unageanu-jiji 0.1.0

data/test/test_Configuration.rb

@@ -0,0 +1,61 @@
+#!/usr/bin/ruby
+
+$: << "../lib"
+
+
+require "runit/testcase"
+require "runit/cui/testrunner"
+require "jiji/configuration"
+
+class ConfigurationTest <  RUNIT::TestCase
+
+  def setup
+  end
+
+  def teardown
+  end
+
+  def test_basic
+    conf = JIJI::Configuration.new  File.dirname(__FILE__) + "/test_Configuration_a.yaml"
+    
+    assert_equals conf.key?( [:a] ), true
+    assert_equals conf.key?( [:aa, :a] ), true
+    assert_equals conf.key?( [:x] ), false
+    
+    assert_equals "aaa", conf.get( [:a], "foo" )
+    assert_equals 10,    conf.get( [:b], "foo" )
+    assert_equals "foo", conf.get( [:c], "foo" )
+    assert_equals "foo", conf.get( [:d], "foo" )
+    assert_equals "aaa", conf.get( [:aa, :a], "foo" )
+    assert_equals "foo", conf.get( [:aa, :b], "foo" )
+    assert_equals "foo", conf.get( [:aa, :a, :b], "foo" )
+    assert_equals "foo", conf.get( [:bb], "foo" )
+    assert_equals "foo", conf.get( [:bb, :b], "foo" )
+        
+    conf.set( [:a], "x" )
+    conf.set( [:x], "x" )
+    conf.set( [:aa, :a], "x" )
+    conf.set( [:aa, :x], "x" )
+    conf.set( [:xxx, :xx, :x], "x" )
+    
+    assert_equals "x", conf.get( [:a], "foo" )
+    assert_equals "x", conf.get( [:x], "foo" )
+    assert_equals "x", conf.get( [:aa, :a], "foo" )
+    assert_equals "x", conf.get( [:aa, :x], "foo" )
+    assert_equals "x", conf.get( [:xxx, :xx, :x], "foo" )
+    
+    
+    conf = JIJI::Configuration.new  File.dirname(__FILE__) + "/not found.yaml"
+    assert_equals "foo", conf.get( [:a], "foo" )
+    assert_equals "foo", conf.get( [:b], "foo" )
+    assert_equals "foo", conf.get( [:c], "foo" )
+    assert_equals "foo", conf.get( [:d], "foo" )
+    assert_equals "foo", conf.get( [:aa, :a], "foo" )
+    assert_equals "foo", conf.get( [:aa, :b], "foo" )
+    assert_equals "foo", conf.get( [:aa, :a, :b], "foo" )
+    assert_equals "foo", conf.get( [:bb], "foo" )
+    assert_equals "foo", conf.get( [:bb, :b], "foo" )
+    
+  end
+
+end

data/test/test_Configuration_a.yaml

@@ -0,0 +1,6 @@
+---
+a: "aaa"
+b: 10
+aa:
+  a: "aaa"
+  b: 

data/test/test_Operator.rb

@@ -0,0 +1,501 @@
+#!/usr/bin/ruby
+
+$: << "../lib"
+
+
+require "runit/testcase"
+require "runit/cui/testrunner"
+require "jiji/operator"
+require "jiji/collector"
+require 'jiji/agent/agent'
+require 'jiji/agent/agent_manager'
+require 'jiji/agent/agent_registry'
+require 'jiji/agent/permitter'
+require 'jiji/agent/util'
+require "testutils"
+
+class OperatorTest <  RUNIT::TestCase
+
+  include Test::Constants
+
+  def setup
+    @operator = JIJI::Operator.new nil, 200000
+    @operator.conf = CONF
+  end
+
+  def teardown
+  end
+
+  def test_basic
+
+    pair_infos = {
+      ClickClient::FX::EURJPY => Info.new( 10000 )
+    }
+
+    # 初期状態は建玉,損益共に0
+    assert_equals  @operator.profit_or_loss, 0
+    assert_equals  @operator.positions, {}
+
+    # レートを挿入
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.0,100.05,-200,200,1 )
+    })
+    time_1 = rates.time
+    @operator.next_rates( rates )
+    assert_equals  @operator.profit_or_loss, 0
+    assert_equals  @operator.positions, {}
+
+    # 購入
+    sell_1 = @operator.sell 1
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_START
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, nil
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1000500
+    assert_equals sell_1.profit_or_loss, -500
+
+    buy_1 = @operator.buy 1
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1000000
+    assert_equals buy_1.profit_or_loss, -500
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, 0
+    assert_equals  @operator.positions.length, 2
+    assert_equals  @operator.win_rate, 0.0
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,2 )
+    })
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_START
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, nil
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -1000
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, 0
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, 0
+    assert_equals  @operator.positions.length, 2
+    assert_equals  @operator.win_rate, 0.0
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.20,100.25,-200,200,3 )
+    })
+    time_3 = rates.time
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_START
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, nil
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1002000
+    assert_equals buy_1.profit_or_loss, 1500
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, 0
+    assert_equals  @operator.positions.length, 2
+    assert_equals  @operator.win_rate, 0.0
+
+
+    # sell をコミット
+    @operator.commit(sell_1)
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_FIXED
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, time_3
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.15,100.20,-200,200,4 )
+    })
+    time_4 = rates.time
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_FIXED
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, time_3
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1001500
+    assert_equals buy_1.profit_or_loss, 1000
+
+    assert_equals  @operator.profit_or_loss, -1500
+    assert_equals  @operator.fixed_profit_or_loss, -2500
+    assert_equals  @operator.positions.length, 1
+    assert_equals  @operator.win_rate, 0.0
+
+    # 新規買い
+    buy_2 = @operator.buy 2
+    assert_equals buy_2.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_2.state, JIJI::Position::STATE_START
+    assert_equals buy_2.date, time_4
+    assert_equals buy_2.fix_date, nil
+    assert_equals buy_2.count, 2
+    assert_equals buy_2.price, 2004000
+    assert_equals buy_2.current_price, 2003000
+    assert_equals buy_2.profit_or_loss, -1000
+
+    assert_equals  @operator.profit_or_loss, -2500
+    assert_equals  @operator.fixed_profit_or_loss, -2500
+    assert_equals  @operator.positions.length, 2
+    assert_equals  @operator.win_rate, 0.0
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.20,100.25,-200,200,5 )
+    })
+    time_5 = rates.time
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_FIXED
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, time_3
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1002000
+    assert_equals buy_1.profit_or_loss, 1500
+
+    assert_equals buy_2.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_2.state, JIJI::Position::STATE_START
+    assert_equals buy_2.date, time_4
+    assert_equals buy_2.fix_date, nil
+    assert_equals buy_2.count, 2
+    assert_equals buy_2.price, 2004000
+    assert_equals buy_2.current_price, 2004000
+    assert_equals buy_2.profit_or_loss, 0
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, -2500
+    assert_equals  @operator.positions.length, 2
+    assert_equals  @operator.win_rate, 0.0
+
+
+    @operator.commit(buy_1)
+    @operator.commit(buy_2)
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_FIXED
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, time_3
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_FIXED
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, time_5
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1002000
+    assert_equals buy_1.profit_or_loss, 1500
+
+    assert_equals buy_2.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_2.state, JIJI::Position::STATE_FIXED
+    assert_equals buy_2.date, time_4
+    assert_equals buy_2.fix_date, time_5
+    assert_equals buy_2.count, 2
+    assert_equals buy_2.price, 2004000
+    assert_equals buy_2.current_price, 2004000
+    assert_equals buy_2.profit_or_loss, 0
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, -1000
+    assert_equals  @operator.positions.length, 0
+    assert_equals  @operator.win_rate, 1.0/3
+
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.30,100.35,-200,200,6 )
+    })
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_FIXED
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, time_3
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1002500
+    assert_equals sell_1.profit_or_loss, -2500
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_FIXED
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, time_5
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1002000
+    assert_equals buy_1.profit_or_loss, 1500
+
+    assert_equals buy_2.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_2.state, JIJI::Position::STATE_FIXED
+    assert_equals buy_2.date, time_4
+    assert_equals buy_2.fix_date, time_5
+    assert_equals buy_2.count, 2
+    assert_equals buy_2.price, 2004000
+    assert_equals buy_2.current_price, 2004000
+    assert_equals buy_2.profit_or_loss, 0
+
+    assert_equals  @operator.profit_or_loss, -1000
+    assert_equals  @operator.fixed_profit_or_loss, -1000
+    assert_equals  @operator.positions.length, 0
+    assert_equals  @operator.win_rate, 1.0/3
+
+  end
+
+  # stopのテスト。
+  def test_stop
+
+    pair_infos = {
+      ClickClient::FX::EURJPY => Info.new( 10000 )
+    }
+
+    # レートを挿入
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.0,100.05,-200,200,1 )
+    })
+    time_1 = rates.time
+    @operator.next_rates( rates )
+    assert_equals  @operator.profit_or_loss, 0
+    assert_equals  @operator.positions, {}
+
+    # 購入
+    sell_1 = @operator.sell 1
+    buy_1 = @operator.buy 1
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,2 )
+    })
+    @operator.next_rates( rates )
+
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_START
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, nil
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -1000
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_START
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, 0
+
+    @operator.stop
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.state, JIJI::Position::STATE_LOST
+    assert_equals sell_1.date, time_1
+    assert_equals sell_1.fix_date, nil
+    assert_equals sell_1.count, 1
+    assert_equals sell_1.price, 1000000
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -1000
+
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.state, JIJI::Position::STATE_LOST
+    assert_equals buy_1.date, time_1
+    assert_equals buy_1.fix_date, nil
+    assert_equals buy_1.count, 1
+    assert_equals buy_1.price, 1000500
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, 0
+
+  end
+
+  # スワップのテスト
+  def test_swap
+
+    pair_infos = {
+      ClickClient::FX::EURJPY => Info.new( 10000 )
+    }
+
+    # レートを挿入
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200, Time.local( 2000, 1, 1, 0, 0, 0 ) )
+    }, Time.local( 2000, 1, 1, 0, 0, 0 ))
+    @operator.next_rates( rates )
+
+    # 取引
+    sell_1 = @operator.sell 1
+    assert_equals sell_1.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_1.price, 1000500
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -500
+    assert_equals sell_1.swap, 0
+
+    buy_1 = @operator.buy 1
+    assert_equals buy_1.sell_or_buy, JIJI::Position::BUY
+    assert_equals buy_1.price, 1001000
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, -500
+    assert_equals buy_1.swap, 0
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 1, 3, 59, 59 ) )
+    }, Time.local( 2000, 1, 1, 3, 59, 59 ))
+    @operator.next_rates( rates )
+
+    # 時間前なので、スワップは更新されない
+    assert_equals sell_1.swap, 0
+    assert_equals buy_1.swap, 0
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 1, 5, 0, 0 ) )
+    },Time.local( 2000, 1, 1, 5, 0, 0 ))
+    @operator.next_rates( rates )
+
+    # スワップが+される
+    assert_equals sell_1.swap, -200
+    assert_equals buy_1.swap, 200
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 1, 5, 0, 0 ) )
+    },Time.local( 2000, 1, 1, 5, 0, 0 ))
+    @operator.next_rates( rates )
+
+    # スワップはそのまま
+    assert_equals sell_1.swap, -200
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -700
+    assert_equals buy_1.swap, 200
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, -300
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 1, 5, 10, 0 ) )
+    },Time.local( 2000, 1, 1, 5, 10, 0 ))
+    @operator.next_rates( rates )
+
+    # スワップはそのまま
+    assert_equals sell_1.swap, -200
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -700
+    assert_equals buy_1.swap, 200
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, -300
+
+
+    # さらに取引
+    sell_2 = @operator.sell 1
+    assert_equals sell_2.sell_or_buy, JIJI::Position::SELL
+    assert_equals sell_2.price, 1000500
+    assert_equals sell_2.current_price, 1001000
+    assert_equals sell_2.profit_or_loss, -500
+    assert_equals sell_2.swap, 0
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 1, 12, 0, 0 ) )
+    },Time.local( 2000, 1, 1, 12, 0, 0 ))
+    @operator.next_rates( rates )
+    # スワップはそのまま
+    assert_equals sell_1.swap, -200
+    assert_equals buy_1.swap, 200
+    assert_equals sell_2.swap, 0
+
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-200,200,Time.local( 2000, 1, 2, 3, 0, 0 ) )
+    },Time.local( 2000, 1, 2, 3, 0, 0 ))
+    @operator.next_rates( rates )
+    # スワップはそのまま
+    assert_equals sell_1.swap, -200
+    assert_equals buy_1.swap, 200
+    assert_equals sell_2.swap, 0
+
+    # レートを更新
+    rates = JIJI::Rates.new( pair_infos, {
+      :EURJPY => Rate.new( 100.05,100.10,-100,100,Time.local( 2000, 1, 2, 5, 0, 10 ) )
+    },Time.local( 2000, 1, 2, 5, 0, 10 ))
+    @operator.next_rates( rates )
+    # スワップも更新される
+    assert_equals sell_1.swap, -300
+    assert_equals sell_1.current_price, 1001000
+    assert_equals sell_1.profit_or_loss, -800
+    assert_equals buy_1.swap, 300
+    assert_equals buy_1.current_price, 1000500
+    assert_equals buy_1.profit_or_loss, -200
+    assert_equals sell_2.swap, -100
+    assert_equals sell_2.current_price, 1001000
+    assert_equals sell_2.profit_or_loss, -600
+
+  end
+
+
+end