Sweeper_BondArb GetHousingSweeperNS(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 일반을 사서 15000에 소액을 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);
Sweeper_BondArb sweeper = new Sweeper_BondArb(housingBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
return sweeper;
}
Sweeper_BondArb GetDoosanSweeperNR(MonitorEnter_BondArb_Accessor me)
{
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 = me.CheckArbChance(doosanBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(doosanBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
return sweeper;
}
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 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 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 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);
}