public void CalculateRunnerProfitForTwoRunners()
{
var orc1 = new OrderRunnerChangeStub(1)
.WithMatchedBack(3.5, 10.99);
var orc2 = new OrderRunnerChangeStub(2)
.WithMatchedBack(10, 1.5);
var orc3 = new OrderRunnerChangeStub(3)
.WithMatchedLay(11, 6.2);
var orc4 = new OrderRunnerChangeStub(4)
.WithMatchedBack(8, 2)
.WithMatchedLay(8.8, 3);
var oc = new OrderChangeStub()
.WithOrderRunnerChange(orc1)
.WithOrderRunnerChange(orc2)
.WithOrderRunnerChange(orc3)
.WithOrderRunnerChange(orc4);
_market.OnChange(_change.WithOrderChange(oc).Build());
Assert.Equal(33.18, _market.Runners[1].Profit);
Assert.Equal(9.71, _market.Runners[2].Profit);
Assert.Equal(-73.49, _market.Runners[3].Profit);
Assert.Equal(-15.69, _market.Runners[4].Profit);
}
public void CalculateUnmatchedLiabilityForBacks(double price, double size)
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, size, "2")
.WithUnmatchedBack(1.01, 10.99, "3");
_runner.OnOrderChange(orc);
Assert.Equal(Math.Round(size + 10.99, 2), _runner.UnmatchedLiability);
}
public void HandleNullUnmatchedBackSize()
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedBack(null, 10.99, "2")
.WithUnmatchedBack(1.01, null, "3")
.WithUnmatchedBack(null, null, "4");
_runner.OnOrderChange(orc);
}
public void DoNotProcessOrderChangeForWrongMarket()
{
var orc = new OrderRunnerChangeStub(1).WithMatchedBack(2.5, 10.99);
var oc = new OrderChangeStub("WrongMarketId").WithOrderRunnerChange(orc);
var c = _change.WithOrderChange(oc).Build();
_market.OnChange(c);
Assert.Empty(_market.Runners);
}
public void HandleNullsInMatchedLays()
{
var orc = new OrderRunnerChangeStub()
.WithMatchedLay(null, 10.99)
.WithMatchedLay(1.01, null)
.WithMatchedLay(null, null);
_runner.OnOrderChange(orc);
Assert.Equal(0, _runner.IfWin);
}
public void CalculateIfWinAndIfLoseForBacksAndLays()
{
var orc = new OrderRunnerChangeStub()
.WithMatchedBack(8, 2)
.WithMatchedLay(8.8, 3);
_runner.OnOrderChange(orc);
Assert.Equal(-9.4, _runner.IfWin);
Assert.Equal(1, _runner.IfLose);
}
public void ProcessOrderChange()
{
var orc = new OrderRunnerChangeStub()
.WithMatchedBack(3.5, 10.99);
var oc = new OrderChangeStub()
.WithOrderRunnerChange(orc);
_market.OnChange(_change.WithOrderChange(oc).Build());
Assert.Equal(-10.99, _market.Runners[12345].IfLose);
}
public void CalculateIfLoseOnMatchedLays(double price, double size)
{
var orc = new OrderRunnerChangeStub()
.WithMatchedLay(price, size)
.WithMatchedLay(10.5, 99.99);
_runner.OnOrderChange(orc);
var ifLose = Math.Round(size + 99.99, 2);
Assert.Equal(ifLose, _runner.IfLose);
}
public void ClearUnmatchedLiabilityBeforeEachUpdate()
{
var orc1 = new OrderRunnerChangeStub()
.WithUnmatchedBack(2.5, 201.87);
_runner.OnOrderChange(orc1);
var orc2 = new OrderRunnerChangeStub()
.WithUnmatchedBack(1.01, 10.99);
_runner.OnOrderChange(orc2);
Assert.Equal(10.99, _runner.UnmatchedLiability);
}
public void DoNotProcessOrdersForOtherRunners()
{
var orc = new OrderRunnerChangeStub()
.WithMatchedBack(10.5, 99.99)
.WithMatchedLay(10.5, 99.99);
orc.SelectionId = 999;
_runner.OnOrderChange(orc);
Assert.Equal(0, _runner.IfWin);
Assert.Equal(0, _runner.IfLose);
}
public void AddUnmatchedOrders(string betId, long?placedDate, double?price, double?sizeRemaining)
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, sizeRemaining, betId, placedDate);
_runner.OnOrderChange(orc);
var uo = _runner.UnmatchedOrders.First(o => o.BetId == betId);
Assert.Equal(placedDate, uo.PlacedDate);
Assert.Equal(price, uo.Price);
Assert.Equal(sizeRemaining, uo.SizeRemaining);
}
public void HandleNullSelectionIdOnOrderChange()
{
var orc = new OrderRunnerChangeStub()
.WithMatchedBack(3.5, 10.99);
orc.SelectionId = null;
var oc = new OrderChangeStub()
.WithOrderRunnerChange(orc);
_market.OnChange(_change.WithOrderChange(oc).Build());
Assert.Empty(_market.Runners);
}
public void CalculateUnmatchedLiabilityForLays(double price, double size)
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedLay(price, size, "2")
.WithUnmatchedLay(1.01, 10.99, "3");
_runner.OnOrderChange(orc);
var expected = Math.Round((price * size) - size, 2);
expected += Math.Round((1.01 * 10.99) - 10.99, 2);
Assert.Equal(Math.Round(expected, 2), _runner.UnmatchedLiability);
}
public void UnmatchedOrdersAreClearedIfComplete(string betId, long?placedDate, double?price, double?sizeRemaining)
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, sizeRemaining + 10, betId, placedDate);
_runner.OnOrderChange(orc);
var orc2 = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, sizeRemaining + 10, betId, placedDate, "EC");
_runner.OnOrderChange(orc2);
Assert.Empty(_runner.UnmatchedOrders);
}
public void CalculateIfWinOnMatchedLays(double price, double size)
{
var orc = new OrderRunnerChangeStub()
.WithMatchedLay(price, size)
.WithMatchedLay(10.5, 99.99);
_runner.OnOrderChange(orc);
var ifWin = -Math.Round((price * size) - size, 2);
ifWin += -Math.Round((10.5 * 99.99) - 99.99, 2);
Assert.Equal(Math.Round(ifWin, 2), _runner.IfWin);
}
public void UnmatchedOrdersAreReplaced(string betId, long?placedDate, double?price, double?sizeRemaining)
{
var orc = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, sizeRemaining + 10, betId, placedDate);
_runner.OnOrderChange(orc);
var orc2 = new OrderRunnerChangeStub()
.WithUnmatchedBack(price, sizeRemaining, betId, placedDate);
_runner.OnOrderChange(orc2);
Assert.Single(_runner.UnmatchedOrders.Select(o => o.BetId == betId));
var uo = _runner.UnmatchedOrders.First(o => o.BetId == betId);
Assert.Equal(sizeRemaining, uo.SizeRemaining);
}
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 CalculateTotalLiability(double size)
{
var orc1 = new OrderRunnerChangeStub(1)
.WithMatchedBack(3.5, 10.99);
var orc2 = new OrderRunnerChangeStub(2)
.WithMatchedBack(10, 1.5)
.WithMatchedLay(9.5, 20.01)
.WithUnmatchedBack(11, size);
var oc = new OrderChangeStub()
.WithOrderRunnerChange(orc1)
.WithOrderRunnerChange(orc2);
_market.OnChange(_change.WithOrderChange(oc).Build());
Assert.Equal(45.99, _market.Runners[1].Profit);
Assert.Equal(-167.58, _market.Runners[2].Profit);
var expected = -167.58 - Math.Round(size, 2);
Assert.Equal(Math.Round(expected, 2), _market.Liability);
}
