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The effect of tournament-style asset selection on hold-time, for a long-term triangle arbitrage trading algorithm

Introduction

A long-term triangle arbitrage strategy is one that takes advantages of differences between markets over an extended period of time, as opposed to difference that exist between markets in fractions of a second.

Example

Let's say we are tracking three assets, and those assets each have markets between them.

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public class MyTest : IClassFixture<MyTest.Fixture>
{
    // Somehow this thing is in scope, as well as the values that come out of it. Also somehow, the generated values gets into the fixture.
    public static readonly IGen<List<Person>> Users = Gen.Type<Person>();

    private readonly Fixture _fixture;

    public MyTest(Fixture fixture)
    {
        _fixture = fixture;

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class Test
{
    // The generator will give random, disassociated values, and those values will be chucked away if they don't abide by the precise
    // constraints. This filter is particularly inefficient, with a discard rate of about 8 : 1. Can all be done without actually
    // needing to return a Property, which is the benefit of this API.
    [Property]
    public void APropertyThatNeedsValuesToBeCoupledToEachOther_Preconditions(
        int min,
        int max,
        int origin)

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import { OperatorFunction } from 'ix/interfaces';
import { pipe } from 'ix/iterable';
import { map } from 'ix/iterable/operators';

/**
 * Creates a new type which is the first element of a non-empty tuple type.
 *
 * @example type T = Head<[string, number, Object]>; // string
 */
export type Head<Ts extends [any, ...any[]]> = Ts extends [infer T, ...any[]] ? T : never;

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open Hedgehog

module Gen =

    let control (f : unit -> 'a) : Gen<'a> =
        Random (fun _ _ ->
            let next = f ()
            Node (next, LazyList.empty))
        |> Gen.ofRandom
        

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{"lastUpload":"2018-05-29T07:23:47.138Z","extensionVersion":"v2.9.2"}

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public class OkPagedResult : OkObjectResult
{
    public int TotalItems { get; private set; }

    public OkPagedResult(IEnumerable items, int totalItems) : base(items)
    {
        TotalItems = totalItems;
    }
}