public void ProbabilityCalculationTest()
{
var calculator = new SpreadCalculator();
var maxProbability = calculator.CalculateNormalDistribution(7, 7);
Assert.Equal(1.0, maxProbability, 1);
}
/// <summary>
/// A simple function that takes a string and does a ToUpper
/// </summary>
/// <param name="input"></param>
/// <param name="context"></param>
/// <returns></returns>
public object FunctionHandler(InputModel input, ILambdaContext context)
{
if (input == null)
{
return(new List <int> {
42
});
}
if (input.WorkStart > input.BusiestHour || input.BusiestHour > input.WorkEnd)
{
return(new List <int>());
}
var weightCalculator = new WeightCalculator();
var spreadCalculator = new SpreadCalculator();
var weights = weightCalculator.Calculate(input);
var spread = spreadCalculator.Calculate(input, weights);
return(spread);
}
public void SpreadCalculateWithStaticWeightsTest()
{
var calculator = new SpreadCalculator();
var input = new InputModel
{
WorkStart = 9,
WorkEnd = 18,
BusiestHour = 16
};
var weights = Enumerable.Repeat(1.0, 9).ToList();
var customersForMonth = Enumerable.Repeat(0, 1000)
.Select(x => calculator.Calculate(input, weights));
//customers per hour. indicating number of customers from the interval start time till the next interval
//9 - .5 - 10 - .5 - 11 - .5 - 12 - .5 - 13 - .5 - 14 - .5 - 15 - .5 - 16 - .5 - 17 - .5
Assert.All(customersForMonth, (spread) => Assert.Equal(18, spread.Count));
var totalCustomersPerDay = customersForMonth.Select(spread => spread.Sum());
Assert.True(Math.Abs(13 - totalCustomersPerDay.Average()) < 0.5);
}
public static OrderExecutionOrderBook ToDomain(this OrderExecutionOrderBookContract contract)
{
var orderBook = new OrderExecutionOrderBook
{
OrderId = contract.OrderId,
ExternalOrderId = contract.ExternalOrderId,
OrderBook = new ExternalOrderBook
{
ExchangeName = contract.OrderBook.ExchangeName,
AssetPairId = contract.OrderBook.AssetPairId,
Timestamp = contract.OrderBook.Timestamp,
Asks = contract.OrderBook.Asks.Select(x => new VolumePrice {
Volume = x.Volume, Price = x.Price
}).ToList(),
Bids = contract.OrderBook.Bids.Select(x => new VolumePrice {
Volume = x.Volume, Price = x.Price
}).ToList(),
},
};
orderBook.Spread = SpreadCalculator.CalculateSpread(orderBook, contract.Volume);
return(orderBook);
}
public decimal Spread_Calculation_Success(OrderExecutionOrderBook orderExecutionOrderBook, decimal volume)
{
return(SpreadCalculator.CalculateSpread(orderExecutionOrderBook, volume));
}