public void SwitchingManager_ShouldAlwaysReportLowerProfit()
{
var manager = new AlgorithmSwitchingManager();
manager.SmaCheckTimerOnElapsed(null, null);
var currentPaying = new Dictionary <AlgorithmType, double>();
for (var i = 0; i < AlgorithmSwitchingManager.MaxHistory + 10; i++)
{
foreach (var algo in StartPaying.Keys)
{
currentPaying[algo] = manager.LastPayingForAlgo(algo);
// Randomly add or subtract
NHSmaData.UpdatePayingForAlgo(algo, StartPaying[algo] + (R.NextDouble() - 0.5));
}
manager.SmaCheckTimerOnElapsed(null, null);
// Iterate again to check
foreach (var algo in StartPaying.Keys)
{
Assert.IsTrue(NHSmaData.TryGetPaying(algo, out var paying));
if (paying <= currentPaying[algo])
{
// New value was less/same, so normalized value should be that
Assert.AreEqual(paying, manager.LastPayingForAlgo(algo));
}
else
{
// New value was more, so normalized should be equal or greater (depending on ticks)
Assert.IsTrue(manager.LastPayingForAlgo(algo) >= currentPaying[algo]);
}
}
}
}
public void SwitchingManager_ShouldReportNewProfitAfterTicks()
{
var higherPayings = new Dictionary <AlgorithmType, double>();
foreach (var key in StartPaying.Keys)
{
higherPayings[key] = StartPaying[key] + 0.000001;
}
var manager = new AlgorithmSwitchingManager();
manager.SmaCheckTimerOnElapsed(null, null);
NHSmaData.UpdateSmaPaying(higherPayings);
for (var i = 1; i <= AlgorithmSwitchingManager.MaxHistory + 5; i++)
{
manager.SmaCheckTimerOnElapsed(null, null);
foreach (var algo in higherPayings.Keys)
{
var paying = manager.LastPayingForAlgo(algo);
Assert.AreEqual(NHSmaData.IsAlgorithmStable(algo), TestStables.Contains(algo));
var range = NHSmaData.IsAlgorithmStable(algo)
? AlgorithmSwitchingManager.StableRange
: AlgorithmSwitchingManager.UnstableRange;
if (i < range.Lower)
{
// We are below the interval for this algo to have updated
Assert.AreEqual(StartPaying[algo], paying);
}
else if (i >= range.Upper)
{
// We are above the max ticks for this algo to be updated
Assert.AreEqual(higherPayings[algo], paying);
}
}
}
}