public void Check_Account_Calculations_Correct()
{
var position1 = TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 1000, 1.02M);
_ordersCache.Positions.Add(position1);
position1.UpdateClosePrice(1.04M);
position1.GetFpl();
var account = _accountsCacheService.Get(position1.AccountId);
Assert.IsNotNull(account);
Assert.AreEqual(1000, account.Balance);
Assert.AreEqual(20, Math.Round(account.GetPnl(), 5));
Assert.AreEqual(1020, account.GetTotalCapital());
Assert.AreEqual(6.8M, account.GetUsedMargin());
Assert.AreEqual(1009.8M, account.GetMarginAvailable());
Assert.AreEqual(150M, account.GetMarginUsageLevel());
var position2 = TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, -30000, 1.02M);
_ordersCache.Positions.Add(position2);
position2.UpdateClosePrice(1.04M);
position2.GetFpl();
Assert.IsNotNull(account);
Assert.AreEqual(1000, account.Balance);
Assert.AreEqual(-580, Math.Round(account.GetPnl(), 5));
Assert.AreEqual(420, Math.Round(account.GetTotalCapital(), 5));
Assert.AreEqual(214.8m, account.GetUsedMargin());
Assert.AreEqual(97.8m, Math.Round(account.GetMarginAvailable(), 5));
Assert.AreEqual(1.95531m, Math.Round(account.GetMarginUsageLevel(), 5));
}
public void Is_Fpl_Buy_Cross_Correct()
{
const string instrument = "BTCCHF";
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "USDCHF", Ask = 1.072030M, Bid = 1.071940M
}));
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "BTCUSD", Ask = 1001M, Bid = 1000M
}));
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "BTCCHF", Ask = 901M, Bid = 900M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "USDCHF", Ask = 1.072030M, Bid = 1.071940M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "BTCUSD", Ask = 1001M, Bid = 1000M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "BTCCHF", Ask = 901M, Bid = 900M
});
var position = TestObjectsFactory.CreateOpenedPosition(instrument, Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 1000, 935.461M, 0.932888034778M);
position.UpdateClosePrice(935.61M);
Assert.AreEqual(139m, Math.Round(position.GetFpl(), 3));
}
public void Check_Position_PnL()
{
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.25M, Bid = 1.15M
}));
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "CHFJPY", Ask = 6.036M, Bid = 1.9M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 9000M, Bid = 9000M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURJPY", Ask = 0.83M, Bid = 0.83M
});
var position1 = TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, 15000, 1.3M, 0.0001111111111111M);
position1.UpdateClosePrice(1.15M);
var position2 = TestObjectsFactory.CreateOpenedPosition("CHFJPY", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, -23, 1.96M, 1.204819277108M);
position2.UpdateClosePrice(6.036M);
Assert.AreEqual(-0.25M, position1.GetFpl());
Assert.AreEqual(-112.94939759M, position2.GetFpl());
}
public void Check_Calculations_As_In_Excel_Document()
{
Accounts[0].Balance = 50000;
_accountsCacheService.UpdateAccountBalance(Accounts[0].Id, Accounts[0].Balance, DateTime.UtcNow);
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.061M, Bid = 1.06M
}));
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "BTCEUR", Ask = 1092M, Bid = 1091M
}));
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = "BTCUSD", Ask = 1001M, Bid = 1000M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.061M, Bid = 1.06M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "BTCEUR", Ask = 1092M, Bid = 1091M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "BTCUSD", Ask = 1001M, Bid = 1000M
});
var positions = new List <Position>
{
TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 100000, 1.05M),
TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, -200000, 1.04M),
TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 50000, 1.061M),
TestObjectsFactory.CreateOpenedPosition("BTCEUR", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 100, 1120, 1.06m)
};
foreach (var position in positions)
{
_ordersCache.Positions.Add(position);
}
positions[0].UpdateClosePrice(1.06M);
positions[1].UpdateClosePrice(1.061M);
positions[2].UpdateClosePrice(1.06M);
positions[3].UpdateClosePrice(1091M);
var account = Accounts[0];
Assert.AreEqual(50000, account.Balance);
Assert.AreEqual(43676.000, Math.Round(account.GetTotalCapital(), 5));
Assert.AreEqual(33484.3M, Math.Round(account.GetFreeMargin(), 1));
Assert.AreEqual(28388.5M, Math.Round(account.GetMarginAvailable(), 1));
Assert.AreEqual(-6324.000, Math.Round(account.GetPnl(), 5));
Assert.AreEqual(10191.7M, Math.Round(account.GetUsedMargin(), 1));
Assert.AreEqual(15287.5M, Math.Round(account.GetMarginInit(), 1));
}
public void Check_Account_StopOut_Level()
{
var position1 = TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 130000, 1.02M);
_ordersCache.Positions.Add(position1);
position1.UpdateClosePrice(1.02M);
position1.GetFpl();
var account = _accountsCacheService.Get(position1.AccountId);
Assert.IsNotNull(account);
Assert.IsTrue(account.GetMarginUsageLevel() <= 1.25M);
}
public void Is_Fpl_Sell_Correct()
{
const string instrument = "BTCUSD";
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(new InstrumentBidAskPair {
Instrument = instrument, Ask = 800, Bid = 790
}));
var position = TestObjectsFactory.CreateOpenedPosition(instrument, Accounts[0],
MarginTradingTestsUtils.TradingConditionId, -10, 790);
position.UpdateClosePrice(800);
Assert.AreEqual(-100, position.GetFpl());
}
public async Task Check_Position_PnL_Multi_Thread()
{
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "BTCUSD", Ask = 2M, Bid = 1M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1, Bid = 1
});
var position1 = TestObjectsFactory.CreateOpenedPosition("BTCUSD", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, 1, 2M, 1M);
var updateFxTask = new Action(() => { position1.UpdateCloseFxPrice(2); });
var getPnLTask = new Action(() => { position1.GetFpl(); });
var wrong = 0;
const int attempts = 100000;
for (int i = 0; i < attempts; i++)
{
position1.UpdateClosePrice(1M);
await Task.WhenAll(Task.Factory.StartNew(getPnLTask), Task.Factory.StartNew(updateFxTask));
var pnl = position1.GetFpl();
if (pnl != -2)
{
wrong++;
}
position1.UpdateClosePrice(2M);
position1.UpdateCloseFxPrice(1);
Assert.AreEqual(0, position1.GetFpl());
}
Assert.AreEqual(0, wrong, $"Number of wrong P&L calculations from {attempts} attempts");
}
public void Check_Position_Margin()
{
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 1.3M, Bid = 1.2M
}));
_bestPriceConsumer.SendEvent(this,
new BestPriceChangeEventArgs(
new InstrumentBidAskPair {
Instrument = "CHFJPY", Ask = 2.5M, Bid = 2.3M
}));
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURUSD", Ask = 9000M, Bid = 9000M
});
_fxRateCacheService.SetQuote(new InstrumentBidAskPair {
Instrument = "EURJPY", Ask = 2.3M, Bid = 2.3M
});
var position1 = TestObjectsFactory.CreateOpenedPosition("EURUSD", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, 15000, 1.3M, 1 / 9000M);
position1.UpdateClosePrice(1.2M);
position1.UpdateCloseFxPrice(1 / 9000M);
var position2 = TestObjectsFactory.CreateOpenedPosition("CHFJPY", Accounts[1],
MarginTradingTestsUtils.TradingConditionId, -100, 2.3M, 1 / 2.3M);
position2.UpdateClosePrice(2.5M);
position2.UpdateCloseFxPrice(1 / 2.3M);
Assert.AreEqual(0.02M, position1.GetMarginInit());
Assert.AreEqual(0.01M, position1.GetMarginMaintenance());
Assert.AreEqual(10.87, position2.GetMarginInit());
Assert.AreEqual(7.25M, position2.GetMarginMaintenance());
}
public void Is_Summary_Volume_Ivalid(decimal volume, bool isValid)
{
const string instrument = "BTCUSD";
var quote = new InstrumentBidAskPair {
Instrument = instrument, Bid = 1.55M, Ask = 1.57M
};
_bestPriceConsumer.SendEvent(this, new BestPriceChangeEventArgs(quote));
var existingLong = TestObjectsFactory.CreateOpenedPosition(instrument, Accounts[0],
MarginTradingTestsUtils.TradingConditionId, 110, 1.57M);
var existingShort = TestObjectsFactory.CreateOpenedPosition(instrument, Accounts[0],
MarginTradingTestsUtils.TradingConditionId, -12, 1.55M);
var existingOtherAcc = TestObjectsFactory.CreateOpenedPosition(instrument, Accounts[1],
MarginTradingTestsUtils.TradingConditionId, 49, 1.57M);
_ordersCache.Positions.Add(existingLong);
_ordersCache.Positions.Add(existingShort);
_ordersCache.Positions.Add(existingOtherAcc);
var order = TestObjectsFactory.CreateNewOrder(OrderType.Market, instrument, Accounts[0],
MarginTradingTestsUtils.TradingConditionId, volume);
if (isValid)
{
Assert.DoesNotThrow(() => _validateOrderService.MakePreTradeValidation(order, true, _me));
}
else
{
var ex = Assert.Throws <ValidateOrderException>(() =>
_validateOrderService.MakePreTradeValidation(order, true, _me));
Assert.That(ex.RejectReason == OrderRejectReason.MaxPositionLimit);
}
}
