public void AddChangeStopFullInstrumentConfig()
{
Initialize();
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[0].HedgerConfigInfo);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[0].RiskLimitConfigInfo);
Thread.Sleep(1000);
// Check full config
bool testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId));
_mmRest.StartInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = true;
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = true;
_mmRest.StartHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = true;
Thread.Sleep(1000);
// Check start
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
// Change hedger
HedgerConfigDto newHedgerConfig = AlgorithmInfo.CreateConfig <HedgerConfigDto>("hedger2.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(newHedgerConfig);
// Change riskLimits
RiskLimitsConfigDto newRiskLimitsConfig = AlgorithmInfo.CreateConfig <RiskLimitsConfigDto>("riskLimit3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(newRiskLimitsConfig);
Thread.Sleep(1000);
// Check after change
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.StopHedger(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].InstrumentConfigInfo.Running = false;
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo.Running = false;
_mmRest.StopInstrument(_testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].HedgerConfigInfo.Running = false;
Thread.Sleep(1000);
// Check stop
testResult = _testEvent.Algorithms[0].Equals(_mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId)) && testResult;
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
Thread.Sleep(1000);
// Check delete and test result
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, testResult, TestFail);
}
public void CheckQuotesBook()
{
Initialize();
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
var quoteBookListener = _wsFactory.CreateQuotesSubscription();
_testEvent.Algorithms[0].QuoteMessageHandler += _testEvent.CompareQuoteAgainstParams;
quoteBookListener.Subscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnQuoteMessage);
WaitTestEvents(5);
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
Debug.WriteLine("Pricer is changed");
WaitTestEvents(7);
quoteBookListener.Unsubscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnQuoteMessage);
_testEvent.Algorithms[0].QuoteMessageHandler -= _testEvent.CompareQuoteAgainstParams;
Thread.Sleep(500);
_wsFactory.Close();
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
Thread.Sleep(500);
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
Thread.Sleep(1000);
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _testEvent.TestResult, TestFail);
}
public void CompareAlertsAgainstTradeQty()
{
Initialize();
//_testEvent.Algorithms[0] = new AlgorithmInfo(_mmRest.GetInstrument(240));
AlgorithmInfo algo = _testEvent.Algorithms[0];
algo.InstrumentConfigInfo = _mmRest.CreateInstrument(algo.InstrumentConfigInfo);
algo.PricerConfigInfo = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer6.json", algo.AlgoId);
algo.SetAlgoId(algo.InstrumentConfigInfo.AlgoId);
algo.PricerConfigInfo = _mmRest.SavePricer(algo.PricerConfigInfo);
algo.RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(algo.RiskLimitConfigInfo);
_mmRest.StartPricer(algo.AlgoId);
_mmRest.StartInstrument(algo.AlgoId);
Thread.Sleep(1000);
algo.OrderToSend = new OrderCrypto()
{
Destination = "DLTXMM", Quantity = 5, Side = Side.BUY, Type = OrderType.MARKET, SecurityId = "ETHBTC"
};
ConnectToCrypto();
var alertsListener = _wsFactory.CreateAlertsSubscription();
var tradeStatisticListener = _wsFactory.CreateTradingStatisticsSubscription();
algo.AlertsHandler += _testEvent.CalculateExecutionsFromAlerts;
alertsListener.Subscribe(algo.OnExecutionAlertMessage);
algo.TradeStatisticHandler += _testEvent.MonitorChangesPosition;
tradeStatisticListener.Subscribe(algo.OnTradeStatisticMessage);
WaitTestEvents(2);
Thread.Sleep(500);
// Buy Order
_wsCrypto.SendOrder(algo.OrderToSend, _testEvent.CheckOrderSent);
WaitTestEvents(6);
algo.OrderToSend.Side = Side.SELL;
// Sell Order
_wsCrypto.SendOrder(algo.OrderToSend, _testEvent.CheckOrderSent);
WaitTestEvents(5);
_wsCrypto.StopResponses();
_wsCrypto.Close();
alertsListener.Unsubscribe(algo.OnExecutionAlertMessage);
algo.AlertsHandler -= _testEvent.CalculateExecutionsFromAlerts;
Thread.Sleep(500);
tradeStatisticListener.Unsubscribe(algo.OnTradeStatisticMessage);
algo.TradeStatisticHandler -= _testEvent.MonitorChangesPosition;
Thread.Sleep(500);
_wsFactory.Close();
_mmRest.StopPricer(algo.AlgoId);
_mmRest.StopInstrument(algo.AlgoId);
Thread.Sleep(500);
_mmRest.DeleteAlgorithm(algo.AlgoId);
Thread.Sleep(500);
Assert.AreEqual(true, _mmRest.GetInstrument(algo.AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _testEvent.TestResult, TestFail);
}
public void CompareSourceAgainstTargetBook()
{
Initialize();
// 1
_testEvent.Algorithms[0].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[0].InstrumentConfigInfo);
_testEvent.Algorithms[0].SetAlgoId(_testEvent.Algorithms[0].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[0].PricerConfigInfo);
_testEvent.Algorithms[0].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[0].HedgerConfigInfo);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[0].RiskLimitConfigInfo);
_mmRest.StartInstrument(_testEvent.Algorithms[0].AlgoId);
_mmRest.StartPricer(_testEvent.Algorithms[0].AlgoId);
// 2
_testEvent.Algorithms[1].InstrumentConfigInfo = _mmRest.CreateInstrument(_testEvent.Algorithms[1].InstrumentConfigInfo);
_testEvent.Algorithms[1].SetAlgoId(_testEvent.Algorithms[1].InstrumentConfigInfo.AlgoId);
_testEvent.Algorithms[1].PricerConfigInfo = _mmRest.SavePricer(_testEvent.Algorithms[1].PricerConfigInfo);
_testEvent.Algorithms[1].HedgerConfigInfo = _mmRest.SaveHedger(_testEvent.Algorithms[1].HedgerConfigInfo);
_testEvent.Algorithms[1].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(_testEvent.Algorithms[1].RiskLimitConfigInfo);
_mmRest.StartInstrument(_testEvent.Algorithms[1].AlgoId);
_mmRest.StartPricer(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(1000);
var sourceBookListener = _wsFactory.CreateSourceMarketDataSubscription();
var targetBookListener = _wsFactory.CreateTargetMarketDataSubscription();
targetBookListener.Subscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnTargetMessage);
_testEvent.StartTestTime = DateTime.Now.AddSeconds(-2);
_testEvent.Algorithms[1].SourceMessageHandler += _testEvent.CompareSourceAgainstTargetBook;
sourceBookListener.Subscribe(_testEvent.Algorithms[1].AlgoId, _testEvent.Algorithms[1].OnSourceMessage);
WaitTestEvents(4);
_testEvent.StartTestTime = DateTime.Now.AddSeconds(-1);
// Change pricer
PricerConfigDto newPricerConfig = AlgorithmInfo.CreateConfig <PricerConfigDto>("pricer3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].PricerConfigInfo = _mmRest.SavePricer(newPricerConfig);
// Change riskLimits
RiskLimitsConfigDto newRiskLimitsConfig = AlgorithmInfo.CreateConfig <RiskLimitsConfigDto>("riskLimit3.json", _testEvent.Algorithms[0].AlgoId);
_testEvent.Algorithms[0].RiskLimitConfigInfo = _mmRest.SaveRiskLimitsConfig(newRiskLimitsConfig);
Debug.WriteLine("Pricer and limits are changed");
WaitTestEvents(7);
targetBookListener.Unsubscribe(_testEvent.Algorithms[0].AlgoId, _testEvent.Algorithms[0].OnTargetMessage);
sourceBookListener.Unsubscribe(_testEvent.Algorithms[1].AlgoId, _testEvent.Algorithms[1].OnSourceMessage);
_testEvent.Algorithms[1].SourceMessageHandler -= _testEvent.CompareSourceAgainstTargetBook;
Thread.Sleep(500);
_wsFactory.Close();
_mmRest.StopPricer(_testEvent.Algorithms[0].AlgoId);
_mmRest.StopInstrument(_testEvent.Algorithms[0].AlgoId);
_mmRest.StopPricer(_testEvent.Algorithms[1].AlgoId);
_mmRest.StopInstrument(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(500);
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[0].AlgoId);
_mmRest.DeleteAlgorithm(_testEvent.Algorithms[1].AlgoId);
Thread.Sleep(1000);
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[0].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _mmRest.GetInstrument(_testEvent.Algorithms[1].AlgoId) == null, "Deleted algorithm doesn't equal to null");
Assert.AreEqual(true, _testEvent.TestResult, TestFail);
}
