public void FXMktHist_CcyManagement()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
List <CurrencyPair> cpListRef = MarketTestTools.CreateMarket().GetCurrencyPairs();
TestTools <CurrencyPair> .ListComparisonTest(fxmh.CpList, cpListRef);
}
public void FXMkt_AddQuote()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
XChangeRate xrNew = new XChangeRate(909, Currency.XBT, Currency.EUR);
fXMarket.AddQuote(xrNew);
Assert.IsTrue(xrNew.Equals(fXMarket.GetQuote(xrNew.CcyPair)));
}
public void Allocation_Update()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
alloc.Update(fx);
Assert.AreEqual(alloc.GetElement(Currency.USD).Share, 0.1 / 1.1);
}
public void FXMkt_CurrPairs()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
CurrencyPair cp1 = new CurrencyPair(Currency.ETH, Currency.USD);
CurrencyPair cp2 = new CurrencyPair(Currency.XBT, Currency.ETH);
Assert.IsTrue(fXMarket.FXContains(cp1) && !fXMarket.FXContains(cp2));
}
public void FXMktHist_GetArtificialFXMarket()
{
FXMarketHistory fxMH = MarketTestTools.CreateMktHistory();
FXMarket fxArt = fxMH.GetArtificialFXMarket(MarketTestTools.dateArt, new CurrencyPair(Currency.EUR, Currency.USD));
XChangeRate xr = fxArt.GetQuote(Currency.EUR, Currency.USD, true);
Assert.AreEqual(MarketTestTools.EurUsdArtRate.Rate, xr.Rate, Math.Pow(10, -6));
}
public void Allocation_CalculateTotal()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
alloc.CalculateTotal(fx);
Assert.IsTrue(alloc.Total.Equals(new Price(100 + 1 * 1000, Currency.USD)));
}
public void FXMkt_ImpliedRate()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
CurrencyPair cp1 = new CurrencyPair(Currency.ETH, Currency.XBT);
XChangeRate xrImplied = fXMarket.GetImpliedNewQuote(cp1);
Assert.IsTrue(MarketTestTools.EthXbtRefRate.Equals(xrImplied));
}
public void FXMkt_Currencies()
{
FXMarket fxMkt = MarketTestTools.CreateMarket();
TestTools <Currency> .ListComparisonTest(fxMkt.CcyList,
new List <Currency> {
Currency.XBT, Currency.USD, Currency.ETH, Currency.EUR
});
}
public void FXMkt_SumPrices()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
Price p1 = new Price(10, Currency.ETH);
Price p2 = new Price(1, Currency.XBT);
Price pTotal = fXMarket.SumPrices(p1, p2, Currency.XBT);
Assert.IsTrue(pTotal.Equals(new Price(1 + 10 * MarketTestTools.EthXbtRefRate.Rate, Currency.XBT)));
}
public void FXMkt_FXConvert()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
double amountRef = 100;
Price p = new Price(amountRef, Currency.EUR);
Assert.AreEqual(MarketTestTools.EurUsdRefRate.Rate * amountRef,
fXMarket.FXConvert(p, MarketTestTools.EurUsdRefRate.CcyPair.Ccy2));
}
public void AllocationHistory_Init()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
AllocationHistory allocH = AllocationsTools.GetAllocationHistory(fxmh);
Allocation alloc = allocH.GetAllocation(MarketTestTools.date1);
Allocation allocTest = AllocationsTools.GetAllocation();
allocTest.Update(MarketTestTools.CreateMarket());
Assert.IsTrue(alloc.Total.Equals(allocTest.Total));
}
public void FXMktHist_GetAllDates()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
FXMarket artMkt = fxmh.GetArtificialFXMarket(MarketTestTools.dateArt);
TestTools <DateTime> .ListComparisonTest(fxmh.GetAllDates().ToList(),
new List <DateTime> {
MarketTestTools.date1, MarketTestTools.dateArt, MarketTestTools.date2
});
}
public void AggPnL_Equation()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(elmt.Position - elmt.Deposit + elmt.Withdrawal == elmt.TotalPnLWithFees);
}
public void AggPnL_AddTransaction()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.USD);
pnl.AddTransactions(txL, fxmh);
Dictionary <string, PnLElement> table = pnl.ToTable(fxmh);
TestTools <PnLElement> .DictionaryTest(pnlref, table);
}
public void FXMkt_GetQuote()
{
FXMarket fXMarket = MarketTestTools.CreateMarket();
CurrencyPair cp1 = new CurrencyPair(Currency.EUR, Currency.USD);
XChangeRate eurUsd = fXMarket.GetQuote(cp1, constructNewQuote: true);
bool test1 = MarketTestTools.EurUsdRefRate.Equals(eurUsd) && !fXMarket.FXContains(cp1);
XChangeRate eurUsd2 = fXMarket.GetQuote(cp1, constructNewQuote: true, useConstructedQuote: true);
bool test2 = MarketTestTools.EurUsdRefRate.Equals(eurUsd) && fXMarket.FXContains(cp1);
Assert.IsTrue(test1 && test2);
}
public void Allocation_GetReturn()
{
Allocation alloc = AllocationsTools.GetAllocation();
FXMarket fx = MarketTestTools.CreateMarket();
FXMarket fx2 = MarketTestTools.CreateMarket2();
alloc.Update(fx);
Allocation alloc2 = (Allocation)alloc.Clone();
alloc2.Update(fx2);
Assert.IsTrue(Math.Abs(1 / 1.1 * 0.05 - alloc2.GetReturn(alloc)) < Math.Pow(10, -6));
}
public void FXMktHist_GetRealFXMarket()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
FXMarket fxNull = fxmh.GetRealFXMarket(MarketTestTools.dateArt, isExactDate: true);
FXMarket fXMarket = fxmh.GetRealFXMarket(MarketTestTools.dateArt);
if (fxNull != null)
{
Assert.IsTrue(false);
}
Assert.IsTrue(fXMarket.IsEquivalentTo(MarketTestTools.CreateMarket()));
}
public void AllocationHistory_Update()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory();
AllocationHistory allocH = AllocationsTools.GetAllocationHistory(fxmh, Fiat: Currency.EUR);
CurrencyPair testCP = new CurrencyPair(Currency.EUR, Currency.USD);
//fxmh.ConstructQuotes(testCP);
allocH.UpdateHistory(Currency.EUR, fxmh);
Price total = allocH.GetLastAllocation().Total;
Assert.IsTrue(total
.Equals(new Price(932.687, Currency.EUR), precision: 2));
}
public void AggPnL_EquationXCCY()
{
FXMarketHistory fxmh = MarketTestTools.CreateMktHistory(true, true);
fxmh.ConstructQuotes(new CurrencyPair(Currency.EUR, Currency.USD));
SortedList <DateTime, Transaction> txL = AllocationsTools.GetTransactionList();
AggregatedPnL pnl = new AggregatedPnL(Currency.EUR);
pnl.AddTransactions(txL, fxmh);
PnLElement elmt = pnl.ToTable(fxmh)["Total"];
Assert.IsTrue(Math.Abs(elmt.Position - elmt.Deposit + elmt.Withdrawal - elmt.TotalPnLWithFees) < 0.00001);
}
public void FXMktHistory_GetQuote()
{
FXMarketHistory fxMH = MarketTestTools.CreateMktHistory();
CurrencyPair cp = new CurrencyPair(Currency.XBT, Currency.USD);
Tuple <DateTime, XChangeRate> xr1 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: true);
Tuple <DateTime, XChangeRate> xr2 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: false, isExactDate: false);
Tuple <DateTime, XChangeRate> xr3 =
fxMH.GetQuote(MarketTestTools.dateArt, cp,
isArtificial: false, isExactDate: true);
bool test1 = xr1.Item1 == MarketTestTools.dateArt &&
xr1.Item2.Equals(MarketTestTools.XbtUsdArtRate);
bool test2 = xr2.Item1 == MarketTestTools.date1 &&
xr2.Item2.Equals(fxMH.GetRealFXMarket(MarketTestTools.date1).GetQuote(cp));
bool test3 = xr3.Item1 == MarketTestTools.dateArt &&
xr3.Item2 == null;
Assert.IsTrue(test1 && test2 && test3);
}