public void AddChangeStopFullInstrumentConfig()
{
Initialize();
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[0].HedgerConfigInfo);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[0].RiskLimitConfigInfo);
Thread.Sleep(1000);
// Check full config
bool testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId));
_mmRest.StartInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = true;
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = true;
_mmRest.StartHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = true;
Thread.Sleep(1000);
// Check start
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
// Change hedger
HedgerConfigDto newHedgerConfig = AlgorithmInfo.CreateConfig <HedgerConfigDto>("hedger2.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(newHedgerConfig);
// Change riskLimits
RiskLimitsConfigDto newRiskLimitsConfig = AlgorithmInfo.CreateConfig <RiskLimitsConfigDto>("riskLimit3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(newRiskLimitsConfig);
Thread.Sleep(1000);
// Check after change
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.StopHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = false;
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = false;
_mmRest.StopInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = false;
Thread.Sleep(1000);
// Check stop
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
Thread.Sleep(1000);
// Check delete and test result
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, testResult, TestFail);
}
public bool EqualRiskLimit(RiskLimitsConfigDto riskLimitConfig, bool printMessage)
{
bool isEqual = RiskLimitConfigInfo.AlgoId == riskLimitConfig.AlgoId &&
RiskLimitConfigInfo.AlgoKey == riskLimitConfig.AlgoKey &&
RiskLimitConfigInfo.MinBuyQuoteActiveTime == riskLimitConfig.MinBuyQuoteActiveTime &&
RiskLimitConfigInfo.MinSellQuoteActiveTime == riskLimitConfig.MinSellQuoteActiveTime &&
Util.CompareDouble(RiskLimitConfigInfo.MaxLongExposure, riskLimitConfig.MaxLongExposure) &&
Util.CompareDouble(RiskLimitConfigInfo.MaxShortExposure, riskLimitConfig.MaxShortExposure);
if (!isEqual && printMessage)
{
Console.WriteLine("Risk Limits don't match with added.");
}
return(isEqual);
}
public void CompareSourceAgainstTargetBook()
{
Initialize();
// 1
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[0].HedgerConfigInfo);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[0].RiskLimitConfigInfo);
_mmRest.StartInstrument(_testEvent.Algorithms[0].AlgoId);
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
// 2
_testEvent.Algorithms[1].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[1].InstrumentConfigInfo);
_testEvent.Algorithms[1].SetAlgoId(_testEvent.Algorithms[1].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[1].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[1].PricerConfigInfo);
_testEvent.Algorithms[1].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[1].HedgerConfigInfo);
_testEvent.Algorithms[1].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[1].RiskLimitConfigInfo);
_mmRest.StartInstrument(_testEvent.Algorithms[1].AlgoId);
_mmRest.StartPricer(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(1000);
var sourceBookListener = _wsFactory.CreateSourceMarketDataSubscription();
var targetBookListener = _wsFactory.CreateTargetMarketDataSubscription();
targetBookListener.Subscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnTargetMessage);
_testEvent.StartTestTime = DateTime.Now.AddSeconds(-2);
_testEvent.Algorithms[1].SourceMessageHandler += _testEvent.CompareSourceAgainstTargetBook;
sourceBookListener.Subscribe(_testEvent.Algorithms[1].AlgoId, _testEvent.Algorithms[1].OnSourceMessage);
WaitTestEvents(4);
_testEvent.StartTestTime = DateTime.Now.AddSeconds(-1);
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
// Change riskLimits
RiskLimitsConfigDto newRiskLimitsConfig = AlgorithmInfo.CreateConfig <RiskLimitsConfigDto>("riskLimit3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(newRiskLimitsConfig);
Debug.WriteLine("Pricer and limits are changed");
WaitTestEvents(7);
targetBookListener.Unsubscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnTargetMessage);
sourceBookListener.Unsubscribe(_testEvent.Algorithms[1].AlgoId, _testEvent.Algorithms[1].OnSourceMessage);
_testEvent.Algorithms[1].SourceMessageHandler -= _testEvent.CompareSourceAgainstTargetBook;
Thread.Sleep(500);
_wsFactory.Close();
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
_mmRest.StopInstrument(_testEvent.Algorithms[0].AlgoId);
_mmRest.StopPricer(_testEvent.Algorithms[1].AlgoId);
_mmRest.StopInstrument(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(500);
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(1000);
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[1].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _testEvent.TestResult, TestFail);
}
public RiskLimitsConfigDto SaveRiskLimitsConfig(RiskLimitsConfigDto riskLimitsConfigDto)
{
return(_restService.Post <RiskLimitsConfigDto, RiskLimitsConfigDto>(
"/api/v0/config/riskLimits/save", riskLimitsConfigDto));
}
