public static void ClearSweeperCollection(MonitorEnter_BondArb_Accessor me)
{
SweeperCollectionDefault sc = me._node.GetSweeperCollection() as SweeperCollectionDefault;
SweeperCollectionDefault_Accessor sca = new SweeperCollectionDefault_Accessor(new PrivateObject(sc));
sca._done.Clear();
sca._live.Clear();
}
Sweeper_BondArb GetHousingSweeperSN(MonitorEnter_BondArb_Accessor me)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
SetAsZeroRMD(ref rmdNormal);
SetAsZeroRMD(ref rmdSmall);
int ret = 0;
// 5000에 소액을 사서 15000에 일반을 팔 수 있는 기회이다
SetImmeLongPart(rmdSmall, 300 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdSmall, 0, 0);
SetImmeLongPart(rmdNormal, 0, 0);
SetImmeShortPart(rmdNormal, 300 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(housingBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
return sweeper;
}
void TestCheckArbChance_NoArbCase2(MonitorEnter_BondArb_Accessor me, ref int innerKillWithNoticeCallingCount)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
int ret = 0;
// 9999에 사서 10000에 팔 수 있는 기회이다. (100)
SetImmeLongPart(rmdNormal, 100, 9999);
SetImmeShortPart(rmdSmall, 100, 10000);
// 1. rmdNormal에서 10000에 사자 주문이 working중인데 short을 하려고 하는 경우
RawMarketData rmdNormalForOrder = rmdNormal.Clone() as RawMarketData;
SetImmeLongPart(rmdNormalForOrder, 100, 10000);
// 수량이 적어 내부에서 에러난다
Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted.");
innerKillWithNoticeCallingCount++;
POrder o = new POrder(
TradingDirection.Long,
rmdNormalForOrder.Code,
rmdNormalForOrder.AskCount1,
rmdNormalForOrder.AskPrice1,
me._bondAccount,
rmdNormalForOrder,
MarketType._0_Bond_일반,
false);
POrderUtil.RequestOrder(o, null);
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-197, ret);
// 주문 넣는다
o.Update(100, 10000, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
// 더 이상 Legal 이슈가 없다.
ret = me.CheckArbChance(housingBondPair);
Assert.AreNotEqual(-197, ret);
// 2. rmdNormal에서 9999에 팔자 주문이 working중인데 long을 하려고 하는 경우
rmdNormalForOrder = rmdNormal.Clone() as RawMarketData;
SetImmeLongPart(rmdNormalForOrder, 0, 0);
SetImmeShortPart(rmdNormalForOrder, 100, 9999);
//수량이 적어 내부에서 에러난다
Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted.");
innerKillWithNoticeCallingCount++;
o = new POrder(TradingDirection.Short, rmdNormalForOrder.Code, rmdNormalForOrder.BidCount1, rmdNormalForOrder.BidPrice1, me._bondAccount, rmdNormalForOrder, MarketType._0_Bond_일반, false);
POrderUtil.RequestOrder(o, null);
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-197, ret);
// 주문 넣는다
o.Update(100, 9999, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
// 더 이상 Legal 이슈가 없다.
ret = me.CheckArbChance(housingBondPair);
Assert.AreNotEqual(-197, ret);
// 3. rmdSmall에서 10000에 사자 주문이 working중인데 short을 하려고 하는 경우
RawMarketData rmdSmallForOrder = rmdSmall.Clone() as RawMarketData;
SetImmeLongPart(rmdSmallForOrder, 100, 10000);
//수량이 적어 내부에서 에러난다.
Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted.");
innerKillWithNoticeCallingCount++;
o = new POrder(
TradingDirection.Long,
rmdSmallForOrder.Code,
rmdSmallForOrder.AskCount1,
rmdSmallForOrder.AskPrice1,
me._bondAccount,
rmdSmallForOrder,
MarketType._1_Bond_소액,
false);
POrderUtil.RequestOrder(o, null);
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-197, ret);
// 주문 넣는다
o.Update(100, 10000, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
// 더 이상 Legal 이슈가 없다.
ret = me.CheckArbChance(housingBondPair);
Assert.AreNotEqual(-197, ret);
// 4. rmdSmall에서 9999에 팔자 주문이 working중인데 long을 하려고 하는 경우
rmdSmallForOrder = rmdSmall.Clone() as RawMarketData;
SetImmeLongPart(rmdSmallForOrder, 0, 0);
SetImmeShortPart(rmdSmallForOrder, 100, 9999);
//수량이 적어 내부에서 에러난다.
Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted.");
innerKillWithNoticeCallingCount++;
o = new POrder(
TradingDirection.Short,
rmdSmallForOrder.Code,
rmdSmallForOrder.BidCount1,
rmdSmallForOrder.BidPrice1,
me._bondAccount,
rmdSmallForOrder,
MarketType._1_Bond_소액,
false);
POrderUtil.RequestOrder(o, null);
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-197, ret);
// 주문 넣는다
o.Update(100, 9999, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
// 5. 수량이 100개이므로 너무 작아 pnl에 의해 arb이 아닌 경우
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-202, ret);
// 6. 민평보다 높은 가격으로 매수하는 경우
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 14999);
SetImmeShortPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-207, ret);
// 7. 수량이 100,000보다 작아 arb이 아닌 경우 (pnl은 0보다 크다)
SetImmeLongPart(rmdNormal, 99 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdSmall, 99 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-202, ret);
// 8. 수량이 50,000,000를 넘지 못해 arb이 아닌 경우
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdSmall, 99 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
SetImmeLongPart(rmdNormal, 0, 0);
SetImmeShortPart(rmdNormal, 99 * CommonConst._1_000 * CommonConst._1_000, 15000);
SetImmeLongPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdSmall, 0, 0);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
}
void TestCheckArbChance_NoArbCase1(MonitorEnter_BondArb_Accessor me, ref int innerKillWithNoticeCallingCount)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
int ret = 0;
// RMD 값이 없다.
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-3, ret);
// 한쪽만 값이 있다.
SetImmeLongPart(rmdNormal, 100, 9999);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-3, ret);
// 둘다 값이 있지만
SetImmeShortPart(rmdSmall, 100, 9999);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-3, ret);
SetImmeShortPart(rmdSmall, 100, 10000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreNotEqual(-3, ret);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
}
int TestCheckArbChance(MonitorEnter_BondArb_Accessor me)
{
int killWithNoticeCallingCount = Util.GetKillWithNoticeCallingCount();
Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false);
int innerKillWithNoticeCallingCount = 0;
// Arb이 아닌 경우(가격이 아닌 경우)를 테스트한다.
TestCheckArbChance_NoArbCase1(me, ref innerKillWithNoticeCallingCount);
// Arb이 아닌 경우(여러 상황 때문에)를 테스트한다.
TestCheckArbChance_NoArbCase2(me, ref innerKillWithNoticeCallingCount);
// 기존 주문 때문에 Arb이 아닌 경우를 테스트한다.
TestCheckArbChance_NoArbCase3(me, ref innerKillWithNoticeCallingCount);
Assert.AreEqual(POrderBidAskCountManager.Ins().IsDirty(), false);
Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false);
Assert.AreEqual(killWithNoticeCallingCount + innerKillWithNoticeCallingCount, Util.GetKillWithNoticeCallingCount());
return innerKillWithNoticeCallingCount;
}
MonitorEnter_BondArb_Accessor CreateNewMonitorEnter_BondArb()
{
// STR_Arb을 생성하여 MonitorEnter_BondArbTest를 생성한다.
STR_Arb_Accessor arb = Unittest_BondArbUtil.CreateNewStrArbAccessor();
StrategyNode node = arb._bondArbNode as StrategyNode;
StrategyNode_Accessor nodeAccessor = new StrategyNode_Accessor(new PrivateObject(node));
MonitorEnter_BondArb me = nodeAccessor._monitorEnter as MonitorEnter_BondArb;
MonitorEnter_BondArb_Accessor meAccessor = new MonitorEnter_BondArb_Accessor(new PrivateObject(me));
return meAccessor;
}
void CreateOneSweeperAndSaveToUnittestFolder_NR()
{
// STR_Arb을 생성하여 MonitorEnter_BondArbTest를 생성한다.
STR_Arb_Accessor arb = Unittest_BondArbUtil.CreateNewStrArbAccessor();
StrategyNode node = arb._bondArbNode as StrategyNode;
StrategyNode_Accessor nodeAccessor = new StrategyNode_Accessor(new PrivateObject(node));
MonitorEnter_BondArb me = nodeAccessor._monitorEnter as MonitorEnter_BondArb;
MonitorEnter_BondArb_Accessor meAccessor = new MonitorEnter_BondArb_Accessor(new PrivateObject(me));
// 1. Create one sweeper
BondPair doosanBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdRetail = null;
SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdNormal, ref rmdRetail);
SetAsZeroRMD(ref rmdNormal);
SetAsZeroRMD(ref rmdRetail);
int ret = 0;
// 5000에 일반을 사서 15000에 소매에 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 300 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdRetail, 0, 0);
SetImmeShortPart(rmdRetail, 300 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = meAccessor.CheckArbChance(doosanBondPair);
Sweeper_BondArb sweeper = new Sweeper_BondArb(doosanBondPair, meAccessor._bondAccount);
meAccessor._node.GetSweeperCollection().Add(sweeper);
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 25000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 50000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
// 2억 체결
initLongOrder0.Update(200 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 3);
POrder balanceOrder0 = shortContext_Accessor.RealOrdersShort[0];
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[1];
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[2];
balanceOrder0.OrderNumber = 0;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
// balance order
Assert.AreEqual(balanceOrder0.Code, _kDoosanCode_Retail);
Assert.AreEqual(balanceOrder0.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder0.ReqCount, 25 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder0.ReqPrice, 15000);
// balance order 25,000,000 체결시킨다
balanceOrder0.Update(25 * CommonConst._1_000_000, 15000, true);
// Sweep
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder0.UpdateCancelMessage(initLongOrder0.ReqCount - initLongOrder0.ContractedCount);
balanceOrder0.UpdateCancelMessage(balanceOrder0.ReqCount - balanceOrder0.ContractedCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
}
// 2. save to unittest folder
arb.SaveBondArbRemainPosition(Const.UNITTEST_BOND_ARB_REMAIN_POSITION_PATH);
SetAsZeroAllCodes();
}
void TestEnterSweeperChance_NoArb(MonitorEnter_BondArb_Accessor me)
{
Assert.AreEqual(POrderBidAskCountManager.Ins().IsDirty(), false);
Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false);
// 1. 두 pair 모두 0이므로 no arb
BondPair housingBondPair = null;
RawMarketData rmdHousingNormal = null;
RawMarketData rmdHousingSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdHousingNormal, ref rmdHousingSmall);
BondPair doosanBondPair = null;
RawMarketData rmdDoosanNormal = null;
RawMarketData rmdDoosanRetail = null;
SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdDoosanNormal, ref rmdDoosanRetail);
SetAsZeroRMD(ref rmdHousingNormal);
SetAsZeroRMD(ref rmdHousingSmall);
SetAsZeroRMD(ref rmdDoosanNormal);
SetAsZeroRMD(ref rmdDoosanRetail);
me.BeforeEnterSweeperChance();
Assert.AreEqual(false, me.EnterSweeperChance(100));
Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0);
// 2. arb이 성립하는지 본 뒤 EnterSweeperChance(0)이므로 no arb
SetImmeLongPart(rmdDoosanNormal, 100 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdDoosanRetail, 100 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
Assert.AreEqual(true, me.EnterSweeperChance(100));
Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 1);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
Unittest_BondArbUtil.ClearSweeperCollection(me);
me.BeforeEnterSweeperChance();
const int kZero = 0;
Assert.AreEqual(false, me.EnterSweeperChance(kZero));
Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0);
}
void TestSweeper_BondArb_SN(MonitorEnter_BondArb_Accessor me)
{
Sweeper_BondArb sweeperSN = GetHousingSweeperSN(me);
TestSweeper_BondArb_SN_Init(me, sweeperSN);
TestSweeper_BondArb_SN_Running(me, sweeperSN);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
Unittest_BondArbUtil.ClearSweeperCollection(me);
}
void TestSweeper_BondArb_NS(MonitorEnter_BondArb_Accessor me)
{
// Sweeper_BondArb 생성자에서 해야할 일을 올바르게 하는지 검사한다.
Sweeper_BondArb sweeperNS = GetHousingSweeperNS(me);
TestSweeper_BondArb_NS_Init(me, sweeperNS);
TestSweeper_BondArb_NS_Running(me, sweeperNS);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
Unittest_BondArbUtil.ClearSweeperCollection(me);
}
void TestSweeper_BondArb_NR_Running(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 1. 소액 25,000,000 체결
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 25000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 50000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
initLongOrder0.Update(200 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 3);
POrder balanceOrder0 = shortContext_Accessor.RealOrdersShort[0];
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[1];
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[2];
balanceOrder0.OrderNumber = 0;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
// balance order
Assert.AreEqual(balanceOrder0.Code, _kDoosanCode_Retail);
Assert.AreEqual(balanceOrder0.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder0.ReqCount, 25 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder0.ReqPrice, 15000);
// balance order 25,000,000 체결시킨다
balanceOrder0.Update(25 * CommonConst._1_000_000, 15000, true);
// 4. Sweep 테스트를 진행한다.
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder0.UpdateCancelMessage(initLongOrder0.ReqCount - initLongOrder0.ContractedCount);
balanceOrder0.UpdateCancelMessage(balanceOrder0.ReqCount - balanceOrder0.ContractedCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
POrder sweepOrder = shortContext_Accessor.RealOrdersShort[3];
Assert.AreEqual(sweepOrder.ReqCount, 175 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder.Code, _kDoosanCode_Retail);
Assert.AreEqual(sweepOrder.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder.ReqPrice, 15000);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._6_MonitorRequestedSweepOrders);
Timer_Accessor mute_Accessor = new Timer_Accessor(new PrivateObject(shortSweepUnitTemplate_Accessor._mute));
// 더이상 On이 풀리지 않는다.
Assert.AreEqual(mute_Accessor.m_end > DateTime.Now.AddHours(1), true);
// 여기서 많이 불러봐도 소용없다.
Assert.AreEqual(sweeper.Run(), false);
sweepOrder.Update(100 * CommonConst._1_000_000, 15000, false);
Assert.AreEqual(sweeper.Run(), false);
sweepOrder.Update(175 * CommonConst._1_000_000, 15000, true);
Assert.AreEqual(sweeper.Run(), true);
}
void TestSweeper_BondArb(MonitorEnter_BondArb_Accessor me)
{
// 1. Normal-Small pair
TestSweeper_BondArb_NS(me);
// 2. Small-Normal pair
TestSweeper_BondArb_SN(me);
// 3. Normal-Retail pair
TestSweeper_BondArb_NR(me);
}
void LoadRemainPositionAndRun_SN()
{
Unittest_BondArbUtil.ForcedClearPOrderBidAskManager();
STR_Arb_Accessor arb = Unittest_BondArbUtil.CreateNewStrArbAccessor();
StrategyNode node = arb._bondArbNode as StrategyNode;
StrategyNode_Accessor nodeAccessor = new StrategyNode_Accessor(new PrivateObject(node));
MonitorEnter_BondArb me = nodeAccessor._monitorEnter as MonitorEnter_BondArb;
MonitorEnter_BondArb_Accessor meAccessor = new MonitorEnter_BondArb_Accessor(new PrivateObject(me));
// TakeOver
arb.TakeOverBondArbYesterdayPosition(Const.UNITTEST_BOND_ARB_REMAIN_POSITION_PATH);
List<ISweeper> sweepers = node.GetSweeperCollection().GetLives();
Sweeper_BondArb sweeper = sweepers[0] as Sweeper_BondArb;
Sweeper_BondArb_Accessor sweeper_Accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
if (DateTime.Now.Hour >= 9 && DateTime.Now.Hour <= 15)
{
Assert.AreEqual(arb.IsMonitorLimitOK(), true);
}
else
{
Assert.AreEqual(arb.IsMonitorLimitOK(), false);
}
Assert.AreEqual(arb.GetTotalSweeperLiveCount(), 1);
// TakeOver후 상태 점검
Assert.AreEqual(node.GetSweeperCollection().GetLiveSweeperCount(), 1);
String codeNoTail = BondUtil.GetCodeNoTail(sweeper.EnterCodeWithMarketType);
long possibleShortCount = arb.BondAccount.LongBlockManager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(possibleShortCount, 99999 * CommonConst._1_000);
SetAsZeroAllCodes();
arb.Run();
possibleShortCount = arb.BondAccount.LongBlockManager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(possibleShortCount, 0);
Assert.AreEqual(sweeper_Accessor._sweepUnitShort.Context.GetRealOrders().Count, 2);
List<POrder> orders = sweeper_Accessor._sweepUnitShort.Context.GetRealOrders();
POrder order0 = orders[0];
POrder order1 = orders[1];
Assert.AreEqual(orders.Count, 2);
Assert.AreEqual(order0.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(order0.ReqPrice, 15000);
// SN S로 주문
Assert.AreEqual(order0.Code, sweeper.EnterCodeWithMarketType);
Assert.AreEqual(order0.LongShort, TradingDirection.Short);
Assert.AreEqual(order1.ReqCount, 49999 * CommonConst._1_000);
Assert.AreEqual(order1.ReqPrice, 15000);
// SN S로 주문
Assert.AreEqual(order1.Code, sweeper.EnterCodeWithMarketType);
Assert.AreEqual(order1.LongShort, TradingDirection.Short);
arb.Run();
order0.Update(order0.ReqCount, order0.ReqPrice, true);
arb.Run();
possibleShortCount = arb.BondAccount.LongBlockManager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(possibleShortCount, 0);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(arb.GetTotalSweeperLiveCount(), 1);
order1.Update(order1.ReqCount, order1.ReqPrice, true);
arb.Run();
possibleShortCount = arb.BondAccount.LongBlockManager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(possibleShortCount, 0);
Assert.AreEqual(sweeper.Run(), true);
Assert.AreEqual(arb.GetTotalSweeperLiveCount(), 0);
}
void CreateOneSweeperAndSaveToUnittestFolder_SN()
{
// STR_Arb을 생성하여 MonitorEnter_BondArbTest를 생성한다.
STR_Arb_Accessor arb = Unittest_BondArbUtil.CreateNewStrArbAccessor();
StrategyNode node = arb._bondArbNode as StrategyNode;
StrategyNode_Accessor nodeAccessor = new StrategyNode_Accessor(new PrivateObject(node));
MonitorEnter_BondArb me = nodeAccessor._monitorEnter as MonitorEnter_BondArb;
MonitorEnter_BondArb_Accessor meAccessor = new MonitorEnter_BondArb_Accessor(new PrivateObject(me));
Sweeper_BondArb sweeper = GetHousingSweeperSN(meAccessor);
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 1. 소액 99,999,000 체결
longContext_Accessor._initOrders[0].OrderNumber = 0;
longContext_Accessor._initOrders[1].OrderNumber = 0;
longContext_Accessor._initOrders[2].OrderNumber = 0;
longContext_Accessor._initOrders[3].OrderNumber = 0;
longContext_Accessor._initOrders[4].OrderNumber = 0;
longContext_Accessor._initOrders[5].OrderNumber = 0;
longContext_Accessor._initOrders[0].Update(50000 * CommonConst._1_000, longContext_Accessor._initOrders[0].ReqPrice, true);
longContext_Accessor._initOrders[1].Update(49999 * CommonConst._1_000, longContext_Accessor._initOrders[1].ReqPrice, false);
// 4. Sweep 테스트를 진행한다.
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
Assert.AreEqual(sweeper.Run(), false);
longContext_Accessor._initOrders[1].UpdateCancelMessage(1000);
longContext_Accessor._initOrders[2].UpdateCancelMessage(longContext_Accessor._initOrders[2].ReqCount);
longContext_Accessor._initOrders[3].UpdateCancelMessage(longContext_Accessor._initOrders[3].ReqCount);
longContext_Accessor._initOrders[4].UpdateCancelMessage(longContext_Accessor._initOrders[4].ReqCount);
longContext_Accessor._initOrders[5].UpdateCancelMessage(longContext_Accessor._initOrders[5].ReqCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 99999 * CommonConst._1_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 99999 * CommonConst._1_000);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
POrder sweepOrder0 = shortContext_Accessor.RealOrdersShort[0];
POrder sweepOrder1 = shortContext_Accessor.RealOrdersShort[1];
Assert.AreEqual(sweepOrder0.ReqCount, 50000 * CommonConst._1_000);
Assert.AreEqual(sweepOrder0.ReqPrice, 15000);
Assert.AreEqual(sweepOrder1.ReqCount, 49999 * CommonConst._1_000);
Assert.AreEqual(sweepOrder1.ReqPrice, 15000);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._6_MonitorRequestedSweepOrders);
Timer_Accessor mute_Accessor = new Timer_Accessor(new PrivateObject(shortSweepUnitTemplate_Accessor._mute));
// 더이상 On이 풀리지 않는다.
Assert.AreEqual(mute_Accessor.m_end > DateTime.Now.AddHours(1), true);
// 여기서 많이 불러봐도 소용없다.
Assert.AreEqual(sweeper.Run(), false);
}
// 2. save to unittest folder
arb.SaveBondArbRemainPosition(Const.UNITTEST_BOND_ARB_REMAIN_POSITION_PATH);
SetAsZeroAllCodes();
}
void TestCheckArbChance_NoArbCase3(MonitorEnter_BondArb_Accessor me, ref int innerKillWithNoticeCallingCount)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
int ret = 0;
// 5000에 사서 15000에 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
POrder o = new POrder(TradingDirection.Long, rmdNormal.Code, 50 * CommonConst._1_000 * CommonConst._1_000, rmdNormal.AskPrice1, me._bondAccount, rmdNormal, MarketType._0_Bond_일반, false);
POrderUtil.RequestOrder(o, null);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
o.Update(o.ReqCount, 0, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(housingBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
// long쪽에 많지만 sweeper에서 short쪽을 잡아주었기 때문에 이 경우 arb이 성립되지 않는다.
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 150 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
// 다음 테스트 등을 위해서 깨끗이 지워준다.
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
// rmd도 깨끗이 정리한다.
SetImmeLongPart(rmdNormal, 0, 0);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 0, 0);
Unittest_BondArbUtil.ClearSweeperCollection(me);
Unittest_BondArbUtil.ForcedClearPOrderBidAskManager();
}
void TestEnterSweeperChance(MonitorEnter_BondArb_Accessor me)
{
// 1. 기회가 없는 경우
TestEnterSweeperChance_NoArb(me);
// 2. 기회가 있는 경우 (한종목)
TestEnterSweeperChance_OneArb(me);
// 3. 기회가 있는 경우 (두종목)
TestEnterSweeperChance_TwoArb(me);
}
void TestSweeper_BondArb_SN_Init(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 초기 주문이 잘 들어갔는지 검사한다.
// 템플릿 상태는 모두 _1_MuteFewSecsAfterInitOrders이고 Long쪽은 주문이 들어가 있어야 한다.
Assert.AreEqual(longSweepUnitTemplate_Accessor._aging, 0);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._aging, 0);
Assert.AreEqual(longSweepUnitTemplate_Accessor._bCompleteQuickly, false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._bCompleteQuickly, false);
Assert.AreEqual(longSweepUnitTemplate_Accessor._bResumed, false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._bResumed, false);
Assert.AreEqual(longSweepUnitTemplate_Accessor._maxWaiting, null);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._maxWaiting, null);
Assert.AreEqual(longSweepUnitTemplate_Accessor._mute.On(), true);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._mute.On(), true);
Assert.AreEqual(longSweepUnitTemplate_Accessor._muteSec, 5);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._muteSec, 5);
Assert.AreEqual(longSweepUnitTemplate_Accessor._sweepMonitorSec, SweepUnitTemplate.SLOW_SWEEP_SEC);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._sweepMonitorSec, SweepUnitTemplate.SLOW_SWEEP_SEC);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurOverviewState, SweepUnitTemplate.OverviewState.Enter);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurOverviewState, SweepUnitTemplate.OverviewState.Enter);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._1_MuteFewSecsAfterInitOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._1_MuteFewSecsAfterInitOrders);
Assert.AreEqual(longSweepUnitTemplate_Accessor.GetSignedPossibleContractCount(), 300 * CommonConst._1_000_000);
// 주문 낸 것이 없으로 Short part에서는 0
Assert.AreEqual(shortSweepUnitTemplate_Accessor.GetSignedPossibleContractCount(), 0);
// 아직 체결된 것이 없으므로 둘다 0
Assert.AreEqual(longSweepUnitTemplate_Accessor.GetSignedContractedCount(), 0);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.GetSignedContractedCount(), 0);
Assert.AreEqual(longSweepUnitTemplate_Accessor.IsException(), false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.IsException(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.IsOverAging(), false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.IsOverAging(), false);
// Context를 검사한다.
Assert.AreEqual(longContext_Accessor._bCalledAfterSetTarget, false);
Assert.AreEqual(longContext_Accessor._dummyShortOrderForReserveBidAskCount.ReqCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(longContext_Accessor._dummyShortOrderForReserveBidAskCount.ReqPrice, 15000);
Assert.AreEqual(longContext_Accessor._enterMarketType, MarketType._1_Bond_소액);
Assert.AreEqual(longContext_Accessor._initEnterPrice, 5000);
Assert.AreEqual(longContext_Accessor._initOrders.Count, 6);
POrder initLongOrder = longContext_Accessor._initOrders[0];
Assert.AreEqual(initLongOrder.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(initLongOrder.ReqPrice, 5000);
Assert.AreEqual(initLongOrder.Market, MarketType._1_Bond_소액);
Assert.AreEqual(initLongOrder.LongShort, TradingDirection.Long);
Assert.AreEqual(initLongOrder.Code, _kHousingBondCode_Small);
Assert.AreEqual(initLongOrder.CodeNoTail, _kHousingBondCodeNoTail);
Assert.AreEqual(shortContext_Accessor._enterMarketType, MarketType._1_Bond_소액);
Assert.AreEqual(shortContext_Accessor._pairMarketType, MarketType._0_Bond_일반);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.EnterCode, _kHousingBondCode_Small);
Assert.AreEqual(shortContext_Accessor.LongShort, TradingDirection.Short);
Assert.AreEqual(shortContext_Accessor.PairCode, _kHousingBondCode_Normal);
}
void TestEnterSweeperChance_TwoArb(MonitorEnter_BondArb_Accessor me)
{
// 두 pair 모두 0으로 값을 설정한 후 테스트한다.
BondPair housingBondPair = null;
RawMarketData rmdHousingNormal = null;
RawMarketData rmdHousingSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdHousingNormal, ref rmdHousingSmall);
BondPair doosanBondPair = null;
RawMarketData rmdDoosanNormal = null;
RawMarketData rmdDoosanRetail = null;
SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdDoosanNormal, ref rmdDoosanRetail);
SetAsZeroRMD(ref rmdHousingNormal);
SetAsZeroRMD(ref rmdHousingSmall);
SetAsZeroRMD(ref rmdDoosanNormal);
SetAsZeroRMD(ref rmdDoosanRetail);
me.BeforeEnterSweeperChance();
Assert.AreEqual(false, me.EnterSweeperChance(100));
Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0);
// 두개 모두 arb가능
SetImmeLongPart(rmdDoosanNormal, 100 * CommonConst._1_000_000, 5000);
SetImmeShortPart(rmdDoosanRetail, 100 * CommonConst._1_000_000, 15000);
SetImmeLongPart(rmdHousingNormal, 100 * CommonConst._1_000_000, 5000);
SetImmeShortPart(rmdHousingSmall, 100 * CommonConst._1_000_000, 15000);
me.BeforeEnterSweeperChance();
Assert.AreEqual(true, me.EnterSweeperChance(100));
Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 2);
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
Unittest_BondArbUtil.ClearSweeperCollection(me);
}
void TestSweeper_BondArb_SN_Running(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 1. 소액 25,000,000 체결
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
POrder initLongOrder1 = longContext_Accessor._initOrders[1];
initLongOrder1.OrderNumber = 0;
initLongOrder1.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
initLongOrder1.Update(49999000, 5000, false);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
// 1억째 되었다
initLongOrder1.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
POrder initLongOrder2 = longContext_Accessor._initOrders[2];
initLongOrder2.OrderNumber = 0;
initLongOrder2.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder2.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder2), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
POrder initLongOrder3 = longContext_Accessor._initOrders[3];
initLongOrder3.OrderNumber = 0;
initLongOrder3.Update(49999000, 5000, false);
Assert.AreEqual(initLongOrder3.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder3), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder3.Update(50000000, 5000, true);
Assert.AreEqual(initLongOrder3.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder3), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
// balance order
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[0];
Assert.AreEqual(balanceOrder1.Code, _kHousingBondCode_Normal);
Assert.AreEqual(balanceOrder1.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder1.ReqCount, 100 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder1.ReqPrice, 15000);
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[1];
Assert.AreEqual(balanceOrder2.Code, _kHousingBondCode_Normal);
Assert.AreEqual(balanceOrder2.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder2.ReqCount, 100 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder2.ReqPrice, 15000);
// 2. 일반을 79,900,000만큼 체결시킨다.
balanceOrder1.Update(79900 * CommonConst._1_000, 5000, false);
Assert.AreEqual(balanceOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(balanceOrder1), true);
// 4. Sweep 테스트를 진행한다.
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
POrder initLongOrder4 = longContext_Accessor._initOrders[4];
POrder initLongOrder5 = longContext_Accessor._initOrders[5];
initLongOrder4.OrderNumber = 0;
initLongOrder5.OrderNumber = 0;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder4.Update(CommonConst._1_000, 5000, false);
initLongOrder4.UpdateCancelMessage(initLongOrder4.ReqCount - CommonConst._1_000);
initLongOrder5.UpdateCancelMessage(initLongOrder5.ReqCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000 + CommonConst._1_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * (200 * CommonConst._1_000_000 + CommonConst._1_000));
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
POrder sweepOrder1 = shortContext_Accessor.RealOrdersShort[2];
POrder sweepOrder2 = shortContext_Accessor.RealOrdersShort[3];
POrder sweepOrder3 = shortContext_Accessor.RealOrdersShort[4];
//121,001,000
Assert.AreEqual(sweepOrder1.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder2.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder3.ReqCount, 20101000);
Assert.AreEqual(sweepOrder1.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder2.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder3.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder1.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder2.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder3.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder1.ReqPrice, 15000);
Assert.AreEqual(sweepOrder2.ReqPrice, 15000);
Assert.AreEqual(sweepOrder3.ReqPrice, 15000);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._6_MonitorRequestedSweepOrders);
Timer_Accessor mute_Accessor = new Timer_Accessor(new PrivateObject(shortSweepUnitTemplate_Accessor._mute));
// 더이상 On이 풀리지 않는다.
Assert.AreEqual(mute_Accessor.m_end > DateTime.Now.AddHours(1), true);
// 여기서 많이 불러봐도 소용없다.
Assert.AreEqual(sweeper.Run(), false);
sweepOrder1.Update(50000000, 15000, true);
sweepOrder2.Update(50000000, 15000, true);
Assert.AreEqual(sweeper.Run(), false);
sweepOrder3.Update(20101000, 15000, true);
Assert.AreEqual(sweeper.Run(), true);
}
