public async Task EvaluateRateAsync(Currency from, Currency to)
{
var now = DateTime.UtcNow;
if (now.DayOfWeek == DayOfWeek.Saturday || now.DayOfWeek == DayOfWeek.Sunday)
{
return;
}
var rate = await _rateFatcher.GetRateAsync(from, to);
var reversedRate = 1f / rate;
_logger.LogInformation($"Evaluating {from} -> {to} with: {rate} [{reversedRate}]");
var closeOportunities = await FindCloseOportunitiesAsync(from, to, rate);
_logger.LogInformation($"Found opportunities for {from} -> {to}: {string.Join(",", closeOportunities.Select(p => p.Id))}");
var reverseOpportunities = await FindCloseOportunitiesAsync(to, from, reversedRate);
_logger.LogInformation($"Found opportunities for {to} -> {from}: {string.Join(",", reverseOpportunities.Select(p => p.Id))}");
closeOportunities.AddRange(reverseOpportunities);
var notification = string.Join("<br>", closeOportunities.Select(p => $"<a href=\"{_options.CloseUIUrl}id={p.Id}\">[{p.Id}]</a> {p.FromCurrency} -> {p.ToCurrency} : {p.OpenAmount} for {p.OpenRate}. Proposal: {p.OpenAmount*p.OpenRate} [{rate} - {reversedRate}]"));
if (!string.IsNullOrEmpty(notification))
{
NotificationManager.Notify("Opportunities", notification, NotificationTarget);
}
if (now.Hour == _options.OpenHour)
{
var reversedAmount = _options.OpenAmount / reversedRate;
var openedId = await _dataStore.Position.OpenAsync(from.ToString(), to.ToString(), _options.OpenAmount, rate);
var reverseOpenedId = await _dataStore.Position.OpenAsync(to.ToString(), from.ToString(), reversedAmount, reversedRate);
_logger.LogInformation($"Opened: {from} -> {to} for {rate}");
_logger.LogInformation($"Opened: {to} -> {from} for {reversedRate}");
NotificationManager.Notify("Opened", $"[{openedId}/{reverseOpenedId}] {from} -> {to} : {rate} [{reversedRate}]", NotificationTarget);
}
}
public async Task OffsetIsDynamicalyComputed()
{
_rateFetcher.GetRateAsync(Currency.EUR, Currency.USD).Returns(Task.FromResult(1.195f));
_position.FindOpenPositionsAsync(Arg.Any <string>(), Arg.Any <string>(), Arg.Any <float>()).Returns(Task.FromResult(new List <Position>()));
float offsetOfReverted = float.NaN;
float offset = float.NaN;
await _position.FindOpenPositionsAsync("EUR", "USD", Arg.Do <float>(a => offset = a));
await _position.FindOpenPositionsAsync("USD", "EUR", Arg.Do <float>(a => offsetOfReverted = a));
await _underTest.EvaluateRateAsync(Currency.EUR, Currency.USD);
offset.Should().NotBe(float.NaN, "offset needs to be evaluated");
// this is needed because of precision (1.195f + 0.003f = 1.1980000007)
offset.Should().BeInRange(1.198f, 1.19811f, "offset is equal to configured one");
offsetOfReverted.Should().NotBe(float.NaN, "reverted offset needs to be evaluated");
offsetOfReverted.Should().BeInRange(0.8369f, 0.8398f, "reverted offset is less than non-reverted");
}
public void Setup()
{
_options = new RateEvaluatorOptions
{
CloseOffsetPercentage = 0.26f,
NotificationTarget = TargetEmail,
OpenAmount = 10,
OpenHour = DateTime.UtcNow.Hour
};
var logger = Substitute.For <ILogger <DefaultRateEvaluator> >();
_notificationManager = Substitute.For <INotificationManager>();
_rateFetcher = Substitute.For <IRates>();
_rateFetcher.GetRateAsync(Currency.EUR, Currency.USD).Returns(Task.FromResult(2f));
_position = Substitute.For <IPosition>();
var store = Substitute.For <IDataStore>();
store.Position.Returns(_position);
_underTest = new DefaultRateEvaluator(_options, logger, _notificationManager, _rateFetcher, store);
}