public void CalculateWomWhenThereIsNoLaySize()
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 10.99);
_runner.OnRunnerChange(rc, 0);
Assert.Equal(1, _runner.Wom());
}
public void HandleNullTradedList()
{
var runnerChange = new RunnerChangeStub()
.WithTraded(null, null);
_runner.OnRunnerChange(runnerChange, 0);
Assert.Equal(0, _runner.TradedLadder.GetSizeForPrice(10));
}
public void OnRunnerChangePublishTimeIsSet()
{
var runnerChange = new RunnerChangeStub();
var mc = new MarketChangeStub().WithRunnerChange(runnerChange);
_market.OnChange(_change.WithMarketChange(mc).WithPublishTime(98765).Build());
Assert.Equal(98765, _market.Runners[12345].LastPublishTime);
}
public void BestLayReturnsZeroIfLevelDoesNotExist()
{
var rc = new RunnerChangeStub()
.WithSelectionId(1).WithBestAvailableToLay(1, 2.5, 100);
_runner.OnRunnerChange(rc, 0);
Assert.Equal(0, _runner.BestAvailableToLay.Price(0));
Assert.Equal(0, _runner.BestAvailableToLay.Size(0));
}
public void LastPublishTimeIsSetInTradeLadder()
{
const long expectedTimeStamp = 98765;
var runnerChange = new RunnerChangeStub();
_runner.OnRunnerChange(runnerChange, expectedTimeStamp);
Assert.Equal(98765, _runner.TradedLadder.LastPublishTime);
}
public void SetTotalMatched()
{
const int expectedTotalMatched = 10;
var runnerChange = new RunnerChangeStub()
.WithTotalMatched(expectedTotalMatched);
_runner.OnRunnerChange(runnerChange, 0);
Assert.Equal(expectedTotalMatched, _runner.TotalMatched);
}
public void ReturnOverroundForSingleRunner(double price)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price, 100);
var mc = new MarketChangeStub().WithMarketId("1.2345").WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = 1 / price;
Assert.Equal(expected, _market.Overround());
}
public void SetLastTradedPrice()
{
const int expectedLastTradedPrice = 10;
var runnerChange = new RunnerChangeStub()
.WithLastTradedPrice(expectedLastTradedPrice);
_runner.OnRunnerChange(runnerChange, 0);
Assert.Equal(expectedLastTradedPrice, _runner.LastTradedPrice);
}
public void OnlyProcessMessageForCorrectRunner()
{
var runnerChange = new RunnerChangeStub()
.WithSelectionId(54321)
.WithLastTradedPrice(10);
_runner.OnRunnerChange(runnerChange, 0);
Assert.Null(_runner.LastTradedPrice);
}
public void ReturnOverroundForMultipleRunners(double price1, double price2)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price1, 100);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, price2, 100);
var mc = new MarketChangeStub().WithMarketId("1.2345").WithRunnerChange(rc).WithRunnerChange(rc2);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = (1 / price1) + (1 / price2);
Assert.Equal(expected, _market.Overround());
}
public async Task UpdateMarketCacheUsedInStrategies()
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(1, _strategy.RunnerCount());
}
public void ProcessTraded()
{
var runnerChange = new RunnerChangeStub()
.WithTraded(10, 100)
.WithTraded(11, 10);
_runner.OnRunnerChange(runnerChange, 0);
Assert.Equal(100, _runner.TradedLadder.GetSizeForPrice(10));
Assert.Equal(10, _runner.TradedLadder.GetSizeForPrice(11));
}
public async Task OnMarketCloseNotCalledIfNotCancelled()
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, default);
Assert.False(_orderManager.OnMarketCloseCalled);
}
public async Task UpdateMarketCacheWithPublishedTime(long pt)
{
_subscription.PublishTime = pt;
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(pt, _strategy.LastPublishedTime());
}
public void CalculateWom(double backSize, double laySize)
{
var rc = new RunnerChangeStub()
.WithSelectionId(1)
.WithBestAvailableToBack(0, 2.5, backSize)
.WithBestAvailableToLay(0, 3, laySize);
_runner.OnRunnerChange(rc, 0);
var expected = backSize / (backSize + laySize);
Assert.Equal(expected, _runner.Wom());
}
public void SetBestAvailableToLay()
{
var runnerChange = new RunnerChangeStub()
.WithBestAvailableToLay(0, 2, 3)
.WithBestAvailableToLay(1, 3, 4)
.WithBestAvailableToLay(2, 4, 5);
_runner.OnRunnerChange(runnerChange, 0);
AssertBestAvailableToLayContains(0, 2, 3);
AssertBestAvailableToLayContains(1, 3, 4);
AssertBestAvailableToLayContains(2, 4, 5);
}
public async Task OnMarketCloseCalledIfCancelled()
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
using var source = new CancellationTokenSource();
source.Cancel();
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.True(_orderManager.OnMarketCloseCalled);
}
public void SetAdjustmentFactorToZeroIfNull()
{
var rc = new RunnerChangeStub()
.WithSelectionId(1).WithBestAvailableToLay(1, 2.5, 100);
_runner.OnRunnerChange(rc, 0);
var d = new RunnerDefinition
{
SelectionId = 1,
};
_runner.SetDefinition(d);
Assert.Equal(0, _runner.AdjustmentFactor);
}
public void StrategyIsToldWhatHasBeenUpdated()
{
var rc = new RunnerChangeStub()
.WithSelectionId(1)
.WithBestAvailableToBack(0, 2.5, 100)
.WithBestAvailableToLay(0, 3.0, 200);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
GetOrders(mc, 0);
Assert.Single(Market.Runners);
Assert.Equal(mc, _mChange);
}
public async Task UpdateMarketCacheWithMultipleChanges()
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChanges(new List <MarketChange> {
mc, mc2
});
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(2, _strategy.RunnerCount());
}
public void CalculateWomForOneLevel(double backSize1, double backSize2, double laySize1, double laySize2)
{
var rc = new RunnerChangeStub()
.WithSelectionId(1)
.WithBestAvailableToBack(0, 2.5, backSize1)
.WithBestAvailableToBack(1, 2.5, backSize2)
.WithBestAvailableToLay(0, 3, laySize1)
.WithBestAvailableToLay(1, 3, laySize2);
_runner.OnRunnerChange(rc, 0);
var expected = backSize1 / (backSize1 + laySize1);
Assert.Equal(expected, _runner.Wom());
}
public void UpdateTraded()
{
var runnerChange = new RunnerChangeStub()
.WithTraded(10, 100)
.WithTraded(11, 10);
_runner.OnRunnerChange(runnerChange, 0);
var runnerChange2 = new RunnerChangeStub().WithTraded(10, 50);
_runner.OnRunnerChange(runnerChange2, 0);
Assert.Equal(50, _runner.TradedLadder.GetSizeForPrice(10));
Assert.Equal(10, _runner.TradedLadder.GetSizeForPrice(11));
}
public void OnlySetLastTradedPriceIfNotNull()
{
const int expectedLastTradedPrice = 10;
var runnerChange1 = new RunnerChangeStub()
.WithLastTradedPrice(expectedLastTradedPrice);
_runner.OnRunnerChange(runnerChange1, 0);
var runnerChange2 = new RunnerChangeStub();
_runner.OnRunnerChange(runnerChange2, 0);
Assert.Equal(expectedLastTradedPrice, _runner.LastTradedPrice);
}
public void ReturnOverroundOnlyIfRunnerHasBestPriceAvailable(double price)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price, 100);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(1, 2, 100);
var rc3 = new RunnerChangeStub().WithSelectionId(3);
var mc = new MarketChangeStub()
.WithMarketId("1.2345")
.WithRunnerChange(rc)
.WithRunnerChange(rc2)
.WithRunnerChange(rc3);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = 1 / price;
Assert.Equal(expected, _market.Overround());
}
public void UpdateBestAvailableToLay()
{
var runnerChange1 = new RunnerChangeStub()
.WithBestAvailableToLay(0, 2, 3)
.WithBestAvailableToLay(1, 3, 4)
.WithBestAvailableToLay(2, 4, 5);
_runner.OnRunnerChange(runnerChange1, 0);
var runnerChange2 = new RunnerChangeStub()
.WithBestAvailableToLay(1, 5, 6);
_runner.OnRunnerChange(runnerChange2, 0);
AssertBestAvailableToLayContains(1, 5, 6);
}
public void CalculateWomForThreeLevels(double backSize1, double backSize2, double backSize3, double laySize1, double laySize2, double laySize3)
{
var rc = new RunnerChangeStub()
.WithSelectionId(1)
.WithBestAvailableToBack(0, 2.5, backSize1)
.WithBestAvailableToBack(1, 2.5, backSize2)
.WithBestAvailableToBack(2, 2.5, backSize3)
.WithBestAvailableToLay(0, 3, laySize1)
.WithBestAvailableToLay(1, 3, laySize2)
.WithBestAvailableToLay(2, 3, laySize3);
_runner.OnRunnerChange(rc, 0);
var totalBackSize = backSize1 + backSize2 + backSize3;
var expected = totalBackSize / (totalBackSize + laySize1 + laySize2 + laySize3);
Assert.Equal(expected, _runner.Wom(3));
}
public async Task AdjustBankForMarketLiability(double bank, double liability)
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
var orc = new OrderRunnerChangeStub().WithUnmatchedBack(2.5, liability);
var oc = new OrderChangeStub().WithOrderRunnerChange(orc);
_subscription.WithOrderChange(oc);
_subscription.WithMarketChange(mc);
_trader.AddStrategy(new StrategySpy());
await _trader.TradeMarket("1.2345", bank, default);
Assert.Equal(Math.Round((bank - Math.Round(liability, 2)) / 2, 2), _strategy.Stake);
}
public async Task ProcessLastMessageBeforeCancelling()
{
var source = new CancellationTokenSource();
_subscription.CancelAfterThisManyMessages(2, source);
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChange(mc);
_subscription.WithMarketChange(mc2);
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.Equal(1, _strategy.MarketUpdateCount);
}
public async Task StopProcessingMessageIfCancelled()
{
var source = new CancellationTokenSource();
_subscription.CancelAfterThisManyMessages(1, source);
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChange(mc);
_subscription.WithMarketChange(mc2);
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.Equal("CASOMD", _subscription.Actions);
}
public void HandleRunnerDefinitionForRunnerThatDoesNotExist()
{
var rc = new RunnerChangeStub();
var rd = new RunnerDefinition
{
SelectionId = 1, AdjustmentFactor = 54.32,
};
var md = new MarketDefinition
{
Runners = new List <RunnerDefinition> {
rd
},
};
var mc = new MarketChangeStub()
.WithMarketDefinition(md)
.WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
}
