public void Setup()
        {
            this.signalQueue = new ObservableQueue <Signal>();
            this.tradingData = new TradingDataContext();

            this.lLeg = new List <StrategyHeader>();
            this.rLeg = new List <StrategyHeader>();

            this.lStrategy = new StrategyHeader(1, "Left leg strategyHeader", "BP12345-RF-01", "SBRF-3.14_FT", 10);
            this.tradingData.Get <ICollection <StrategyHeader> >().Add(lStrategy);
            this.lLeg.Add(this.lStrategy);

            this.rStrategy = new StrategyHeader(2, "Right leg strategyHeader", "BP12345-RF-01", "SBPR-3.13_FT", 11);
            this.tradingData.Get <ICollection <StrategyHeader> >().Add(rStrategy);
            this.rLeg.Add(this.rStrategy);

            this.arbitrageSettings = new ArbitrageSettings(1, this.lLeg, this.rLeg, new SpreadSettings(1.12, 1.25, 1.01));
            this.tradingData.Get <ICollection <ArbitrageSettings> >().Add(this.arbitrageSettings);

            this.lStrategyVolumeChangeStep = new StrategyVolumeChangeStep(this.lStrategy, 2);
            this.tradingData.Get <ICollection <StrategyVolumeChangeStep> >().Add(this.lStrategyVolumeChangeStep);

            ArbitrageOpenPositionOnSpreadValue handler =
                new ArbitrageOpenPositionOnSpreadValue(this.arbitrageSettings, this.lStrategy, this.tradingData, this.signalQueue, new NullLogger());
        }
コード例 #2
0
        private Signal MakeSignal(SpreadValue item, TradeAction action)
        {
            StrategyVolumeChangeStep strategyVolumeChangeStep = GetStrategyVolumeChangeStep(this.strategyHeader);

            Signal signal = new Signal(strategyHeader, BrokerDateTime.Make(DateTime.Now), action, OrderType.Market, arbitrageSetings.SpreadSettings.FairPrice, 0, 0);

            if (strategyVolumeChangeStep != null)
            {
                signal.Amount = GetAmount(strategyVolumeChangeStep.Amount);
            }

            return(signal);
        }
コード例 #3
0
        public void StrategyVolumeChangeStep_constructor_test()
        {
            double stepValue = 10;

            StrategyHeader strategyHeader = new StrategyHeader(1, "Strategy", "BP12345-RF-01", "SBRF-3.14_FT", 100);

            StrategyVolumeChangeStep step = new StrategyVolumeChangeStep(strategyHeader, stepValue);

            Assert.AreEqual(stepValue, step.Amount);
            Assert.AreEqual(strategyHeader.Id, step.Id);
            Assert.AreEqual(strategyHeader.Id, step.StrategyId);
            Assert.AreEqual(strategyHeader, step.Strategy);
        }