public void CheckSpread()
{
Initialize();
AlgorithmInfo algo = _testEvent.Algorithms[0];
algo.InstrumentConfigInfo = _mmRest.CreateInstrument(algo.InstrumentConfigInfo);
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);
var quotesBookListener = _wsFactory.CreateQuotesSubscription();
var targetBookListener = _wsFactory.CreateTargetMarketDataSubscription();
targetBookListener.Subscribe(algo.AlgoId, algo.OnTargetMessage);
algo.QuoteMessageHandler += _testEvent.CompareSpread;
Thread.Sleep(1000);
quotesBookListener.Subscribe(algo.AlgoId, algo.OnQuoteMessage);
WaitTestEvents(3);
// Change pricer
_testEvent.StartTestTime = DateTime.Now;
algo.PricerConfigInfo.Running = true;
algo.PricerConfigInfo.MinSpread = "0.0004";
algo.PricerConfigInfo = _mmRest.SavePricer(algo.PricerConfigInfo);
Debug.WriteLine("Pricer is changed");
WaitTestEvents(6);
quotesBookListener.Unsubscribe(algo.AlgoId, algo.OnQuoteMessage);
targetBookListener.Unsubscribe(algo.AlgoId, algo.OnTargetMessage);
algo.QuoteMessageHandler -= _testEvent.CompareSpread;
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 LeanHedger()
{
Initialize();
AlgorithmInfo algo = _testEvent.Algorithms[0];
algo.InstrumentConfigInfo =
_mmRest.CreateInstrument(algo.InstrumentConfigInfo);
algo.SetAlgoId(algo.InstrumentConfigInfo.AlgoId);
algo.PricerConfigInfo = _mmRest.SavePricer(algo.PricerConfigInfo);
algo.HedgerConfigInfo = _mmRest.SaveHedger(algo.HedgerConfigInfo);
algo.RiskLimitConfigInfo =
_mmRest.SaveRiskLimitsConfig(algo.RiskLimitConfigInfo);
Thread.Sleep(1000);
_mmRest.StartInstrument(algo.AlgoId);
_mmRest.StartPricer(algo.AlgoId);
Thread.Sleep(1000);
var alertsListener = _wsFactory.CreateAlertsSubscription();
algo.AlertsHandler += _testEvent.CheckExecutionsInEvents;
alertsListener.Subscribe(algo.OnExecutionAlertMessage);
algo.OrderToSend = new OrderCrypto()
{
Destination = "DLTXMM", Quantity = 10, Side = Side.SELL, Type = OrderType.MARKET, SecurityId = "ETHBTC"
};
ConnectToCrypto();
Thread.Sleep(1000);
_wsCrypto.OrdersReceiver(algo.CheckOrderStatus);
Thread.Sleep(2000);
// Sell Order
_testEvent.WaitOrderFill(algo, _wsCrypto);
algo.OrderToSend.Type = OrderType.LIMIT;
algo.OrderToSend.Side = Side.BUY;
algo.OrderToSend.Quantity = 1.0;
algo.OrderToSend.TimeInForce = TimeInForce.DAY;
algo.OrderToSend.Price = 0.033;
_mmRest.StopPricer(algo.AlgoId);
_mmRest.StartHedger(algo.AlgoId);
Thread.Sleep(1000);
// Buy Order for hedger
_testEvent.WaitOrderFill(algo, _wsCrypto);
WaitTestEvents(3);
if (_testEvent.TestResult)
{
_testEvent.CheckFillExecutions(algo);
}
_wsCrypto.OrdersUnsubscribe(algo.CheckOrderStatus);
_wsCrypto.StopResponses();
_wsCrypto.Close();
alertsListener.Unsubscribe(algo.OnExecutionAlertMessage);
algo.AlertsHandler -= _testEvent.CheckExecutionsInEvents;
Thread.Sleep(500);
_wsFactory.Close();
FinishAlgo(true, false, true, algo);
Assert.AreEqual(true, _mmRest.GetInstrument(algo.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);
}
