.PersistToDb();
string updateFetchSql = string.Format("" +
"select " +
" ID, " +
" CREATE_DATETIME, " +
" LAST_MODIFIED_DATETIME " +
"from " +
" ARBITRATION_TRADE " +
"where " +
" ID = {0} AND " +
" BUY_AMOUNT = {1} AND " +
" BUY_PRICE = {2} AND " +
" SELL_PRICE = {3} AND" +
" TOTAL_BUY_COST = {4} AND " +
" TOTAL_SELL_COST = {5} AND " +
" PROFIT = {6} AND " +
" EXECUTION_DATETIME = '{7}' AND " +
" SELL_EXCHANGE = '{8}' AND " +
" BUY_EXCHANGE = '{9}' AND " +
" BUY_ORDER_ID = '{10}' AND " +
" SELL_ORDER_ID = '{11}' AND " +
" ARBITRATION_RUN_ID = {12} AND " +
" SELL_AMOUNT = {13}", testArbitrationTrade.Id.Value, buyAmount, buyPrice, sellPrice, totalBuyCost, totalSellCost, profit, executionDateTime.ToString("yyy-MM-dd HH:mm:ss"), sellExchange.Name, buyExchange.Name, buyOrderId, sellOrderId, updateTestRun.Id.Value, sellAmount);
result = DatabaseManager.ExecuteQuery(updateFetchSql);
//Ensure a record was found with all the updated values
Assert.IsTrue(result != null);
//Ensure the CREATE_DATETIME is the same, but the LAST_MODIFIED_DATETIME is different
Assert.IsTrue(createDateTime == (DateTime)result.Rows[0]["CREATE_DATETIME"]);
Assert.IsTrue(lastModifiedDateTime != (DateTime)result.Rows[0]["LAST_MODIFIED_DATETIME"]);
}
finally
{
//Remove test data from the database
if (testArbitrationTrade.Id != null)
{
TestsHelper.DeleteArbitrationTrade(testArbitrationTrade.Id.Value);
}
if (testRun.Id != null)
{
TestsHelper.DeleteArbitrationRun(testRun.Id.Value);
}
if (updateTestRun.Id != null)
{
TestsHelper.DeleteArbitrationRun(updateTestRun.Id.Value);
}
}
}
public void NotEnoughtBtcExceptionAreSwallowedCorrectly()
{
ArbitrationRun testRun = null;
ArbitrationOpportunity opportunity1 = null;
ArbitrationOpportunity opportunity2 = null;
ArbitrationOpportunity opportunity3 = null;
try
{
//Set up a test run
testRun = TestsHelper.CreateArbitrationRun();
//Set up the buy and sell exchanges.
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
bitstamp.AvailableBtc = 0.2m;
bitstamp.AvailableFiat = 100m;
kraken.AvailableBtc = 0.2m;
kraken.AvailableFiat = 30m;
//Initial trad; bitstamp will need to transfer 0.1 btc to kraken for this. It will be found in the rollup later.
//Bitstamp now has 0.4 btc.
opportunity1 = TestsHelper.CreateArbitrationOpportunity(bitstamp, kraken, testRun.Id.Value, 0.1m);
//Made up numbers; they don't really matter for this test
opportunity1.TotalBuyCost = 10m;
opportunity1.TotalSellCost = 10m;
bitstamp.SimulatedBuy(opportunity1.BuyAmount, opportunity1.TotalBuyCost);
kraken.SimulatedSell(opportunity1.BuyAmount, opportunity1.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.3m);
//Now a couple a trade where btc is sold off at Bitstamp; enough to make the rollup transfer fail
//Bitstamp now has 0.1
opportunity2 = TestsHelper.CreateArbitrationOpportunity(kraken, bitstamp, testRun.Id.Value, 0.3m);
//Made up numbers; they don't really matter for this test
opportunity2.TotalBuyCost = 30m;
opportunity2.TotalSellCost = 30m;
kraken.SimulatedBuy(opportunity2.BuyAmount, opportunity2.TotalBuyCost);
bitstamp.SimulatedSell(opportunity2.BuyAmount, opportunity2.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.0m);
//Now assume this trigger a transfer, so lets say 0.5btc is in transfer to bitstamp from kraken
bitstamp.BTCInTransfer = 0.5m;
//Now another buy at bitstamp; this will trigger a transfer rollup from bitstamp to kraken
opportunity3 = TestsHelper.CreateArbitrationOpportunity(bitstamp, kraken, testRun.Id.Value, 0.15m);
//Made up numbers; they don't really matter for this test
opportunity3.TotalBuyCost = 15m;
opportunity3.TotalSellCost = 15m;
bitstamp.SimulatedBuy(opportunity3.BuyAmount, opportunity3.TotalBuyCost);
kraken.SimulatedSell(opportunity3.BuyAmount, opportunity3.TotalSellCost);
Assert.IsTrue(bitstamp.AvailableBtc == 0.15m);
//This should detect a transfer, but not actually create it
List <Transfer> transferFound = TransferManager.DetectAndExecuteRollupTransfers_Simulate(3, testRun.Id.Value, exchangeList);
Assert.IsTrue(transferFound == null);
//Erase btc in transfer and look for transfers again, this time the TransferManager should throw an exception because
//a bad transfer has been found (it's amount is > bitstamp total btc)
bool errorFound = false;
bitstamp.BTCInTransfer = 0m;
try
{
TransferManager.DetectAndExecuteRollupTransfers_Simulate(2, testRun.Id.Value, exchangeList);
}
catch (NotEnoughBtcException e)
{
errorFound = true;
}
Assert.IsTrue(errorFound, "TransferManager did not throw NotEnoughBtcException.");
}
//Clean up test data
finally
{
if (opportunity1 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity1.Id.Value);
}
if (opportunity2 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity2.Id.Value);
}
if (opportunity3 != null)
{
TestsHelper.DeleteArbitrationTrade(opportunity3.Id.Value);
}
if (testRun != null)
{
TestsHelper.DeleteArbitrationTrade(testRun.Id.Value);
}
}
}
public void OpportunityProfitValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <BaseExchange> exchangeList = new List <BaseExchange>();
decimal amount = 0.2m;
decimal buyPrice = 150m;
decimal totalBuyCost = 30m;
decimal sellPrice = 200m;
decimal totalSellCost = 40m;
decimal profit = 10m;
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Note, can use a fake run id here because the trade is never persisted to the db.
ArbitrationOpportunity testOpportunity = new ArbitrationOpportunity(anx, bitstamp, amount, buyPrice, totalBuyCost, sellPrice, totalSellCost, profit, 1);
//First, set the balances for all the exchanges.
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Scenario 1; happy path. Buy and selling works as expected.
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through
anx.AvailableFiat -= totalBuyCost;
anx.AvailableBtc += amount;
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
//If there was as error, this will throw it.
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
//Scenario 2: Buy never happens. Validator should throw an error
bool errorThrown = false;
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through, but buy never happens. This should cause the validator to throw an error.
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
try
{
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
}
catch (Exception e)
{
errorThrown = true;
}
Assert.IsTrue(errorThrown);
}
public void OpportunityListValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
List <ArbitrationOpportunity> validatedList;
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Build of a list of opportunities:
ArbitrationOpportunity krakenItBitopportunity = new ArbitrationOpportunity(kraken, itBit)
{
Profit = 2.23m
};
ArbitrationOpportunity krakenBitstampopportunity = new ArbitrationOpportunity(kraken, bitstamp)
{
Profit = 0.50m
};
ArbitrationOpportunity anxItBitopportunity = new ArbitrationOpportunity(anx, itBit)
{
Profit = 2.01m
};
ArbitrationOpportunity anxItBitopportunity2 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 1.98m
};
ArbitrationOpportunity anxItBitopportunity3 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 0.27m
};
opportunityList.Add(krakenItBitopportunity);
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Add(anxItBitopportunity);
//Round one:
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round two:
opportunityList.Remove(krakenBitstampopportunity);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round three: An oppportunity between Anx and ItBit has survived until now (alebit with a different profit)
//Add the Kraken - Bitstamp opportunity.
//Remove Krakken - ItBit opportunity; it only lasts two rounds.
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Remove(krakenItBitopportunity);
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity2);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 1.98m);
//Round 4: anxItBitopportunity should still be in the returned list
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity3);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 0.27m);
//Round 5: anxItBitopportunity should still be in the returned list, krakenBitstampopportunity should have been added
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 2);
Assert.IsTrue(validatedList[0].Profit == 0.50m);
Assert.IsTrue(validatedList[1].Profit == 0.27m);
}
public void TradeForExchangeWithLowestBtc_Rule_ExchangeList_Null()
{
ArbitrationOpportunity result = ArbitrationFilter.TradeForExchangeWithLowestBtc(new List <ArbitrationOpportunity>(), null);
}
public void TradeForExchangeWithLowestBtc_Rule_OpportunityList_Null()
{
ArbitrationOpportunity result = ArbitrationFilter.TradeForExchangeWithLowestBtc(null, new List <BaseExchange>());
}
public void MostProfitableTradeWithPercentRestriction_Rule_Validate()
{
List <BaseExchange> exchangeList = CreateExchangeList(new Anx(), new Bitstamp(), new Btce(), new ItBit(), new Kraken(), new Anx());
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
ArbitrationOpportunity result;
//Ensure an exception is thrown when exchangeList is null
try
{
ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, null, 0.20m);
}
catch (ArgumentNullException) {}
//Ensure an exception is thrown when opportunityList is null
try
{
ArbitrationFilter.MostProfitableTradeWithPercentRestriction(null, exchangeList, 0.20m);
}
catch (ArgumentNullException) { }
//Ensure an exception is thrown when percentRestrictionAsDecimal is not valid
try
{
ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, -0.0000001m);
}
catch (ArgumentException) { }
try
{
ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 1.00000001m);
}
catch (ArgumentException) { }
//Ensure an empty excchange list returns null
List <ArbitrationOpportunity> throwAwayOpportunityList = new List <ArbitrationOpportunity>();
throwAwayOpportunityList.Add(new ArbitrationOpportunity(exchangeList[0], exchangeList[1]));
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(throwAwayOpportunityList, new List <BaseExchange>(), 0.45m);
Assert.IsTrue(result == null);
//Give all the test exchanges some money
//Have a total of = $500.00
exchangeList[0].AvailableFiat = 50.0m; //10%
exchangeList[1].AvailableFiat = 125.0m; //25%
exchangeList[2].AvailableFiat = 225.0m; //45%
exchangeList[3].AvailableFiat = 25.0m; //5%
exchangeList[4].AvailableFiat = 40.0m; //8%
exchangeList[5].AvailableFiat = 35.0m; //7%
//Ensure an empty opportunity list returns null
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.45m);
Assert.IsTrue(result == null);
//Buy @ Anx, sell @ Bitstamp. Would give Bitstamp 30.2% of the total money
ArbitrationOpportunity opportunity1 = new ArbitrationOpportunity(exchangeList[0], exchangeList[1]);
opportunity1.TotalSellCost = 26.0m;
opportunity1.Profit = 0.81m;
opportunityList.Add(opportunity1);
//Ensure in a list of 1, where the opportunity is valid, that opportunity is returned.
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.45m);
Assert.IsTrue(result == opportunity1);
//Ensure in a list of 1, where the opportunity is not valid, null is returned
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.25m);
Assert.IsTrue(result == null);
//Buy @ Bitstamp, sell @ btce. Would give Btce %53
ArbitrationOpportunity opportunity2 = new ArbitrationOpportunity(exchangeList[1], exchangeList[2]);
opportunity2.TotalSellCost = 40.00m;
opportunity2.Profit = 1.07m;
opportunityList.Add(opportunity2);
//In an out-of-order list of 2, the most profitable is still returned
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.53m);
Assert.IsTrue(result == opportunity2);
//Buy @ JustCoin, sell @ Kraken. Would give Kraken 8.4%
ArbitrationOpportunity opportunity3 = new ArbitrationOpportunity(exchangeList[3], exchangeList[4]);
opportunity3.TotalSellCost = 2.0m;
opportunity3.Profit = 0.01m;
opportunityList.Add(opportunity3);
//List of three, least profitable is the only valid
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.3019m);
Assert.IsTrue(result == opportunity3);
//List of two, second most profitable is valid
result = ArbitrationFilter.MostProfitableTradeWithPercentRestriction(opportunityList, exchangeList, 0.47982m);
Assert.IsTrue(result == opportunity1);
}
