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();
}
public void TestPOrderLongBlockManagerBondSpot()
{
// 채권 매수 매도 생성 등 테스트
Account simAccount = StrategyManager.Ins().GetAccount("SimBond");
POrderLongBlockManager manager = simAccount.LongBlockManager;
String codeNoTail = BondUtil.GetCodeNoTail(BondUtil.HouseBond_1.Code);
// 일반 등록
String codeNormal = BondUtil.GetCodeWithMarketType(BondUtil.HouseBond_1.Code, MarketType._0_Bond_일반);
RmdManager.Ins().BondSpot.Register(codeNormal);
RawMarketData rmdNormal = RmdManager.Ins().BondSpot.GetData(codeNormal);
const long kReqNormalCount = CommonConst._1_000 * CommonConst._1_000 * CommonConst._1_000;
// 1. 매수전
long possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(0, possibleShortCount);
POrder o = new POrder(TradingDirection.Long, codeNormal, kReqNormalCount, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, false);
o.Update(kReqNormalCount, 8888, true);
// 2. 매수 완료
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(kReqNormalCount, possibleShortCount);
// 소액 등록
String codeSmall = BondUtil.GetCodeWithMarketType(BondUtil.HouseBond_1.Code, MarketType._1_Bond_소액);
RmdManager.Ins().BondSpot.Register(codeSmall);
RawMarketData rmdSmall = RmdManager.Ins().BondSpot.GetData(codeSmall);
const long kReqSmallCount = CommonConst._1_000;
o = new POrder(TradingDirection.Short, codeSmall, kReqSmallCount, 8888, simAccount, rmdSmall, MarketType._1_Bond_소액, false);
// 3. 매도 주문
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(kReqNormalCount - kReqSmallCount, possibleShortCount);
// 4. 매도 주문 일부체결
o.Update(kReqSmallCount / 2, 8888, false);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(kReqNormalCount - kReqSmallCount, possibleShortCount);
// 5. 매도 주문 완료
o.Update(kReqSmallCount / 2, 8888, false);
o.UpdateCancelMessage(o.ReqCount - o.ContractedCount);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(kReqNormalCount - kReqSmallCount / 2, possibleShortCount);
o.Update(kReqSmallCount, 8888, true);
long curPossibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
// 6. 매수 일부 완료, 매도 주문
POrder oLong = new POrder(TradingDirection.Long, codeNormal, kReqNormalCount, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, false);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(curPossibleShortCount, possibleShortCount);
oLong.Update(kReqSmallCount / 2, 8888, false);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(curPossibleShortCount + kReqSmallCount / 2, possibleShortCount);
oLong.Update(oLong.ReqCount, 8888, true);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(codeNoTail);
Assert.AreEqual(curPossibleShortCount + kReqNormalCount, possibleShortCount);
}
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);
}
public void GetSignedReqCount100kTest()
{
long k = 1000;
{
//100
String code = GetFirstElwCode(100);
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 1000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 100 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 199 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 100 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 199 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
{
//200
String code = GetFirstElwCode(200);
if (code.Length > 0)
{
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 2000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 200 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 398 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 200 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 398 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
{
//50
String code = GetFirstElwCode(50);
if (code.Length > 0)
{
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 500;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 50 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 99500;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 50 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 99500 * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
{
//25
String code = GetFirstElwCode(25);
if (code.Length > 0)
{
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 250;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 25 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 49750;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 25 * k * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 49750 * (-1);
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
{
//80
String code = GetFirstElwCode(80);
if (code.Length > 0)
{
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 800;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 80000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 159200;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = -80000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = -159200;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
{
//40
String code = GetFirstElwCode(40);
if (code.Length > 0)
{
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.ELW);
rmd.BidPrice1 = 10;
rmd.BidCount1 = 1000;
rmd.AskPrice1 = 15;
rmd.AskCount1 = 1000;
{
POrder o = new POrder(TradingDirection.Long, code, 10, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 400;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(10, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 40000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1000, 10, true);
}
{
POrder o = new POrder(TradingDirection.Long, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 79600;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1990, 10, true);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1000, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = -40000;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
{
POrder o = new POrder(TradingDirection.Short, code, 1990, 10, simAccount, rmd);
Assert.AreEqual(o.IsInputValidated, true);
long expected = -79600;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
{
String elwCode = GetFirstElwCode(100);
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
RawMarketData rmdOption = new RawMarketData(optionCode, (ei.CallPut == CallPutFlag.Call) ? Detail.ProductType.CallOption : Detail.ProductType.PutOption);
{
rmdOption.BidPrice1 = 2.99;
rmdOption.BidCount1 = 100;
rmdOption.AskPrice1 = 3.05;
rmdOption.AskCount1 = 100;
POrder o = new POrder(TradingDirection.Long, optionCode, 1, rmdOption.BidPrice1, simAccountFO, rmdOption);
Assert.AreEqual(o.IsInputValidated, true);
long expected = 100 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
o.Update(1, rmdOption.BidPrice1, true);
}
{
POrder o = new POrder(TradingDirection.Short, optionCode, 1, rmdOption.AskPrice1, simAccountFO, rmdOption);
Assert.AreEqual(o.IsInputValidated, true);
long expected = -100 * k;
long actual;
actual = ElwOptionUtil.GetSignedReqCount100k(o);
Assert.AreEqual(expected, actual);
}
}
}
public void TestPOrderLongBlockManagerKtbSpot()
{
Account simAccount = StrategyManager.Ins().GetAccount("SimBond");
POrderLongBlockManager manager = simAccount.LongBlockManager;
String code = KtbSpotUtil.Ins().KtbSpot_10yr.Code;
//매수전
long possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(code);
Assert.AreEqual(0, possibleShortCount);
RawMarketData rmd = new RawMarketData(code, Detail.ProductType.KtbSpot);
//매수 1억
POrder o = new POrder(TradingDirection.Long, code, CommonConst._100_000_000, 8888,
simAccount, rmd);
o.Update(CommonConst._100_000_000, 8888, true);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(code);
Assert.AreEqual(CommonConst._100_000_000, possibleShortCount);
o = new POrder(TradingDirection.Short, code, CommonConst._100_000_000, 8888, simAccount, rmd);
// 3. 매도 주문
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(code);
Assert.AreEqual(0, possibleShortCount);
// 4. 매도 주문 일부체결
o.Update(CommonConst._10_000_000, 8888, false);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(code);
Assert.AreEqual(0, possibleShortCount);
// 5. 매도 주문 완료
o.UpdateCancelMessage(CommonConst._100_000_000 - CommonConst._10_000_000);
possibleShortCount = manager.GetPossibleShortCountUsingCodeNoTail(code);
Assert.AreEqual(CommonConst._100_000_000 - CommonConst._10_000_000, possibleShortCount);
}
public void GetSignedGoodChanceCount100kTest()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccountElw = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = RmdManager.Ins().GetData(elwCode);
double elwPrice = 10;
long elwCount = 1000;
SetAsValidValue(rmdElw, TradingDirection.Long, elwPrice);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = RmdManager.Ins().GetData(optionCode);
double optionPrice = 0.1;
long optionCount = 1;
SetAsValidValue(rmdOption, TradingDirection.Short, optionPrice);
List<POrder> arr = new List<POrder>();
POrder elwOrder = new POrder(TradingDirection.Long, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
long expected = 100000;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
rmdElw.BidPrice1 = 15;
rmdElw.AskPrice1 = 20;
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
POrder optionOrder = new POrder(TradingDirection.Short, optionCode, optionCount, optionPrice, simAccountFO, rmdOption);
Assert.AreEqual(optionOrder.IsInputValidated, true);
arr.Add(optionOrder);
{
long expected = -100000;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
rmdOption.BidPrice1 = 0.08;
rmdOption.AskPrice1 = 0.09;
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
SetAsValidValue(rmdOption, TradingDirection.Short, optionPrice);
{
long expected = -100000;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
optionOrder.Update(optionOrder.ReqCount, optionPrice, true);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedGoodChanceCount100k(arr);
Assert.AreEqual(expected, actual);
}
}
public void GetSignedMaxPossibleExposureCount100kTest()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccountElw = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = new RawMarketData(elwCode, Detail.ProductType.ELW);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = new RawMarketData(optionCode, pt);
// elw 1000,000개 매수 상태로 설정
POrder preOrderElw = new POrder(TradingDirection.Long, elwCode, 1000000, 10, simAccountElw, rmdElw);
preOrderElw.OrderNumber = 0;
Assert.AreEqual(preOrderElw.IsInputValidated, true);
preOrderElw.Update(preOrderElw.ReqCount, 10, true);
List<POrder> arr = new List<POrder>();
POrder elwOrder1 = new POrder(TradingDirection.Long, elwCode, elwCountOfOneOption, 10, simAccountElw, rmdElw);
elwOrder1.OrderNumber = 0;
Assert.AreEqual(elwOrder1.IsInputValidated, true);
POrder elwOrder2 = new POrder(TradingDirection.Short, elwCode, elwCountOfOneOption, 10, simAccountElw, rmdElw);
elwOrder2.OrderNumber = 0;
Assert.AreEqual(elwOrder2.IsInputValidated, true);
arr.Add(elwOrder1);
arr.Add(elwOrder2);
// 0인지 검사 한번 한다.
{
long actual = ElwOptionUtil.GetSignedMaxPossibleExposureCount100k(arr);
long expected = 0;
Assert.AreEqual(expected, actual);
}
// 옵션도 한번 더해본다.
POrder optionOrder1 = new POrder(TradingDirection.Long, optionCode, 1, 10, simAccountFO, rmdOption);
optionOrder1.OrderNumber = 0;
Assert.AreEqual(optionOrder1.IsInputValidated, true);
arr.Add(optionOrder1);
// 100,000 인지 검사 한번 한다.
{
long actual = ElwOptionUtil.GetSignedMaxPossibleExposureCount100k(arr);
long expected = 100000;
Assert.AreEqual(expected, actual);
}
// 옵션 매도를 한번 더해본다. 수량은 2개
POrder optionOrder2 = new POrder(TradingDirection.Short, optionCode, 2, 10, simAccountFO, rmdOption);
optionOrder2.OrderNumber = 0;
Assert.AreEqual(optionOrder2.IsInputValidated, true);
arr.Add(optionOrder2);
// -100,000 인지 검사 한번 한다.
{
long actual = ElwOptionUtil.GetSignedMaxPossibleExposureCount100k(arr);
long expected = -100000;
Assert.AreEqual(expected, actual);
}
elwOrder1.Update(elwOrder1.ReqCount, 10, true);
// -100,000 인지 검사 한번 한다.
{
long actual = ElwOptionUtil.GetSignedMaxPossibleExposureCount100k(arr);
long expected = -100000;
Assert.AreEqual(expected, actual);
}
elwOrder2.UpdateCancelMessage(elwOrder2.ReqCount);
// 0 인지 검사 한번 한다.
{
long actual = ElwOptionUtil.GetSignedMaxPossibleExposureCount100k(arr);
long expected = 0;
Assert.AreEqual(expected, actual);
}
}
public void GetOptionCount_DoubleTest()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccountElw = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = RmdManager.Ins().GetData(elwCode);
double elwPrice = 10;
long elwCount = 1000;
SetAsValidValue(rmdElw, TradingDirection.Long, elwPrice);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = RmdManager.Ins().GetData(optionCode);
double optionPrice = 0.1;
SetAsValidValue(rmdOption, TradingDirection.Short, optionPrice);
List<POrder> arr = new List<POrder>();
{
POrder elwOrder = new POrder(TradingDirection.Long, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
double expected = 0;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(10, elwPrice, false);
double expected = 0.01;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(500, elwPrice, false);
double expected = 0.5;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(1000, elwPrice, true);
double expected = 1;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
arr.Remove(elwOrder);
}
{
POrder elwOrder = new POrder(TradingDirection.Short, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
double expected = 0;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(10, elwPrice, false);
double expected = -0.01;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(500, elwPrice, false);
double expected = -0.5;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
{
elwOrder.Update(1000, elwPrice, false);
double expected = -1;
double actual;
actual = ElwOptionUtil.GetSignedContractedCountOption_Double(arr);
Assert.AreEqual(Util.IsSameDouble(expected, actual), true);
}
arr.Remove(elwOrder);
}
}
public void GetParticleElwCountTest1()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccountElw = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = RmdManager.Ins().GetData(elwCode);
double elwPrice = 10;
long elwCount = 3000;
SetAsValidValue(rmdElw, TradingDirection.Long, elwPrice);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = RmdManager.Ins().GetData(optionCode);
double optionPrice = 0.1;
long optionCount = 3;
SetAsValidValue(rmdOption, TradingDirection.Short, optionPrice);
POrder bufferOrder = new POrder(
TradingDirection.Long, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
POrder_UnittestUtil.GetFakeOrderNumber(bufferOrder);
bufferOrder.Update(bufferOrder.ReqCount, elwPrice, true);
{
POrder o = new POrder(TradingDirection.Long, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(o.IsInputValidated, true);
o.Update(o.ReqCount, elwPrice, true);
}
List<POrder> arr = new List<POrder>();
POrder optionOrder = new POrder(
TradingDirection.Short, optionCode, optionCount, optionPrice, simAccountFO, rmdOption);
Assert.AreEqual(optionOrder.IsInputValidated, true);
arr.Add(optionOrder);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
{
POrder elwOrder = new POrder(
TradingDirection.Short, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
elwOrder.OrderNumber = 0;
elwOrder.Update(10, elwPrice, false);
elwOrder.UpdateCancelMessage(elwOrder.ReqCount - elwOrder.ContractedCount);
{
long expected = -10;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
arr.Remove(elwOrder);
}
{
POrder elwOrder = new POrder(
TradingDirection.Short, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
elwOrder.OrderNumber = 0;
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
elwOrder.Update(990, elwPrice, false);
elwOrder.UpdateCancelMessage(elwOrder.ReqCount - elwOrder.ContractedCount);
{
long expected = -990;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
arr.Remove(elwOrder);
}
{
POrder elwOrder = new POrder(
TradingDirection.Short, elwCode, elwCount, elwPrice, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
elwOrder.Update(1000, elwPrice, false);
elwOrder.UpdateCancelMessage(elwOrder.ReqCount - elwOrder.ContractedCount);
{
long expected = 0;
long actual;
actual = ElwOptionUtil.GetSignedParticleElwCount(ei, arr);
Assert.AreEqual(expected, actual);
}
arr.Remove(elwOrder);
}
//RequestOrder를 안했다. remove하면서 에러 발생한다. 봐준다.
Util.LogOutCriticalError("\t\t # Non exist code search 1 permitted.");
POrder_UnittestUtil.ClearOrder(bufferOrder);
}
void getSignedRemainCount100kTest_Option()
{
String elwCode = GetFirstElwCode(100);
Account simAccount = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = new RawMarketData(optionCode, pt);
{
TradingDirection ls = TradingDirection.Long;
double price = 10;
SetAsValidValue(rmdOption, ls, price);
List<POrder> arr = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
int index = i + 1;
POrder o = new POrder(ls, optionCode, 1 * index, 10, simAccount, rmdOption);
Assert.AreEqual(o.IsInputValidated, true);
arr.Add(o);
}
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = 5500000;
Assert.AreEqual(expected, actual);
}
long total_contracted_count = 0;
foreach (POrder o in arr)
{
long contracted_count = (long)(o.ReqCount / 2);
total_contracted_count += contracted_count;
o.Update(contracted_count, price, false);
}
{
total_contracted_count = ElwOptionUtil.ConvertRealToCount100k(optionCode, total_contracted_count);
long remain_count = 5500000 - total_contracted_count;
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
Assert.AreEqual(remain_count, actual);
}
foreach (POrder o in arr)
{
o.Update(o.ReqCount, price, true);
}
}
{
TradingDirection ls = TradingDirection.Short;
double price = 10;
SetAsValidValue(rmdOption, ls, price);
List<POrder> arr = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
int index = i + 1;
POrder o = new POrder(ls, optionCode, 1 * index, 10, simAccount, rmdOption);
Assert.AreEqual(o.IsInputValidated, true);
arr.Add(o);
}
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = -5500000;
Assert.AreEqual(expected, actual);
}
long total_contracted_count = 0;
foreach (POrder o in arr)
{
long contracted_count = (long)(o.ReqCount / 2);
total_contracted_count -= contracted_count;
o.Update(contracted_count, price, false);
}
{
total_contracted_count = ElwOptionUtil.ConvertRealToCount100k(optionCode, total_contracted_count);
long remain_count = -5500000 - total_contracted_count;
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
Assert.AreEqual(remain_count, actual);
}
foreach (POrder o in arr)
{
o.Update(o.ReqCount, price, true);
}
}
}
void getSignedRemainCount100kTest_ElwOption()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccountElw = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = new RawMarketData(elwCode, Detail.ProductType.ELW);
Account simAccountFO = AccountManager.Ins().CreateSimFOAccount();
String optionCode = ElwOptionUtil.ToOptionCode(elwCode);
KospiOptionInfo koi = OptionUtil.GetKOI(optionCode);
Detail.ProductType pt = OptionUtil.ConvertToDetailProductType(koi.CallPut);
RawMarketData rmdOption = new RawMarketData(optionCode, pt);
List<POrder> arr = new List<POrder>();
// elw 1000,000개 매수 상태로 설정
POrder preOrderElw = new POrder(TradingDirection.Long, elwCode, 1000000, 10, simAccountElw, rmdElw);
Assert.AreEqual(preOrderElw.IsInputValidated, true);
preOrderElw.Update(preOrderElw.ReqCount, 10, true);
POrder elwOrder = null;
POrder optionOrder = null;
// elw 10단위 매수
// 옵션 9단위 매도
{
elwOrder = new POrder(TradingDirection.Long, elwCode, 10 * elwCountOfOneOption, 10, simAccountElw, rmdElw);
Assert.AreEqual(elwOrder.IsInputValidated, true);
arr.Add(elwOrder);
}
{
optionOrder = new POrder(TradingDirection.Short, optionCode, 9, 10, simAccountFO, rmdOption);
Assert.AreEqual(optionOrder.IsInputValidated, true);
arr.Add(optionOrder);
}
// validation한번 하자
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = 1 * 100000;
Assert.AreEqual(expected, actual);
}
// elw를 하나 채결시킨다.
{
elwOrder.Update(elwCountOfOneOption, 10, false);
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = 0;
Assert.AreEqual(expected, actual);
}
{
elwOrder.Update((long)(elwCountOfOneOption * 1.5), 10, false);
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = -50000;
Assert.AreEqual(expected, actual);
}
}
void getSignedRemainCount100kTest_Elw()
{
String elwCode = GetFirstElwCode(100);
ElwInfo ei = ElwUtil.GetElwInfo(elwCode);
long elwCountOfOneOption = ElwOptionUtil.GetElwCountOfOneOption(elwCode);
Account simAccount = AccountManager.Ins().CreateSimSpotAccount();
RawMarketData rmdElw = new RawMarketData(elwCode, Detail.ProductType.ELW);
// long only
{
TradingDirection ls = TradingDirection.Long;
double price = 10;
SetAsValidValue(rmdElw, ls, price);
List<POrder> arr = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
int index = i + 1;
POrder o = new POrder(ls, elwCode, elwCountOfOneOption * index, 10, simAccount, rmdElw);
Assert.AreEqual(o.IsInputValidated, true);
arr.Add(o);
}
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = 5500000;
Assert.AreEqual(expected, actual);
}
long total_contracted_count = 0;
foreach (POrder o in arr)
{
long contracted_count = (long)(o.ReqCount / 2);
total_contracted_count += contracted_count;
o.Update(contracted_count, price, false);
}
{
total_contracted_count = ElwOptionUtil.ConvertElwCountTo100k(ei, total_contracted_count);
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
Assert.AreEqual(total_contracted_count, actual);
}
foreach (POrder o in arr)
{
o.Update(o.ReqCount, price, true);
}
}
// short only
{
TradingDirection ls = TradingDirection.Short;
double price = 10;
SetAsValidValue(rmdElw, ls, price);
List<POrder> arr = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
int index = i + 1;
POrder o = new POrder(ls, elwCode, elwCountOfOneOption * index, 10, simAccount, rmdElw);
Assert.AreEqual(o.IsInputValidated, true);
arr.Add(o);
}
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = -5500000;
Assert.AreEqual(expected, actual);
}
long total_contracted_count = 0;
foreach (POrder o in arr)
{
long contracted_count = (long)(o.ReqCount / 2);
total_contracted_count -= contracted_count;
o.Update(contracted_count, price, false);
}
{
total_contracted_count = ElwOptionUtil.ConvertElwCountTo100k(ei, total_contracted_count);
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
Assert.AreEqual(total_contracted_count, actual);
}
foreach (POrder o in arr)
{
o.Update(o.ReqCount, price, true);
}
}
// long short mix
{
double price = 10;
SetAsValidValue(rmdElw, TradingDirection.Long, price);
List<POrder> arrPre = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
int index = i + 1;
POrder o = new POrder(TradingDirection.Long, elwCode, elwCountOfOneOption, price, simAccount, rmdElw);
Assert.AreEqual(o.IsInputValidated, true);
arrPre.Add(o);
}
foreach (POrder o in arrPre)
{
o.Update(o.ReqCount, price, true);
}
List<POrder> arr = new List<POrder>();
for (int i = 0; i < 10; ++i)
{
POrder o1 = new POrder(TradingDirection.Long, elwCode, elwCountOfOneOption, price, simAccount, rmdElw);
Assert.AreEqual(o1.IsInputValidated, true);
POrder o2 = new POrder(TradingDirection.Short, elwCode, elwCountOfOneOption, price, simAccount, rmdElw);
Assert.AreEqual(o2.IsInputValidated, true);
arr.Add(o1);
arr.Add(o2);
}
{
long actual = ElwOptionUtil.GetSignedRemainCount100k(arr);
long expected = 0;
Assert.AreEqual(expected, actual);
}
}
}
public void LimOrderLimitIsOKTest()
{
{
// IsOK, FilterOrderLimitCount에서 값을 root에 잘 전달하는지를 테스트한다.
Account accountFO = AccountManager.Ins().CreateSimFOAccount();
String code = KospiFutureUtil.Ins().KFI.Code;
double reqPrice = KospiFutureUtil.Ins().KFI.UpLimit;
long reqCount = 1;
TradingDirection ls = TradingDirection.Long;
// 여기서는 rmd값이 존재하는 경우의 테스트이다.
RawMarketData rmd = RmdManager.Ins().GetData(code);
rmd.BidPrice1 = KospiFutureUtil.Ins().KFI.DownLimit;
rmd.AskPrice1 = KospiFutureUtil.Ins().KFI.UpLimit;
rmd.BidCount1 = 500;
rmd.AskCount1 = 500;
POrder o = new POrder(ls, code, reqCount, reqPrice, accountFO, rmd);
Assert.AreEqual(o.IsInputValidated, true);
// pass test
{
Boolean bActual = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, bActual);
}
{
Util.LogOutCriticalError("\t\t# DummyOrderLimit 1 permitted.");
Boolean bActual = g_lim_ol_with_dummy.IsOK(o);
Assert.AreEqual(false, bActual);
}
{
long actual = g_lim_ol_with_default.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(100, actual);
}
{
Util.LogOutCriticalError("\t\t# DummyOrderLimit 1 permitted.");
long actual = g_lim_ol_with_dummy.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(long.MinValue, actual);
}
// lim order limit에서 pivot이 0이 되는 상황을 테스트한다. long의 경우이다.
// pivot 0 case
o.RMDClone.AskPrice1 = 0;
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
// RMD 가격이 존재하는 경우 자동적으로 범위 안으로 SetReqPrice가 된다.
o.RMDClone.AskPrice1 = KospiFutureUtil.Ins().KFI.UpLimit;
o.SetReqPrice(o.ReqPrice + 0.20);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
o.SetReqPrice(o.ReqPrice + 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
o.SetReqPrice(o.ReqPrice + 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
o.Update(o.ReqCount, 0, true);
}
//long
{
Account accountFO = AccountManager.Ins().CreateSimFOAccount();
String code = KospiFutureUtil.Ins().KFI.Code;
double reqPrice = KospiFutureUtil.Ins().KFI.UpLimit;
long reqCount = 1;
TradingDirection ls = TradingDirection.Long;
RawMarketData rmd = RmdManager.Ins().GetData(code);
rmd.BidPrice1 = 0;
rmd.AskPrice1 = 0;
rmd.BidCount1 = 0;
rmd.AskCount1 = 0;
POrder o = new POrder(ls, code, reqCount, reqPrice, accountFO, rmd);
Assert.AreEqual(o.IsInputValidated, true);
// pass test
{
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean bActual = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, bActual);
}
{
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean bActual = g_lim_ol_with_dummy.IsOK(o);
Assert.AreEqual(false, bActual);
}
{
long actual = g_lim_ol_with_default.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(100, actual);
}
{
Util.LogOutCriticalError("\t\t# DummyOrderLimit 1 permitted.");
long actual = g_lim_ol_with_dummy.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(long.MinValue, actual);
}
// pivot 0 case
o.RMDClone.AskPrice1 = 0;
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
o.RMDClone.AskPrice1 = KospiFutureUtil.Ins().KFI.UpLimit;
// 4tick 위 가능
o.SetReqPrice(o.ReqPrice + 0.20);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
// 5tick 위 가능
o.SetReqPrice(o.ReqPrice + 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
// 6tick 위 불가능
o.SetReqPrice(o.ReqPrice + 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
o.Update(o.ReqCount, 0, true);
}
//short
{
Account accountFO = AccountManager.Ins().CreateSimFOAccount();
String code = KospiFutureUtil.Ins().KFI.Code;
double reqPrice = KospiFutureUtil.Ins().KFI.UpLimit;
long reqCount = 1;
TradingDirection ls = TradingDirection.Short;
RawMarketData rmd = RmdManager.Ins().GetData(code);
rmd.BidPrice1 = 0;
rmd.AskPrice1 = 0;
rmd.BidCount1 = 0;
rmd.AskCount1 = 0;
POrder o = new POrder(ls, code, reqCount, reqPrice, accountFO, rmd);
Assert.AreEqual(o.IsInputValidated, true);
// pass test
{
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean bActual = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, bActual);
}
{
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean bActual = g_lim_ol_with_dummy.IsOK(o);
Assert.AreEqual(false, bActual);
}
{
long actual = g_lim_ol_with_default.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(100, actual);
}
{
Util.LogOutCriticalError("\t\t# DummyOrderLimit 1 permitted.");
long actual = g_lim_ol_with_dummy.GetPossibleReqCount(o.RMDClone.Code, o.RMDClone.AskPrice1, 100);
Assert.AreEqual(long.MinValue, actual);
}
// pivot 0 case
o.RMDClone.AskPrice1 = 0;
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
o.RMDClone.BidPrice1 = KospiFutureUtil.Ins().KFI.UpLimit;
// 4tick 위 가능
Util.LogOutCriticalError("\t\t # Non exist code search 1 permitted.");
o.SetReqPrice(o.ReqPrice - 0.20);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
// 5tick 위 가능
Util.LogOutCriticalError("\t\t # Non exist code search 1 permitted.");
o.SetReqPrice(o.ReqPrice - 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Assert.AreEqual(true, limSuccess);
}
// 6tick 위 불가능
Util.LogOutCriticalError("\t\t # Non exist code search 1 permitted.");
o.SetReqPrice(o.ReqPrice - 0.05);
{
Boolean defaultSuccess = g_default_orderlimit.IsOK(o);
Assert.AreEqual(true, defaultSuccess);
Util.LogOutCriticalError("\t\t# LimOrderLimit 1 permitted.");
Boolean limSuccess = g_lim_ol_with_default.IsOK(o);
Assert.AreEqual(false, limSuccess);
}
o.Update(o.ReqCount, 0, true);
}
}
public void TestPOrderBidAskCountManagerAll()
{
POrderBidAskCountManager manager = POrderBidAskCountManager.Ins();
Assert.AreEqual(POrderBidAskCountManager.Ins().IsDirty(), false);
Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false);
POrderBidAskCountManager_Accessor accessor =
new POrderBidAskCountManager_Accessor(new PrivateObject(manager));
Account simAccount = StrategyManager.Ins().GetAccount("SimBond");
String codeNoTail = BondUtil.GetCodeNoTail(BondUtil.HouseBond_1.Code);
// 일반 등록
String codeNormal =
BondUtil.GetCodeWithMarketType(BondUtil.HouseBond_1.Code, MarketType._0_Bond_일반);
RmdManager.Ins().BondSpot.Register(codeNormal);
RawMarketData rmdNormal = RmdManager.Ins().BondSpot.GetData(codeNormal);
// 소액 등록
String codeSmall =
BondUtil.GetCodeWithMarketType(BondUtil.HouseBond_1.Code, MarketType._1_Bond_소액);
RmdManager.Ins().BondSpot.Register(codeSmall);
RawMarketData rmdSmall = RmdManager.Ins().BondSpot.GetData(codeSmall);
POrder oNormal_0 = new POrder(TradingDirection.Long, codeNormal, 100 * CommonConst._1_000_000, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_0.Update(oNormal_0.ReqCount, 0, true);
// 100개 매수 등록해놓고
manager.Register(oNormal_0);
long registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 100 * CommonConst._1_000_000);
// 200개 더 등록해보고
POrder oNormal_1 = new POrder(TradingDirection.Long, codeNormal, 200 * CommonConst._1_000_000, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_1.Update(oNormal_1.ReqCount, 0, true);
manager.Register(oNormal_1);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 300 * CommonConst._1_000_000);
// 다른 가격(8889)에서 어떤지 보고
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8889);
Assert.AreEqual(registeredReqCount, 0 * CommonConst._1_000_000);
// 다른 가격에 등록한 것이 영향을 안주는지 확인하고
POrder oNormal_2 = new POrder(TradingDirection.Long, codeNormal, 200 * CommonConst._1_000_000, 8889, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_2.Update(oNormal_2.ReqCount, 0, true);
manager.Register(oNormal_2);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 300 * CommonConst._1_000_000);
// Short으로도 같은 가격에 넣어보고
POrder oNormal_3 = new POrder(TradingDirection.Short, codeNormal, 100 * CommonConst._1_000_000, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_3.Update(oNormal_3.ReqCount, 0, true);
manager.Register(oNormal_3);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 300 * CommonConst._1_000_000);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Short, 8888);
Assert.AreEqual(registeredReqCount, 100 * CommonConst._1_000_000);
// 다른 코드(소액)으로 테스트 시작
registeredReqCount = manager.GetRegisteredReqCount(codeSmall, TradingDirection.Short, 8888);
Assert.AreEqual(registeredReqCount, 0);
POrder oSmall_0 = new POrder(TradingDirection.Long, codeSmall, 100 * CommonConst._1_000, 8888, simAccount, rmdSmall, MarketType._1_Bond_소액, true);
oSmall_0.Update(oSmall_0.ReqCount, 0, true);
// 100개 넣어보고
manager.Register(oSmall_0);
registeredReqCount = manager.GetRegisteredReqCount(codeSmall, TradingDirection.Short, 8888);
Assert.AreEqual(registeredReqCount, 0 * CommonConst._1_000);
registeredReqCount = manager.GetRegisteredReqCount(codeSmall, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 100 * CommonConst._1_000);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 300 * CommonConst._1_000_000);
manager.Unregister(oNormal_0);
manager.Unregister(oNormal_1);
manager.Unregister(oNormal_2);
manager.Unregister(oNormal_3);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 0);
manager.Unregister(oSmall_0);
registeredReqCount = manager.GetRegisteredReqCount(codeNormal, TradingDirection.Long, 8888);
Assert.AreEqual(registeredReqCount, 0);
// AdjustRmdCountWithoutMine 테스트
rmdNormal.BidPrice1 = 8887;
rmdNormal.BidCount1 = 1000 * CommonConst._1_000_000;
rmdNormal.AskPrice1 = 8888;
rmdNormal.AskCount1 = 1000 * CommonConst._1_000_000;
manager.AdjustRmdCountWithoutMine(ref rmdNormal);
Assert.AreEqual(rmdNormal.BidCount1, 1000 * CommonConst._1_000_000);
Assert.AreEqual(rmdNormal.AskCount1, 1000 * CommonConst._1_000_000);
POrder oNormal_4 = new POrder(TradingDirection.Long, codeNormal, 100 * CommonConst._1_000_000, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_4.Update(oNormal_4.ReqCount, 0, true);
manager.Register(oNormal_4);
manager.AdjustRmdCountWithoutMine(ref rmdNormal);
Assert.AreEqual(rmdNormal.BidCount1, 1000 * CommonConst._1_000_000);
Assert.AreEqual(rmdNormal.AskCount1, 900 * CommonConst._1_000_000);
rmdNormal.BidPrice1 = 8887;
rmdNormal.BidCount1 = 1000 * CommonConst._1_000_000;
rmdNormal.AskPrice1 = 8888;
rmdNormal.AskCount1 = 1000 * CommonConst._1_000_000;
POrder oNormal_5 = new POrder(TradingDirection.Long, codeNormal, 100 * CommonConst._1_000_000, 8888, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_5.Update(oNormal_5.ReqCount, 0, true);
manager.Register(oNormal_5);
manager.AdjustRmdCountWithoutMine(ref rmdNormal);
Assert.AreEqual(rmdNormal.BidCount1, 1000 * CommonConst._1_000_000);
Assert.AreEqual(rmdNormal.AskCount1, 800 * CommonConst._1_000_000);
rmdNormal.BidPrice1 = 8887;
rmdNormal.BidCount1 = 1000 * CommonConst._1_000_000;
rmdNormal.AskPrice1 = 8888;
rmdNormal.AskCount1 = 1000 * CommonConst._1_000_000;
POrder oNormal_6 = new POrder(TradingDirection.Short, codeNormal, 100 * CommonConst._1_000_000, 8887, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
oNormal_6.Update(oNormal_6.ReqCount, 0, true);
manager.Register(oNormal_6);
manager.AdjustRmdCountWithoutMine(ref rmdNormal);
Assert.AreEqual(rmdNormal.BidCount1, 900 * CommonConst._1_000_000);
Assert.AreEqual(rmdNormal.AskCount1, 800 * CommonConst._1_000_000);
// 0이하가 안나온다
POrder oNormal_7 = new POrder(TradingDirection.Short, codeNormal, 10000 * CommonConst._1_000_000, 8887, simAccount, rmdNormal, MarketType._0_Bond_일반, true);
manager.Register(oNormal_7);
manager.AdjustRmdCountWithoutMine(ref rmdNormal);
Assert.AreEqual(rmdNormal.BidCount1, 0);
manager.Unregister(oNormal_4);
manager.Unregister(oNormal_5);
manager.Unregister(oNormal_6);
manager.Unregister(oNormal_7);
Assert.AreEqual(POrderBidAskCountManager.Ins().IsDirty(), false);
Assert.AreEqual(POrder_UnittestUtil.IsPOrderCommonResourceDirty(), false);
}
