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 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);
}
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();
}