private Orderbook CalculateOrderbook(CrossRateCalcInfo info)
{
var sourceOrderbook1 = _orderbooks.GetValueOrDefault(info.Source1.Id); // ex: btcusd
var sourceOrderbook2 = _orderbooks.GetValueOrDefault(info.Source2.Id); // ex: eurusd
if (sourceOrderbook1 == null || sourceOrderbook2 == null)
{
var reason = "No orderbook for " + (sourceOrderbook1 == null
? info.Source1.Id
: info.Source2.Id);
Trace.Write(TraceLevelGroupEnum.WarnTrace, info.ResultingPairId,
"Skipping generating cross-rate: " + reason,
new { Event = "CrossRateSkipped", Reason = reason });
return(null);
}
var bestPrices1 = _bestPricesService.Calc(sourceOrderbook1); // ex: btcusd
var bestPrices2 = _bestPricesService.Calc(sourceOrderbook2); // ex: eurusd
var crossBid = GetCrossRate(bestPrices1, bestPrices2, info, true);
var crossAsk = GetCrossRate(bestPrices1, bestPrices2, info, false);
Trace.Write(TraceLevelGroupEnum.Trace, info.ResultingPairId,
"Generating cross-rate",
new { Event = "CrossRateGenerated", Bid = crossBid, Ask = crossAsk });
return(new Orderbook(info.ResultingPairId,
ImmutableArray.Create(new OrderbookPosition(crossBid, 1)), // in future: calc whole orderbook
ImmutableArray.Create(new OrderbookPosition(crossAsk, 1))));
}
private static decimal GetCrossRate(BestPrices bba1, BestPrices bba2, CrossRateCalcInfo info, bool bid)
{
var first = GetRate(bba1, bid, !info.Source1.IsTransitoryAssetQuoting);
var second = GetRate(bba2, bid, info.Source2.IsTransitoryAssetQuoting);
return(first * second);
}
private CrossRateCalcInfoModel Convert([CanBeNull] CrossRateCalcInfo settings)
{
if (settings == null)
{
return(null);
}
return(_convertService.Convert <CrossRateCalcInfo, CrossRateCalcInfoModel>(settings));
}
public void IfSourceIsCrossRates_ShouldReturnCorrectResults()
{
//arrange
var ethUsdCalcInfo = new CrossRateCalcInfo("ETHUSD",
new CrossRateSourceAssetPair("ETHBTC", true),
new CrossRateSourceAssetPair("BTCUSD", false));
var btcEurCalcInfo = new CrossRateCalcInfo("BTCEUR",
new CrossRateSourceAssetPair("BTCUSD", true),
new CrossRateSourceAssetPair("EURUSD", true));
var btcChfCalcInfo = new CrossRateCalcInfo("BTCCHF",
new CrossRateSourceAssetPair("BTCUSD", true),
new CrossRateSourceAssetPair("USDCHF", false));
var ethBtcOrderbook = MakeOrderbook("ETHBTC");
var eurUsdOrderbook = MakeOrderbook("EURUSD");
var usdChfOrderbook = MakeOrderbook("USDCHF");
var btcUsdOrderbook = MakeOrderbook("BTCUSD");
_testSuit
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("ETHBTC") == new[] { ethUsdCalcInfo })
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("EURUSD") == new[] { btcEurCalcInfo })
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("USDCHF") == new[] { btcChfCalcInfo })
.Setup <ICrossRateCalcInfosService>(s =>
s.GetDependentAssetPairs("BTCUSD") == new[] { ethUsdCalcInfo, btcEurCalcInfo, btcChfCalcInfo })
.Setup <IBestPricesService>(s => s.Calc(ethBtcOrderbook) == new BestPrices(0.04m, 0.05m))
.Setup <IBestPricesService>(s => s.Calc(eurUsdOrderbook) == new BestPrices(1.2m, 1.3m))
.Setup <IBestPricesService>(s => s.Calc(usdChfOrderbook) == new BestPrices(0.98m, 0.99m))
.Setup <IBestPricesService>(s => s.Calc(btcUsdOrderbook) == new BestPrices(6500, 6600))
.Setup <IAssetPairSourceTypeService>(s => s.Get(It.IsNotNull <string>()) == AssetPairQuotesSourceTypeDomainEnum.CrossRates);
//act
var ethBtcResult = _testSuit.Sut.CalcDependentOrderbooks(ethBtcOrderbook);
var eurUsdResult = _testSuit.Sut.CalcDependentOrderbooks(eurUsdOrderbook);
var usdChfResult = _testSuit.Sut.CalcDependentOrderbooks(usdChfOrderbook);
var btcUsdResult = _testSuit.Sut.CalcDependentOrderbooks(btcUsdOrderbook);
//assert
ethBtcResult.Should().BeEmpty();
eurUsdResult.Should().BeEmpty();
usdChfResult.Should().BeEmpty();
//BTCEUR = BTCUSD * (ask EURUSD)^-1
//BTCCHF = BTCUSD * USDCHF
//ETHUSD = ETHBTC * BTCUSD
btcUsdResult.Should().BeEquivalentTo(
new[]
{
new Orderbook("BTCEUR",
ImmutableArray.Create(new OrderbookPosition(6500 * (1 / 1.3m), 1)),
ImmutableArray.Create(new OrderbookPosition(6600 * (1 / 1.2m), 1))),
new Orderbook("BTCCHF",
ImmutableArray.Create(new OrderbookPosition(6500 * 0.98m, 1)),
ImmutableArray.Create(new OrderbookPosition(6600 * 0.99m, 1))),
new Orderbook("ETHUSD",
ImmutableArray.Create(new OrderbookPosition(0.04m * 6500, 1)),
ImmutableArray.Create(new OrderbookPosition(0.05m * 6600, 1))),
});
}
public AssetPairSettings(AssetPairQuotesSourceTypeDomainEnum quotesSourceType,
AssetPairExtPriceSettings extPriceSettings, CrossRateCalcInfo crossRateCalcInfo,
AggregateOrderbookSettings aggregateOrderbookSettings)
{
QuotesSourceType = quotesSourceType;
ExtPriceSettings = extPriceSettings;
CrossRateCalcInfo = crossRateCalcInfo;
AggregateOrderbookSettings = aggregateOrderbookSettings;
}
private void Validate(CrossRateCalcInfo crossRateCalcInfo)
{
crossRateCalcInfo.RequiredNotNull("crossRateCalcInfo for pair " + _assetPairId);
crossRateCalcInfo.ResultingPairId.RequiredEqualsTo(_assetPairId,
"crossRateCalcInfo.ResultingPairId for pair " + _assetPairId);
Validate(crossRateCalcInfo.Source1);
Validate(crossRateCalcInfo.Source2);
crossRateCalcInfo.Source1.Id.RequiredNotEqualsTo(crossRateCalcInfo.Source2.Id,
"crossRateCalcInfo.Source1.Id equals crossRateCalcInfo.Source2.Id for pair " + _assetPairId);
}
public void IfSourceIsNotCrossRates_ShouldNotCalculateCrossRates()
{
//arrange
var ethUsdCalcInfo = new CrossRateCalcInfo("ETHUSD",
new CrossRateSourceAssetPair("ETHBTC", true),
new CrossRateSourceAssetPair("BTCUSD", false));
var btcEurCalcInfo = new CrossRateCalcInfo("BTCEUR",
new CrossRateSourceAssetPair("BTCUSD", true),
new CrossRateSourceAssetPair("EURUSD", true));
var btcChfCalcInfo = new CrossRateCalcInfo("BTCCHF",
new CrossRateSourceAssetPair("BTCUSD", true),
new CrossRateSourceAssetPair("USDCHF", false));
var ethBtcOrderbook = MakeOrderbook("ETHBTC");
var eurUsdOrderbook = MakeOrderbook("EURUSD");
var usdChfOrderbook = MakeOrderbook("USDCHF");
var btcUsdOrderbook = MakeOrderbook("BTCUSD");
_testSuit
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("ETHBTC") == new[] { ethUsdCalcInfo })
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("EURUSD") == new[] { btcEurCalcInfo })
.Setup <ICrossRateCalcInfosService>(s => s.GetDependentAssetPairs("USDCHF") == new[] { btcChfCalcInfo })
.Setup <ICrossRateCalcInfosService>(s =>
s.GetDependentAssetPairs("BTCUSD") == new[] { ethUsdCalcInfo, btcEurCalcInfo, btcChfCalcInfo })
.Setup <IAssetPairSourceTypeService>(s => s.Get(It.IsNotNull <string>()) == AssetPairQuotesSourceTypeDomainEnum.External);
//act
var ethBtcResult = _testSuit.Sut.CalcDependentOrderbooks(ethBtcOrderbook);
var eurUsdResult = _testSuit.Sut.CalcDependentOrderbooks(eurUsdOrderbook);
var usdChfResult = _testSuit.Sut.CalcDependentOrderbooks(usdChfOrderbook);
var btcUsdResult = _testSuit.Sut.CalcDependentOrderbooks(btcUsdOrderbook);
//assert
ethBtcResult.Should().BeEmpty();
eurUsdResult.Should().BeEmpty();
usdChfResult.Should().BeEmpty();
btcUsdResult.Should().BeEmpty();
}
public void Update([NotNull] CrossRateCalcInfo info)
{
_settingsRootService.Update(info.ResultingPairId,
old => new AssetPairSettings(old.QuotesSourceType, old.ExtPriceSettings, info, old.AggregateOrderbookSettings));
}
public AssetPairSettings(AssetPairQuotesSourceTypeDomainEnum quotesSourceType, AssetPairExtPriceSettings extPriceSettings, CrossRateCalcInfo crossRateCalcInfo)
{
QuotesSourceType = quotesSourceType;
ExtPriceSettings = extPriceSettings;
CrossRateCalcInfo = crossRateCalcInfo;
}