public void Trade_Two_Open_One_Closed()
{
List <Trade> entities = new List <Trade>()
{
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 1, TradeType = TradeType.Open, TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 1, TradeType = TradeType.Open, TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 2, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
}
};
var tradeTransformer = new TradeTransformer();
var result = tradeTransformer.Transform(entities);
Assert.Single(result);
var closeOperation = result.First();
Assert.Equal(2, closeOperation.OpenTrades.Count);
Assert.True(closeOperation.IsClosed);
}
public void Trade_One_Open_Three_Closed()
{
List <Trade> entities = new List <Trade>()
{
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 20, Comm = 1.5M, TradeType = TradeType.Open, TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 5, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 5, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 5, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
},
};
var tradeTransformer = new TradeTransformer();
var result = tradeTransformer.Transform(entities);
Assert.Equal(3, result.Count);
var closeOperation1 = result.First();
Assert.True(closeOperation1.IsClosed);
Assert.Single(closeOperation1.OpenTrades);
var openTrade1 = closeOperation1.OpenTrades.First();
Assert.Equal(5, openTrade1.Quantity);
Assert.Equal(1.5M * 5M / 20M, openTrade1.Comm);
// 2 trade
var closeOperation2 = result.Skip(1).Take(1).First();
Assert.True(closeOperation2.IsClosed);
Assert.Single(closeOperation2.OpenTrades);
var openTrade2 = closeOperation2.OpenTrades.First();
Assert.Equal(5, openTrade2.Quantity);
Assert.Equal((1.5M - openTrade1.Comm) * (5M / 15M), openTrade2.Comm);
// 3 trade
var closeOperation3 = result.Skip(2).Take(1).First();
Assert.True(closeOperation3.IsClosed);
Assert.Single(closeOperation3.OpenTrades);
var openTrade3 = closeOperation3.OpenTrades.First();
Assert.Equal(5, openTrade3.Quantity);
Assert.Equal((1.5M - openTrade2.Comm - openTrade1.Comm) * (5M / 10M), openTrade3.Comm);
}
public void Trade_One_Open_One_Closed_Less()
{
List <Trade> entities = new List <Trade>()
{
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 20, Comm = 1.5M, TradeType = TradeType.Open, TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 5, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
}
};
var tradeTransformer = new TradeTransformer();
var result = tradeTransformer.Transform(entities);
Assert.Single(result);
var closeOperation = result.First();
Assert.True(closeOperation.IsClosed);
Assert.Single(closeOperation.OpenTrades);
var openTrade = closeOperation.OpenTrades.First();
Assert.Equal(5, openTrade.Quantity);
Assert.Equal(1.5M / 4, openTrade.Comm);
}
public void Trade_One_Open_Two_Closed_Sell()
{
List <Trade> entities = new List <Trade>()
{
new Trade()
{
Symbol = "AAA", Currency = "USD",
Quantity = -500,
Comm = -1M,
TradeType = TradeType.Open,
TradeOperation = TradeOperation.Sell
},
new Trade()
{
Symbol = "AAA",
Currency = "USD",
Quantity = 100,
Comm = -1M,
TradeType = TradeType.Close,
TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA",
Currency = "USD",
Quantity = 400,
Comm = -1M, TradeType = TradeType.Close,
TradeOperation = TradeOperation.Buy
},
};
var tradeTransformer = new TradeTransformer();
var result = tradeTransformer.Transform(entities);
Assert.Equal(2, result.Count);
var closeOperation1 = result.First();
Assert.True(closeOperation1.IsClosed);
Assert.Single(closeOperation1.OpenTrades);
var openTrade1 = closeOperation1.OpenTrades.First();
Assert.Equal(-100, openTrade1.Quantity);
var comm1 = -1M * 100M / 500M;
Assert.Equal(comm1, openTrade1.Comm);
var closeOperation2 = result.Skip(1).Take(1).First();
Assert.True(closeOperation2.IsClosed);
Assert.Single(closeOperation2.OpenTrades);
var openTrade2 = closeOperation2.OpenTrades.First();
Assert.Equal(-400, openTrade2.Quantity);
Assert.Equal((-1M - comm1) * (400M / 400M), openTrade2.Comm);
}
public void Trade_One_Open_Two_Closed()
{
List <Trade> entities = new List <Trade>()
{
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = 20, Comm = 1.5M, TradeType = TradeType.Open, TradeOperation = TradeOperation.Buy
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = -4, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
},
new Trade()
{
Symbol = "AAA", Currency = "USD", Quantity = -16, Comm = 1.5M, TradeType = TradeType.Close, TradeOperation = TradeOperation.Sell
},
};
var tradeTransformer = new TradeTransformer();
var result = tradeTransformer.Transform(entities);
Assert.Equal(2, result.Count);
var closeOperation1 = result.First();
Assert.True(closeOperation1.IsClosed);
Assert.Single(closeOperation1.OpenTrades);
var openTrade1 = closeOperation1.OpenTrades.First();
Assert.Equal(4, openTrade1.Quantity);
Assert.Equal(1.5M * 4M / 20M, openTrade1.Comm);
var closeOperation2 = result.Skip(1).Take(1).First();
Assert.True(closeOperation2.IsClosed);
Assert.Single(closeOperation2.OpenTrades);
var openTrade2 = closeOperation2.OpenTrades.First();
Assert.Equal(16, openTrade2.Quantity);
Assert.Equal((1.5M - 1.5M * (4M / 20M)) * (16M / 16M), openTrade2.Comm);
}
