public void ApplyCommissionInPrices_1()
{
var setting = new SimBaseInstrumentSetting();
setting.SourceExchange.Add("bitstamp");
var store = new Mock <ITickPriceStore>();
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6000, 6100, "bitstamp", "BTCUSD"));
var orderBookData = new FakeOrderBookProvider();
var tickPriceData = new FakeTickPriceProvider();
var commisiionRepo = new Mock <IExchangeCommissionSettingRepository>();
commisiionRepo.Setup(e => e.GetSettingsByExchange(It.IsAny <string>())).Returns(Task.FromResult <IExchangeCommissionSetting>(new FakeExchangeCommissionSetting()));
commisiionRepo.Setup(e => e.GetSettingsByExchange("bitstamp")).Returns(Task.FromResult <IExchangeCommissionSetting>(new FakeExchangeCommissionSetting()
{
ExchangeName = "bitstamp",
TradeCommissionPerc = 10,
WithdrawCommissionPerc = 0
}));
var service = new SimBaseInstrumentService(orderBookData, tickPriceData, store.Object, setting, commisiionRepo.Object, EmptyLogFactory.Instance);
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(1, orderBookData.Data.Count);
Assert.AreEqual(1, tickPriceData.Data.Count);
var tp = tickPriceData.Data.First();
Assert.AreEqual(6055.01m, tp.Ask);
Assert.AreEqual(6054.99m, tp.Bid);
}
public void SkipAction_IfBigChangePrice()
{
var setting = new SimBaseInstrumentSetting();
setting.SourceExchange.Add("bitstamp");
setting.DangerChangePriceKoef = 0.1m;
var store = new Mock <ITickPriceStore>();
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6049, 6051, "bitstamp", "BTCUSD"));
var orderBookData = new FakeOrderBookProvider();
var tickPriceData = new FakeTickPriceProvider();
var service = new SimBaseInstrumentService(orderBookData, tickPriceData, store.Object, setting, GetEmptyCommission(), EmptyLogFactory.Instance);
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(1, orderBookData.Data.Count);
Assert.AreEqual(1, tickPriceData.Data.Count);
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6049, 6051, "bitstamp", "BTCUSD"));
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(2, orderBookData.Data.Count);
Assert.AreEqual(2, tickPriceData.Data.Count);
}
public void ProvidePriceFromOneSource()
{
var setting = new SimBaseInstrumentSetting();
setting.SourceExchange.Add("bitstamp");
var store = new Mock <ITickPriceStore>();
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6000, 6100, "bitstamp", "BTCUSD"));
var orderBookData = new FakeOrderBookProvider();
var tickPriceData = new FakeTickPriceProvider();
var service = new SimBaseInstrumentService(orderBookData, tickPriceData, store.Object, setting, GetEmptyCommission(), EmptyLogFactory.Instance);
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(1, orderBookData.Data.Count);
Assert.AreEqual(1, tickPriceData.Data.Count);
var ob = orderBookData.Data.First();
var tp = tickPriceData.Data.First();
Assert.AreEqual(1, ob.Asks.Count());
Assert.AreEqual(1, ob.Bids.Count());
Assert.AreEqual(6050.01m, ob.Asks.First().Price);
Assert.AreEqual(6049.99m, ob.Bids.First().Price);
Assert.AreEqual(setting.FakeVolume, ob.Asks.First().Volume);
Assert.AreEqual(setting.FakeVolume, ob.Bids.First().Volume);
Assert.AreEqual(6050.01m, tp.Ask);
Assert.AreEqual(6049.99m, tp.Bid);
}
public void CalculateWithoutData()
{
var setting = new SimBaseInstrumentSetting();
setting.SourceExchange.Add("bitfinex");
setting.SourceExchange.Add("lykke");
var store = new Mock <ITickPriceStore>();
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6000, 6050, "bitstamp", "BTCUSD"));
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6000, 6050, "gdax", "BTCUSD"));
var orderBookData = new FakeOrderBookProvider();
var tickPriceData = new FakeTickPriceProvider();
var service = new SimBaseInstrumentService(orderBookData, tickPriceData, store.Object, setting, GetEmptyCommission(), EmptyLogFactory.Instance);
service.CalculateMarket().GetAwaiter().GetResult();
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(0, orderBookData.Data.Count);
Assert.AreEqual(0, tickPriceData.Data.Count);
}
public void ProvidePriceFromOneSource_withLinkedAssetPair()
{
var setting = new SimBaseInstrumentSetting();
setting.SourceExchange.Add("bitstamp");
setting.CrossInstrument.Add(new LinkedInstrumentSettings("BTCEUR", "EURUSD", "lykke", true));
setting.CrossInstrument.Add(new LinkedInstrumentSettings("BTCCHF", "USDCHF", "lykke", false));
var store = new Mock <ITickPriceStore>();
store.Setup(e => e.GetTickPrice("bitstamp", "BTCUSD")).Returns(CreateCtickPrice(6000, 6100, "bitstamp", "BTCUSD"));
store.Setup(e => e.GetTickPrice("lykke", "EURUSD")).Returns(CreateCtickPrice(10, 100, "lykke", "EURUSD"));
store.Setup(e => e.GetTickPrice("lykke", "USDCHF")).Returns(CreateCtickPrice(10, 100, "lykke", "USDCHF"));
var orderBookData = new FakeOrderBookProvider();
var tickPriceData = new FakeTickPriceProvider();
var service = new SimBaseInstrumentService(orderBookData, tickPriceData, store.Object, setting, GetEmptyCommission(), EmptyLogFactory.Instance);
service.CalculateMarket().GetAwaiter().GetResult();
Assert.AreEqual(3, orderBookData.Data.Count);
Assert.AreEqual(3, tickPriceData.Data.Count);
var btcusdOb = orderBookData.Data.First(e => e.Asset == "BTCUSD");
var btcusdTp = tickPriceData.Data.First(e => e.Asset == "BTCUSD");
var btceurOb = orderBookData.Data.First(e => e.Asset == "BTCEUR");
var btceurTp = tickPriceData.Data.First(e => e.Asset == "BTCEUR");
var btcchfOb = orderBookData.Data.First(e => e.Asset == "BTCCHF");
var btcchfTp = tickPriceData.Data.First(e => e.Asset == "BTCCHF");
// check btcusd
Assert.AreEqual(1, btcusdOb.Asks.Count());
Assert.AreEqual(1, btcusdOb.Bids.Count());
Assert.AreEqual(6050.01m, btcusdOb.Asks.First().Price);
Assert.AreEqual(6049.99m, btcusdOb.Bids.First().Price);
Assert.AreEqual(setting.FakeVolume, btcusdOb.Asks.First().Volume);
Assert.AreEqual(setting.FakeVolume, btcusdOb.Bids.First().Volume);
Assert.AreEqual(6050.01m, btcusdTp.Ask);
Assert.AreEqual(6049.99m, btcusdTp.Bid);
// check eurusd
var eurAsk = 605.00m;
var eurBid = 60.50m;
Assert.AreEqual(1, btceurOb.Asks.Count());
Assert.AreEqual(1, btceurOb.Bids.Count());
Assert.AreEqual(eurAsk, btceurOb.Asks.First().Price);
Assert.AreEqual(eurBid, btceurOb.Bids.First().Price);
Assert.AreEqual(setting.FakeVolume, btceurOb.Asks.First().Volume);
Assert.AreEqual(setting.FakeVolume, btceurOb.Bids.First().Volume);
Assert.AreEqual(eurAsk, btceurTp.Ask);
Assert.AreEqual(eurBid, btceurTp.Bid);
// check usdchf
var chfAsk = 605001m;
var chfBid = 60499.9m;
Assert.AreEqual(1, btcchfOb.Asks.Count());
Assert.AreEqual(1, btcchfOb.Bids.Count());
Assert.AreEqual(chfAsk, btcchfOb.Asks.First().Price);
Assert.AreEqual(chfBid, btcchfOb.Bids.First().Price);
Assert.AreEqual(setting.FakeVolume, btcchfOb.Asks.First().Volume);
Assert.AreEqual(setting.FakeVolume, btcchfOb.Bids.First().Volume);
Assert.AreEqual(chfAsk, btcchfTp.Ask);
Assert.AreEqual(chfBid, btcchfTp.Bid);
}