public void FXMktHist_GetRealFXMarket()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
FXMarket fxNull = fxmh.GetRealFXMarket(MarketTestTools.dateArt, isExactDate: true);
FXMarket fXMarket = fxmh.GetRealFXMarket(MarketTestTools.dateArt);
if (fxNull != null)
{
Assert.IsTrue(false);
}
Assert.IsTrue(fXMarket.IsEquivalentTo(MarketTestTools.CreateMarket()));
}
public void ModifyTotalCcy_AssetTest()
{
Account acc = Init.CreateAccountAsset1();
FXMarket fxMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket(fxMkt);
acc.ModifyTotalCcy(fxMkt, aMkt, fxMkt.CcyRef);
Assert.IsTrue(
acc.TotalCcy == fxMkt.CcyRef &&
acc.TotalAmount == acc.Amount * aMkt.GetQuote(new AssetCcyPair(Init.Asset1(), Init.Ccy2()))
);
}
public void ModifyAmount_AssetTest()
{
Account acc = Init.CreateAccountAsset1();
FXMarket FXMkt = Init.CreateFXMarket();
acc.ConvertedCcy = FXMkt.CcyRef;
AssetMarket aMkt = Init.CreateAssetMarket(FXMkt);
acc.ModifyTotalCcy(FXMkt, aMkt, FXMkt.CcyRef);
acc.ModifyAmount(FXMkt, aMkt, "NOT USED", "1.00");
Assert.IsTrue(acc.Amount == 1);
}
public IAccount GetTotalAccount(FXMarket mkt, AssetMarket aMkt, ICcyAsset convCcy, string name, double?lastAmount)
{
_LastAmount = lastAmount;
if (Ccy.IsCcy())
{
RecalculateAmount(mkt, convCcy.Ccy);
}
else
{
RecalculateAmount(aMkt, convCcy.Ccy);
}
return(this);
}
public void ModifyTotalCcy(FXMarket mkt, AssetMarket aMkt, Currency ccy)
{
if (_TotalCcy != ccy)
{
_TotalCcy = ccy;
_TotalAmount = 0;
foreach (Institution instit in Institutions)
{
instit.ModifyTotalCcy(mkt, aMkt, ccy);
_TotalAmount += instit.TotalAmount;
}
}
}
public static FXMarket CreateMarket()
{
List <XChangeRate> xrList = new List <XChangeRate> {
};
xrList.Add(new XChangeRate(1000, Currency.XBT, Currency.USD));
xrList.Add(new XChangeRate(0.01, Currency.USD, Currency.ETH));
xrList.Add(new XChangeRate(900, Currency.XBT, Currency.EUR));
xrList.Add(new XChangeRate(0.011, Currency.EUR, Currency.ETH));
FXMarket fxMkt = new FXMarket(date1, xrList);
return(fxMkt);
}
public void Update(FXMarket fxMarket)
{
CalculateTotal(fxMarket);
foreach (AllocationElement element in Data)
{
element.Share = fxMarket.FXConvert(element.Price, CcyRef) / Total.Amount;
}
if (!Fees.IsNull)
{
Fees.Share = fxMarket.FXConvert(Fees.Price, CcyRef) / Total.Amount;
}
}
public void ModifyTotalCcy(FXMarket mkt, AssetMarket aMkt, Currency ccy)
{
if (_TotalCcy != ccy)
{
_TotalCcy = ccy;
IMarket iMkt = mkt;
if (!_Ccy.IsCcy())
{
iMkt = aMkt;
}
_TotalAmount = _Amount * iMkt.GetQuote(_Ccy.CreateMarketInput(_TotalCcy));
}
}
public IAccount TotalInstitution(FXMarket mkt, AssetMarket aMkt, Currency convCcy, string overrideName, double?lastAmount = null)
{
double total = 0;
foreach (var item in Institutions)
{
total += item.TotalAccount(mkt, aMkt, Ccy).ConvertedAmount;
}
Account acc = new Account(overrideName, Ccy, total, true, lastAmount);
acc.RecalculateAmount(mkt, convCcy);
return(acc);
}
public IAccount TotalAccount(FXMarket mkt, AssetMarket aMkt, Currency convCcy, string overrideAccountName, double?lastAmount)
{
double total = 0;
foreach (var x in _Accounts)
{
total += x.GetTotalAccount(mkt, aMkt, Ccy).ConvertedAmount;
}
Account res = new Account(overrideAccountName, Ccy, total, isCalculatedAccount: true, lastAmount);
res.RecalculateAmount(mkt, convCcy);
return(res);
}
public void ModifyCcy_CcyTest()
{
Account acc = Init.CreateAccountCurrency1();
double amount = acc.Amount;
FXMarket fxMkt = Init.CreateFXMarket();
AssetMarket aMkt = Init.CreateAssetMarket();
acc.ModifyCcy(fxMkt, aMkt, "NOT USED", Init.Ccy2(), false); //last input not used for Accounts
Assert.IsTrue(
acc.Ccy.Ccy == Init.Ccy2() &&
acc.Amount == amount &&
acc.ConvertedAmount == amount * fxMkt.GetQuote(new CurrencyPair(Init.Ccy2(), Init.Ccy1()))
);
}
private void AddAllocationToHistory(Allocation alloc, FXMarket fx)
{
Allocation newAlloc = (Allocation)alloc.Clone();
newAlloc.CancelFee();
newAlloc.Update(fx);
if (History.ContainsKey(fx.Date))
{
History[fx.Date] = newAlloc;
}
else
{
History.Add(fx.Date, newAlloc);
}
}
public void ModifyCcy(FXMarket mkt, AssetMarket aMkt, string accountName, ICcyAsset value, bool IsLastRow)
{
if (IsLastRow)
{
Ccy = value.Ccy;
foreach (Account item in Accounts)
{
item.RecalculateConvertedAmount(Ccy, mkt, aMkt);
}
}
else
{
Account acc = GetAccount(accountName);
acc.ModifyCcy(mkt, aMkt, "", value, false);
}
}
public static FXMarket CreateMarket2(DateTime?date = null)
{
if (!date.HasValue)
{
date = date2;
}
List <XChangeRate> xrList = new List <XChangeRate> {
};
xrList.Add(new XChangeRate(1050, Currency.XBT, Currency.USD));
xrList.Add(new XChangeRate(1 / (110.0), Currency.USD, Currency.ETH));
xrList.Add(new XChangeRate(960, Currency.XBT, Currency.EUR));
xrList.Add(new XChangeRate(0.0101, Currency.EUR, Currency.ETH));
FXMarket fxMkt = new FXMarket(date.Value, xrList);
return(fxMkt);
}
public void CalculateTotal(FXMarket fxMarket, Currency ccyInput = Currency.None)
{
if (ccyInput == Currency.None)
{
ccyInput = CcyRef;
}
Total = new Price(0, ccyInput);
foreach (AllocationElement element in Data)
{
Total = fxMarket.SumPrices(Total, element.Price);
if (Total == null)
{
throw new Exception($"Problem with Price Conversion: {element.Ccy} / {ccyInput}");
}
}
//Total = fxMarket.SumPrices(Total, Fees.Price);
}
public void HistoricalAccountingData()
{
HistoricalAccountingData had = new HistoricalAccountingData();
had.SetCcyDB(GetCcyDB());
// Create AccData 1
FXMarket fx1 = Init.CreateFXMarket();
fx1.CcyRef = had.CcyDB.RefCcy;
fx1.AddQuote(new CurrencyPair("GBP", "EUR"), 1.1);
fx1.AddQuote(new CurrencyPair("GBP", "JPY"), 130);
AssetMarket amkt1 = Init.CreateAssetMarket();
amkt1.AddQuote(new AssetCcyPair(new Asset("AAPL"), new Currency("USD")), 1234.56);
amkt1.PopulateWithFXMarket(fx1);
List <Category> list = new List <Category> {
Init.CreateCategory1(), Init.CreateCategory2()
};
AccountingData ad1 = new AccountingData(list, fx1, amkt1);
had.AddData(new DateTime(2020, 1, 1), ad1);
// Create AccData2
FXMarket fx2 = new FXMarket();
fx2.Copy(fx1);
fx2.AddQuote(new CurrencyPair("EUR", "USD"), 1.2);
fx2.AddQuote(new CurrencyPair("GBP", "EUR"), 1.15);
AssetMarket amkt2 = new AssetMarket();
amkt2.Copy(amkt1);
amkt2.AddQuote(new AssetCcyPair(new Asset("BNP"), new Currency("EUR")), 50.0);
amkt2.PopulateWithFXMarket(fx2);
AccountingData ad2 = new AccountingData(list, fx2, amkt2);
had.AddData(new DateTime(2020, 2, 3), ad2);
// Test
string fileName = SerializeObject(had, "HistoricalAccountingData");
HistoricalAccountingData desHad = DeserializeObject <HistoricalAccountingData>(fileName);
Assert.IsTrue(had == desHad);
}
public void ModifyCcy_AssetTest()
{
Account acc = Init.CreateAccountAsset1();
double amount = acc.Amount;
FXMarket fxMkt = Init.CreateFXMarket();
acc.ConvertedCcy = fxMkt.CcyRef;
AssetMarket aMkt = Init.CreateAssetMarket(fxMkt);
acc.ModifyTotalCcy(fxMkt, aMkt, fxMkt.CcyRef);
acc.ModifyCcy(fxMkt, aMkt, "NOT USED", Init.Asset3(), false); //last input not used for Accounts
bool testAmount = acc.ConvertedAmount == amount *aMkt.GetQuote(new AssetCcyPair(Init.Asset3(), fxMkt.CcyRef));
Assert.IsTrue(
acc.Ccy.Asset == Init.Asset3() &&
acc.Amount == amount &&
testAmount
);
}
public List <OpenOrder> GetOpenOrders(FXMarket fxmkt)
{
if (DateTime.UtcNow.Subtract(OpenOrdersLastUploadTime) < TimeSpan.FromSeconds(60))
{
return(OpenOrdersList);
}
Dictionary <string, OrderInfo> openOrders = KrakenApi.GetOpenOrders();
List <OpenOrder> orders = new List <OpenOrder> {
};
foreach (var item in openOrders)
{
orders.Add(new OpenOrder(item.Key, item.Value, fxmkt));
}
OpenOrdersList = orders;
OpenOrdersLastUploadTime = DateTime.UtcNow;
this.PublishInfo($"Open Orders: Downloaded {OpenOrdersList.Count} open orders from Kraken.");
return(orders);
}
public OpenOrder(string refID, OrderInfo orderInfo, FXMarket fxmkt)//, Dictionary<string, PnLElement> pnlInfo)
{
ID = refID;
OrderDescription orderDescr = orderInfo.Descr;
string descrPair = orderDescr.Pair;
var infos = orderDescr.Order.Split(' ');
IsBuyOrder = orderDescr.Type == "buy";
Volume = Convert.ToDouble(infos[1]);
int cryptoLen = descrPair.Length - 3;
Currency ccy1 = CurrencyPorperties.FromNameToCurrency(descrPair.Substring(0, cryptoLen));
Currency ccy2 = CurrencyPorperties.FromNameToCurrency(descrPair.Substring(cryptoLen, 3));
CurrencyPair cp = new CurrencyPair(ccy1, ccy2);
Rate = new XChangeRate((double)orderInfo.Descr.Price, cp);
CurrentRate = fxmkt.GetQuote(cp);
Return = Rate.Rate / CurrentRate.Rate - 1;
PreviouslyExecutedVolume = 0.0;
TotalPnL = 0;
}
public AccountingData Copy()
{
List <Category> newData = new List <Category> {
};
foreach (var cat in _Data)
{
Category copyCat = cat.Copy();
newData.Add(copyCat);
}
FXMarket fxmkt = new FXMarket(_CcyDB.RefCcy);
fxmkt.Copy(_FXMarket);
AssetMarket aMkt = new AssetMarket();
aMkt.Copy(_AssetMarket);
aMkt.PopulateWithFXMarket(fxmkt);
AccountingData res = new AccountingData(_CcyDB)
{
_Ccy = (Currency)_Ccy.Clone(),
_TotalValue = _TotalValue,
_Data = newData,
_FXMarket = fxmkt,
_AssetMarket = aMkt,
_Map = null
};
res.ReorgAccountingData(_Map);
foreach (Category cat in newData)
{
cat.ModifyAmountEventHandler += res.UpdateTotalAmount;
}
return(res);
}
private void AddTransaction(Transaction tx, DateTime nextTxDate, FXMarketHistory fxmh)
{
Allocation alloc = GetClosestAllocation(tx.Date, true);
FXMarket FX = fxmh.GetArtificialFXMarket(tx.Date);
alloc = alloc.AddTransaction(tx, FX);
alloc.CalculateTotal(FX);
if (History.ContainsKey(tx.Date))
{
tx.Date = tx.Date.AddSeconds(1);
}
History.Add(tx.Date, alloc);
// update the same allocation for the following days
List <DateTime> datesList = fxmh.ArtificialFXMarkets
.Keys
.Where(x => x > tx.Date && x < nextTxDate)
.Select(x => x).ToList();
foreach (DateTime date in datesList)
{
AddAllocationToHistory(alloc, fxmh.GetArtificialFXMarket(tx.Date));
}
}
public void ModifyAmount(FXMarket mkt, AssetMarket aMkt, string v, object valueAmount)
{
throw new NotImplementedException();
}
public IEnumerable <string> GetAvailableCurrencies()
{
return(FXMarket.GetAvailableCurrencies());
}
public double GetTotalAmount(Currency ccy, FXMarket fxMkt)
{
return(TotalAmount * fxMkt.GetQuote(new CurrencyPair(_TotalCcy, ccy)));
}
public IAccount TotalInstitution(FXMarket mkt, AssetMarket aMkt, Currency convCcy)
{
return(TotalInstitution(mkt, aMkt, convCcy, "Total"));
}
public IAccount GetTotalAccount(FXMarket mkt, AssetMarket aMkt, ICcyAsset convCcy)
{
return(GetTotalAccount(mkt, aMkt, convCcy, null, null));
}
public IAccount TotalAccount(FXMarket mkt, AssetMarket aMkt, Currency convCcy)
{
return(TotalAccount(mkt, aMkt, convCcy, "Total", null));
}
public IAccount GetTotalAccount(FXMarket mkt, AssetMarket aMkt, ICcyAsset convCcy, string name, double?lastAmount)
{
return(TotalAccount(mkt, aMkt, convCcy.Ccy, name, lastAmount));
}
