public void TestSortedPositionStack_KtbSkel()
{
long maxNotional = 100;
double downBoundary = 0F;
double upBoundary = 10F;
String spotCode = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
String futureCode = KtbFutureUtil.Ins().KtbFuture_10yr_1.Code;
SortedPositionStack_KtbSkel target = new SortedPositionStack_KtbSkel(null, "unittest", spotCode, futureCode,
maxNotional, downBoundary, upBoundary);
Assert.AreEqual(target.MaxNotional, maxNotional);
Assert.AreEqual(target.DownBoundary, downBoundary);
Assert.AreEqual(target.UpBoundary, upBoundary);
SortedPositionStack_KtbSkel_Accessor acc = new SortedPositionStack_KtbSkel_Accessor(
new PrivateObject(target));
// 미만
CheckRateAndNotional(acc, -0.1F, 0.0F, 0, 0);
CheckRateAndNotional(acc, -10.0F, 0.0F, 0, 0);
// 정상상태
CheckRateAndNotional(acc, 0.0F, 0.0F, 0, 0);
CheckRateAndNotional(acc, 1.0F, 0.1F, (long)(maxNotional * 0.1), 0);
CheckRateAndNotional(acc, 3.0F, 0.3F, (long)(maxNotional * 0.3), 0);
CheckRateAndNotional(acc, 10.0F, 1.0F, maxNotional, 0);
// 오버
CheckRateAndNotional(acc, 11.0F, 1.0F, maxNotional, 0);
CheckRateAndNotional(acc, 100.0F, 1.0F, maxNotional, 0);
CheckRateAndNotional(acc, 0.1F, 0.01F, 0, 0);
CheckRateAndNotional(acc, 0.25F, 0.025F, 0, 0);
//push pos1
Position_KtbSkel pos1 = new Position_KtbSkel(
spotCode, 10, 8889,
futureCode, -10, 107.00);
acc.Push(pos1);
CheckRateAndNotional(acc, 0, 0, 0, 10);
//push pos2
Position_KtbSkel pos2 = new Position_KtbSkel(
spotCode, 20, 8888,
futureCode, -20, 107.00);
acc.Push(pos2);
CheckRateAndNotional(acc, 0, 0, 0, 30);
//push pos3
Position_KtbSkel pos3 = new Position_KtbSkel(
spotCode, 30, 8887,
futureCode, -30, 107.10);
acc.Push(pos3); // pos3가 top
CheckRateAndNotional(acc, 0, 0, 0, 60);
TestErase_Raw(acc);
TestReverseSweeperAfterTakeOverPosition();
}
void TestErase_Raw(SortedPositionStack_KtbSkel_Accessor acc)
{
Assert.AreEqual(acc._stack.Count, 3);
{
// 3억에서 1억만 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -10, 8899,
"", 10, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 50);
}
Assert.AreEqual(acc._stack.Count, 3);
{
// 3억을 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -30, 8899,
"", 30, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 20);
}
Assert.AreEqual(acc._stack.Count, 2);
{
// 1억을 지운다.
Position_KtbSkel erase = new Position_KtbSkel(
"", -10, 8899,
"", 10, 107.0);
acc.Erase(erase);
CheckRateAndNotional(acc, 0, 0, 0, 10);
}
Assert.AreEqual(acc._stack.Count, 1);
}
void TestTakeOverPosition()
{
string strategyName = "unittest_position";
long maxNotional = 100;
double downBoundary = 0F;
double upBoundary = 10F;
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.MaxNotional = maxNotional;
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor strategyAcc = new STR_KtbSkel_Accessor(po);
strategyAcc.SetAccountOrderLimit();
ProcessController_KtbSkel controller = strategyAcc.Controller;
String spotCode = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
String futureCode = KtbFutureUtil.Ins().KtbFuture_10yr_1.Code;
SortedPositionStack_KtbSkel target =
new SortedPositionStack_KtbSkel(controller, strategyName, spotCode, futureCode,
maxNotional, downBoundary, upBoundary);
SortedPositionStack_KtbSkel_Accessor acc =
new SortedPositionStack_KtbSkel_Accessor(
new PrivateObject(target));
acc._stack.Clear();
acc.DeleteTable();
int i = 1;
Position_KtbSkel pos1 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.00);
++i;
Position_KtbSkel pos2 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.04);
++i;
Position_KtbSkel pos3 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.02);
++i;
Position_KtbSkel pos4 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.03);
acc.Push(pos1);
acc.ToDB();
acc._stack.Clear();
acc.TakeOverPositionFromDB();
Assert.AreEqual(1, acc._stack.Count);
acc.DeleteTable();
acc._stack.Clear();
acc.Push(pos1);
acc.Push(pos2);
acc.Push(pos3);
acc.Push(pos4);
acc.ToDB();
acc._stack.Clear();
Assert.AreEqual(0, acc._stack.Count);
acc.TakeOverPositionFromDB();
Assert.AreEqual(4, acc._stack.Count);
Assert.AreEqual(acc.Peek().SignedSpotCount, 100);
}
void CheckRateAndNotional(
SortedPositionStack_KtbSkel_Accessor acc,
double indicator,
double expectedRangeRate,
long expectedTargetNotional,
long expectedCurPositionNotional)
{
double actualRangeRate = acc.GetRangeRate(indicator);
long actualTargetNotional = acc.GetTargetNotional(indicator);
long actualCurPositionNotional = acc.GetCurPositionNotional();
Assert.AreEqual(
Math.Round(expectedRangeRate, 4),
Math.Round(actualRangeRate, 4));
Assert.AreEqual(expectedTargetNotional, actualTargetNotional);
Assert.AreEqual(expectedCurPositionNotional, actualCurPositionNotional);
}
