public void Setup()
{
this.signalQueue = new ObservableQueue <Signal>();
this.tradingData = new TradingDataContext();
this.lLeg = new List <StrategyHeader>();
this.rLeg = new List <StrategyHeader>();
this.lStrategy = new StrategyHeader(1, "Left leg strategyHeader", "BP12345-RF-01", "SBRF-3.14_FT", 10);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(lStrategy);
this.lLeg.Add(this.lStrategy);
this.rStrategy = new StrategyHeader(2, "Right leg strategyHeader", "BP12345-RF-01", "SBPR-3.13_FT", 11);
this.tradingData.Get <ICollection <StrategyHeader> >().Add(rStrategy);
this.rLeg.Add(this.rStrategy);
this.arbitrageSettings = new ArbitrageSettings(1, this.lLeg, this.rLeg, new SpreadSettings(1.12, 1.25, 1.01));
this.tradingData.Get <ICollection <ArbitrageSettings> >().Add(this.arbitrageSettings);
this.lStrategyVolumeChangeStep = new StrategyVolumeChangeStep(this.lStrategy, 2);
this.tradingData.Get <ICollection <StrategyVolumeChangeStep> >().Add(this.lStrategyVolumeChangeStep);
ArbitrageOpenPositionOnSpreadValue handler =
new ArbitrageOpenPositionOnSpreadValue(this.arbitrageSettings, this.lStrategy, this.tradingData, this.signalQueue, new NullLogger());
}
public CalculateSpreadOnOrderBookChange(ArbitrageSettings arbitrageSettings, OrderBookContext orderBook, IDataContext tradingData, ILogger logger)
{
this.arbitrageSettings = arbitrageSettings;
this.orderBook = orderBook;
this.tradingData = tradingData;
this.logger = logger;
this.orderBook.OnQuotesUpdate += new SymbolDataUpdatedNotification(CalculateSpreadOnQuotesUpdate);
}
public ArbitrageOpenPositionOnSpreadValue(ArbitrageSettings arbitrageSettings, StrategyHeader strategyHeader, IDataContext tradingData, ObservableQueue <Signal> signalQueue, ILogger logger)
: base(tradingData.Get <ObservableCollection <SpreadValue> >())
{
this.arbitrageSetings = arbitrageSettings;
this.strategyHeader = strategyHeader;
this.tradingData = tradingData;
this.signalQueue = signalQueue;
this.logger = logger;
this.isLeftLegStrategy = arbitrageSettings.LeftLeg.Any(s => s.Id == strategyHeader.Id);
}
public void SetUp()
{
leftLeg = new List <StrategyHeader>();
rightLeg = new List <StrategyHeader>();
this.leftLeg.Add(new StrategyHeader(1, "Left leg strategyHeader", "BP12345-RF-01", "RTS-12.13_FT", 10));
this.rightLeg.Add(new StrategyHeader(2, "Right leg strategyHeader", "BP12345-RF-01", "Si-12.13_FT", 50));
spreadSettings = new SpreadSettings(1.10, 1.11, 0.9);
arbitrageSettings = new ArbitrageSettings(1, leftLeg, rightLeg, spreadSettings);
}
public void ArbitrageSettings_default_constructor_test()
{
ArbitrageSettings arbitrageSettings = new ArbitrageSettings();
Assert.IsInstanceOfType(arbitrageSettings, typeof(IIdentified));
Assert.IsTrue(arbitrageSettings.Id > 0);
Assert.IsNotNull(arbitrageSettings.LeftLeg);
Assert.IsNotNull(arbitrageSettings.RightLeg);
Assert.AreEqual(0, arbitrageSettings.LeftLeg.Count());
Assert.AreEqual(0, arbitrageSettings.RightLeg.Count());
Assert.IsNotNull(arbitrageSettings.SpreadSettings);
Assert.AreEqual(0, arbitrageSettings.SpreadSettings.FairPrice);
Assert.AreEqual(0, arbitrageSettings.SpreadSettings.BuyBeforePrice);
Assert.AreEqual(0, arbitrageSettings.SpreadSettings.SellAfterPrice);
}
public void Setup()
{
this.leftLeg = new List <StrategyHeader>();
this.rigthLeg = new List <StrategyHeader>();
this.leftStrategy = new StrategyHeader(1, "Left leg", "BP12345-RF-01", "AB", 10);
this.rightStrategy = new StrategyHeader(2, "Right leg", "BP1235-RF-01", "BA", 10);
this.leftLeg.Add(this.leftStrategy);
this.rigthLeg.Add(this.rightStrategy);
this.spreadSettings = new SpreadSettings();
this.arbitrageSettings = new ArbitrageSettings(1, this.leftLeg, this.rigthLeg, this.spreadSettings);
this.orderBook = new OrderBookContext();
this.tradingData = new TradingDataContext();
CalculateSpreadOnOrderBookChange handler =
new CalculateSpreadOnOrderBookChange(this.arbitrageSettings, this.orderBook, this.tradingData, new NullLogger());
}
