public async Task WeightedExchangeRate_One_Order_With_One_Fill_Volume_()
{
A.CallTo(
() => this._exchangeRatesService.GetRate(
A <Currency> .Ignored,
A <Currency> .Ignored,
A <DateTime> .Ignored,
this._ruleCtx)).Returns(
new ExchangeRateDto
{
DateTime = DateTime.UtcNow,
FixedCurrency = "GBP",
Name = "abc",
Rate = 1,
VariableCurrency = "GBP"
});
var calculator = new TradePositionWeightedAverageExchangeRateService(
this._exchangeRatesService,
this._calculatorLogger);
var pos1 = new Order().Random();
pos1.OrderFilledVolume = 1;
pos1.OrderOrderedVolume = 1;
var position = new TradePosition(new List <Order> {
pos1
});
var werResult = await calculator.WeightedExchangeRate(position, new Currency("GBP"), this._ruleCtx);
Assert.AreEqual(werResult, 1);
}
public async Task WeightedExchangeRate_Two_Order_With_Unbalanced_Fill()
{
A.CallTo(
() => this._exchangeRatesService.GetRate(
A <Currency> .Ignored,
A <Currency> .Ignored,
DateTime.UtcNow.Date,
this._ruleCtx)).Returns(
new ExchangeRateDto
{
DateTime = DateTime.UtcNow,
FixedCurrency = "GBP",
Name = "abc",
Rate = 1,
VariableCurrency = "GBP"
});
A.CallTo(
() => this._exchangeRatesService.GetRate(
A <Currency> .Ignored,
A <Currency> .Ignored,
DateTime.UtcNow.Date.AddDays(1),
this._ruleCtx)).Returns(
new ExchangeRateDto
{
DateTime = DateTime.UtcNow,
FixedCurrency = "GBP",
Name = "abc",
Rate = 4,
VariableCurrency = "GBP"
});
var calculator = new TradePositionWeightedAverageExchangeRateService(
this._exchangeRatesService,
this._calculatorLogger);
var pos1 = new Order().Random();
pos1.OrderFilledVolume = 20;
pos1.OrderOrderedVolume = 20;
var pos2 = new Order().Random();
pos2.OrderFilledVolume = 10;
pos2.OrderOrderedVolume = 10;
pos2.AmendedDate = DateTime.UtcNow.Date.AddDays(1);
pos2.BookedDate = DateTime.UtcNow.Date.AddDays(1);
pos2.CancelledDate = DateTime.UtcNow.Date.AddDays(1);
pos2.FilledDate = DateTime.UtcNow.Date.AddDays(1);
pos2.PlacedDate = DateTime.UtcNow.Date.AddDays(1);
pos2.RejectedDate = DateTime.UtcNow.Date.AddDays(1);
var position = new TradePosition(new List <Order> {
pos1, pos2
});
var werResult = await calculator.WeightedExchangeRate(position, new Currency("GBP"), this._ruleCtx);
Assert.AreEqual(Math.Round(werResult, 2), 2);
}
public async Task WeightedExchangeRate_With_Null_Position_Returns_Zero()
{
var calculator = new TradePositionWeightedAverageExchangeRateService(
this._exchangeRatesService,
this._calculatorLogger);
await calculator.WeightedExchangeRate(null, this._currency, this._ruleCtx);
}
public async Task WeightedExchangeRate_One_Order_With_Zero_Fill_Volume()
{
var calculator = new TradePositionWeightedAverageExchangeRateService(
this._exchangeRatesService,
this._calculatorLogger);
var pos1 = new Order().Random();
pos1.OrderFilledVolume = null;
pos1.OrderOrderedVolume = null;
var position = new TradePosition(new List <Order> {
pos1
});
var werResult = await calculator.WeightedExchangeRate(position, new Currency("GBP"), this._ruleCtx);
Assert.AreEqual(werResult, 0);
}
public async Task WeightedExchangeRate_Returns_ExpectedResult()
{
var clientFactory = new HttpClientFactory(new NullLogger <HttpClientFactory>());
var repo = new ExchangeRateApi(this._configuration, clientFactory, this._policyFactory, this._logger);
var repoDecorator = new ExchangeRateApiCachingDecorator(repo);
var exchangeRates = new ExchangeRatesService(repoDecorator, this._loggerExchRate);
var calculator = new TradePositionWeightedAverageExchangeRateService(exchangeRates, this._calculatorLogger);
var tradeOne = new Order().Random();
var tradeTwo = new Order().Random();
var tradeThree = new Order().Random();
tradeOne.FilledDate = new DateTime(2017, 01, 01);
tradeTwo.FilledDate = new DateTime(2017, 10, 25);
tradeThree.FilledDate = new DateTime(2017, 10, 25);
var position = new TradePosition(new List <Order> {
tradeOne, tradeTwo, tradeThree
});
var usd = new Currency("usd");
var wer = await calculator.WeightedExchangeRate(position, usd, this._ruleCtx);
}
