public static Boolean IsAllRefOK(
MonitorState.MonitorDataThisTurn monitorData)
{
if (monitorData.RmdKoi_0.BidPrice1 <= monitorData.RmdKoi_1.BidPrice1)
{
return false;
}
//else if가 아니다. if가 맞다.
if (monitorData.RmdKoi_1.BidPrice1 <= monitorData.RmdKoi_2.BidPrice1)
{
return false;
}
if (monitorData.RmdKoi_2.BidPrice1 <= monitorData.RmdKoi_3.BidPrice1)
{
return false;
}
if (monitorData.RmdKoi_3.BidPrice1 <= monitorData.RmdKoi_4.BidPrice1)
{
return false;
}
return true;
}
public static Boolean IsAllValid(
MonitorState.MonitorDataThisTurn monitorData)
{
if (!Util.IsValidFullRMD(monitorData.RmdKoi_0))
{
return false;
}
if (!Util.IsValidFullRMD(monitorData.RmdKoi_1))
{
return false;
}
if (!Util.IsValidFullRMD(monitorData.RmdKoi_2))
{
return false;
}
if (!Util.IsValidFullRMD(monitorData.RmdKoi_3))
{
return false;
}
if (!Util.IsValidFullRMD(monitorData.RmdKoi_4))
{
return false;
}
return true;
}
Boolean IsFrontBidPrice(
EDoorEachMonitorEnterData eachData,
MonitorState.MonitorDataThisTurn monitorData)
{
double reqPrice = eachData.LiveOrder.ReqPrice;
double marketBidPrice = monitorData.RmdElw.BidPrice1;
Boolean bSame = Util.IsSameDouble(reqPrice, marketBidPrice, 2);
if (bSame || reqPrice > marketBidPrice)
{
return true;
}
return false;
}
Boolean IsOrderHigherThanKoi_2(
EDoorCenterData centerData,
EDoorEachMonitorEnterData eachData,
MonitorState.MonitorDataThisTurn monitorData)
{
double reqPrice = ElwOptionUtil.ConvertToOptionPrice(
eachData.EI.Code, eachData.LiveOrder.ReqPrice);
double bidPriceOfKoi_2 = monitorData.RmdKoi_2.BidPrice1;
if (reqPrice > bidPriceOfKoi_2)
{
return true;
}
return false;
}
Boolean IsRebalanceCondition(
EDoorCenterData centerData,
EDoorEachMonitorEnterData eachData,
MonitorState.MonitorDataThisTurn monitorData,
ref String log)
{
if (_parent.Parent.BlockAfterCancel)
{
return true;
}
// 1. 옵션시세가 정상적인지 확인한다.
if (EDoorUtil.IsAllValid(monitorData) &&
EDoorUtil.IsAllRefOK(monitorData))
{
// 2. koi 2's bidPrice < optionPriceOfReqPrice라면 리밸런스
if (IsOrderHigherThanKoi_2(centerData, eachData, monitorData))
{
log += "IsOrderHigherThanKoi_2 is true, ";
return true;
}
// 3. 최전방 주문이 아니고
// 최전방 주문 + 1tick가격이 koi 3's bidPrice보다 작으면
// 리밸런싱
if (!IsFrontBidPrice(eachData, monitorData) &&
IsReqPricePlusOneLowerThanKoi_3(eachData, monitorData))
{
log += "!IsFrontBidPrice and IsReqPricePlusOneLowerThanKoi_3 is true, ";
return true;
}
return false;
}
else
{
// 옵션 시세가 정상적이지 않으면 리밸런스 케이스이다.
log += "Market data is not valid, ";
return true;
}
}
IEDoorEachMonitorEnterState Run(
EDoorCenterData centerData,
EDoorEachMonitorEnterData eachData,
MonitorState.MonitorDataThisTurn monitorData)
{
// 리밸런스 해야 하는 상황인지 확인한다.
String log = "";
if (IsRebalanceCondition(centerData, eachData, monitorData, ref log))
{
// sweeper로 남은 주문 처리하고 모리터링 다시 시작
EDoorEachSweeperController sweeper =
new EDoorEachSweeperController(
eachData.LiveOrder,
_parent.Parent.Parent.GetCenterData());
// sweeper 등록
_parent.Parent.Parent.GetSweeperController().Add(sweeper);
eachData.ClearLiveOrder();
logger.Info("Change State Rebalance to MonitorState {0} ({1})", eachData.EI.Name, log);
IEDoorEachMonitorEnterState next = new MonitorState(_parent);
return next;
}
return this;
}
Boolean IsReqPricePlusOneLowerThanKoi_3(
EDoorEachMonitorEnterData eachData,
MonitorState.MonitorDataThisTurn monitorData)
{
// 1. 주문한 elw 가격 + 1tick 가격을 구한다.
String elwCode = eachData.LiveOrder.Code;
double elwReqPrice = eachData.LiveOrder.ReqPrice;
TickValue tv = ProductUtil.Ins().GetTick(elwCode, elwReqPrice);
double elwReqPricePlusOne = elwReqPrice + tv.UpTickValue;
// 2. elw가격 + 1tick 가격을 옵션 가격으로 바꾼다.
double optionPriceOfReqPricePlusOne =
ElwOptionUtil.ConvertToOptionPrice(elwCode, elwReqPricePlusOne);
// 3. koi 3's bidPrice를 구한다.
double bidPriceOfKoi_3 = monitorData.RmdKoi_3.BidPrice1;
// 4. 비교한다.
if (optionPriceOfReqPricePlusOne < bidPriceOfKoi_3)
{
return true;
}
return false;
}
void CalculateElwReqPriceTest(
MonitorState_Accessor ms,
MonitorState.MonitorDataThisTurn monitorData,
EDoorEachMonitorEnterData eachData)
{
String elwCode = monitorData.RmdElw.Code;
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
//1. Elw 가격이 없는 경우
// 4's koi가격
SetAsDefaultPrice(monitorData);
double actual = ms.CalculateElwReqPrice(monitorData, eachData);
double expected =
ElwOptionUtil.ConvertOptionPriceToElwPrice(ei, 0.8);
Assert.AreEqual(expected, actual);
//2. Elw 가격이 있는데 4's koi가격보다 낮은 경우
// 4's koi가격
double elwPrice =
ElwOptionUtil.ConvertOptionPriceToElwPrice(ei, 0.5);
monitorData.RmdElw.BidPrice1 = elwPrice;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
expected =
ElwOptionUtil.ConvertOptionPriceToElwPrice(ei, 0.8);
Assert.AreEqual(expected, actual);
//3. Elw 가격이 3's koi bidPrice보다 작은 경우
// Elw BidPrice + 1tick 가격이 리턴
double elwPriceOfKoi_3 = ElwOptionUtil.ConvertOptionPriceToElwPrice(
ei, monitorData.RmdKoi_3.BidPrice1);
TickValue tv = ProductUtil.Ins().GetTick(elwCode, elwPriceOfKoi_3);
double elwBidPrice = elwPriceOfKoi_3 - tv.DownTickValue * 2;
expected = elwPriceOfKoi_3 - tv.DownTickValue;
monitorData.RmdElw.BidPrice1 = elwBidPrice;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
Assert.AreEqual(expected, actual);
//4. Elw 가격이 2's koi bidPrice보다 작은 경우(3's koi 초과)
// 3's koi BidPrice해당 BidPrice
double elwPriceOfKoi_2 = ElwOptionUtil.ConvertOptionPriceToElwPrice(
ei, monitorData.RmdKoi_2.BidPrice1);
tv = ProductUtil.Ins().GetTick(elwCode, elwPriceOfKoi_2);
elwBidPrice = elwPriceOfKoi_2 - tv.DownTickValue * 2;
expected = ElwOptionUtil.ConvertOptionPriceToElwPrice(
ei, monitorData.RmdKoi_3.BidPrice1);
monitorData.RmdElw.BidPrice1 = elwBidPrice;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
Assert.AreEqual(expected, actual);
//5. Elw 가격이 너무 낮은 경우(4's koi)
SetAsDefaultPrice(monitorData);
actual = ms.CalculateElwReqPrice(monitorData, eachData);
expected =
ElwOptionUtil.ConvertOptionPriceToElwPrice(ei, 0.8);
Assert.AreEqual(expected, actual);
//6. Koi 0's 가격이 너무 낮은 경우(-1)
SetAsDefaultPrice(monitorData);
monitorData.RmdKoi_0.BidPrice1 = 0.69;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
Assert.AreEqual(-1, actual);
//7. Koi 1's 가격이 너무 낮은 경우(해당사항 없음)
//8. Koi 2's 가격이 너무 낮은 경우(해당사항 없음)
//9. Koi 3's 가격이 너무 낮은 경우(-1)
SetAsDefaultPrice(monitorData);
monitorData.RmdKoi_3.BidPrice1 = 0.19;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
Assert.AreEqual(-1, actual);
//10. Koi 4's 가격이 너무 낮은 경우(-1)
SetAsDefaultPrice(monitorData);
monitorData.RmdKoi_4.BidPrice1 = 0.19;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
Assert.AreEqual(-1, actual);
//11. 0's 매수호가 - 0.5 경우
SetAsDefaultPrice(monitorData);
monitorData.RmdKoi_0.BidPrice1 = 1.4;
actual = ms.CalculateElwReqPrice(monitorData, eachData);
expected =
ElwOptionUtil.ConvertOptionPriceToElwPrice(ei, 1.4 - 0.5);
}
void SetAsDefaultPrice(MonitorState.MonitorDataThisTurn monitorData)
{
// 기본 옵션 가격은 3.0, 2.5, 2, 1.5, 0.8이 되도록 한다.
monitorData.RmdKoi_0.BidPrice1 = 3.0;
monitorData.RmdKoi_0.AskPrice1 = 3.1;
monitorData.RmdKoi_1.BidPrice1 = 2.5;
monitorData.RmdKoi_1.AskPrice1 = 2.6;
monitorData.RmdKoi_2.BidPrice1 = 2.0;
monitorData.RmdKoi_2.AskPrice1 = 2.1;
monitorData.RmdKoi_3.BidPrice1 = 1.5;
monitorData.RmdKoi_3.AskPrice1 = 1.6;
monitorData.RmdKoi_4.BidPrice1 = 0.8;
monitorData.RmdKoi_4.AskPrice1 = 0.9;
monitorData.RmdElw.BidPrice1 = 0;
monitorData.RmdElw.AskPrice1 = 0;
}
void MakeValidRMD(ref MonitorState.MonitorDataThisTurn data)
{
data.RmdElw.BidPrice1 = 0;
data.RmdElw.AskPrice1 = 100;
data.RmdKoi_0.BidPrice1 = 10.1;
data.RmdKoi_0.AskPrice1 = 10.2;
data.RmdKoi_1.BidPrice1 = 10.2;
data.RmdKoi_1.AskPrice1 = 10.3;
data.RmdKoi_2.BidPrice1 = 10.3;
data.RmdKoi_2.AskPrice1 = 10.4;
data.RmdKoi_3.BidPrice1 = 10.4;
data.RmdKoi_3.AskPrice1 = 10.5;
data.RmdKoi_4.BidPrice1 = 10.5;
data.RmdKoi_4.AskPrice1 = 10.6;
}
void MakeRefOKRMD_4(ref MonitorState.MonitorDataThisTurn data)
{
// call인 경우 strike가 작을수록 값이 크다.
// put인 경우 strike가 클수록 값이 크다.
data.RmdElw.BidPrice1 = 5;
data.RmdElw.AskPrice1 = 10;
data.RmdKoi_4.BidPrice1 = 0.6;
data.RmdKoi_4.AskPrice1 = 0.7;
}
void MakeRefOKRMD_01(ref MonitorState.MonitorDataThisTurn data)
{
// call인 경우 strike가 작을수록 값이 크다.
// put인 경우 strike가 클수록 값이 크다.
data.RmdElw.BidPrice1 = 5;
data.RmdElw.AskPrice1 = 10;
data.RmdKoi_0.BidPrice1 = 1.0;
data.RmdKoi_0.AskPrice1 = 1.1;
data.RmdKoi_1.BidPrice1 = 0.9;
data.RmdKoi_1.AskPrice1 = 1.0;
}