public void IfChangeContainMarketDefinitionTheMarketDefinitionIsSet()
{
var mc = new MarketChangeStub().WithMarketDefinition(new MarketDefinition());
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.NotNull(_market.MarketDefinition);
}
public void OnMarketChangeThePublishedTimeOfTheMessageIsRecorded()
{
const int PublishTime = 123;
var mc = new MarketChangeStub();
_market.OnChange(_change.WithMarketChange(mc).WithPublishTime(PublishTime).Build());
Assert.Equal(PublishTime, _market.LastPublishedTime);
}
public void OnRunnerChangePublishTimeIsSet()
{
var runnerChange = new RunnerChangeStub();
var mc = new MarketChangeStub().WithRunnerChange(runnerChange);
_market.OnChange(_change.WithMarketChange(mc).WithPublishTime(98765).Build());
Assert.Equal(98765, _market.Runners[12345].LastPublishTime);
}
public void DoNotProcessRunnerWithNullSelectionId()
{
var mc = new MarketChangeStub()
.WithRunnerChange(new RunnerChangeStub().WithSelectionId(null))
.WithRunnerChange(new RunnerChangeStub().WithSelectionId(2));
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.Single(_market.Runners);
}
public void ReturnOverroundForSingleRunner(double price)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price, 100);
var mc = new MarketChangeStub().WithMarketId("1.2345").WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = 1 / price;
Assert.Equal(expected, _market.Overround());
}
public void IfChangeIsForDifferentMarketDoNotProcessTheChange()
{
var mc = new MarketChangeStub()
.WithMarketId("Different MarketId")
.WithMarketDefinition(new MarketDefinition());
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.Null(_market.MarketDefinition);
}
public void IfChangeContainsTotalMatchedUpdateTotalMatched()
{
const int TotalMatched = 20;
var mc = new MarketChangeStub()
.WithTotalMatched(TotalMatched);
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.Equal(TotalMatched, _market.TotalAmountMatched);
}
public async Task OnMarketCloseNotCalledIfNotCancelled()
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, default);
Assert.False(_orderManager.OnMarketCloseCalled);
}
public async Task UpdateMarketCacheUsedInStrategies()
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(1, _strategy.RunnerCount());
}
public void ReturnOverroundForMultipleRunners(double price1, double price2)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price1, 100);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, price2, 100);
var mc = new MarketChangeStub().WithMarketId("1.2345").WithRunnerChange(rc).WithRunnerChange(rc2);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = (1 / price1) + (1 / price2);
Assert.Equal(expected, _market.Overround());
}
public void IfChangeDoesNotContainTotalMatchedDoNotClearTotalMatched()
{
const int TotalMatched = 20;
var mc = new MarketChangeStub()
.WithTotalMatched(TotalMatched);
_market.OnChange(_change.WithMarketChange(mc).Build());
_market.OnChange(_change.WithMarketChange(new MarketChangeStub()).Build());
Assert.Equal(TotalMatched, _market.TotalAmountMatched);
}
public async Task UpdateMarketCacheWithPublishedTime(long pt)
{
_subscription.PublishTime = pt;
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(pt, _strategy.LastPublishedTime());
}
public void IfChangeContainsRunnersAddThemToTheCache()
{
var mc = new MarketChangeStub()
.WithRunnerChange(new RunnerChangeStub().WithSelectionId(1))
.WithRunnerChange(new RunnerChangeStub().WithSelectionId(2));
_market.OnChange(_change.WithMarketChange(mc).Build());
const int ExpectedRunnerCount = 2;
Assert.Equal(ExpectedRunnerCount, _market.Runners.Count);
}
public void IfChangeContainsRunnerUpdateRunnerCache()
{
const int TotalMatched = 20;
var mc = new MarketChangeStub()
.WithRunnerChange(new RunnerChangeStub()
.WithTotalMatched(TotalMatched));
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.Equal(
TotalMatched, _market.Runners[DefaultSelectionId].TotalMatched);
}
public void IfChangeAsksForCacheToBeReplacedTotalAmountMatchedIsCleared()
{
var mc1 = new MarketChangeStub().WithTotalMatched(20);
_market.OnChange(_change.WithMarketChange(mc1).Build());
var mc2 = new MarketChangeStub().WithReplaceCache();
_market.OnChange(_change.WithMarketChange(mc2).Build());
Assert.Equal(0, _market.TotalAmountMatched);
}
public void WhenMarketChangeIsForWrongMarketThePublishedTimeOfTheMessageIsNotUpdated()
{
const int PublishTime = 123;
var mc = new MarketChangeStub();
_market.OnChange(_change.WithMarketChange(mc).WithPublishTime(PublishTime).Build());
var mc2 = new MarketChangeStub().WithMarketId("WrongId");
_market.OnChange(_change.New().WithMarketChange(mc2).WithPublishTime(456).Build());
Assert.Equal(PublishTime, _market.LastPublishedTime);
}
public void IfChangeAsksForCacheToBeReplacedRunnersAreCleared()
{
var mc1 = new MarketChangeStub()
.WithRunnerChange(new RunnerChangeStub());
_market.OnChange(_change.WithMarketChange(mc1).Build());
var mc2 = new MarketChangeStub().WithReplaceCache();
_market.OnChange(_change.WithMarketChange(mc2).Build());
Assert.Empty(_market.Runners);
}
public void IfChangeAsksForCacheToBeReplacedMarketDefinitionIsCleared()
{
var mc1 = new MarketChangeStub()
.WithMarketDefinition(new MarketDefinition());
_market.OnChange(_change.WithMarketChange(mc1).Build());
var mc2 = new MarketChangeStub().WithReplaceCache();
_market.OnChange(_change.WithMarketChange(mc2).Build());
Assert.Null(_market.MarketDefinition);
}
public async Task OnMarketCloseCalledIfCancelled()
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
using var source = new CancellationTokenSource();
source.Cancel();
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.True(_orderManager.OnMarketCloseCalled);
}
public void StrategyIsToldWhatHasBeenUpdated()
{
var rc = new RunnerChangeStub()
.WithSelectionId(1)
.WithBestAvailableToBack(0, 2.5, 100)
.WithBestAvailableToLay(0, 3.0, 200);
var mc = new MarketChangeStub().WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
GetOrders(mc, 0);
Assert.Single(Market.Runners);
Assert.Equal(mc, _mChange);
}
public async Task UpdateMarketCacheWithMultipleChanges()
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChanges(new List <MarketChange> {
mc, mc2
});
await _trader.TradeMarket("1.2345", 0, CancellationToken.None);
Assert.Equal("CASOMM", _subscription.Actions);
Assert.Equal(2, _strategy.RunnerCount());
}
public void HandleNullSelectionIdInRunnerDefinition()
{
var rd = new RunnerDefinition {
AdjustmentFactor = 54.32
};
var md = new MarketDefinition
{
Runners = new List <RunnerDefinition> {
rd
},
};
var mc = new MarketChangeStub().WithMarketDefinition(md);
_market.OnChange(_change.WithMarketChange(mc).Build());
}
public void ReturnOverroundOnlyIfRunnerHasBestPriceAvailable(double price)
{
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, price, 100);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(1, 2, 100);
var rc3 = new RunnerChangeStub().WithSelectionId(3);
var mc = new MarketChangeStub()
.WithMarketId("1.2345")
.WithRunnerChange(rc)
.WithRunnerChange(rc2)
.WithRunnerChange(rc3);
_market.OnChange(_change.WithMarketChange(mc).Build());
var expected = 1 / price;
Assert.Equal(expected, _market.Overround());
}
public void IfChangeDoesNotContainMarketDefinitionAnyPreviousMarketDefinitionShouldNotBeCleared()
{
var mc1 = new MarketChangeStub().WithMarketDefinition(new MarketDefinition {
Venue = "Test Venue"
});
var c1 = new ChangeMessageStub().WithMarketChange(mc1).Build();
_market.OnChange(c1);
var mc = new MarketChange {
MarketId = "1.2345"
};
var c2 = _change.WithMarketChange(mc).Build();
_market.OnChange(c2);
Assert.Equal("Test Venue", _market.MarketDefinition.Venue);
}
public async Task StopProcessingMessageIfCancelled()
{
var source = new CancellationTokenSource();
_subscription.CancelAfterThisManyMessages(1, source);
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChange(mc);
_subscription.WithMarketChange(mc2);
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.Equal("CASOMD", _subscription.Actions);
}
public async Task ProcessLastMessageBeforeCancelling()
{
var source = new CancellationTokenSource();
_subscription.CancelAfterThisManyMessages(2, source);
var rc = new RunnerChangeStub().WithSelectionId(1).WithBestAvailableToBack(0, 2.5, 9.99);
var mc = new MarketChangeStub().WithRunnerChange(rc);
var rc2 = new RunnerChangeStub().WithSelectionId(2).WithBestAvailableToBack(0, 2.5, 9.99);
var mc2 = new MarketChangeStub().WithRunnerChange(rc2);
_subscription.WithMarketChange(mc);
_subscription.WithMarketChange(mc2);
await _trader.TradeMarket("1.2345", 0, source.Token);
Assert.Equal(1, _strategy.MarketUpdateCount);
}
public void IfChangeAsksForCacheToBeReplacedRunnersAreReplaced()
{
var mc1 = new MarketChangeStub()
.WithRunnerChange(new RunnerChangeStub());
_market.OnChange(_change.WithMarketChange(mc1).Build());
const int TotalMatched = 20;
var mc2 = new MarketChangeStub()
.WithReplaceCache()
.WithRunnerChange(new RunnerChangeStub()
.WithTotalMatched(TotalMatched));
_market.OnChange(_change.WithMarketChange(mc2).Build());
Assert.Equal(
TotalMatched, _market.Runners[DefaultSelectionId].TotalMatched);
}
public async Task AdjustBankForMarketLiability(double bank, double liability)
{
var rc = new RunnerChangeStub().WithBestAvailableToBack(0, 2.5, 2.99);
var mc = new MarketChangeStub().WithTotalMatched(10).WithRunnerChange(rc);
_subscription.WithMarketChange(mc);
var orc = new OrderRunnerChangeStub().WithUnmatchedBack(2.5, liability);
var oc = new OrderChangeStub().WithOrderRunnerChange(orc);
_subscription.WithOrderChange(oc);
_subscription.WithMarketChange(mc);
_trader.AddStrategy(new StrategySpy());
await _trader.TradeMarket("1.2345", bank, default);
Assert.Equal(Math.Round((bank - Math.Round(liability, 2)) / 2, 2), _strategy.Stake);
}
public void HandleRunnerDefinitionForRunnerThatDoesNotExist()
{
var rc = new RunnerChangeStub();
var rd = new RunnerDefinition
{
SelectionId = 1, AdjustmentFactor = 54.32,
};
var md = new MarketDefinition
{
Runners = new List <RunnerDefinition> {
rd
},
};
var mc = new MarketChangeStub()
.WithMarketDefinition(md)
.WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
}
public void OnMarketDefinitionAdjustmentFactorIsSet()
{
var rc = new RunnerChangeStub();
var rd = new RunnerDefinition
{
SelectionId = 12345, AdjustmentFactor = 54.32,
};
var md = new MarketDefinition
{
Runners = new List <RunnerDefinition> {
rd
},
};
var mc = new MarketChangeStub()
.WithMarketDefinition(md).WithRunnerChange(rc);
_market.OnChange(_change.WithMarketChange(mc).Build());
Assert.Equal(54.32, _market.Runners[12345].AdjustmentFactor);
}