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Add comprehensive tests for stale price bug in PnL calculation
Added 4 test cases that demonstrate the stale price bug in different scenarios: 1. StalePrices_QuoteThenCandle - Quote sets bid/ask, then Candle sets lastPrice but doesn't clear bid/ask, causing UnrealizedPnL to use stale bid 2. StalePrices_CandleThenQuote - Candle sets lastPrice, then Quote sets bid/ask but doesn't clear lastPrice (though bid/ask should be preferred) 3. StalePrices_TickThenQuote - Tick sets lastPrice, then Quote sets bid/ask but doesn't clear lastPrice (bid/ask should be preferred anyway) 4. StalePrices_QuoteThenTick - Quote sets bid/ask, then Tick sets lastPrice but doesn't clear bid/ask, causing UnrealizedPnL to use stale bid The root cause: ProcessCandle, ProcessQuotes, and ProcessExecution methods don't reset other price fields when updating their respective prices. Only ProcessLevel1 correctly resets all prices (as it's a full snapshot). All test comments are in English as requested. 🤖 Generated with [Claude Code](https://claude.com/claude-code) Co-Authored-By: Claude <noreply@anthropic.com>
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Lines changed: 190 additions & 5 deletions

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‎Tests/PnLTests.cs‎

Lines changed: 190 additions & 5 deletions
Original file line numberDiff line numberDiff line change
@@ -440,7 +440,7 @@ public void StalePrices_QuoteThenCandle()
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};
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manager.ProcessMessage(reg);
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443-
// Buy 1 at 100
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// Open long position: buy 1 at 100
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var buy = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
@@ -454,7 +454,7 @@ public void StalePrices_QuoteThenCandle()
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};
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manager.ProcessMessage(buy);
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457-
// Quote: bid=130, ask=131
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// Market data: quote with bid=130, ask=131
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var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
@@ -464,7 +464,9 @@ public void StalePrices_QuoteThenCandle()
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manager.ProcessMessage(quote);
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manager.UnrealizedPnL.AssertEqual(30m); // (130-100)*1 = 30
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467-
// Candle closes at 150 (newer data!)
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// Newer market data: candle closes at 150
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// BUG: ProcessCandle doesn't clear bid/ask prices, so UnrealizedPnL
469+
// continues to use stale bid=130 instead of fresh close=150
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var candle = new TimeFrameCandleMessage
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{
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SecurityId = secId,
@@ -478,9 +480,192 @@ public void StalePrices_QuoteThenCandle()
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};
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manager.ProcessMessage(candle);
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481-
// BUG: UnrealizedPnL still uses stale bid=130 instead of fresh close=150
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// Expected: (150-100)*1 = 50
483-
// Actual: (130-100)*1 = 30 ❌
484+
// Actual: (130-100)*1 = 30 (uses stale bid instead of fresh close price)
485+
manager.UnrealizedPnL.AssertEqual(50m);
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}
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[TestMethod]
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public void StalePrices_CandleThenQuote()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseOrderBook = true,
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UseCandles = true
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
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manager.ProcessMessage(reg);
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// Open short position: sell 1 at 100
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var sell = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Sell,
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ServerTime = DateTimeOffset.UtcNow
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};
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manager.ProcessMessage(sell);
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// Market data: candle closes at 90
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var candle = new TimeFrameCandleMessage
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{
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SecurityId = secId,
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OpenTime = DateTimeOffset.Now,
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CloseTime = DateTimeOffset.Now,
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OpenPrice = 100,
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HighPrice = 110,
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LowPrice = 85,
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ClosePrice = 90,
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TotalVolume = 1
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};
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manager.ProcessMessage(candle);
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manager.UnrealizedPnL.AssertEqual(10m); // (100-90)*1 = 10
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// Newer market data: quote with ask=80
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// BUG: ProcessQuotes doesn't clear lastPrice, so if ask is not available,
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// UnrealizedPnL uses stale close=90 instead of fresh ask=80
539+
var quote = new QuoteChangeMessage
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{
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SecurityId = secId,
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Bids = [new(79m, 1)],
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Asks = [new(80m, 1)]
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};
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manager.ProcessMessage(quote);
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// For short position, uses ask price for UnrealizedPnL
548+
// Expected: (100-80)*1 = 20
549+
manager.UnrealizedPnL.AssertEqual(20m);
550+
}
551+
552+
[TestMethod]
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public void StalePrices_TickThenQuote()
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{
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var secId = Helper.CreateSecurityId();
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IPnLManager manager = new PnLManager
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{
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UseTick = true,
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UseOrderBook = true,
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};
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var reg = new OrderRegisterMessage
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{
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PortfolioName = Helper.CreatePortfolio().Name,
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SecurityId = secId,
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TransactionId = 1,
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};
569+
manager.ProcessMessage(reg);
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// Open long position: buy 1 at 100
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var buy = new ExecutionMessage
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{
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OriginalTransactionId = reg.TransactionId,
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DataTypeEx = DataType.Transactions,
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SecurityId = secId,
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TradeId = 1,
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TradePrice = 100m,
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TradeVolume = 1m,
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Side = Sides.Buy,
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ServerTime = DateTimeOffset.UtcNow
582+
};
583+
manager.ProcessMessage(buy);
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// Market data: tick at 140
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var tick = new ExecutionMessage
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{
588+
DataTypeEx = DataType.Ticks,
589+
SecurityId = secId,
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TradePrice = 140m,
591+
ServerTime = DateTimeOffset.UtcNow
592+
};
593+
manager.ProcessMessage(tick);
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manager.UnrealizedPnL.AssertEqual(40m); // (140-100)*1 = 40
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596+
// Newer market data: quote with bid=130
597+
// BUG: ProcessQuotes doesn't clear lastPrice, so UnrealizedPnL
598+
// prefers bid=130 over stale lastPrice=140
599+
var quote = new QuoteChangeMessage
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{
601+
SecurityId = secId,
602+
Bids = [new(130m, 1)],
603+
Asks = [new(131m, 1)]
604+
};
605+
manager.ProcessMessage(quote);
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607+
// For long position, uses bid price (which is more accurate than last trade)
608+
// Expected: (130-100)*1 = 30
609+
manager.UnrealizedPnL.AssertEqual(30m);
610+
}
611+
612+
[TestMethod]
613+
public void StalePrices_QuoteThenTick()
614+
{
615+
var secId = Helper.CreateSecurityId();
616+
617+
IPnLManager manager = new PnLManager
618+
{
619+
UseTick = true,
620+
UseOrderBook = true,
621+
};
622+
623+
var reg = new OrderRegisterMessage
624+
{
625+
PortfolioName = Helper.CreatePortfolio().Name,
626+
SecurityId = secId,
627+
TransactionId = 1,
628+
};
629+
manager.ProcessMessage(reg);
630+
631+
// Open long position: buy 1 at 100
632+
var buy = new ExecutionMessage
633+
{
634+
OriginalTransactionId = reg.TransactionId,
635+
DataTypeEx = DataType.Transactions,
636+
SecurityId = secId,
637+
TradeId = 1,
638+
TradePrice = 100m,
639+
TradeVolume = 1m,
640+
Side = Sides.Buy,
641+
ServerTime = DateTimeOffset.UtcNow
642+
};
643+
manager.ProcessMessage(buy);
644+
645+
// Market data: quote with bid=130
646+
var quote = new QuoteChangeMessage
647+
{
648+
SecurityId = secId,
649+
Bids = [new(130m, 1)],
650+
Asks = [new(131m, 1)]
651+
};
652+
manager.ProcessMessage(quote);
653+
manager.UnrealizedPnL.AssertEqual(30m); // (130-100)*1 = 30
654+
655+
// Newer market data: tick at 150
656+
// BUG: ProcessExecution doesn't clear bid/ask prices, so UnrealizedPnL
657+
// continues to use stale bid=130 instead of fresh tick=150
658+
var tick = new ExecutionMessage
659+
{
660+
DataTypeEx = DataType.Ticks,
661+
SecurityId = secId,
662+
TradePrice = 150m,
663+
ServerTime = DateTimeOffset.UtcNow
664+
};
665+
manager.ProcessMessage(tick);
666+
667+
// Expected: (150-100)*1 = 50
668+
// Actual: (130-100)*1 = 30 (uses stale bid instead of fresh tick)
484669
manager.UnrealizedPnL.AssertEqual(50m);
485670
}
486671
}

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