public async Task UpdateAsync(Index index)
{
if (!index.ValidateValue())
{
throw new InvalidOperationException("Invalid index value");
}
if (!index.ValidateWeights())
{
throw new InvalidOperationException("Invalid index weights");
}
IndexSettings indexSettings = await _indexSettingsService.GetByIndexAsync(index.Name);
if (indexSettings == null)
{
throw new InvalidOperationException("Index settings not found");
}
IndexPrice indexPrice = await GetByIndexAsync(index.Name);
if (indexPrice == null)
{
indexPrice = IndexPrice.Init(index.Name, index.Value, index.Timestamp, index.Weights);
await _indexPriceRepository.InsertAsync(indexPrice);
_log.InfoWithDetails("The index price initialized", indexPrice);
}
else
{
IndexSettlementPrice indexSettlementPrice = IndexSettlementPriceCalculator.Calculate(
index.Value, indexPrice.Value, indexSettings.Alpha, indexPrice.K, indexPrice.Price,
index.Timestamp, indexPrice.Timestamp, indexSettings.TrackingFee, indexSettings.PerformanceFee,
indexSettings.IsShort);
indexPrice.Update(index.Value, index.Timestamp, indexSettlementPrice.Price, indexSettlementPrice.K,
indexSettlementPrice.R, indexSettlementPrice.Delta, index.Weights);
await _indexPriceRepository.UpdateAsync(indexPrice);
_log.InfoWithDetails("The index price calculated", new
{
indexPrice,
indexSettings
});
}
_cache.Set(indexPrice);
}
public void Calculate_Expected_Price()
{
// arrange
decimal currentIndexValue = 500;
decimal previousIndexValue = 400;
decimal alpha = .5m;
decimal previousK = .001m;
decimal previousPrice = 1000;
DateTime currentIndexTimestamp = DateTime.UtcNow;
DateTime previousIndexTimestamp = DateTime.UtcNow.AddMinutes(-1);
decimal trackingFee = .2m;
decimal performanceFee = .2m;
var expectedIndexSettlementPrice = new IndexSettlementPrice(
1249.9995730872490702824580044m,
125.0005m,
0.25m,
0.0000018973891608480064764218m);
// act
IndexSettlementPrice actualIndexSettlementPrice = IndexSettlementPriceCalculator.Calculate(
currentIndexValue,
previousIndexValue,
alpha,
previousK,
previousPrice,
currentIndexTimestamp,
previousIndexTimestamp,
trackingFee,
performanceFee,
false);
// assert
Assert.IsTrue(AreEqual(expectedIndexSettlementPrice, actualIndexSettlementPrice, 10),
"Wrong index settlement price");
}
public void Calculate_Expected_Price()
{
// arrange
decimal currentIndexValue = 500;
decimal previousIndexValue = 400;
decimal alpha = .5m;
decimal previousK = .001m;
decimal previousPrice = 1000;
DateTime currentIndexTimestamp = DateTime.UtcNow;
DateTime previousIndexTimestamp = DateTime.UtcNow.AddMinutes(-1);
decimal trackingFee = .2m;
decimal performanceFee = .2m;
var expectedIndexSettlementPrice = new IndexSettlementPrice(
1249.9995719176186738968163368m,
125.0005m,
0.25m,
0.0000019025875158548959918823m);
// act
IndexSettlementPrice actualIndexSettlementPrice = IndexSettlementPriceCalculator.Calculate(
currentIndexValue,
previousIndexValue,
alpha,
previousK,
previousPrice,
currentIndexTimestamp,
previousIndexTimestamp,
trackingFee,
performanceFee,
false);
// assert
Assert.IsTrue(AreEqual(expectedIndexSettlementPrice, actualIndexSettlementPrice, 10),
"Wrong index settlement price");
}
private static bool AreEqual(IndexSettlementPrice left, IndexSettlementPrice right, int accuracy) => Math.Round(left.Delta, accuracy) == Math.Round(right.Delta, accuracy) && Math.Round(left.K, accuracy) == Math.Round(right.K, accuracy) && Math.Round(left.R, accuracy) == Math.Round(right.R, accuracy) && Math.Round(left.Price, accuracy) == Math.Round(right.Price, accuracy);
