RichardandClaude Opus 5
b96a20788c
Eigener Seam neben IBrokerClient: Wer handelt, braucht ihn nicht; wer die eigene Buchfuehrung gegen den Broker abstimmt, braucht nur ihn. Zuteilung und Verfall aendern Positionen ohne Order von uns - ohne Abgleich laeuft das Managementbuch zwangslaeufig auseinander. - IBrokerPortfolioReader mit GetPositionsAsync/GetExecutionsAsync; implementiert von IbkrBrokerClient und NullBrokerClient (DI registriert beide Rollen auf derselben Instanz). - IbkrConnection: reqAccountUpdates statt reqPositions (nur dieser Weg liefert Marktwert und unrealisierten G/V), reqExecutions inkl. Zuordnung der verspaetet eintreffenden commissionReport-Callbacks ueber die ExecId. - BrokerPosition/BrokerExecution als Broker-Wahrheit neben Position; IbkrMapping: ParseSide, ParseExecutionTime, FormatExecutionFilterTime (UTC wegen TWS-Warnung 2174) - mit Unit-Tests. - Verifiziert gegen Paper-Konto DUR371528: 2 Positionen, 2 Ausfuehrungen inkl. Kommissionen. Doku: Kapital- und Buchmodell (drei Wahrheiten, Kapitalzuteilung), KONZEPT-Datenlage-und-Strategien (gemessen, was die API auf diesem Konto liefert). Options-Wheel: Greeks bei verzoegerten Daten funktionieren (Feld 83); Earnings-Termine sind ueber die TWS API nicht erreichbar (Fehler 10358) - Behelf ueber IV-Filter statt Fremddatenquelle. Co-Authored-By: Claude Opus 5 <noreply@anthropic.com>
241 lines
9.0 KiB
C#
241 lines
9.0 KiB
C#
using FluentAssertions;
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using IBKRTrader.Core.Trading;
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using IBKRTrader.Core.Trading.Ibkr;
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namespace IBKRTrader.Tests.Trading;
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/// <summary>
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/// Prüft die Abbildung zwischen Core-Modellen und TWS-API – der Teil des Broker-Adapters,
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/// der ohne laufenden Gateway testbar ist. Verbindung, Kurse und Orders bleiben manuelle
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/// Verifikation gegen das Paper-Konto (siehe docs/TWS-Setup-Checkliste.md).
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/// </summary>
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[Trait("cat", "unit")]
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public class IbkrMappingTests
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{
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// ─── Port-Validierung (Schutz vor Handel auf dem falschen Konto) ──────────
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[Theory]
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[InlineData(4001)] // IB Gateway Live
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[InlineData(7496)] // TWS Live
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public void PaperMode_OnLivePort_IsRejected(int port)
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{
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var problem = IbkrMapping.ValidatePort(port, TradingMode.Paper);
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problem.Should().NotBeNull().And.Contain("LIVE");
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}
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[Theory]
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[InlineData(4002)] // IB Gateway Paper
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[InlineData(7497)] // TWS Paper
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public void LiveMode_OnPaperPort_IsRejected(int port)
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{
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var problem = IbkrMapping.ValidatePort(port, TradingMode.Live);
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problem.Should().NotBeNull().And.Contain("Paper-Port");
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}
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[Theory]
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[InlineData(4002, TradingMode.Paper)]
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[InlineData(7497, TradingMode.Paper)]
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[InlineData(4001, TradingMode.Live)]
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[InlineData(7496, TradingMode.Live)]
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public void MatchingPortAndMode_IsAccepted(int port, TradingMode mode) =>
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IbkrMapping.ValidatePort(port, mode).Should().BeNull();
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[Fact]
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public void NonStandardPort_IsAccepted_ForAnyMode()
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{
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IbkrMapping.ValidatePort(4999, TradingMode.Paper).Should().BeNull();
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IbkrMapping.ValidatePort(4999, TradingMode.Live).Should().BeNull();
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}
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// ─── Kontrakt ─────────────────────────────────────────────────────────────
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[Fact]
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public void Stock_BuildsSmartRoutedUsEquity()
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{
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var contract = IbkrMapping.Stock(" aapl ");
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contract.Symbol.Should().Be("AAPL");
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contract.SecType.Should().Be("STK");
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contract.Exchange.Should().Be("SMART");
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contract.Currency.Should().Be("USD");
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}
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// ─── Order ────────────────────────────────────────────────────────────────
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[Fact]
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public void BuildOrder_MarketBuy_MapsToMktWithoutLimit()
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{
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var request = new OrderRequest
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{
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Symbol = "AAPL", Side = TradeSide.Buy, Quantity = 10, Type = OrderType.Market
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};
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var order = IbkrMapping.BuildOrder(request, orderId: 42, account: "DUR371528");
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order.OrderId.Should().Be(42);
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order.Action.Should().Be("BUY");
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order.OrderType.Should().Be("MKT");
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order.TotalQuantity.Should().Be(10);
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// double.MaxValue ist der „nicht gesetzt"-Marker der TWS-API. Eine 0 wäre hier ein Fehler:
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// TWS würde sie als echten Limitpreis von 0 lesen.
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order.LmtPrice.Should().Be(double.MaxValue);
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order.Tif.Should().Be("DAY");
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order.Transmit.Should().BeTrue();
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order.Account.Should().Be("DUR371528");
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}
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[Fact]
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public void BuildOrder_LimitSell_CarriesLimitPrice()
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{
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var request = new OrderRequest
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{
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Symbol = "MSFT", Side = TradeSide.Sell, Quantity = 5,
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Type = OrderType.Limit, LimitPrice = 123.45m
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};
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var order = IbkrMapping.BuildOrder(request, orderId: 7, account: null);
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order.Action.Should().Be("SELL");
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order.OrderType.Should().Be("LMT");
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order.LmtPrice.Should().Be(123.45);
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order.Account.Should().BeNullOrEmpty();
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}
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[Fact]
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public void BuildOrder_LimitWithoutPrice_LeavesPriceUnset()
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{
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// Eine 0 würde TWS als Limitpreis von 0 lesen; der Marker double.MaxValue heißt „nicht gesetzt".
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var request = new OrderRequest
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{
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Symbol = "MSFT", Side = TradeSide.Buy, Quantity = 1, Type = OrderType.Limit, LimitPrice = null
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};
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IbkrMapping.BuildOrder(request, orderId: 1, account: null)
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.LmtPrice.Should().Be(double.MaxValue);
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}
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// ─── Kurs-Ableitung ───────────────────────────────────────────────────────
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[Fact]
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public void BuildQuote_PrefersLastTradedPrice()
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{
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var quote = IbkrMapping.BuildQuote("AAPL", last: 100, bid: 98, ask: 102, close: 95);
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quote!.Last.Should().Be(100m);
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quote.Bid.Should().Be(98m);
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quote.Ask.Should().Be(102m);
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}
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[Fact]
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public void BuildQuote_WithoutLast_UsesBidAskMid()
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{
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var quote = IbkrMapping.BuildQuote("AAPL", last: 0, bid: 98, ask: 102, close: 95);
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quote!.Last.Should().Be(100m);
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}
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[Fact]
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public void BuildQuote_WithOnlyClose_UsesClose()
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{
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// Paper-Konten ohne Datenabo liefern außerhalb der Handelszeiten oft nur den Schlusskurs.
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var quote = IbkrMapping.BuildQuote("AAPL", last: 0, bid: 0, ask: 0, close: 95);
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quote!.Last.Should().Be(95m);
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quote.Bid.Should().Be(95m);
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quote.Ask.Should().Be(95m);
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}
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[Fact]
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public void BuildQuote_WithoutAnyPrice_ReturnsNull() =>
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IbkrMapping.BuildQuote("AAPL", last: 0, bid: 0, ask: 0, close: 0).Should().BeNull();
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// ─── Ausführungen ─────────────────────────────────────────────────────────
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[Theory]
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[InlineData("BOT", TradeSide.Buy)]
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[InlineData("SLD", TradeSide.Sell)]
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[InlineData("sld", TradeSide.Sell)]
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[InlineData("SELL", TradeSide.Sell)]
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public void ParseSide_MapsTwsExecutionSides(string raw, TradeSide expected) =>
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IbkrMapping.ParseSide(raw).Should().Be(expected);
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[Fact]
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public void ParseExecutionTime_HandlesDoubleSpaceFormat()
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{
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// So liefert TWS es bei execDetails.
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IbkrMapping.ParseExecutionTime("20260804 17:39:18")
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.Should().Be(new DateTime(2026, 8, 4, 17, 39, 18));
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}
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[Fact]
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public void ParseExecutionTime_IgnoresTrailingTimeZone()
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{
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IbkrMapping.ParseExecutionTime("20260804 17:52:56 Europe/Berlin")
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.Should().Be(new DateTime(2026, 8, 4, 17, 52, 56));
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}
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[Theory]
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[InlineData("")]
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[InlineData(" ")]
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[InlineData("20260804")]
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[InlineData("Unsinn")]
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public void ParseExecutionTime_ReturnsNullForUnusableInput(string raw) =>
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IbkrMapping.ParseExecutionTime(raw).Should().BeNull();
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[Fact]
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public void FormatExecutionFilterTime_UsesUtcWithExplicitFormat()
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{
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// TWS warnt (2174) bei Zeitangaben ohne Zeitzone und entfernt das Format künftig.
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var since = new DateTime(2026, 8, 4, 12, 0, 0, DateTimeKind.Utc);
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IbkrMapping.FormatExecutionFilterTime(since).Should().Be("20260804-12:00:00");
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}
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// ─── Tick- und Status-Klassifizierung ─────────────────────────────────────
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[Theory]
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[InlineData(4, true)] // LAST
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[InlineData(68, true)] // DELAYED_LAST
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[InlineData(1, false)] // BID
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public void IsLastTick_CoversRealtimeAndDelayed(int field, bool expected) =>
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IbkrMapping.IsLastTick(field).Should().Be(expected);
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[Theory]
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[InlineData(1, true)] // BID
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[InlineData(66, true)] // DELAYED_BID
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[InlineData(2, false)] // ASK
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public void IsBidTick_CoversRealtimeAndDelayed(int field, bool expected) =>
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IbkrMapping.IsBidTick(field).Should().Be(expected);
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[Theory]
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[InlineData("Filled", true)]
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[InlineData("Cancelled", true)]
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[InlineData("ApiCancelled", true)]
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[InlineData("Inactive", true)]
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[InlineData("Submitted", false)]
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[InlineData("PreSubmitted", false)]
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public void IsTerminalStatus_OnlyForFinalStates(string status, bool expected) =>
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IbkrMapping.IsTerminalStatus(status).Should().Be(expected);
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[Theory]
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[InlineData(2104, true)] // Marktdatenzentrum OK
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[InlineData(2106, true)] // HMDS-Datenzentrum OK
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[InlineData(2158, true)] // Sec-def-Datenzentrum OK
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[InlineData(1100, true)] // Verbindung verloren
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[InlineData(200, false)] // Kontrakt nicht gefunden
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[InlineData(201, false)] // Order abgelehnt
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[InlineData(354, false)] // Marktdaten nicht abonniert
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public void IsInformational_SeparatesStatusFromRealErrors(int code, bool expected) =>
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IbkrMapping.IsInformational(code).Should().Be(expected);
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[Fact]
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public void IsInformational_TreatsDelayedDataNoticeAsStatus()
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{
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// 10167 kündigt verzögerte Kurse an – die Ticks folgen danach noch. Als Fehler behandelt
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// scheiterte auf einem Paper-Konto ohne Datenabo jede einzelne Kursabfrage.
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IbkrMapping.IsInformational(IbkrMapping.DelayedDataNotice).Should().BeTrue();
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}
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}
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