void RebalanceStateTest_RebalanceRun(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
//Run실행 후 sweeper, state, availableCount check
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmdElw = monitorData.RmdElw;
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tvElw = ProductUtil.Ins().GetTick(rmdElw.Code, elwReqPrice);
double oneTickUpElwPrice = elwReqPrice + tvElw.UpTickValue;
double oneTickDownElwPrice = elwReqPrice - tvElw.DownTickValue;
double optionPriceOfOneTickUpElwReqPrice =
ElwOptionUtil.ConvertToOptionPrice(elwCode, oneTickUpElwPrice);
TickValue tv = ProductUtil.Ins().GetTick(rmd_3.Code, optionPriceOfOneTickUpElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfOneTickUpElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfOneTickUpElwReqPrice - tv.DownTickValue;
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
String log = "";
Assert.AreEqual(true, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
int prevChannel = centerData.GetAvailableChannelCount();
POrder o = each._data.LiveOrder;
IEDoorEachMonitorEnterState next = rsa.Run(centerData, each._data, monitorData);
Assert.AreEqual(next.GetState(), EDoorEachMonitorEnterState.MonitorState);
Assert.AreEqual(prevChannel - 1, centerData.GetAvailableChannelCount());
Assert.AreEqual(true, o.IsCancelRemains());
}
void RebalanceStateTest_NoRebalanceCase(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(false, actual);
}
void RebalanceStateTest_RebalanceCase(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
//1. 정상적이지 않은 시세
InvalidRMDCase_RebalanceStateTest(each, rsa, centerData);
//2. 2's koi 보다 높은 Elw 가격
HigherThanKoi_2_RebalanceStateTest(each, rsa, centerData);
//3. FrontBid가 아니고 3's koi 보다 낮은 가격
NotFrontBidAndLowerPrice_RebalanceStateTest(each, rsa, centerData);
}
void NotFrontBidAndLowerPrice_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmdElw = monitorData.RmdElw;
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tvElw = ProductUtil.Ins().GetTick(rmdElw.Code, elwReqPrice);
double oneTickUpElwPrice = elwReqPrice + tvElw.UpTickValue;
double oneTickDownElwPrice = elwReqPrice - tvElw.DownTickValue;
double optionPriceOfOneTickUpElwReqPrice =
ElwOptionUtil.ConvertToOptionPrice(elwCode, oneTickUpElwPrice);
TickValue tv = ProductUtil.Ins().GetTick(rmd_3.Code, optionPriceOfOneTickUpElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfOneTickUpElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfOneTickUpElwReqPrice - tv.DownTickValue;
// Elw가격이 FrontBid가 되도록 설정
// 같아도 FrontBid이다.
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(true, rsa.IsFrontBidPrice(each._data, monitorData));
rmdElw.BidPrice1 = oneTickDownElwPrice;
Assert.AreEqual(true, rsa.IsFrontBidPrice(each._data, monitorData));
// Elw가격이 FrontBid가 아니도록 설정
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsFrontBidPrice(each._data, monitorData));
//Elw가격 + 1tick < 3's bid case
rmd_3.BidPrice1 = oneTickUpOptionPrice;
Assert.AreEqual(true, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//Elw가격 + 1tick == 3's bid case
//같을 때는 기본적으로 리밸런스를 하지 않는다.
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
Assert.AreEqual(false, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//Elw가격 + 1tick > 3's bid case
rmd_3.BidPrice1 = oneTickDownOptionPrice;
Assert.AreEqual(false, rsa.IsReqPricePlusOneLowerThanKoi_3(each._data, monitorData));
//1. 3's Bid > elw && Not frontBid
// rebalance case
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
String log = "";
Assert.AreEqual(true, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//2. 3's Bid == elw && Not frontBid
// No rebalance case
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//3. 3's Bid < elw && Not front Bid
rmd_3.BidPrice1 = oneTickDownOptionPrice;
rmdElw.BidPrice1 = oneTickUpElwPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//4. 3's Bid > elw && frontBid
rmd_3.BidPrice1 = oneTickUpOptionPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//5. 3's Bid == elw && frontBid
rmd_3.BidPrice1 = optionPriceOfOneTickUpElwReqPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
//6. 3's Bid < elw && frontBid
rmd_3.BidPrice1 = oneTickDownOptionPrice;
rmdElw.BidPrice1 = elwReqPrice;
Assert.AreEqual(false, rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log));
}
void RebalanceStateTest(EDoorEachMonitorEnterController_Accessor each, EDoorCenterData centerData)
{
RebalanceState rs = each._monitorEnter as RebalanceState;
RebalanceState_Accessor rsa = new RebalanceState_Accessor(new PrivateObject(rs));
//1. Rebalance 하지 않아도 되는 경우 테스트
RebalanceStateTest_NoRebalanceCase(each, rsa, centerData);
//2. Rebalance 해야 하는 경우 테스트
RebalanceStateTest_RebalanceCase(each, rsa, centerData);
//3. Rebalance를 Run한다.
RebalanceStateTest_RebalanceRun(each, rsa, centerData);
}
void MonitorDataThisTurnTest(
EDoorEachMonitorEnterController_Accessor each,
MonitorState_Accessor ms,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData =
EDoorUtil.CreateThisTurnInput(each._data);
// 1. IsAllValid test
monitorData.RmdKoi_0.BidPrice1 = 0;
Assert.AreEqual(EDoorUtil.IsAllValid(monitorData), false);
MakeValidRMD(ref monitorData);
Assert.AreEqual(EDoorUtil.IsAllValid(monitorData), true);
// 2. IsAllRefOK test
Assert.AreEqual(EDoorUtil.IsAllRefOK(monitorData), false);
MakeRefOKRMD_01(ref monitorData);
Assert.AreEqual(EDoorUtil.IsAllRefOK(monitorData), false);
MakeRefOKRMD_2(ref monitorData);
Assert.AreEqual(EDoorUtil.IsAllRefOK(monitorData), false);
MakeRefOKRMD_3(ref monitorData);
Assert.AreEqual(EDoorUtil.IsAllRefOK(monitorData), false);
// AllRefOK case
MakeRefOKRMD_4(ref monitorData);
Assert.AreEqual(EDoorUtil.IsAllRefOK(monitorData), true);
}
void MonitorStateRunTest(
EDoorEachMonitorEnterController_Accessor each,
MonitorState_Accessor ms,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData =
EDoorUtil.CreateThisTurnInput(each._data);
MakeRefOKRMD_01(ref monitorData);
MakeRefOKRMD_2(ref monitorData);
MakeRefOKRMD_3(ref monitorData);
MakeRefOKRMD_4(ref monitorData);
CalculateElwReqPriceTest(ms, monitorData, each._data);
SetAsDefaultPrice(monitorData);
each._monitorEnter = ms.Run(centerData, each._data, monitorData);
Assert.AreEqual(each._monitorEnter.GetState(),
EDoorEachMonitorEnterState.EnteringState);
}
void HigherThanKoi_2_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
SetAsDefaultPrice(monitorData);
String elwCode = each._data.LiveOrder.Code;
double elwReqPrice = each._data.LiveOrder.ReqPrice;
double optionPriceOfElwReqPrice = ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPrice);
RawMarketData rmd_2 = monitorData.RmdKoi_2;
RawMarketData rmd_3 = monitorData.RmdKoi_3;
RawMarketData rmd_4 = monitorData.RmdKoi_4;
TickValue tv = ProductUtil.Ins().GetTick(rmd_2.Code, optionPriceOfElwReqPrice);
double oneTickUpOptionPrice = optionPriceOfElwReqPrice + tv.UpTickValue;
double oneTickDownOptionPrice = optionPriceOfElwReqPrice - tv.DownTickValue;
// Elw가격보다 아직은 2's Bid가 높다.
// Rebalance 필요 없다.
SetAsDefaultPrice(monitorData);
rmd_2.BidPrice1 = oneTickUpOptionPrice;
rmd_3.BidPrice1 = rmd_2.BidPrice1 - 0.05;
rmd_4.BidPrice1 = rmd_3.BidPrice1 - 0.05;
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(false, actual);
// Elw가격이 2's bid보다 높다.
// Elw가 너무 높은 가격인 상태이므로 리밸런스 해주어야 한다.
rmd_2.BidPrice1 = oneTickDownOptionPrice;
rmd_3.BidPrice1 = rmd_2.BidPrice1 - 0.05;
rmd_4.BidPrice1 = rmd_3.BidPrice1 - 0.05;
actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(true, actual);
}
void InvalidRMDCase_RebalanceStateTest(
EDoorEachMonitorEnterController_Accessor each,
RebalanceState_Accessor rsa,
EDoorCenterData centerData)
{
MonitorState.MonitorDataThisTurn monitorData = EDoorUtil.CreateThisTurnInput(each._data);
String log = "";
Boolean actual = rsa.IsRebalanceCondition(centerData, each._data, monitorData, ref log);
Assert.AreEqual(true, actual);
}
EDoorEachMonitorEnterController GetController(
Queue<EDoorEachMonitorEnterController> queue,
CallPutFlag cp, int index)
{
List<EDoorEachMonitorEnterController> l =
new List<EDoorEachMonitorEnterController>();
l.AddRange(queue.ToArray());
int count = 0;
foreach (EDoorEachMonitorEnterController controller in queue)
{
EDoorEachMonitorEnterController_Accessor each =
new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(controller));
if (each._data.EI.CallPut == cp)
{
if (count == index)
{
return controller;
}
++count;
}
}
// call, put 종류 잘 골라서 넘겨준다.
Assert.AreEqual(true, false); // 여기 오면 안된다.
return null;
}
void EnteringStateTest(
EDoorEachMonitorEnterController_Accessor each,
EDoorCenterData centerData)
{
EnteringState es = each._monitorEnter as EnteringState;
EnteringState_Accessor esa = new EnteringState_Accessor(new PrivateObject(es));
IEDoorEachMonitorEnterState state = esa.Run(centerData, each._data);
Assert.AreEqual(EDoorEachMonitorEnterState.EnteringState, state.GetState());
Account account = each._data.LiveOrder.TargetAccount;
SimHTS target = account.Hts as SimHTS;
SimPOrder simOrder = new SimPOrder(each._data.LiveOrder, 1500);
simOrder.Execute();
StringPacket inOrderPacket = simOrder.GetContractPacket(SimPOrder.접수);
target.ReceiveDTRealEventHandler(inOrderPacket.GetStream());
account.HandleCallBackData();
state = esa.Run(centerData, each._data);
Assert.AreEqual(EDoorEachMonitorEnterState.RebalanceState, state.GetState());
each._monitorEnter = state;
}
void EDoorOrderTest(STR_EDoor_Accessor edoor)
{
// 주문이 안나가는 경우에 대해서 꼼꼼히 점검해본다.
EDoorMonitorEnterController_Accessor controller = new EDoorMonitorEnterController_Accessor(
new PrivateObject(edoor._monitorController));
controller.BlockAfterCancel = false;
EDoorEachMonitorEnterController_Accessor callEach_0 = new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(GetController(controller._eachControllers, CallPutFlag.Call, 0)));
EDoorEachMonitorEnterController_Accessor callEach_1 = new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(GetController(controller._eachControllers, CallPutFlag.Call, 1)));
EDoorEachMonitorEnterController_Accessor putEach_0 = new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(GetController(controller._eachControllers, CallPutFlag.Put, 0)));
EDoorCenterData centerData = edoor._centerData;
// run test
Assert.AreEqual(controller._eachControllers.Count, controller.Run(centerData));
MonitorState rawMS_0 = callEach_0._monitorEnter as MonitorState;
MonitorState_Accessor msCallEach_0 = new MonitorState_Accessor(new PrivateObject(rawMS_0));
MonitorState rawMS_1 = callEach_1._monitorEnter as MonitorState;
MonitorState_Accessor msCallEach_1 = new MonitorState_Accessor(new PrivateObject(rawMS_1));
MonitorState rawMS_2 = putEach_0._monitorEnter as MonitorState;
MonitorState_Accessor msPutEach_0 = new MonitorState_Accessor(new PrivateObject(rawMS_2));
MonitorDataThisTurnTest(callEach_0, msCallEach_0, centerData);
MonitorDataThisTurnTest(putEach_0, msPutEach_0, centerData);
MonitorStateRunTest(callEach_0, msCallEach_0, centerData);
Assert.AreEqual(1, centerData.GetAvailableChannelCount());
MonitorStateRunTest(putEach_0, msPutEach_0, centerData);
Assert.AreEqual(0, centerData.GetAvailableChannelCount());
// 2개 다 나갔다. Valid하지 않다.
Assert.AreEqual(false, controller.IsValid(centerData));
// run test
Assert.AreEqual(0, controller.Run(centerData));
// entering test
EnteringStateTest(callEach_0, centerData);
Assert.AreEqual(true, controller.IsValid(centerData));
EnteringStateTest(putEach_0, centerData);
Assert.AreEqual(true, controller.IsValid(centerData));
// rebalance test
RebalanceStateTest(callEach_0, centerData);
Assert.AreEqual(true, controller.IsValid(centerData));
RebalanceStateTest(putEach_0, centerData);
Assert.AreEqual(false, controller.IsValid(centerData));
// cancel done test
CencelOrderDoneTest(centerData, callEach_0);
}
void EDoorEachMonitorEnterControllerTest(
EDoorEachMonitorEnterController each)
{
EDoorEachMonitorEnterController_Accessor acc =
new EDoorEachMonitorEnterController_Accessor(
new PrivateObject(each));
Assert.AreEqual(
acc._monitorEnter.GetState(),
EDoorEachMonitorEnterState.MonitorState);
EDoorEachMonitorEnterData data = acc._data;
EDoorEachMonitorEnterDataTest(data);
}
void CencelOrderDoneTest(EDoorCenterData centerData, EDoorEachMonitorEnterController_Accessor each)
{
EDoorCenterData_Accessor cda = new EDoorCenterData_Accessor(new PrivateObject(centerData));
foreach (POrder order in cda._liveOrders)
{
order.UpdateCancelMessage(order.ReqCount);
}
cda.UpdateLiveOrdersForTurn();
Assert.AreEqual(2, cda.GetAvailableChannelCount());
}
