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; }
void TestEnterSweeperChance_TwoArb(MonitorEnter_BondArb_Accessor me) { // 두 pair 모두 0으로 값을 설정한 후 테스트한다. BondPair housingBondPair = null; RawMarketData rmdHousingNormal = null; RawMarketData rmdHousingSmall = null; SetHousingBondPairAndRmds(ref housingBondPair, ref rmdHousingNormal, ref rmdHousingSmall); BondPair doosanBondPair = null; RawMarketData rmdDoosanNormal = null; RawMarketData rmdDoosanRetail = null; SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdDoosanNormal, ref rmdDoosanRetail); SetAsZeroRMD(ref rmdHousingNormal); SetAsZeroRMD(ref rmdHousingSmall); SetAsZeroRMD(ref rmdDoosanNormal); SetAsZeroRMD(ref rmdDoosanRetail); me.BeforeEnterSweeperChance(); Assert.AreEqual(false, me.EnterSweeperChance(100)); Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0); // 두개 모두 arb가능 SetImmeLongPart(rmdDoosanNormal, 100 * CommonConst._1_000_000, 5000); SetImmeShortPart(rmdDoosanRetail, 100 * CommonConst._1_000_000, 15000); SetImmeLongPart(rmdHousingNormal, 100 * CommonConst._1_000_000, 5000); SetImmeShortPart(rmdHousingSmall, 100 * CommonConst._1_000_000, 15000); me.BeforeEnterSweeperChance(); Assert.AreEqual(true, me.EnterSweeperChance(100)); Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 2); Unittest_BondArbUtil.ClearBondAccount(me._bondAccount); Unittest_BondArbUtil.ClearSweeperCollection(me); }
void TestEnterSweeperChance_NoArb(MonitorEnter_BondArb_Accessor me) { Assert.AreEqual(POrderBidAskCountManager.Ins().IsDirty(), false); Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false); // 1. 두 pair 모두 0이므로 no arb BondPair housingBondPair = null; RawMarketData rmdHousingNormal = null; RawMarketData rmdHousingSmall = null; SetHousingBondPairAndRmds(ref housingBondPair, ref rmdHousingNormal, ref rmdHousingSmall); BondPair doosanBondPair = null; RawMarketData rmdDoosanNormal = null; RawMarketData rmdDoosanRetail = null; SetCreditBondPairAndRmds(ref doosanBondPair, ref rmdDoosanNormal, ref rmdDoosanRetail); SetAsZeroRMD(ref rmdHousingNormal); SetAsZeroRMD(ref rmdHousingSmall); SetAsZeroRMD(ref rmdDoosanNormal); SetAsZeroRMD(ref rmdDoosanRetail); me.BeforeEnterSweeperChance(); Assert.AreEqual(false, me.EnterSweeperChance(100)); Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0); // 2. arb이 성립하는지 본 뒤 EnterSweeperChance(0)이므로 no arb SetImmeLongPart(rmdDoosanNormal, 100 * CommonConst._1_000, 5000); SetImmeShortPart(rmdDoosanRetail, 100 * CommonConst._1_000, 15000); me.BeforeEnterSweeperChance(); Assert.AreEqual(true, me.EnterSweeperChance(100)); Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 1); Unittest_BondArbUtil.ClearBondAccount(me._bondAccount); Unittest_BondArbUtil.ClearSweeperCollection(me); me.BeforeEnterSweeperChance(); const int kZero = 0; Assert.AreEqual(false, me.EnterSweeperChance(kZero)); Assert.AreEqual(me._node.GetSweeperCollection().GetTotalSweeperCount(), 0); }
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 TestCheckArbChance_NoArbCase2(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; // 9999에 사서 10000에 팔 수 있는 기회이다. (100) SetImmeLongPart(rmdNormal, 100, 9999); SetImmeShortPart(rmdSmall, 100, 10000); // 1. rmdNormal에서 10000에 사자 주문이 working중인데 short을 하려고 하는 경우 RawMarketData rmdNormalForOrder = rmdNormal.Clone() as RawMarketData; SetImmeLongPart(rmdNormalForOrder, 100, 10000); // 수량이 적어 내부에서 에러난다 Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted."); innerKillWithNoticeCallingCount++; POrder o = new POrder( TradingDirection.Long, rmdNormalForOrder.Code, rmdNormalForOrder.AskCount1, rmdNormalForOrder.AskPrice1, me._bondAccount, rmdNormalForOrder, MarketType._0_Bond_일반, false); POrderUtil.RequestOrder(o, null); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-197, ret); // 주문 넣는다 o.Update(100, 10000, true); POrderLegalManager.Ins().Remove(o); POrderBidAskCountManager.Ins().Unregister(o); // 더 이상 Legal 이슈가 없다. ret = me.CheckArbChance(housingBondPair); Assert.AreNotEqual(-197, ret); // 2. rmdNormal에서 9999에 팔자 주문이 working중인데 long을 하려고 하는 경우 rmdNormalForOrder = rmdNormal.Clone() as RawMarketData; SetImmeLongPart(rmdNormalForOrder, 0, 0); SetImmeShortPart(rmdNormalForOrder, 100, 9999); //수량이 적어 내부에서 에러난다 Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted."); innerKillWithNoticeCallingCount++; o = new POrder(TradingDirection.Short, rmdNormalForOrder.Code, rmdNormalForOrder.BidCount1, rmdNormalForOrder.BidPrice1, me._bondAccount, rmdNormalForOrder, MarketType._0_Bond_일반, false); POrderUtil.RequestOrder(o, null); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-197, ret); // 주문 넣는다 o.Update(100, 9999, true); POrderLegalManager.Ins().Remove(o); POrderBidAskCountManager.Ins().Unregister(o); // 더 이상 Legal 이슈가 없다. ret = me.CheckArbChance(housingBondPair); Assert.AreNotEqual(-197, ret); // 3. rmdSmall에서 10000에 사자 주문이 working중인데 short을 하려고 하는 경우 RawMarketData rmdSmallForOrder = rmdSmall.Clone() as RawMarketData; SetImmeLongPart(rmdSmallForOrder, 100, 10000); //수량이 적어 내부에서 에러난다. Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted."); innerKillWithNoticeCallingCount++; o = new POrder( TradingDirection.Long, rmdSmallForOrder.Code, rmdSmallForOrder.AskCount1, rmdSmallForOrder.AskPrice1, me._bondAccount, rmdSmallForOrder, MarketType._1_Bond_소액, false); POrderUtil.RequestOrder(o, null); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-197, ret); // 주문 넣는다 o.Update(100, 10000, true); POrderLegalManager.Ins().Remove(o); POrderBidAskCountManager.Ins().Unregister(o); // 더 이상 Legal 이슈가 없다. ret = me.CheckArbChance(housingBondPair); Assert.AreNotEqual(-197, ret); // 4. rmdSmall에서 9999에 팔자 주문이 working중인데 long을 하려고 하는 경우 rmdSmallForOrder = rmdSmall.Clone() as RawMarketData; SetImmeLongPart(rmdSmallForOrder, 0, 0); SetImmeShortPart(rmdSmallForOrder, 100, 9999); //수량이 적어 내부에서 에러난다. Util.LogOutCriticalError("\t\t# POrder.Invalid ReqCount 1 permitted."); innerKillWithNoticeCallingCount++; o = new POrder( TradingDirection.Short, rmdSmallForOrder.Code, rmdSmallForOrder.BidCount1, rmdSmallForOrder.BidPrice1, me._bondAccount, rmdSmallForOrder, MarketType._1_Bond_소액, false); POrderUtil.RequestOrder(o, null); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-197, ret); // 주문 넣는다 o.Update(100, 9999, true); POrderLegalManager.Ins().Remove(o); POrderBidAskCountManager.Ins().Unregister(o); // 5. 수량이 100개이므로 너무 작아 pnl에 의해 arb이 아닌 경우 ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-202, ret); // 6. 민평보다 높은 가격으로 매수하는 경우 SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 14999); SetImmeShortPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 15000); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-207, ret); // 7. 수량이 100,000보다 작아 arb이 아닌 경우 (pnl은 0보다 크다) SetImmeLongPart(rmdNormal, 99 * CommonConst._1_000, 5000); SetImmeShortPart(rmdSmall, 99 * CommonConst._1_000, 15000); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-202, ret); // 8. 수량이 50,000,000를 넘지 못해 arb이 아닌 경우 SetImmeLongPart(rmdNormal, 100 * CommonConst._1_000 * CommonConst._1_000, 5000); SetImmeShortPart(rmdSmall, 99 * CommonConst._1_000 * CommonConst._1_000, 15000); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-208, ret); SetImmeLongPart(rmdNormal, 0, 0); SetImmeShortPart(rmdNormal, 99 * CommonConst._1_000 * CommonConst._1_000, 15000); SetImmeLongPart(rmdSmall, 100 * CommonConst._1_000 * CommonConst._1_000, 5000); SetImmeShortPart(rmdSmall, 0, 0); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-208, ret); Unittest_BondArbUtil.ClearBondAccount(me._bondAccount); }
void TestCheckArbChance_NoArbCase1(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; // RMD 값이 없다. me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-3, ret); // 한쪽만 값이 있다. SetImmeLongPart(rmdNormal, 100, 9999); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-3, ret); // 둘다 값이 있지만 SetImmeShortPart(rmdSmall, 100, 9999); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreEqual(-3, ret); SetImmeShortPart(rmdSmall, 100, 10000); me.BeforeEnterSweeperChance(); ret = me.CheckArbChance(housingBondPair); Assert.AreNotEqual(-3, ret); Unittest_BondArbUtil.ClearBondAccount(me._bondAccount); }