/// <summary>
/// Filter orders that are already calculated
/// </summary>
/// <returns></returns>
private List <Order> GetOrdersForCalculation()
{
//read orders synchronously
var openOrders = _orderReader.GetActive();
//prepare the list of orders
var lastInvocationTime = CalcLastInvocationTime();
var calculatedIds = _overnightSwapCache.GetAll().Where(x => x.IsSuccess && x.Time >= lastInvocationTime)
.Select(x => x.OpenOrderId).ToHashSet();
//select only non-calculated orders, changed before current invocation time
var filteredOrders =
openOrders.Where(x => !calculatedIds.Contains(x.Id) && x.OpenDate <= lastInvocationTime).ToList();
//detect orders for which last calculation failed and it was closed
var failedClosedOrders = _overnightSwapHistoryRepository.GetAsync(lastInvocationTime, _currentStartTimestamp)
.GetAwaiter().GetResult()
.Where(x => !x.IsSuccess).Select(x => x.OpenOrderId)
.Except(openOrders.Select(y => y.Id)).ToList();
if (failedClosedOrders.Any())
{
_log.WriteErrorAsync(nameof(OvernightSwapService), nameof(GetOrdersForCalculation), new Exception(
$"Overnight swap calculation failed for some orders and they were closed before recalculation: {string.Join(", ", failedClosedOrders)}."),
DateTime.UtcNow).GetAwaiter().GetResult();
}
return(filteredOrders);
}
public async Task OvernightSwapCalculation_Success()
{
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "BTCUSD", Bid = 9000M, Ask = 9010M
}));
await _accountAssetsRepository.AddOrReplaceAsync(new AccountAssetPair
{
TradingConditionId = MarginTradingTestsUtils.TradingConditionId,
BaseAssetId = "USD",
Instrument = "BTCUSD",
LeverageInit = 100,
LeverageMaintenance = 150,
SwapLong = 100,
SwapShort = 100,
OvernightSwapLong = 1,
OvernightSwapShort = 1
});
await _accountAssetsManager.UpdateAccountAssetsCache();
var accountId = (await _fakeMarginTradingAccountsRepository.GetAllAsync("1"))
.First(x => x.ClientId == "1" && x.BaseAssetId == "USD").Id;
_ordersCache.ActiveOrders.Add(new Order
{
Id = "1",
AccountId = accountId,
Instrument = "BTCUSD",
ClientId = "1",
TradingConditionId = "1",
AccountAssetId = "USD",
Volume = 1,
OpenDate = new DateTime(2017, 01, 01, 20, 50, 0),
CloseDate = new DateTime(2017, 01, 02, 20, 50, 0),
MatchedOrders = new MatchedOrderCollection(new List <MatchedOrder> {
new MatchedOrder()
{
Volume = 1
}
}),
LegalEntity = "LYKKETEST",
});
var accountBalance = (await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance;
_overnightSwapService.CalculateAndChargeSwaps();
var calc = _overnightSwapCache.GetAll().First();
Assert.AreEqual(24.68493151M, calc.Value);
Assert.True(calc.IsSuccess);
Assert.AreEqual(accountBalance - 24.68493151M, (await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance);
}
/// <summary>
/// Filter orders that are already calculated
/// </summary>
/// <returns></returns>
private IEnumerable <Order> GetOrdersForCalculation()
{
//read orders syncronously
var openOrders = _orderReader.GetActive();
//prepare the list of orders
var lastInvocationTime = CalcLastInvocationTime;
var lastCalculation = _overnightSwapCache.GetAll().Where(x => x.Time > lastInvocationTime).ToList();
var calculatedIds = lastCalculation.Where(x => x.IsSuccess).SelectMany(x => x.OpenOrderIds).ToHashSet();
var filteredOrders = openOrders.Where(x => !calculatedIds.Contains(x.Id));
//detect orders for which last calculation failed and it was closed
var failedClosedOrders = lastCalculation.Where(x => !x.IsSuccess).SelectMany(x => x.OpenOrderIds)
.Except(openOrders.Select(y => y.Id)).ToList();
if (failedClosedOrders.Any())
{
_log.WriteErrorAsync(nameof(OvernightSwapService), nameof(GetOrdersForCalculation), new Exception(
$"Overnight swap calculation failed for some orders and they were closed before recalculation: {string.Join(", ", failedClosedOrders)}."),
DateTime.UtcNow).GetAwaiter().GetResult();
}
return(filteredOrders);
}
public async Task OvernightSwapCalculation_Success()
{
var dsMock = Mock.Get(Container.Resolve <IDateService>());
dsMock.Setup(d => d.Now()).Returns(new DateTime(2017, 1, 2));
await _accountAssetsRepository.AddOrReplaceAsync(new AccountAssetPair
{
TradingConditionId = MarginTradingTestsUtils.TradingConditionId,
BaseAssetId = "USD",
Instrument = "BTCUSD",
LeverageInit = 100,
LeverageMaintenance = 150,
SwapLong = 100,
SwapShort = 100,
OvernightSwapLong = 1,
OvernightSwapShort = 1
});
await _accountAssetsManager.UpdateAccountAssetsCache();
var accountId = (await _fakeMarginTradingAccountsRepository.GetAllAsync("1"))
.First(x => x.ClientId == "1" && x.BaseAssetId == "USD").Id;
_ordersCache.ActiveOrders.Add(new Order
{
Id = "1",
AccountId = accountId,
Instrument = "BTCUSD",
ClientId = "1",
TradingConditionId = "1",
AccountAssetId = "USD",
Volume = 1,
OpenDate = new DateTime(2017, 01, 01, 20, 50, 0),
MatchedOrders = new MatchedOrderCollection(new List <MatchedOrder> {
new MatchedOrder()
{
Volume = 1
}
}),
LegalEntity = "LYKKETEST",
});
_ordersCache.ActiveOrders.Add(new Order
{
Id = "2",
AccountId = accountId,
Instrument = "BTCUSD",
ClientId = "1",
TradingConditionId = "1",
AccountAssetId = "USD",
Volume = 1,
OpenDate = new DateTime(2017, 01, 02, 20, 50, 0),
MatchedOrders = new MatchedOrderCollection(new List <MatchedOrder> {
new MatchedOrder()
{
Volume = 1
}
}),
LegalEntity = "LYKKETEST",
});
const decimal swapValue = 0.00273973M;
var initialAccountBalance = (await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance;
_overnightSwapService.CalculateAndChargeSwaps();
var calculations = _overnightSwapCache.GetAll();
Assert.AreEqual(1, calculations.Count); //only order 1 should be calculated
var singleCalc = calculations.First();
Assert.AreEqual(swapValue, singleCalc.Value);
Assert.True(singleCalc.IsSuccess);
Assert.AreEqual(initialAccountBalance - swapValue, (await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance);
//move few hours later and calculate again
dsMock.Setup(d => d.Now()).Returns(new DateTime(2017, 1, 2, 2, 0, 0));
//nothing should change
calculations = _overnightSwapCache.GetAll();
Assert.AreEqual(1, calculations.Count);
Assert.AreEqual(initialAccountBalance - swapValue, (await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance);
_overnightSwapService.CalculateAndChargeSwaps();
//move to next day and calculate again
dsMock.Setup(d => d.Now()).Returns(new DateTime(2017, 1, 3));
_overnightSwapService.CalculateAndChargeSwaps();
calculations = _overnightSwapCache.GetAll();
Assert.AreEqual(2, calculations.Count); // both order 1 and order 2 should be calculated
Assert.AreEqual(initialAccountBalance - swapValue * 3,
(await _fakeMarginTradingAccountsRepository.GetAsync(accountId)).Balance);
}