public void CreateInstrumetTest_Create_FlowdownSpread_Test()
{
var factory = new InstrumentFactory();
var instrumentState = Substitute.For <ITTInstrumentState>();
var def = new InstrDef("CME", "ZN", "SPREAD", "CME Reduced Tick Spread: 1xZN Dec15:-1xMar16", "+ZNZ5-ZNH6", "FlowdownSpread");
Instrument instrument = factory.CreateInstrument(def, instrumentState);
Assert.IsType <InstrumentSpreadFlowdown>(instrument);
}
public void CreateInstrumetTest_Create_SpreadImpliedNonlinearModel_Test()
{
var factory = new InstrumentFactory();
var instrumentState = Substitute.For <ITTInstrumentState>();
var def = new InstrDef("CME", "ZN", "FUTURE", "Dec15", "ZNZ5", "SpreadImpliedNonlinear");
Instrument instrument = factory.CreateInstrument(def, instrumentState);
Assert.IsType <InstrumentFutureSpreadImplied>(instrument);
}
public void CreateInstrumentTest_Build_SpreadBasicPriceModel_Test()
{
string seriesZNZ5 = "AAASSSBBBFFFZNZ5";
string seriesZNH6 = "AAASSSBBBFFFZNH6";
var factory = Substitute.ForPartsOf <InstrumentFactory>();
var instrumentStateZNZ5 = Substitute.For <ITTInstrumentState>();
instrumentStateZNZ5.SpreadType.Returns(TTSpreadType.None);
instrumentStateZNZ5.Exchange.Returns("CME");
instrumentStateZNZ5.Series.Returns(seriesZNZ5);
instrumentStateZNZ5.PointValue.Returns(1000f);
var defZNZ5 = new InstrDef("CME", "ZN", "FUTURE", "Dec15", "ZNZ5", "Basic");
Instrument instrumentZNZ5 = Substitute.ForPartsOf <Instrument>(instrumentStateZNZ5);
factory.CreateBasicOutright(Arg.Is(instrumentStateZNZ5)).Returns(instrumentZNZ5);
Instrument instrumentZNZ5Returned = factory.CreateInstrument(defZNZ5, instrumentStateZNZ5);
Assert.Same(instrumentZNZ5, instrumentZNZ5Returned);
var instrumentStateZNH6 = Substitute.For <ITTInstrumentState>();
instrumentStateZNH6.SpreadType.Returns(TTSpreadType.None);
instrumentStateZNH6.Exchange.Returns("CME");
instrumentStateZNH6.Series.Returns(seriesZNH6);
instrumentStateZNH6.PointValue.Returns(1000f);
var defZNH6 = new InstrDef("CME", "ZN", "FUTURE", "Mar16", "ZNH6", "SpreadImplied");
InstrumentFutureSpreadImplied instrumentZNH6 = Substitute.ForPartsOf <InstrumentFutureSpreadImplied>(instrumentStateZNH6, null, new ArithmeticMeanAggregation());
factory.CreateSpreadImpliedOutright(Arg.Is(instrumentStateZNH6)).Returns(instrumentZNH6);
InstrumentFutureSpreadImplied instrumentZNH6Returned = factory.CreateInstrument(defZNH6, instrumentStateZNH6) as InstrumentFutureSpreadImplied;
Assert.Same(instrumentZNH6, instrumentZNH6Returned);
var ttLeg1 = Substitute.For <ITTLeg>();
ttLeg1.Ratio.Returns(1);
ttLeg1.Exchange.Returns(defZNZ5.Exchange);
ttLeg1.Series.Returns(seriesZNZ5);
ttLeg1.ProductName.Returns(defZNZ5.Product);
ttLeg1.ProductType.Returns(defZNZ5.ProdType);
ttLeg1.Expiry.Returns(defZNZ5.Contract);
var ttLeg2 = Substitute.For <ITTLeg>();
ttLeg2.Ratio.Returns(-1);
ttLeg2.Exchange.Returns(defZNH6.Exchange);
ttLeg2.Series.Returns(seriesZNH6);
ttLeg2.ProductName.Returns(defZNH6.Product);
ttLeg2.ProductType.Returns(defZNH6.ProdType);
ttLeg2.Expiry.Returns(defZNH6.Contract);
var instrumentStateSpread = Substitute.For <ITTInstrumentState>();
instrumentStateSpread.Legs.Returns(new ITTLeg[] { ttLeg1, ttLeg2 });
instrumentStateSpread.SpreadType.Returns(TTSpreadType.ReducedTickSpread);
instrumentStateSpread.Exchange.Returns("CME");
var defSpread = new InstrDef("CME", "ZN", "SPREAD", "CME Reduced Tick Spread: 1xZN Dec15:-1xMar16", "+ZNZ5-ZNH6", "Basic");
InstrumentSpread instrumentSpread = Substitute.ForPartsOf <InstrumentSpread>(instrumentStateSpread);
factory.CreateSpreadInstrument(Arg.Is(instrumentStateSpread)).Returns(instrumentSpread);
InstrumentSpread instrumentSpreadReturned = factory.CreateInstrument(defSpread, instrumentStateSpread) as InstrumentSpread;
Assert.Same(instrumentSpread, instrumentSpreadReturned);
factory.UpdateInstrument(instrumentStateSpread);
Assert.NotNull(instrumentSpread.Legs);
Assert.Equal(instrumentSpread.Legs.Length, 2);
Assert.Equal(instrumentSpread.Legs[0].Instrument, instrumentZNZ5);
Assert.Equal(instrumentSpread.Legs[0].Ratio, 1);
Assert.Equal(instrumentSpread.Legs[0].Weight, 1f, 5);
Assert.Equal(instrumentSpread.Legs[1].Instrument, instrumentZNH6);
Assert.Equal(instrumentSpread.Legs[1].Ratio, -1);
Assert.Equal(instrumentSpread.Legs[1].Weight, -1f, 5);
Assert.False(instrumentSpread.IsNetChangePx);
instrumentZNZ5.OnPriceChanged += Raise.Event();
instrumentZNH6.Received(1).OnLinkedInstrumentChanged(Arg.Any <object>(), Arg.Any <EventArgs>());
instrumentZNH6.ClearReceivedCalls();
instrumentZNZ5.OnPriceChanged += Raise.Event();
instrumentSpread.OnPriceChanged += Raise.Event();
instrumentZNH6.Received(2).OnLinkedInstrumentChanged(Arg.Any <object>(), Arg.Any <EventArgs>());
}
