Sweeper_BondArb GetHousingSweeperNS(MonitorEnter_BondArb_Accessor me)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
SetAsZeroRMD(ref rmdNormal);
SetAsZeroRMD(ref rmdSmall);
int ret = 0;
// 5000에 일반을 사서 15000에 소액을 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(housingBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
return sweeper;
}
Sweeper_BondArb GetDoosanSweeperNR(MonitorEnter_BondArb_Accessor me)
{
BondPair doosanBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdRetail = null;
SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdNormal, ref rmdRetail);
SetAsZeroRMD(ref rmdNormal);
SetAsZeroRMD(ref rmdRetail);
int ret = 0;
// 5000에 일반을 사서 15000에 소매에 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 300 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdRetail, 0, 0);
SetImmeShortPart(rmdRetail, 300 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(doosanBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(doosanBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
return sweeper;
}
// 기회인지 보고 기회라면 포지션을 들어간다.
public Boolean EnterSweeperChance(long maxNewSweeperCount)
{
List<BondPair> pairs = BondPairManager.Ins().GetPairs();
// Arb기회를 구한다.
foreach (BondPair pair in pairs)
{
CheckArbChance(pair);
if (!pair.IsArbChance)
{
pair.LogMultiplier = 1;
}
}
// 기회를 정렬하여 큰 기회부터 확인한다.
List<BondPair> arbPairs = (from pair in pairs
where pair.IsArbChance == true
orderby pair.ArbChancePnL descending
select pair).ToList<BondPair>();
Boolean bArbChance = false;
if (arbPairs.Count > maxNewSweeperCount)
{
logger.Info("EnterSweeperChance ArbPairs({0}) > MaxNewSweeperCount({1})", arbPairs.Count, maxNewSweeperCount);
}
foreach (BondPair pair in arbPairs)
{
// 기회다 들어가자
if (maxNewSweeperCount <= 0)
{
break;
}
Sweeper_BondArb sweeper = new Sweeper_BondArb(pair, _bondAccount);
this._node.GetSweeperCollection().Add(sweeper);
--maxNewSweeperCount;
bArbChance = true;
if (pair.LastLoggedDateTime.AddSeconds(pair.LogMultiplier) < DateTime.Now)
{
logger.Info("BondArb Chance #({0:n0}) '{1}'", pair.LogMultiplier, pair.TextLog);
pair.LastLoggedDateTime = DateTime.Now;
pair.LogMultiplier *= 2;
}
}
return bArbChance;
}
void TestCheckArbChance_NoArbCase3(MonitorEnter_BondArb_Accessor me, ref int innerKillWithNoticeCallingCount)
{
BondPair housingBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdSmall = null;
SetHousingBondPairAndRmds(ref housingBondPair, ref rmdNormal, ref rmdSmall);
int ret = 0;
// 5000에 사서 15000에 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
POrder o = new POrder(TradingDirection.Long, rmdNormal.Code, 50 * CommonConst._1_000 * CommonConst._1_000, rmdNormal.AskPrice1, me._bondAccount, rmdNormal, MarketType._0_Bond_일반, false);
POrderUtil.RequestOrder(o, null);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
o.Update(o.ReqCount, 0, true);
POrderLegalManager.Ins().Remove(o);
POrderBidAskCountManager.Ins().Unregister(o);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(0, ret);
Sweeper_BondArb sweeper = new Sweeper_BondArb(housingBondPair, me._bondAccount);
me._node.GetSweeperCollection().Add(sweeper);
// long쪽에 많지만 sweeper에서 short쪽을 잡아주었기 때문에 이 경우 arb이 성립되지 않는다.
SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 150 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = me.CheckArbChance(housingBondPair);
Assert.AreEqual(-208, ret);
// 다음 테스트 등을 위해서 깨끗이 지워준다.
Unittest_BondArbUtil.ClearBondAccount(me._bondAccount);
// rmd도 깨끗이 정리한다.
SetImmeLongPart(rmdNormal, 0, 0);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdSmall, 0, 0);
SetImmeShortPart(rmdSmall, 0, 0);
Unittest_BondArbUtil.ClearSweeperCollection(me);
Unittest_BondArbUtil.ForcedClearPOrderBidAskManager();
}
void TestSweeper_BondArb_SN_Running(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 1. 소액 25,000,000 체결
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
POrder initLongOrder1 = longContext_Accessor._initOrders[1];
initLongOrder1.OrderNumber = 0;
initLongOrder1.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
initLongOrder1.Update(49999000, 5000, false);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), 0);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 0);
// 1억째 되었다
initLongOrder1.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder1), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
POrder initLongOrder2 = longContext_Accessor._initOrders[2];
initLongOrder2.OrderNumber = 0;
initLongOrder2.Update(50 * CommonConst._1_000_000, 5000, true);
Assert.AreEqual(initLongOrder2.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder2), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
POrder initLongOrder3 = longContext_Accessor._initOrders[3];
initLongOrder3.OrderNumber = 0;
initLongOrder3.Update(49999000, 5000, false);
Assert.AreEqual(initLongOrder3.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder3), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 100 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder3.Update(50000000, 5000, true);
Assert.AreEqual(initLongOrder3.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder3), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
// balance order
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[0];
Assert.AreEqual(balanceOrder1.Code, _kHousingBondCode_Normal);
Assert.AreEqual(balanceOrder1.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder1.ReqCount, 100 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder1.ReqPrice, 15000);
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[1];
Assert.AreEqual(balanceOrder2.Code, _kHousingBondCode_Normal);
Assert.AreEqual(balanceOrder2.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder2.ReqCount, 100 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder2.ReqPrice, 15000);
// 2. 일반을 79,900,000만큼 체결시킨다.
balanceOrder1.Update(79900 * CommonConst._1_000, 5000, false);
Assert.AreEqual(balanceOrder1.ShortCutTargetOfContractCallBack.Contract_CallBack(balanceOrder1), true);
// 4. Sweep 테스트를 진행한다.
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
POrder initLongOrder4 = longContext_Accessor._initOrders[4];
POrder initLongOrder5 = longContext_Accessor._initOrders[5];
initLongOrder4.OrderNumber = 0;
initLongOrder5.OrderNumber = 0;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder4.Update(CommonConst._1_000, 5000, false);
initLongOrder4.UpdateCancelMessage(initLongOrder4.ReqCount - CommonConst._1_000);
initLongOrder5.UpdateCancelMessage(initLongOrder5.ReqCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000 + CommonConst._1_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * (200 * CommonConst._1_000_000 + CommonConst._1_000));
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
POrder sweepOrder1 = shortContext_Accessor.RealOrdersShort[2];
POrder sweepOrder2 = shortContext_Accessor.RealOrdersShort[3];
POrder sweepOrder3 = shortContext_Accessor.RealOrdersShort[4];
//121,001,000
Assert.AreEqual(sweepOrder1.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder2.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder3.ReqCount, 20101000);
Assert.AreEqual(sweepOrder1.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder2.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder3.Code, _kHousingBondCode_Small);
Assert.AreEqual(sweepOrder1.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder2.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder3.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder1.ReqPrice, 15000);
Assert.AreEqual(sweepOrder2.ReqPrice, 15000);
Assert.AreEqual(sweepOrder3.ReqPrice, 15000);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._6_MonitorRequestedSweepOrders);
Timer_Accessor mute_Accessor = new Timer_Accessor(new PrivateObject(shortSweepUnitTemplate_Accessor._mute));
// 더이상 On이 풀리지 않는다.
Assert.AreEqual(mute_Accessor.m_end > DateTime.Now.AddHours(1), true);
// 여기서 많이 불러봐도 소용없다.
Assert.AreEqual(sweeper.Run(), false);
sweepOrder1.Update(50000000, 15000, true);
sweepOrder2.Update(50000000, 15000, true);
Assert.AreEqual(sweeper.Run(), false);
sweepOrder3.Update(20101000, 15000, true);
Assert.AreEqual(sweeper.Run(), true);
}
void TestSweeper_BondArb_SN_Init(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 초기 주문이 잘 들어갔는지 검사한다.
// 템플릿 상태는 모두 _1_MuteFewSecsAfterInitOrders이고 Long쪽은 주문이 들어가 있어야 한다.
Assert.AreEqual(longSweepUnitTemplate_Accessor._aging, 0);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._aging, 0);
Assert.AreEqual(longSweepUnitTemplate_Accessor._bCompleteQuickly, false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._bCompleteQuickly, false);
Assert.AreEqual(longSweepUnitTemplate_Accessor._bResumed, false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._bResumed, false);
Assert.AreEqual(longSweepUnitTemplate_Accessor._maxWaiting, null);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._maxWaiting, null);
Assert.AreEqual(longSweepUnitTemplate_Accessor._mute.On(), true);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._mute.On(), true);
Assert.AreEqual(longSweepUnitTemplate_Accessor._muteSec, 5);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._muteSec, 5);
Assert.AreEqual(longSweepUnitTemplate_Accessor._sweepMonitorSec, SweepUnitTemplate.SLOW_SWEEP_SEC);
Assert.AreEqual(shortSweepUnitTemplate_Accessor._sweepMonitorSec, SweepUnitTemplate.SLOW_SWEEP_SEC);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurOverviewState, SweepUnitTemplate.OverviewState.Enter);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurOverviewState, SweepUnitTemplate.OverviewState.Enter);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._1_MuteFewSecsAfterInitOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._1_MuteFewSecsAfterInitOrders);
Assert.AreEqual(longSweepUnitTemplate_Accessor.GetSignedPossibleContractCount(), 300 * CommonConst._1_000_000);
// 주문 낸 것이 없으로 Short part에서는 0
Assert.AreEqual(shortSweepUnitTemplate_Accessor.GetSignedPossibleContractCount(), 0);
// 아직 체결된 것이 없으므로 둘다 0
Assert.AreEqual(longSweepUnitTemplate_Accessor.GetSignedContractedCount(), 0);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.GetSignedContractedCount(), 0);
Assert.AreEqual(longSweepUnitTemplate_Accessor.IsException(), false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.IsException(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.IsOverAging(), false);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.IsOverAging(), false);
// Context를 검사한다.
Assert.AreEqual(longContext_Accessor._bCalledAfterSetTarget, false);
Assert.AreEqual(longContext_Accessor._dummyShortOrderForReserveBidAskCount.ReqCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(longContext_Accessor._dummyShortOrderForReserveBidAskCount.ReqPrice, 15000);
Assert.AreEqual(longContext_Accessor._enterMarketType, MarketType._1_Bond_소액);
Assert.AreEqual(longContext_Accessor._initEnterPrice, 5000);
Assert.AreEqual(longContext_Accessor._initOrders.Count, 6);
POrder initLongOrder = longContext_Accessor._initOrders[0];
Assert.AreEqual(initLongOrder.ReqCount, 50 * CommonConst._1_000_000);
Assert.AreEqual(initLongOrder.ReqPrice, 5000);
Assert.AreEqual(initLongOrder.Market, MarketType._1_Bond_소액);
Assert.AreEqual(initLongOrder.LongShort, TradingDirection.Long);
Assert.AreEqual(initLongOrder.Code, _kHousingBondCode_Small);
Assert.AreEqual(initLongOrder.CodeNoTail, _kHousingBondCodeNoTail);
Assert.AreEqual(shortContext_Accessor._enterMarketType, MarketType._1_Bond_소액);
Assert.AreEqual(shortContext_Accessor._pairMarketType, MarketType._0_Bond_일반);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.EnterCode, _kHousingBondCode_Small);
Assert.AreEqual(shortContext_Accessor.LongShort, TradingDirection.Short);
Assert.AreEqual(shortContext_Accessor.PairCode, _kHousingBondCode_Normal);
}
void TestSweeper_BondArb_NR_Running(MonitorEnter_BondArb_Accessor me, Sweeper_BondArb sweeper)
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
// 1. 소액 25,000,000 체결
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 25000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 50000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
initLongOrder0.Update(200 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 3);
POrder balanceOrder0 = shortContext_Accessor.RealOrdersShort[0];
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[1];
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[2];
balanceOrder0.OrderNumber = 0;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
// balance order
Assert.AreEqual(balanceOrder0.Code, _kDoosanCode_Retail);
Assert.AreEqual(balanceOrder0.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder0.ReqCount, 25 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder0.ReqPrice, 15000);
// balance order 25,000,000 체결시킨다
balanceOrder0.Update(25 * CommonConst._1_000_000, 15000, true);
// 4. Sweep 테스트를 진행한다.
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder0.UpdateCancelMessage(initLongOrder0.ReqCount - initLongOrder0.ContractedCount);
balanceOrder0.UpdateCancelMessage(balanceOrder0.ReqCount - balanceOrder0.ContractedCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
POrder sweepOrder = shortContext_Accessor.RealOrdersShort[3];
Assert.AreEqual(sweepOrder.ReqCount, 175 * CommonConst._1_000_000);
Assert.AreEqual(sweepOrder.Code, _kDoosanCode_Retail);
Assert.AreEqual(sweepOrder.LongShort, TradingDirection.Short);
Assert.AreEqual(sweepOrder.ReqPrice, 15000);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._6_MonitorRequestedSweepOrders);
Timer_Accessor mute_Accessor = new Timer_Accessor(new PrivateObject(shortSweepUnitTemplate_Accessor._mute));
// 더이상 On이 풀리지 않는다.
Assert.AreEqual(mute_Accessor.m_end > DateTime.Now.AddHours(1), true);
// 여기서 많이 불러봐도 소용없다.
Assert.AreEqual(sweeper.Run(), false);
sweepOrder.Update(100 * CommonConst._1_000_000, 15000, false);
Assert.AreEqual(sweeper.Run(), false);
sweepOrder.Update(175 * CommonConst._1_000_000, 15000, true);
Assert.AreEqual(sweeper.Run(), true);
}
void CreateOneSweeperAndSaveToUnittestFolder_NR()
{
// STR_Arb을 생성하여 MonitorEnter_BondArbTest를 생성한다.
STR_Arb_Accessor arb = Unittest_BondArbUtil.CreateNewStrArbAccessor();
StrategyNode node = arb._bondArbNode as StrategyNode;
StrategyNode_Accessor nodeAccessor = new StrategyNode_Accessor(new PrivateObject(node));
MonitorEnter_BondArb me = nodeAccessor._monitorEnter as MonitorEnter_BondArb;
MonitorEnter_BondArb_Accessor meAccessor = new MonitorEnter_BondArb_Accessor(new PrivateObject(me));
// 1. Create one sweeper
BondPair doosanBondPair = null;
RawMarketData rmdNormal = null;
RawMarketData rmdRetail = null;
SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdNormal, ref rmdRetail);
SetAsZeroRMD(ref rmdNormal);
SetAsZeroRMD(ref rmdRetail);
int ret = 0;
// 5000에 일반을 사서 15000에 소매에 팔 수 있는 기회이다
SetImmeLongPart(rmdNormal, 300 * CommonConst._1_000 * CommonConst._1_000, 5000);
SetImmeShortPart(rmdNormal, 0, 0);
SetImmeLongPart(rmdRetail, 0, 0);
SetImmeShortPart(rmdRetail, 300 * CommonConst._1_000 * CommonConst._1_000, 15000);
me.BeforeEnterSweeperChance();
ret = meAccessor.CheckArbChance(doosanBondPair);
Sweeper_BondArb sweeper = new Sweeper_BondArb(doosanBondPair, meAccessor._bondAccount);
meAccessor._node.GetSweeperCollection().Add(sweeper);
{
Sweeper_BondArb_Accessor accessor = new Sweeper_BondArb_Accessor(new PrivateObject(sweeper));
Assert.AreEqual(accessor._bDone, false);
SweepUnitTemplate longSweepUnitTemplate = accessor._sweepUnitLong;
SweepUnitTemplate_Accessor longSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(longSweepUnitTemplate));
SweepUnitContext_Bond_Long longContext = longSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Long;
SweepUnitContext_Bond_Long_Accessor longContext_Accessor = new SweepUnitContext_Bond_Long_Accessor(new PrivateObject(longContext));
SweepUnitTemplate shortSweepUnitTemplate = accessor._sweepUnitShort;
SweepUnitTemplate_Accessor shortSweepUnitTemplate_Accessor = new SweepUnitTemplate_Accessor(new PrivateObject(shortSweepUnitTemplate));
SweepUnitContext_Bond_Short shortContext = shortSweepUnitTemplate_Accessor.Context as SweepUnitContext_Bond_Short;
SweepUnitContext_Bond_Short_Accessor shortContext_Accessor = new SweepUnitContext_Bond_Short_Accessor(new PrivateObject(shortContext));
POrder initLongOrder0 = longContext_Accessor._initOrders[0];
// 주문번호 0
initLongOrder0.OrderNumber = 0;
initLongOrder0.Update(25 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 25000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 1);
initLongOrder0.Update(50 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 50000000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 2);
// 2억 체결
initLongOrder0.Update(200 * CommonConst._1_000_000, 5000, false);
Assert.AreEqual(initLongOrder0.ShortCutTargetOfContractCallBack.Contract_CallBack(initLongOrder0), true);
Assert.AreEqual(shortSweepUnitTemplate.GetSignedPossibleContractCount(), (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.RealOrdersShort.Count, 3);
POrder balanceOrder0 = shortContext_Accessor.RealOrdersShort[0];
POrder balanceOrder1 = shortContext_Accessor.RealOrdersShort[1];
POrder balanceOrder2 = shortContext_Accessor.RealOrdersShort[2];
balanceOrder0.OrderNumber = 0;
balanceOrder1.OrderNumber = 0;
balanceOrder2.OrderNumber = 0;
// balance order
Assert.AreEqual(balanceOrder0.Code, _kDoosanCode_Retail);
Assert.AreEqual(balanceOrder0.LongShort, TradingDirection.Short);
Assert.AreEqual(balanceOrder0.ReqCount, 25 * CommonConst._1_000_000);
Assert.AreEqual(balanceOrder0.ReqPrice, 15000);
// balance order 25,000,000 체결시킨다
balanceOrder0.Update(25 * CommonConst._1_000_000, 15000, true);
// Sweep
longSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
shortSweepUnitTemplate_Accessor.CurState = SweepUnitTemplate.StateEnum._2_WaitUntilGotAllOrderNumber;
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._3_WaitUntilCancelAllOrders);
initLongOrder0.UpdateCancelMessage(initLongOrder0.ReqCount - initLongOrder0.ContractedCount);
balanceOrder0.UpdateCancelMessage(balanceOrder0.ReqCount - balanceOrder0.ContractedCount);
balanceOrder1.UpdateCancelMessage(balanceOrder1.ReqCount - balanceOrder1.ContractedCount);
balanceOrder2.UpdateCancelMessage(balanceOrder2.ReqCount - balanceOrder2.ContractedCount);
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(shortSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._4_WaitingRunSign);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 300 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 300 * CommonConst._1_000_000);
//Resume
Assert.AreEqual(sweeper.Run(), false);
Assert.AreEqual(longContext_Accessor.CurSignedTargetCount, 200 * CommonConst._1_000_000);
Assert.AreEqual(shortContext_Accessor.CurSignedTargetCount, (-1) * 200 * CommonConst._1_000_000);
Assert.AreEqual(longSweepUnitTemplate_Accessor.CurState, SweepUnitTemplate.StateEnum._7_Done);
}
// 2. save to unittest folder
arb.SaveBondArbRemainPosition(Const.UNITTEST_BOND_ARB_REMAIN_POSITION_PATH);
SetAsZeroAllCodes();
}
void TakeOverBondArbYesterdayPosition(String path)
{
// 포지션 승계는 한번만 해야 되고 포지션 저장을 한 뒤에는 못한다.
// 포지션 저장을 먼저 한 뒤에 승계를 해버리면 중복해서 매도 주문이 나갈 가능성이 생기는 데, 이건 큰 문제이다.
if (_bTakeOverBondArbYesterdayPosition)
{
logger.Warn("You already TakeOverBondArbYesterdayPosition");
return;
}
_bTakeOverBondArbYesterdayPosition = true;
if (_bSaveBondArbPosition)
{
logger.Warn("You already SaveBondArbPosition. If you continue this process, remain position data will be broken, so I jump out this process for safety...");
return;
}
// file에서 값을 읽어온다.
RemainBondArbPositionDataManager.Ins().ReloadData(path);
List<RemainPositionDatum> data = RemainBondArbPositionDataManager.Ins().GetData();
foreach (RemainPositionDatum datum in data)
{
RmdManager.Ins().BondSpot.Register(datum.EnterCodeWithMarketType);
RmdManager.Ins().BondSpot.Register(datum.PairCodeWithMarketType);
RawMarketData rmdEnter = RmdManager.Ins().BondSpot.GetDataClone(datum.EnterCodeWithMarketType);
POrder o = new POrder(
TradingDirection.Long,
datum.EnterCodeWithMarketType,
datum.CurTargetCount,
datum.EnterPrice,
this.BondAccount,
rmdEnter,
BondUtil.GetMarketType(datum.EnterCodeWithMarketType),
false);
this.BondAccount.RegisterAsAllContract(o);
Sweeper_BondArb sweeper = new Sweeper_BondArb();
sweeper.SetAsSweeperMode(this.BondAccount, datum);
this._bondArbNode.GetSweeperCollection().Add(sweeper);
}
}