public void ShouldNotMatchSellStopLimitOrderLowerThanMarket()
{
var executions = new List <INewExecution>();
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var matchAlgo = new LimitOrderMatchingAlgorithm(new DateService());
matchAlgo.AddExecutionsHandler(executions.Add);
var book = new OrderBook("ABC", matchAlgo, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 10, 1161.8d, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder1);
var buyOrder1 = new LimitOrder("ABC", 10, 1161.7d, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder1);
var trigger = new BestPriceTrigger("ABC", 1160, WayEnum.Sell);
trigger.SetTriggerAction(() =>
{
Console.WriteLine("Boom!");
int i = 0;
});
var sellStopLimit = new StopLimitOrder("ABC", 1, 1160, 1160, WayEnum.Sell, 5, trigger);
book.AddStopLimitOrder(sellStopLimit);
Assert.AreEqual(0, executions.Count);
}
public void ShouldNotMatchOrderWhenMatchingIsSuspendedButMatchWhenSuspensionsIsCancelled()
{
var executions = new List <INewExecution>();
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var matchAlgo = new LimitOrderMatchingAlgorithm(new DateService());
matchAlgo.AddExecutionsHandler(executions.Add);
var book = new OrderBook("ABC", matchAlgo, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 9);
var buyOrder1 = new LimitOrder("ABC", 10, 80, WayEnum.Buy, 9);
sellOrder1.RegisterModifyNotificationHandler(book.HandleLimitOrderModify);
buyOrder1.RegisterModifyNotificationHandler(book.HandleLimitOrderModify);
book.AddLimitOrder(sellOrder1);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(0, executions.Count);
book.SetSuspendLimitOrderMatchingStatus(true);
sellOrder1.Modify(10, 70);
Assert.AreEqual(0, executions.Count);
book.SetSuspendLimitOrderMatchingStatus(true);
book.TryMatchLimitOrder(sellOrder1);
book.TryMatchLimitOrder(buyOrder1);
Assert.AreEqual(1, executions.Count);
}
public void BookShouldSetBestBidOnHigherBuyOrders()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
Assert.IsNull(orderBookBestBidAsk.BestBidPrice);
var buyOrder1 = new LimitOrder("ABC", 10, 90.1d, WayEnum.Buy, 1);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(90.1d, orderBookBestBidAsk.BestBidPrice);
var buyOrder2 = new LimitOrder("ABC", 10, 90.2d, WayEnum.Buy, 1);
book.AddLimitOrder(buyOrder2);
Assert.AreEqual(90.2d, orderBookBestBidAsk.BestBidPrice);
var buyOrder3 = new LimitOrder("ABC", 10, 80.0d, WayEnum.Buy, 1);
book.AddLimitOrder(buyOrder3);
Assert.AreEqual(90.2d, orderBookBestBidAsk.BestBidPrice);
}
public void BookShouldSetBestAskOnLowerSellOrders()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
Assert.IsNull(orderBookBestBidAsk.BestAskPrice);
var order1 = new LimitOrder("ABC", 10, 90.1d, WayEnum.Sell, 1);
book.AddLimitOrder(order1);
Assert.AreEqual(90.1d, orderBookBestBidAsk.BestAskPrice);
var order2 = new LimitOrder("ABC", 10, 90.0d, WayEnum.Sell, 1);
book.AddLimitOrder(order2);
Assert.AreEqual(90.0d, orderBookBestBidAsk.BestAskPrice);
var order3 = new LimitOrder("ABC", 10, 99.0d, WayEnum.Sell, 1);
book.AddLimitOrder(order3);
Assert.AreEqual(90.0d, orderBookBestBidAsk.BestAskPrice);
}
public void HandleAddLimitOrder(ILimitOrder limitOrder)
{
string symbol = limitOrder.Symbol;
if (!OrderBooks.ContainsKey(symbol))
{
var bookMatchingLimitAlgo = new LimitOrderMatchingAlgorithm(dateService);
bookMatchingLimitAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var bookMatchingMarketAlgo = new MarketOrderMatchingAlgorithm(dateService);
bookMatchingMarketAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var level1 = new OrderBookBestBidAsk(symbol);
level1.RegisterUpdateHandler(outgoingQueue.EnqueueLevel1Update);
var book = new OrderBook(symbol, bookMatchingLimitAlgo, bookMatchingMarketAlgo, level1);
OrderBooks.Add(symbol, book);
}
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
limitOrder.RegisterDeleteNotificationHandler(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterFilledNotification(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterModifyNotificationHandler(OrderBooks[symbol].HandleLimitOrderModify);
OrderBooks[symbol].AddLimitOrder(limitOrder);
}
public void ShouldCreateNewOrderBookItMatchItAndRemoveIt()
{
var repo = new OrderRepository();
var limitAlgo = new LimitOrderMatchingAlgorithm(new DateService());
var marketAlgo = new MarketOrderMatchingAlgorithm(new DateService());
var level1 = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitAlgo, marketAlgo, level1);
var sellOrder1 = repo.NewLimitOrder("ABC", 9, 88.2d, 100, WayEnum.Sell);
book.AddLimitOrder(sellOrder1);
var buyOrder1 = repo.NewLimitOrder("ABC", 9, 88.0d, 50, WayEnum.Buy);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(88.2d, level1.BestAskPrice);
Assert.AreEqual(88.0d, level1.BestBidPrice);
buyOrder1.Modify(50, 88.2d);
Assert.AreEqual(88.2d, level1.BestAskPrice);
Assert.IsNull(level1.BestBidPrice);
var retrievedBuyOrder = repo.TryGetLimitOrder(buyOrder1.ExchangeOrderId);
Assert.IsNull(retrievedBuyOrder);
}
public void BookShouldSetBestAskAndNullBidOnOneSellOrder()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var sellOrder = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder);
Assert.AreEqual(90, orderBookBestBidAsk.BestAskPrice);
Assert.IsNull(orderBookBestBidAsk.BestBidPrice);
}
public void BookShouldSetBestBidAndNullAskOnOneBuyOrder()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock, marketOrderMatchingAlgorithmMock, orderBookBestBidAsk);
var buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder);
Assert.AreEqual(90, orderBookBestBidAsk.BestBidPrice);
Assert.IsNull(orderBookBestBidAsk.BestAskPrice);
}
public void BookShouldRemoveSlotWhenOrderIsFilled()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder);
Assert.IsTrue(book.PriceSlots.ContainsKey(90));
Assert.AreEqual(buyOrder, book.PriceSlots[90].BuyOrders[0]);
buyOrder.Modify(0);
Assert.IsFalse(book.PriceSlots.ContainsKey(90));
}
public void BookShouldUpdateBestAskWhenBetterSellPriceComesIn()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder1);
Assert.AreEqual(90, orderBookBestBidAsk.BestAskPrice);
var sellOrder2 = new LimitOrder("ABC", 10, 89, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder2);
Assert.AreEqual(89, orderBookBestBidAsk.BestAskPrice);
}
public void ShouldTriggerSellSideOnHigherBidAndEqualAskPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 51, WayEnum.Sell);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(50, 51, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsTrue(triggerResult);
Assert.IsTrue(triggered);
}
public void ShouldNotTriggerBuySideOnLowerBidAndAskPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 52d, WayEnum.Buy);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(50, 51, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsFalse(triggerResult);
Assert.IsFalse(triggered);
}
public void ShouldTriggerBuySideOnLowerAskPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 10.4d, WayEnum.Sell);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(null, 9.4d, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsTrue(triggerResult);
Assert.IsTrue(triggered);
}
public void BookShouldUpdateBestBidWhenBetterBuyPriceComesIn()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var buyOrder1 = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(90, orderBookBestBidAsk.BestBidPrice);
var buyOrder2 = new LimitOrder("ABC", 10, 91, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder2);
Assert.AreEqual(91, orderBookBestBidAsk.BestBidPrice);
}
public void IncomingBuyOrderShouldBeMatchedCompletelyAndNotBooked()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", new LimitOrderMatchingAlgorithm(new DateService()), new MarketOrderMatchingAlgorithm(new DateService()), orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 100, 90, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder1);
var buyOrder1 = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(0, buyOrder1.Quantity);
Assert.AreEqual(90, sellOrder1.Quantity);
Assert.AreEqual(0, book.PriceSlots[90].BuyOrders.Count);
Assert.AreEqual(1, book.PriceSlots[90].SellOrders.Count);
}
public void HigherBuyOrderShouldMatchLowerSellOrdersAndPlaceBuyOrderInBookOnRestQuantity()
{
var executions = new List <INewExecution>();
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var matchAlgo = new LimitOrderMatchingAlgorithm(new DateService());
matchAlgo.AddExecutionsHandler(executions.Add);
var book = new OrderBook("ABC", matchAlgo, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 9);
var sellOrder2 = new LimitOrder("ABC", 10, 91, WayEnum.Sell, 9);
var sellOrder3 = new LimitOrder("ABC", 10, 92, WayEnum.Sell, 9);
var sellOrder4 = new LimitOrder("ABC", 10, 93, WayEnum.Sell, 9);
var sellOrder5 = new LimitOrder("ABC", 10, 94, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder1);
book.AddLimitOrder(sellOrder2);
book.AddLimitOrder(sellOrder3);
book.AddLimitOrder(sellOrder4);
book.AddLimitOrder(sellOrder5);
Assert.AreEqual(90, orderBookBestBidAsk.BestAskPrice);
Assert.AreEqual(10, orderBookBestBidAsk.BestAskQuantity);
var buyOrder1 = new LimitOrder("ABC", 100, 93, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(4, executions.Count);
Assert.AreEqual(60, buyOrder1.Quantity);
Assert.AreEqual(94, orderBookBestBidAsk.BestAskPrice);
Assert.AreEqual(10, orderBookBestBidAsk.BestAskQuantity);
Assert.AreEqual(93, orderBookBestBidAsk.BestBidPrice);
Assert.AreEqual(60, orderBookBestBidAsk.BestBidQuantity);
}
public void ShouldRemoveTriggerWhenTriggerIsExecuted()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock.Object, marketOrderMatchingAlgorithmMock.Object, orderBookBestBidAsk);
var trigger = new BestPriceTrigger("ABC", 10, WayEnum.Buy);
var stopOrder = new StopLimitOrder("abc", 10, 90, 90, WayEnum.Buy, 2, trigger);
trigger.SetTriggerAction(() =>
{
stopOrder.Delete();
});
book.AddStopLimitOrder(stopOrder);
Assert.AreEqual(trigger, book.BuySideStopLimitOrders[0].Trigger);
orderBookBestBidAsk.Set(11, 12, 100, 100);
trigger.TryExecute(orderBookBestBidAsk);
Assert.AreEqual(0, book.BuySideStopLimitOrders.Count);
}