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());
}
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);
}
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);
}