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_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 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_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();
}
