public void BtceOrdersDoNotGetCheckedForFulfillment()
{
int requiredRoundsForValidarion = 3;
Btce btce = new Btce();
Kraken kraken = new Kraken();
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(btce);
exchangeList.Add(kraken);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
ArbitrationOpportunity testOpportunity = new ArbitrationOpportunity(btce, btce, 0.1m, 10.22m, 1.022m, 20.00m, 2.00m, 78m, 1);
//Set the buy and sell order id to 0 to mimic the behavior of immediately filled orders for Btce.
testOpportunity.BuyOrderId = "0";
testOpportunity.SellOrderId = "0";
//This will throw an error if it is not correct.
opportunityValidator.ValidateArbitrationTradeOrderExecution(testOpportunity);
}
public void OpportunityProfitValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <BaseExchange> exchangeList = new List <BaseExchange>();
decimal amount = 0.2m;
decimal buyPrice = 150m;
decimal totalBuyCost = 30m;
decimal sellPrice = 200m;
decimal totalSellCost = 40m;
decimal profit = 10m;
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Note, can use a fake run id here because the trade is never persisted to the db.
ArbitrationOpportunity testOpportunity = new ArbitrationOpportunity(anx, bitstamp, amount, buyPrice, totalBuyCost, sellPrice, totalSellCost, profit, 1);
//First, set the balances for all the exchanges.
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Scenario 1; happy path. Buy and selling works as expected.
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through
anx.AvailableFiat -= totalBuyCost;
anx.AvailableBtc += amount;
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
//If there was as error, this will throw it.
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
//Scenario 2: Buy never happens. Validator should throw an error
bool errorThrown = false;
anx.AvailableFiat = 100m;
anx.AvailableBtc = 100m;
bitstamp.AvailableFiat = 100m;
bitstamp.AvailableBtc = 100m;
kraken.AvailableFiat = 100m;
kraken.AvailableBtc = 100m;
itBit.AvailableFiat = 100m;
itBit.AvailableBtc = 100m;
//Prep the validator
opportunityValidator.SetFiatAndBitcoinBalanceBeforeArbitrationTrade();
//Simulate the trade going through, but buy never happens. This should cause the validator to throw an error.
bitstamp.AvailableFiat += totalSellCost;
bitstamp.AvailableBtc -= amount;
try
{
opportunityValidator.ValidateExchangeBalancesAfterTrade(testOpportunity);
}
catch (Exception e)
{
errorThrown = true;
}
Assert.IsTrue(errorThrown);
}
public void OpportunityListValidatesProperly()
{
int requiredRoundsForValidarion = 3;
Anx anx = new Anx();
Bitstamp bitstamp = new Bitstamp();
Kraken kraken = new Kraken();
ItBit itBit = new ItBit();
List <ArbitrationOpportunity> opportunityList = new List <ArbitrationOpportunity>();
List <ArbitrationOpportunity> validatedList;
List <BaseExchange> exchangeList = new List <BaseExchange>();
exchangeList.Add(anx);
exchangeList.Add(bitstamp);
exchangeList.Add(kraken);
exchangeList.Add(itBit);
OpportunityValidator opportunityValidator = new OpportunityValidator(requiredRoundsForValidarion, exchangeList);
//Build of a list of opportunities:
ArbitrationOpportunity krakenItBitopportunity = new ArbitrationOpportunity(kraken, itBit)
{
Profit = 2.23m
};
ArbitrationOpportunity krakenBitstampopportunity = new ArbitrationOpportunity(kraken, bitstamp)
{
Profit = 0.50m
};
ArbitrationOpportunity anxItBitopportunity = new ArbitrationOpportunity(anx, itBit)
{
Profit = 2.01m
};
ArbitrationOpportunity anxItBitopportunity2 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 1.98m
};
ArbitrationOpportunity anxItBitopportunity3 = new ArbitrationOpportunity(anx, itBit)
{
Profit = 0.27m
};
opportunityList.Add(krakenItBitopportunity);
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Add(anxItBitopportunity);
//Round one:
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round two:
opportunityList.Remove(krakenBitstampopportunity);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 0);
//Round three: An oppportunity between Anx and ItBit has survived until now (alebit with a different profit)
//Add the Kraken - Bitstamp opportunity.
//Remove Krakken - ItBit opportunity; it only lasts two rounds.
opportunityList.Add(krakenBitstampopportunity);
opportunityList.Remove(krakenItBitopportunity);
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity2);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 1.98m);
//Round 4: anxItBitopportunity should still be in the returned list
//Remove the Anx - ItBit opportunity, than add another opportunity with those exchanges but a less profit
opportunityList.Remove(anxItBitopportunity);
opportunityList.Add(anxItBitopportunity3);
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 1);
Assert.IsTrue(validatedList[0].Profit == 0.27m);
//Round 5: anxItBitopportunity should still be in the returned list, krakenBitstampopportunity should have been added
validatedList = opportunityValidator.ValidateOpportunities(opportunityList);
Assert.IsTrue(validatedList.Count == 2);
Assert.IsTrue(validatedList[0].Profit == 0.50m);
Assert.IsTrue(validatedList[1].Profit == 0.27m);
}
