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, $"Incorrect mid-price for spread {BUY_PRICE}..{SELL_PRICE}");
// Since all far orders are filtered out, so we need to create buy and sell orders to make liquidity
Assert.AreEqual(0m, d.SellAmount, "Sell not filtered out");
Assert.AreEqual(0m, d.BuyAmount, "Buy not filtered out");
Assert.AreEqual(EXPECTED_LIQUIDITY / 2.0m, d.BuyDisbalance, "Expected to buy");
Assert.AreEqual(EXPECTED_LIQUIDITY / 2.0m, d.SellDisbalance, "Expected to sell");
}
public void EmptyDOMTest()
{
// Arrange & Act
var empty = new List <Tuple <decimal, decimal> >();
var d = new DOMBalance(Instrument.XBTUSD(), new SimpleDOM(empty, empty), 0.1, 100m);
// Asert
Assert.IsNull(d.MidPrice, "Mid price shall be null");
Assert.AreEqual(0m, d.BuyDisbalance, "Shall not change buy side");
Assert.AreEqual(0m, d.BuyDisbalance, "Shall not change buy side");
Assert.AreEqual(0m, d.BuyAmount, "Buy side shall be equal to 0");
Assert.AreEqual(0m, d.BuyAmount, "Sell side shall be equal to 0");
}
public void SingleSellMidprice()
{
// Arrange
const decimal PRICE = 1.2345m;
const decimal LOTS = 100m;
var bids = new List <Tuple <decimal, decimal> >();
var asks = new List <Tuple <decimal, decimal> >();
asks.Add(new Tuple <decimal, decimal>(PRICE, LOTS));
var dom = new SimpleDOM(bids, asks);
// Act
var d = new DOMBalance(Instrument.XBTUSD(), dom, 0.1, 100m);
// Asert
Assert.AreEqual(PRICE, d.MidPrice, "Incorrect mid-price");
}
protected override void Do()
{
var bba = _exec.GetBBA(Instrument.ETHUSD()).Result;
var kethusd = 1m;
if (bba != null)
{
kethusd = (bba.Item1 + bba.Item2) / 2.0m;
_settings.ETHUSD = kethusd; // Update ETHUSD quote in settings
kethusd *= 1000.0m;
}
var dom = _exec.GetDOM(_settings.Instrument).Result;
//TODO: Remove own orders from DOM before calcs
var balance = new DOMBalance(_settings.Instrument, dom, _settings.RadiusPercent, _settings.RequiredLiquidityUSD);
Console.WriteLine($"midPrice=${balance.MidPrice:0.#} low=${balance.MidPrice - balance.MidPrice * (decimal)_settings.RadiusPercent:0.#} high=${balance.MidPrice + balance.MidPrice * (decimal)_settings.RadiusPercent:0.#}");
Console.WriteLine($"buyAmount={balance.BuyAmount / balance.MidPrice / 1000.0m:0.#}K XBT sellAmount={balance.SellAmount / balance.MidPrice / 1000.0m:0.#}K XBT "
+ $"buyDisb={balance.BuyDisbalance / kethusd:0.#}K ETH sellDisb={balance.SellDisbalance / kethusd:0.#}K ETH");
// If buy side volume is more than expected then fill some orders
if (balance.BuyDisbalance < 0)
{
_om.EatBidSide(-balance.BuyDisbalance);
}
// If sell side volume is more than expected then fill some orders
if (balance.SellDisbalance < 0)
{
_om.EatAskSide(-balance.SellDisbalance);
}
var buyPrice = balance.MidPrice - balance.MidPrice * (decimal)_settings.RadiusPercent;
var sellPrice = balance.MidPrice + balance.MidPrice * (decimal)_settings.RadiusPercent;
if (balance.MidPrice.HasValue)
{
_om.AmendMMOrders(buyPrice ?? 0, balance.BuyDisbalance, sellPrice ?? 0, balance.SellDisbalance);
}
}
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");
}