public void Clustering_OneClusterExpectedWithinValueRange_ReturnsOneBreach()
{
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(true);
var rule = new WashTradeRule(
this._equitiesParameters,
this._ruleCtx,
this._clustering,
this._alertStream,
this._currencyConverterService,
this._orderFilter,
this._equityFactory,
this._fixedIncomeFactory,
RuleRunMode.ValidationRun,
this._logger,
this._tradingLogger);
var tr1 = new Order().Random(19);
var tr2 = new Order().Random(21);
tr1.OrderDirection = OrderDirections.BUY;
tr2.OrderDirection = OrderDirections.SELL;
tr1.OrderAverageFillPrice = tr2.OrderAverageFillPrice;
tr1.OrderFilledVolume = 950;
tr2.OrderFilledVolume = 1000;
var trades = new List <Order> {
tr1, tr2
};
var result = rule.ClusteringTrades(trades);
Assert.AreEqual(result.ClusteringPositionBreach, true);
Assert.AreEqual(result.AmountOfBreachingClusters, 1);
}
private WashTradeRule BuildRule()
{
var rule = new WashTradeRule(
this._equitiesParameters,
this._ruleCtx,
this._clustering,
this._alertStream,
this._currencyConverterService,
this._orderFilter,
this._equityFactory,
this._fixedIncomeFactory,
RuleRunMode.ValidationRun,
this._logger,
this._tradingLogger);
return(rule);
}
public void Clustering_DontPerformAnalysis_ReturnsNoBreach()
{
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(false);
var rule = new WashTradeRule(
this._equitiesParameters,
this._ruleCtx,
this._clustering,
this._alertStream,
this._currencyConverterService,
this._orderFilter,
this._equityFactory,
this._fixedIncomeFactory,
RuleRunMode.ValidationRun,
this._logger,
this._tradingLogger);
var result = rule.ClusteringTrades(null);
Assert.AreEqual(result.ClusteringPositionBreach, false);
}
public void Clustering_FourClusterExpectedWithTwoWithinValueRange_ReturnsOneBreach()
{
A.CallTo(() => this._equitiesParameters.PerformClusteringPositionAnalysis).Returns(true);
var rule = new WashTradeRule(
this._equitiesParameters,
this._ruleCtx,
this._clustering,
this._alertStream,
this._currencyConverterService,
this._orderFilter,
this._equityFactory,
this._fixedIncomeFactory,
RuleRunMode.ValidationRun,
this._logger,
this._tradingLogger);
var tr1 = new Order().Random(21);
var tr2 = new Order().Random(21);
var tr3 = new Order().Random(100);
var tr4 = new Order().Random(101);
var tr5 = new Order().Random(50);
var tr6 = new Order().Random(70);
tr1.OrderDirection = OrderDirections.BUY;
tr2.OrderDirection = OrderDirections.SELL;
tr1.OrderFilledVolume = 950;
tr2.OrderFilledVolume = 1000;
tr1.FilledDate = DateTime.UtcNow.AddMinutes(5);
tr2.FilledDate = DateTime.UtcNow.AddMinutes(5);
tr3.OrderDirection = OrderDirections.BUY;
tr4.OrderDirection = OrderDirections.SELL;
tr4.OrderFilledVolume = 1500;
tr3.OrderFilledVolume = 1500;
tr3.FilledDate = DateTime.UtcNow.AddMinutes(10);
tr4.FilledDate = DateTime.UtcNow.AddMinutes(10);
tr5.OrderDirection = OrderDirections.BUY;
tr6.OrderDirection = OrderDirections.SELL;
tr6.OrderFilledVolume = 1500;
tr5.OrderFilledVolume = 1500;
tr5.FilledDate = DateTime.UtcNow.AddMinutes(15);
tr6.FilledDate = DateTime.UtcNow.AddMinutes(15);
var trades = new List <Order>
{
tr1,
tr2,
tr3,
tr4,
tr5,
tr6
};
var result = rule.ClusteringTrades(trades);
Assert.AreEqual(result.ClusteringPositionBreach, true);
Assert.IsTrue(result.AmountOfBreachingClusters < 3);
}
