void CallNotEnterCaseTest(Monitor_Door_Entering_Accessor monitorDoor_EnteringAcr)
{
// 여러가지 콜이 안들어가는 경우를 테스트한다.
// 가격이 낮은 경우
// Door 옵션의 가격이 타겟 옵션보다 가격이 높은 경우
}
void DeepCallTest(Monitor_Door_Entering_Accessor monitorDoor_EnteringAcr)
{
double doorStrikeOffset = monitorDoor_EnteringAcr._parent.Parent.Input.DoorStrikeOffset;
CallPutFlag cp = CallPutFlag.Call;
DateTime maturity = Util.GetSystemOptionMaturity();
// call strike
List<double> strikes = OptionUtil.GetSortedStrikeList(cp);
for (int i = strikes.Count - 1; i > strikes.Count - 1 - (int)doorStrikeOffset; --i)
{
double strike = strikes[i];
double doorStrike = monitorDoor_EnteringAcr.GetDoorStrike(strike, cp);
KospiOptionInfo doorKOI = OptionUtil.GetKOI(doorStrike, cp, maturity);
Assert.AreEqual(doorKOI, null);
}
for (int i = 0; i <= strikes.Count - 1 - (int)doorStrikeOffset; ++i)
{
double strike = strikes[i];
double doorStrike = monitorDoor_EnteringAcr.GetDoorStrike(strike, cp);
KospiOptionInfo doorKOI = OptionUtil.GetKOI(doorStrike, cp, maturity);
double expected = strike;
for (int j = 0; j < (int)doorStrikeOffset; ++j)
{
expected = OptionUtil.GetNextStrike(strike);
}
Util.IsSameDouble(expected, doorStrike);
}
}
void DoorMonitor_UnderlyingPriceTest()
{
String futureCode = KospiFutureUtil.Ins().KFI.Code;
// null이 오면 stay signal
Monitor_UnderlyingPrice.Signal signal = _monitorControllerAcr.MonitorPrice.Run(null);
Assert.AreEqual(signal, Monitor_UnderlyingPrice.Signal.Stay);
RawMarketData rmd = RmdManager.Ins().GetData(futureCode);
rmd.CurPrice = 200.0;
// 제대로 값이 오면 최초에는 무조건 리밸런스 시그널
signal = _monitorControllerAcr.MonitorPrice.Run(rmd);
Assert.AreEqual(signal, Monitor_UnderlyingPrice.Signal.Rebalance);
// 최초 모니터도어는 레디
Assert.AreEqual(_monitorControllerAcr._monitorDoor.GetState(),
MonitorController_Door.MonitorState.Ready);
// 처음에는 Cancel후 Enter가 false
Assert.AreEqual(_monitorControllerAcr.EnterAfterCancel, false);
IMonitor_Door next = _monitorControllerAcr._monitorDoor.Run(Monitor_UnderlyingPrice.Signal.Rebalance);
_monitorControllerAcr._monitorDoor = next;
// 계속 ready 유지
Assert.AreEqual(next.GetState(),
MonitorController_Door.MonitorState.Ready);
// AfterCancel = true
_monitorControllerAcr.EnterAfterCancel = true;
next = _monitorControllerAcr._monitorDoor.Run(Monitor_UnderlyingPrice.Signal.Rebalance);
_monitorControllerAcr._monitorDoor = next;
// Entering 도어
Assert.AreEqual(next.GetState(),
MonitorController_Door.MonitorState.Entering);
signal = _monitorControllerAcr.MonitorPrice.Run(rmd);
// 내부에서 reset이 되므로 Stay sign
Assert.AreEqual(signal, Monitor_UnderlyingPrice.Signal.Stay);
// 이제 Entering을 하도록 하자
Monitor_Door_Entering monitorDoor_Entering = _monitorControllerAcr._monitorDoor as Monitor_Door_Entering;
Monitor_Door_Entering_Accessor monitorDoor_EnteringAcr = new Monitor_Door_Entering_Accessor(new PrivateObject(monitorDoor_Entering));
// Call부터 시작하자
// Deep ITM, OTM의 경우 테스트 한다.
DeepCallTest(monitorDoor_EnteringAcr);
CallNotEnterCaseTest(monitorDoor_EnteringAcr);
}
