public void GetPossibleNotionalByIndicatorTest()
{
string strategyName = "unittest_position";
long maxNotional = 1000;
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.MaxNotional = maxNotional;
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor acc = new STR_KtbSkel_Accessor(po);
acc.SetAccountOrderLimit();
ProcessController_KtbSkel controller = acc.Controller;
ProcessController_KtbSkel_Accessor accController = new ProcessController_KtbSkel_Accessor(
new PrivateObject(controller));
ProcessState_Default ps = accController._processState as ProcessState_Default;
ProcessState_Default_Accessor psAcc = new ProcessState_Default_Accessor(
new PrivateObject(ps));
long notional = psAcc.GetPossibleNotionalByIndicator_Out(10F);
Assert.AreEqual((-500), notional);
Assert.AreEqual(false, accController.SortedPositionStack.IsFull(10F));
notional = psAcc.GetPossibleNotionalByIndicator_Out(6F);
Assert.AreEqual((-100), notional);
Assert.AreEqual(false, accController.SortedPositionStack.IsFull(6F));
notional = psAcc.GetPossibleNotionalByIndicator_Out(5F);
Assert.AreEqual(0, notional);
Assert.AreEqual(true, accController.SortedPositionStack.IsFull(5F));
notional = psAcc.GetPossibleNotionalByIndicator_Out(3.0F);
Assert.AreEqual(200, notional);
Assert.AreEqual(true, accController.SortedPositionStack.IsFull(3F));
notional = psAcc.GetPossibleNotionalByIndicator_Out(0F);
Assert.AreEqual(500, notional);
Assert.AreEqual(true, accController.SortedPositionStack.IsFull(0F));
notional = psAcc.GetPossibleNotionalByIndicator_Out(-1F);
Assert.AreEqual(500, notional);
Assert.AreEqual(true, accController.SortedPositionStack.IsFull(-1F));
}
public void TestKtbSkelCreateStrategy()
{
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, "test ktb skel");
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor acc = new STR_KtbSkel_Accessor(po);
acc.SetAccountOrderLimit();
TestSTR_KtbSkel_Raw(acc);
TestController_Raw(acc);
}
void TestTakeOverPosition()
{
string strategyName = "unittest_position";
long maxNotional = 100;
double downBoundary = 0F;
double upBoundary = 10F;
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.MaxNotional = maxNotional;
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor strategyAcc = new STR_KtbSkel_Accessor(po);
strategyAcc.SetAccountOrderLimit();
ProcessController_KtbSkel controller = strategyAcc.Controller;
String spotCode = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
String futureCode = KtbFutureUtil.Ins().KtbFuture_10yr_1.Code;
SortedPositionStack_KtbSkel target =
new SortedPositionStack_KtbSkel(controller, strategyName, spotCode, futureCode,
maxNotional, downBoundary, upBoundary);
SortedPositionStack_KtbSkel_Accessor acc =
new SortedPositionStack_KtbSkel_Accessor(
new PrivateObject(target));
acc._stack.Clear();
acc.DeleteTable();
int i = 1;
Position_KtbSkel pos1 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.00);
++i;
Position_KtbSkel pos2 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.04);
++i;
Position_KtbSkel pos3 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.02);
++i;
Position_KtbSkel pos4 = new Position_KtbSkel(
spotCode, 50 * i, 8888,
futureCode, (-50) * i, 107.03);
acc.Push(pos1);
acc.ToDB();
acc._stack.Clear();
acc.TakeOverPositionFromDB();
Assert.AreEqual(1, acc._stack.Count);
acc.DeleteTable();
acc._stack.Clear();
acc.Push(pos1);
acc.Push(pos2);
acc.Push(pos3);
acc.Push(pos4);
acc.ToDB();
acc._stack.Clear();
Assert.AreEqual(0, acc._stack.Count);
acc.TakeOverPositionFromDB();
Assert.AreEqual(4, acc._stack.Count);
Assert.AreEqual(acc.Peek().SignedSpotCount, 100);
}
void TestInvalidPositionFromDB()
{
// 100억이 현재 DB에 있는데 10억이 MaxNotional이다. 에러가 난다.
string strategyName = "unittest_position";
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor strategyAcc = new STR_KtbSkel_Accessor(po);
strategyAcc.SetAccountOrderLimit();
Util.LogOutCriticalError("\t\t# TakeOverPosition 1 permitted.");
Assert.AreEqual(strategyAcc.Controller.SortedPositionStack.TakeOverPositionFromDB(), false);
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
}
public void TestGetTargetNotional()
{
string strategyName = "unittest_position";
long maxNotional = 1000;
StrategyManager.Ins().UnRegister(strategyName);
AgentManager.Ins().Clear();
STR_KtbSkel factory = new STR_KtbSkel();
Input_KtbSkel input = new Input_KtbSkel();
input.MaxNotional = maxNotional;
input.Spot10yrCode = "KR1035027161";
input.Future10yrCode = "167FC000";
Serializer serializer = new Serializer(typeof(Input_KtbSkel));
String jsonText = serializer.Serialize(input);
STR_KtbSkel strategy = StrategyBuilder_KtbSkel.CreateStrategy(jsonText, strategyName);
PrivateObject po = new PrivateObject(strategy);
STR_KtbSkel_Accessor acc = new STR_KtbSkel_Accessor(po);
acc.SetAccountOrderLimit();
ProcessController_KtbSkel controller = acc.Controller;
ProcessController_KtbSkel_Accessor accController = new ProcessController_KtbSkel_Accessor(
new PrivateObject(controller));
ProcessState_Default ps = accController._processState as ProcessState_Default;
ProcessState_Default_Accessor psAcc = new ProcessState_Default_Accessor(
new PrivateObject(ps));
acc._monitorEnter.ReadyBeforeGetIndicator();
RawMarketData rmdSpot = acc._monitorEnter.SpotRmdThisTurn;
RawMarketData rmdFuture = acc._monitorEnter.FutureRmdThisTurn;
{
rmdSpot.AskCount1 = 20;
rmdSpot.BidCount1 = 50;
rmdFuture.AskCount1 = 30;
rmdFuture.BidCount1 = 40;
long notional = psAcc.GetTargetNotional_Enter(0, rmdSpot, rmdFuture);
Assert.AreEqual(0, notional);
notional = psAcc.GetTargetNotional_Enter(-1, rmdSpot, rmdFuture);
Assert.AreEqual(0, notional);
notional = psAcc.GetTargetNotional_Enter(5.11F, rmdSpot, rmdFuture);
Assert.AreEqual(10, notional);
notional = psAcc.GetTargetNotional_Enter(10F, rmdSpot, rmdFuture);
Assert.AreEqual(20, notional);
rmdSpot.AskCount1 = 100;
rmdSpot.BidCount1 = 100;
notional = psAcc.GetTargetNotional_Enter(10F, rmdSpot, rmdFuture);
Assert.AreEqual(40, notional);
}
{
rmdSpot.AskCount1 = 10;
rmdSpot.BidCount1 = 20;
rmdFuture.AskCount1 = 30;
rmdFuture.BidCount1 = 40;
double indicator = 0F;
long notional = psAcc.GetTargetNotional_Out(indicator, 0, rmdSpot, rmdFuture);
Assert.AreEqual(0, notional);
notional = psAcc.GetTargetNotional_Out(indicator, -1, rmdSpot, rmdFuture);
Assert.AreEqual(0, notional);
notional = psAcc.GetTargetNotional_Out(indicator, 10, rmdSpot, rmdFuture);
Assert.AreEqual(10, notional);
notional = psAcc.GetTargetNotional_Out(indicator, 100, rmdSpot, rmdFuture);
Assert.AreEqual(20, notional);
rmdSpot.AskCount1 = 100;
rmdSpot.BidCount1 = 100;
notional = psAcc.GetTargetNotional_Out(indicator, 100, rmdSpot, rmdFuture);
// future 수량이 가장 적다.
Assert.AreEqual(30, notional);
indicator = 4.91; // 500억이 차 있으므로 10억이 된다.
notional = psAcc.GetTargetNotional_Out(indicator, 100, rmdSpot, rmdFuture);
// indicator 수량이 가장 적다.
Assert.AreEqual(10, notional);
indicator = 5F;
notional = psAcc.GetTargetNotional_Out(indicator, 100, rmdSpot, rmdFuture);
// indicator 수량이 0
Assert.AreEqual(0, notional);
indicator = 5.11;
notional = psAcc.GetTargetNotional_Out(indicator, 100, rmdSpot, rmdFuture);
// indicator 수량이 0
Assert.AreEqual(0, notional);
}
}