public void SetUp()
{
leftLeg = new List <StrategyHeader>();
rightLeg = new List <StrategyHeader>();
this.leftLeg.Add(new StrategyHeader(1, "Left leg strategyHeader", "BP12345-RF-01", "RTS-12.13_FT", 10));
this.rightLeg.Add(new StrategyHeader(2, "Right leg strategyHeader", "BP12345-RF-01", "Si-12.13_FT", 50));
spreadSettings = new SpreadSettings(1.10, 1.11, 0.9);
arbitrageSettings = new ArbitrageSettings(1, leftLeg, rightLeg, spreadSettings);
}
public void SpreadSettings_constructor_test()
{
double fairPrice = 1.3589;
double sellAfter = 1.4358;
double buyBefore = 1.1355;
SpreadSettings spreadSettings =
new SpreadSettings(fairPrice, sellAfter, buyBefore);
Assert.AreEqual(fairPrice, spreadSettings.FairPrice);
Assert.AreEqual(sellAfter, spreadSettings.SellAfterPrice);
Assert.AreEqual(buyBefore, spreadSettings.BuyBeforePrice);
}
public void Configuration_SpreadSettingsFactory_returns_model_test()
{
string prefix = "SSTR";
IGenericFactory <SpreadSettings> factory =
new SpreadSettingsFactory(prefix);
SpreadSettings sSettings = factory.Make();
Assert.IsNotNull(sSettings);
Assert.AreEqual(1.12, sSettings.FairPrice);
Assert.AreEqual(1.28, sSettings.SellAfterPrice);
Assert.AreEqual(0.91, sSettings.BuyBeforePrice);
}
public BuySpreadOnQuoteChange(OrderBookContext quotesProvider,
IEnumerable <StrategyHeader> leftLeg,
IEnumerable <StrategyHeader> rightLeg,
SpreadSettings spreadSettings,
IDataContext dataContext,
ObservableQueue <Signal> signalQueue,
ILogger logger)
{
this.quotesProvider = quotesProvider;
this.leftLeg = leftLeg;
this.rightLeg = rightLeg;
this.spreadSettings = spreadSettings;
this.tradingData = dataContext;
this.signalQueue = signalQueue;
this.logger = logger;
this.quotesProvider.OnQuotesUpdate += new SymbolDataUpdatedNotification(quotesProvider_OnQuotesUpdate);
}
public void Setup()
{
this.leftLeg = new List <StrategyHeader>();
this.rigthLeg = new List <StrategyHeader>();
this.leftStrategy = new StrategyHeader(1, "Left leg", "BP12345-RF-01", "AB", 10);
this.rightStrategy = new StrategyHeader(2, "Right leg", "BP1235-RF-01", "BA", 10);
this.leftLeg.Add(this.leftStrategy);
this.rigthLeg.Add(this.rightStrategy);
this.spreadSettings = new SpreadSettings();
this.arbitrageSettings = new ArbitrageSettings(1, this.leftLeg, this.rigthLeg, this.spreadSettings);
this.orderBook = new OrderBookContext();
this.tradingData = new TradingDataContext();
CalculateSpreadOnOrderBookChange handler =
new CalculateSpreadOnOrderBookChange(this.arbitrageSettings, this.orderBook, this.tradingData, new NullLogger());
}
public void Setup()
{
this.qProvider = new OrderBookContext();
this.spreadSettings = new SpreadSettings(1.35, 1.48, 1.18);
this.leftLeg = new List <StrategyHeader>();
this.leftLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 1));
this.rightLeg = new List <StrategyHeader>();
this.rightLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 2));
this.rightLeg.Add(this.tradingData.Get <IEnumerable <StrategyHeader> >().Single(s => s.Id == 3));
CoverSpreadOnQuoteChange handler =
new CoverSpreadOnQuoteChange(this.qProvider,
this.leftLeg,
this.rightLeg,
this.spreadSettings,
this.tradingData,
this.signalQueue,
new NullLogger());
}
