public void DOMMidprice()
{
// Arrange
const decimal BUY_PRICE = 6004.5m;
const decimal SELL_PRICE = 6016.0m;
const decimal EXPECTED_MIDPRICE = 6010.25m;
const decimal LOTS = 100m;
var bids = new List <Tuple <decimal, decimal> >();
bids.Add(new Tuple <decimal, decimal>(BUY_PRICE - 10m, LOTS));
bids.Add(new Tuple <decimal, decimal>(BUY_PRICE, LOTS));
bids.Add(new Tuple <decimal, decimal>(BUY_PRICE - 100m, LOTS));
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(SELL_PRICE + 45m, LOTS));
asks.Add(new Tuple <decimal, decimal>(SELL_PRICE, LOTS));
asks.Add(new Tuple <decimal, decimal>(SELL_PRICE + 167m, LOTS));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, 0.1, 100m);
// Asert
Assert.AreEqual(EXPECTED_MIDPRICE, d.MidPrice, $"Incorrect mid-price for spread {BUY_PRICE}..{SELL_PRICE}");
}
public void FilterOutFarOrders()
{
// Arrange
const decimal EXPECTED_MIDPRICE = 4510.25m;
const double RADIUS_FROM_MIDPRICE_PERCENT = 0.5; // 50% from mid price
const decimal BUY_PRICE = EXPECTED_MIDPRICE - EXPECTED_MIDPRICE * (decimal)(RADIUS_FROM_MIDPRICE_PERCENT)-0.5m; // 0.5 ticks below lower border
const decimal SELL_PRICE = EXPECTED_MIDPRICE + EXPECTED_MIDPRICE * (decimal)(RADIUS_FROM_MIDPRICE_PERCENT)+0.5m; // 0.5 ticks over upper border
const decimal EXPECTED_LIQUIDITY = 47m;
const decimal LOTS = 100m;
var bids = new List <Tuple <decimal, decimal> >();
bids.Add(new Tuple <decimal, decimal>(BUY_PRICE, LOTS));
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(SELL_PRICE, LOTS));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, RADIUS_FROM_MIDPRICE_PERCENT, EXPECTED_LIQUIDITY);
// Asert
Assert.AreEqual(EXPECTED_MIDPRICE, d.MidPrice, $"Incorrect mid-price for spread {BUY_PRICE}..{SELL_PRICE}");
// Since all far orders are filtered out, so we need to create buy and sell orders to make liquidity
Assert.AreEqual(0m, d.SellAmount, "Sell not filtered out");
Assert.AreEqual(0m, d.BuyAmount, "Buy not filtered out");
Assert.AreEqual(EXPECTED_LIQUIDITY / 2.0m, d.BuyDisbalance, "Expected to buy");
Assert.AreEqual(EXPECTED_LIQUIDITY / 2.0m, d.SellDisbalance, "Expected to sell");
}
public void SingleSellMidprice()
{
// Arrange
const decimal PRICE = 1.2345m;
const decimal LOTS = 100m;
var bids = new List <Tuple <decimal, decimal> >();
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(PRICE, LOTS));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, 0.1, 100m);
// Asert
Assert.AreEqual(PRICE, d.MidPrice, "Incorrect mid-price");
}
public void OppositeOrderToSingleSell()
{
// Arrange
const decimal PRICE = 6056.0m;
const int LOT_SIZE = 2;
const decimal REQUIRED_LIQUIDITY_IN_DOM = PRICE * LOT_SIZE * 2; // 2 orders with the same price*vol
var bids = new List <Tuple <decimal, decimal> >();
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(PRICE, LOT_SIZE));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, 1, REQUIRED_LIQUIDITY_IN_DOM);
// Asert
Assert.AreEqual(PRICE, d.MidPrice, "Incorrect mid-price");
Assert.AreEqual(0m, d.BuyAmount, "Incorrect buy amount");
Assert.AreEqual(0m, d.SellDisbalance, "Not expected to sell");
Assert.AreEqual(PRICE * LOT_SIZE, d.SellAmount, "Incorrect sell amount");
Assert.AreEqual(PRICE * LOT_SIZE, d.BuyDisbalance, "Expected to buy");
}
public void SingleLargeSell()
{
// Arrange
const decimal PRICE = 6056.0m;
const int LOTS = 2;
const decimal REQUIRED_LIQUIDITY_IN_DOM = PRICE * LOTS * 0.8m;
var bids = new List <Tuple <decimal, decimal> >();
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(PRICE, LOTS));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, 1, REQUIRED_LIQUIDITY_IN_DOM);
// Asert
Assert.AreEqual(PRICE, d.MidPrice, "Incorrect mid-price");
Assert.AreEqual(0m, d.BuyAmount, "Incorrect buy amount");
Assert.Less(d.SellDisbalance, 0m, "Sell disbalance shall be negative (need close/eat some sell LMTs)");
Assert.AreEqual(PRICE * LOTS, d.SellAmount, "Incorrect sell amount");
Assert.AreEqual(REQUIRED_LIQUIDITY_IN_DOM / 2.0m, d.BuyDisbalance, "Expected to buy");
}
/// <summary>
/// Calcs balance and mid-price for the book. Provided bids and asks shall not contain own order.
/// </summary>
/// <param name="instr">Instrument</param>
/// <param name="radiusFromMidpricePercent">Percent around mid-price to filter asks and bids</param>
/// <param name="requiredLiquidity">Required liquidity to have in DOM within radiusFromMidpricePercent</param>
public DOMBalance(Instrument instr, SimpleDOM dom, double radiusFromMidpricePercent, decimal requiredLiquidity)
{
if (dom == null)
{
throw new ArgumentNullException(nameof(dom));
}
IList <Tuple <decimal, decimal> > bids = dom.Bids;
IList <Tuple <decimal, decimal> > asks = dom.Asks;
if (requiredLiquidity < 0)
{
throw new ArgumentOutOfRangeException();
}
if (radiusFromMidpricePercent <= 0)
{
throw new ArgumentOutOfRangeException();
}
if (bids == null || asks == null)
{
throw new ArgumentNullException("Please provide empty list instead of null");
}
Instrument = instr;
// BBA
var bestBid = bids.OrderBy(b => b.Item1).LastOrDefault();
decimal?bidPrice = null;
if (bestBid != null)
{
bidPrice = bestBid.Item1;
}
var bestAsk = asks.OrderBy(b => b.Item1).FirstOrDefault();
decimal?askPrice = null;
if (bestAsk != null)
{
askPrice = bestAsk.Item1;
}
// Mid price
if (bidPrice == null && askPrice != null)
{
MidPrice = askPrice;
}
if (bidPrice != null && askPrice == null)
{
MidPrice = bidPrice;
}
if (bidPrice != null && askPrice != null)
{
MidPrice = (askPrice + bidPrice) / 2.0m;
}
if (!MidPrice.HasValue)
{
return;
}
foreach (var b in bids)
{
if (b.Item1 >= MidPrice - MidPrice * (decimal)radiusFromMidpricePercent)
{
BuyAmount += b.Item1 * b.Item2;
}
}
foreach (var a in asks)
{
if (a.Item1 <= MidPrice + MidPrice * (decimal)radiusFromMidpricePercent)
{
SellAmount += a.Item1 * a.Item2;
}
}
BuyDisbalance = requiredLiquidity / 2.0m - BuyAmount;
SellDisbalance = requiredLiquidity / 2.0m - SellAmount;
}
