public void AddTrade_noPos_newPosTrades()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
Trade t1 = new Trade()
{
TradeID = 1, InsID = ins.InsID, OrderID = 2, Time = new DateTime(2012, 1, 1, 10, 30, 35), Price = 110m, LotCount = 25, BuySell = BuySell.Buy
};
table.AddTrade(t1);
Trade t2 = new Trade()
{
TradeID = 2, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 1, 10, 30, 40), Price = 100m, LotCount = 35, BuySell = BuySell.Sell
};
table.AddTrade(t2);
var positions = table.GetPositions().ToList();
var posTrades = table.GetPosTrades().ToList();
Assert.True(posTrades.Count == 3);
Assert.Single(posTrades.Where(r => r.TradeID == t1.TradeID && r.PosID == positions[0].PosID));
Assert.Single(posTrades.Where(r => r.TradeID == t2.TradeID && r.PosID == positions[0].PosID));
Assert.Single(posTrades.Where(r => r.TradeID == t2.TradeID && r.PosID == positions[1].PosID));
}
public void AddTrade_buyAndSell_singleCloseLongPosition()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
Trade t1 = new Trade()
{
InsID = ins.InsID, OrderID = 1, Time = new DateTime(2010, 1, 1, 10, 30, 30), Price = 100m, LotCount = 5, BuySell = BuySell.Buy
};
table.AddTrade(t1);
Trade t2 = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2010, 1, 1, 10, 30, 35), Price = 110m, LotCount = 5, BuySell = BuySell.Sell
};
table.AddTrade(t2);
var positions = table.GetPositions();
Assert.Single(positions);
var pos = positions.ElementAt(0);
Assert.Equal(t1.InsID, pos.InsID);
Assert.True(pos.PosID < 0);
Assert.Equal(t1.Time, pos.OpenTime);
Assert.Equal(t1.Price, pos.OpenPrice);
Assert.Equal(t1.LotCount * ins.LotSize, pos.Count);
Assert.Equal(PosTypes.Long, pos.PosType);
Assert.Equal(t2.Time, pos.CloseTime);
Assert.Equal(t2.Price, pos.ClosePrice);
}
public void AddTrade_sellTrade_singleOpenShortPosition()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 1, Time = new DateTime(2010, 1, 1, 10, 30, 30), Price = 100m, LotCount = 5, BuySell = BuySell.Sell
};
table.AddTrade(t);
var positions = table.GetPositions();
Assert.Single(positions);
var pos = positions.ElementAt(0);
Assert.Equal(t.InsID, pos.InsID);
Assert.True(pos.PosID < 0);
Assert.Equal(t.Time, pos.OpenTime);
Assert.Equal(t.Price, pos.OpenPrice);
Assert.Equal(t.LotCount * ins.LotSize, pos.Count);
Assert.Equal(PosTypes.Short, pos.PosType);
Assert.Null(pos.ClosePrice);
Assert.Null(pos.CloseTime);
}
public void AddTrade_openShortPosAndBuy_closedShortPos()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
DateTime dt = new DateTime(2010, 1, 1, 10, 30, 0);
Position p = table.NewPosition(ins.InsID, 10 * ins.LotSize, dt, 100, PosTypes.Short);
table.Initialize(1, new List <Position>()
{
p
}, null);
Assert.False(p.IsChanged); // не изменена
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2010, 1, 1, 10, 30, 35), Price = 110m, LotCount = 10, BuySell = BuySell.Buy
};
table.AddTrade(t);
var positions = table.GetPositions();
Assert.Single(positions);
var pos = positions.ElementAt(0);
Assert.Equal(dt, pos.OpenTime);
Assert.Equal(100, pos.OpenPrice);
Assert.Equal(10 * ins.LotSize, pos.Count);
Assert.Equal(PosTypes.Short, pos.PosType);
Assert.Equal(t.Time, pos.CloseTime);
Assert.Equal(t.Price, pos.ClosePrice);
Assert.True(pos.IsChanged); // изменена
}
public void AddTrade_openTwoLongsAndSell_closedOneLongAndSplit()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
DateTime dt1 = new DateTime(2010, 1, 1, 10, 30, 0);
Position p1 = table.NewPosition(ins.InsID, 10 * ins.LotSize, dt1, 100, PosTypes.Long); // 10
DateTime dt2 = new DateTime(2011, 1, 1, 10, 30, 0);
Position p2 = table.NewPosition(ins.InsID, 20 * ins.LotSize, dt2, 120, PosTypes.Long); // 20
table.Initialize(1, new List <Position>()
{
p2, p1
}, null); // две позиции, добавляем специально не по порядку дат
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2012, 1, 1, 10, 30, 35), Price = 110m, LotCount = 25, BuySell = BuySell.Sell
}; // sell 25
table.AddTrade(t);
var positions = table.GetPositions();
Assert.True(positions.Count() == 3); // стало 3 позиции
var close_pos_20 = positions.FirstOrDefault(r => r.Count == 20 * ins.LotSize); // одна закрытая на 20
Assert.Equal(dt2, close_pos_20.OpenTime);
Assert.Equal(120, close_pos_20.OpenPrice);
Assert.Equal(PosTypes.Long, close_pos_20.PosType);
Assert.Equal(t.Time, close_pos_20.CloseTime);
Assert.Equal(t.Price, close_pos_20.ClosePrice);
Assert.True(close_pos_20.IsChanged);
var open_pos_5 = positions.FirstOrDefault(r => r.Count == 5 * ins.LotSize && r.CloseTime == null); // одна открытая на 5
Assert.Equal(dt1, open_pos_5.OpenTime);
Assert.Equal(100, open_pos_5.OpenPrice);
Assert.Equal(PosTypes.Long, open_pos_5.PosType);
Assert.Null(open_pos_5.CloseTime);
Assert.Null(open_pos_5.ClosePrice);
Assert.False(open_pos_5.IsChanged); // это новая позиция, она не помечена как измененная
var close_pos_5 = positions.FirstOrDefault(r => r.Count == 5 * ins.LotSize && r.CloseTime != null); // одна закрытая на 5
Assert.Equal(dt1, close_pos_5.OpenTime);
Assert.Equal(100, close_pos_5.OpenPrice);
Assert.Equal(PosTypes.Long, close_pos_5.PosType);
Assert.Equal(t.Time, close_pos_5.CloseTime);
Assert.Equal(t.Price, close_pos_5.ClosePrice);
Assert.True(close_pos_5.IsChanged);
}
public void AddTrade_openTwoLongsAndSell_closedTwoLongsAndNewShort()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
DateTime dt1 = new DateTime(2010, 1, 1, 10, 30, 0);
Position p1 = table.NewPosition(ins.InsID, 10 * ins.LotSize, dt1, 100, PosTypes.Long);
DateTime dt2 = new DateTime(2011, 1, 1, 10, 30, 0);
Position p2 = table.NewPosition(ins.InsID, 20 * ins.LotSize, dt2, 120, PosTypes.Long);
table.Initialize(1, new List <Position>()
{
p2, p1
}, null); // две позиции, добавляем специально не по порядку дат
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2012, 1, 1, 10, 30, 35), Price = 110m, LotCount = 35, BuySell = BuySell.Sell
}; // sell 35
table.AddTrade(t);
var positions = table.GetPositions();
Assert.True(positions.Count() == 3); // стало 3 позиции
var pos1 = positions.ElementAt(0);
var pos2 = positions.ElementAt(1);
var pos3 = positions.ElementAt(2);
Assert.Equal(dt1, pos1.OpenTime); // первая закрыта (по порядку дат)
Assert.Equal(100, pos1.OpenPrice);
Assert.Equal(10 * ins.LotSize, pos1.Count);
Assert.Equal(PosTypes.Long, pos1.PosType);
Assert.Equal(t.Time, pos1.CloseTime);
Assert.Equal(t.Price, pos1.ClosePrice);
Assert.True(pos1.IsChanged);
Assert.Equal(dt2, pos2.OpenTime); // вторая закрыта (по порядку дат)
Assert.Equal(120, pos2.OpenPrice);
Assert.Equal(20 * ins.LotSize, pos2.Count);
Assert.Equal(PosTypes.Long, pos2.PosType);
Assert.Equal(t.Time, pos2.CloseTime);
Assert.Equal(t.Price, pos2.ClosePrice);
Assert.True(pos2.IsChanged);
Assert.Equal(t.Time, pos3.OpenTime); // третья открыта
Assert.Equal(t.Price, pos3.OpenPrice);
Assert.Equal(5 * ins.LotSize, pos3.Count);
Assert.Equal(PosTypes.Short, pos3.PosType);
Assert.Null(pos3.CloseTime);
Assert.Null(pos3.ClosePrice);
Assert.True(pos3.PosID < 0);
}
public void AddTrade_openShortPosAndBuy_closedShortAndNewLong()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
DateTime posDt = new DateTime(2010, 1, 1, 10, 30, 0);
Position p = table.NewPosition(ins.InsID, 10 * ins.LotSize, posDt, 100, PosTypes.Short);
table.Initialize(1, new List <Position>()
{
p
}, null); // есть позиция short на 10
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2010, 1, 1, 10, 30, 35), Price = 110m, LotCount = 12, BuySell = BuySell.Buy
}; // купили 12
table.AddTrade(t);
var positions = table.GetPositions();
Assert.True(positions.Count() == 2); // стало 2 позиции
var pos1 = positions.ElementAt(0);
var pos2 = positions.ElementAt(1);
Assert.Equal(posDt, pos1.OpenTime); // прежняя позиция полностью закрыта
Assert.Equal(100, pos1.OpenPrice);
Assert.Equal(10 * ins.LotSize, pos1.Count);
Assert.Equal(PosTypes.Short, pos1.PosType);
Assert.Equal(t.Time, pos1.CloseTime);
Assert.Equal(t.Price, pos1.ClosePrice);
Assert.True(pos1.IsChanged);
Assert.Equal(t.Time, pos2.OpenTime); // и противоположная новая открыта
Assert.Equal(110m, pos2.OpenPrice); // время и цена сделки, а не прежней позиции
Assert.Equal(2 * ins.LotSize, pos2.Count); // остаток
Assert.Equal(PosTypes.Long, pos2.PosType); // стала long
Assert.Null(pos2.CloseTime); // открыта
Assert.Null(pos2.ClosePrice);
Assert.True(pos2.PosID < 0); // новая
}
public void AddTrade_openShortPosAndBuy_splitShortPos()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
DateTime posDt = new DateTime(2010, 1, 1, 10, 30, 0);
Position p = table.NewPosition(ins.InsID, 10 * ins.LotSize, posDt, 100, PosTypes.Short);
table.Initialize(1, new List <Position>()
{
p
}, null); // есть позиция short на 10
Trade t = new Trade()
{
InsID = ins.InsID, OrderID = 2, Time = new DateTime(2010, 1, 1, 10, 30, 35), Price = 110m, LotCount = 3, BuySell = BuySell.Buy
}; // купили всего 3
table.AddTrade(t);
var positions = table.GetPositions();
Assert.True(positions.Count() == 2); // стало 2 позиции
var pos1 = positions.ElementAt(0);
var pos2 = positions.ElementAt(1);
Assert.Equal(posDt, pos1.OpenTime);
Assert.Equal(100, pos1.OpenPrice);
Assert.Equal(3 * ins.LotSize, pos1.Count);
Assert.Equal(PosTypes.Short, pos1.PosType);
Assert.Equal(t.Time, pos1.CloseTime);
Assert.Equal(t.Price, pos1.ClosePrice);
Assert.True(pos1.IsChanged);
Assert.Equal(posDt, pos2.OpenTime);
Assert.Equal(100, pos2.OpenPrice);
Assert.Equal(7 * ins.LotSize, pos2.Count);
Assert.Equal(PosTypes.Short, pos2.PosType);
Assert.Null(pos2.CloseTime);
Assert.Null(pos2.ClosePrice);
Assert.True(pos2.PosID < 0);
}
public void AddTrade_manyPos_closeCorrectPos()
{
var ins = instrumBL.GetInstrumByID(1);
PosTable table = new PosTable(instrumBL);
// инициализируем начальные позиции
// 5 10 10 15
Trade b1 = new Trade()
{
TradeID = 1, InsID = ins.InsID, OrderID = 2, Time = new DateTime(2012, 1, 1, 10, 0, 0), Price = 110m, LotCount = 5, BuySell = BuySell.Buy
};
table.AddTrade(b1);
Trade b2 = new Trade()
{
TradeID = 2, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 2, 10, 0, 0), Price = 100m, LotCount = 10, BuySell = BuySell.Buy
};
table.AddTrade(b2);
Trade b3 = new Trade()
{
TradeID = 3, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 3, 10, 0, 0), Price = 100m, LotCount = 10, BuySell = BuySell.Buy
};
table.AddTrade(b3);
Trade b4 = new Trade()
{
TradeID = 4, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 4, 10, 0, 0), Price = 100m, LotCount = 15, BuySell = BuySell.Buy
};
table.AddTrade(b4);
Assert.Equal(4, table.GetPositions().Where(p => p.CloseTime == null).Count()); // у нас 4 отктытых позиции
// продаем 10, закрыть должны третью позицию, а не вторую
Trade s1 = new Trade()
{
TradeID = 5, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 5, 10, 0, 0), Price = 100m, LotCount = 10, BuySell = BuySell.Sell
};
table.AddTrade(s1);
Assert.Equal(3, table.GetPositions().Where(p => p.CloseTime == null).Count()); // теперь открытых только 3
Assert.Single(table.GetPositions().Where(p => p.CloseTime != null)); // одна закрытая
Assert.Equal(new DateTime(2012, 1, 3, 10, 0, 0), table.GetPositions().Where(p => p.CloseTime != null).First().OpenTime); // именно эта закрытая
// продаем еще 12, закрыть должны последнюю позицию
Trade s2 = new Trade()
{
TradeID = 6, InsID = ins.InsID, OrderID = 3, Time = new DateTime(2012, 1, 6, 10, 0, 0), Price = 100m, LotCount = 12, BuySell = BuySell.Sell
};
table.AddTrade(s2);
var openPos = table.GetPositions().Where(p => p.CloseTime == null).ToList();
Assert.Equal(3, openPos.Count); // открытых 3
Assert.Equal(5, openPos[0].Count); // первая колик 5
Assert.Equal(10, openPos[1].Count); // вторая колич 10
Assert.Equal(3, openPos[2].Count); // третья колич 3
}