public void Should_decrease_available_quantity_for_the_market_when_an_order_is_sent()
{
var marketGateway = new ApiMarketGateway(marketName: "euronext", sellQuantity: 50, sellPrice: 100M);
var order = marketGateway.CreateMarketOrder(ApiMarketWay.Buy, quantity: 10);
marketGateway.Send(order);
Check.That(marketGateway.SellQuantity).IsEqualTo(40);
}
public void Should_Notify_LimitOrder_execution()
{
var marketGateway = new ApiMarketGateway(marketName: "euronext", sellQuantity: 50, sellPrice: 100M);
var executed = false;
var order = marketGateway.CreateLimitOrder(ApiMarketWay.Buy, price: 100M, quantity: 10, allowPartial: false);
marketGateway.OrderExecuted += (s, a) => executed = true;
marketGateway.Send(order);
Check.That(executed).IsTrue();
Check.That(marketGateway.SellQuantity).IsEqualTo(40);
}
public void Should_stop_sending_Orders_to_a_Market_after_3_rejects()
{
var rejectingMarket = new ApiMarketGateway("LSE (London)", sellQuantity: 100, sellPrice: 100M, orderPredicate: order => false);
var investorInstructionAdapter = CompositionRootHelper.ComposeTheHexagon(rejectingMarket);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 50, price: 100M, goodTill: DateTime.Now.AddMinutes(5));
investorInstructionAdapter.Route(investorInstructionDto, (args) => { }, (args) => { });
Check.That(rejectingMarket.TimesSent).IsEqualTo(3);
Check.That(rejectingMarket.SellQuantity).IsEqualTo(100);
}
public void Should_Solve_with_2_markets_when_asked_quantity_is_1()
{
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 50, sellPrice: 100M);
var rejectingMarket = new ApiMarketGateway("CME (Chicago)", sellQuantity: 50, sellPrice: 100M, orderPredicate: _ => false);
var marketsInvolved = new[] { marketA, rejectingMarket };
var marketGatewayAdapter = new MarketsAdapter(marketsInvolved);
var investorInstruction = new InvestorInstruction(new InvestorInstructionIdentifierDto().Value, Way.Buy, quantity: 1, price: 100M, goodTill: DateTime.Now.AddMinutes(5));
var instructionExecutionContext = new InstructionExecutionContext(investorInstruction, args => { }, failure => { });
var marketSweepSolver = new MarketSweepSolver(new MarketSnapshotProvider(marketGatewayAdapter.GetAvailableMarketNames(), marketGatewayAdapter));
var orderBasket = marketSweepSolver.Solve(instructionExecutionContext, marketGatewayAdapter);
Check.That(orderBasket.OrdersDescriptions.Extracting("Quantity")).ContainsExactly(1);
}
public void Should_failed_to_execute_order_when_quantity_is_excessive()
{
var marketGateway = new ApiMarketGateway(marketName: "euronext", sellQuantity: 50, sellPrice: 100M);
var order = marketGateway.CreateMarketOrder(ApiMarketWay.Buy, quantity: 100);
bool failed = false;
string failureReason = null;
marketGateway.OrderFailed += (s, failedEventArgs) =>
{
failed = true;
failureReason = failedEventArgs.FailureCause;
};
marketGateway.Send(order);
Check.That(failed).IsTrue();
Check.That(failureReason).IsEqualTo("Excessive quantity!");
}
public void Should_support_partial_execution_for_LimitOrder()
{
var marketGateway = new ApiMarketGateway(marketName: "euronext", sellQuantity: 50, sellPrice: 100M);
var executed = false;
var order = marketGateway.CreateLimitOrder(ApiMarketWay.Buy, price: 100M, quantity: 110, allowPartial: true);
var execQuantity = 0;
marketGateway.OrderExecuted += (s, a) =>
{
executed = true;
execQuantity = a.Quantity;
};
marketGateway.Send(order);
Check.That(execQuantity).IsEqualTo(50);
Check.That(executed).IsTrue();
Check.That(marketGateway.SellQuantity).IsEqualTo(0);
}
public void Should_execute_Instruction_when_there_is_enough_liquidity_on_the_Markets()
{
// Given market A: 100 @ $100, market B: 55 @ $100
// When Investor wants to buy 125 stocks @ $100 Then SOR can execute at the requested MarketPrice
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 100, sellPrice: 100M);
var marketB = new ApiMarketGateway("CME (Chicago)", sellQuantity: 55, sellPrice: 100M);
var investorInstructionAdapter = CompositionRootHelper.ComposeTheHexagon(marketA, marketB);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 125, price: 100M);
InstructionExecutedDto instructionExecuted = null;
investorInstructionAdapter.Route(investorInstructionDto, (args) => { instructionExecuted = args; }, null);
Check.That(instructionExecuted).HasFieldsWithSameValues(new { Way = Way.Buy, Quantity = 125, Price = 100M });
Check.That(marketA.SellQuantity).IsEqualTo(19);
Check.That(marketB.SellQuantity).IsEqualTo(11);
}
static void Main(string[] args)
{
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 150, sellPrice: 100M);
var marketB = new ApiMarketGateway("CME (Chicago)", sellQuantity: 55, sellPrice: 101M);
var investorAdapter = CompositionRootHelper.ComposeTheHexagon(marketA, marketB);
System.Console.WriteLine("SOR connected to markets: {0} and {1}", marketA.MarketName, marketB.MarketName);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 125, price: 100M);
System.Console.WriteLine();
System.Console.WriteLine("Type 'Enter' to submit the following investor instruction: [{0}]\n\n", investorInstructionDto);
System.Console.ReadLine();
investorAdapter.Route(investorInstructionDto, arg => { System.Console.WriteLine("Instruction executed: [{0}]", arg); }, eventArgs => {});
System.Console.WriteLine();
System.Console.WriteLine("Type 'Enter' to exit");
System.Console.ReadLine();
}
public void Should_not_execute_LimitOrder_when_price_is_too_high()
{
var marketGateway = new ApiMarketGateway(marketName: "euronext", sellQuantity: 50, sellPrice: 100M);
var executed = false;
bool failed = false;
string failureReason = null;
var order = marketGateway.CreateLimitOrder(ApiMarketWay.Buy, price: 101M, quantity: 10, allowPartial: false);
marketGateway.OrderExecuted += (s, a) => executed = true;
marketGateway.OrderFailed += (s, failedEventArgs) =>
{
failed = true;
failureReason = failedEventArgs.FailureCause;
};
marketGateway.Send(order);
Check.That(executed).IsFalse();
Check.That(failed).IsTrue();
Check.That(failureReason).IsEqualTo("Invalid price");
Check.That(marketGateway.SellQuantity).IsEqualTo(50);
}
public void Should_execute_Orders_on_weighted_average_of_available_quantities()
{
// 25 premier ; 75 % sur le second marché
// Given market A: 100 @ $100, market B: 50 @ $100
// When Investor wants to buy 75 stocks @ $100 Then SOR can execute at the requested MarketPrice
// And execution is: 50 stocks on MarketA and 25 stocks on MarketB
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 100, sellPrice: 100M);
var marketB = new ApiMarketGateway("CME (Chicago)", sellQuantity: 50, sellPrice: 100M);
var investorInstructionAdapter = CompositionRootHelper.ComposeTheHexagon(marketA, marketB);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 75, price: 100M);
InstructionExecutedDto instructionExecuted = null;
investorInstructionAdapter.Route(investorInstructionDto, (args) => { instructionExecuted = args; }, null);
Check.That(instructionExecuted).HasFieldsWithSameValues(new { Way = Way.Buy, Quantity = 75, Price = 100M });
Check.That(marketA.SellQuantity).IsEqualTo(50);
Check.That(marketB.SellQuantity).IsEqualTo(25);
}
public void Should_succeeded_when_liquidity_is_available_even_if_one_Market_rejects()
{
// Given market A: 150 @ $100, market B: 55 @ $101
// When Investor wants to buy 125 stocks @ $100 Then SOR can execute at the requested MarketPrice
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 50, sellPrice: 100M);
var rejectingMarket = new ApiMarketGateway("LSE (London)", sellQuantity: 50, sellPrice: 100M, orderPredicate: _ => false);
var investorInstructionAdapter = CompositionRootHelper.ComposeTheHexagon(marketA, rejectingMarket);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 50, price: 100M, goodTill: DateTime.Now.AddMinutes(5));
// Subscribes to the instruction's events
InstructionExecutedDto instructionExecuted = null;
InstructionFailedDto instructionFailed = null;
investorInstructionAdapter.Route(investorInstructionDto, (args) => { instructionExecuted = args; }, (args) => { instructionFailed = args; });
Check.That(instructionExecuted).IsNotNull();
Check.That(instructionFailed).IsNull();
Check.That(marketA.SellQuantity).IsEqualTo(0);
Check.That(rejectingMarket.SellQuantity).IsEqualTo(50);
}
public void Should_failed_when_Order_exceeds_all_Market_capacity_and_partial_execution_not_allowed()
{
// Given market A: 150 @ $100, market B: 55 @ $101
// When Investor wants to buy 125 stocks @ $100 Then SOR can execute at the requested MarketPrice
var marketA = new ApiMarketGateway("NYSE (New York)", sellQuantity: 15, sellPrice: 100M);
var marketB = new ApiMarketGateway("CME (Chicago)", sellQuantity: 55, sellPrice: 101M);
var investorInstructionAdapter = CompositionRootHelper.ComposeTheHexagon(marketA, marketB);
var investorInstructionDto = new InvestorInstructionDto(Way.Buy, quantity: 125, price: 100M, allowPartialExecution: false);
// Subscribes to the instruction's events
InstructionExecutedDto instructionExecuted = null;
InstructionFailedDto instructionFailed = null;
investorInstructionAdapter.Route(investorInstructionDto, (args) => { instructionExecuted = args; }, (args) => { instructionFailed = args; });
// Couldn't execute because order with excessive QuantityOnTheMarket
Check.That(instructionFailed.Reason).IsNotNull().And.IsEqualIgnoringCase("Excessive quantity!");
Check.That(instructionExecuted).IsNull();
Check.That(marketA.SellQuantity).IsEqualTo(15);
Check.That(marketB.SellQuantity).IsEqualTo(55);
}
public LimitOrderAdapter(ApiMarketGateway marketGateway, ApiLimitOrder apiLimitOrder)
: base(marketGateway, apiLimitOrder)
{
this.apiLimitOrder = apiLimitOrder;
}
protected OrderAdapter(ApiMarketGateway marketGateway, ApiOrder apiOrder)
{
this.apiOrder = apiOrder;
this.MarketGateway = marketGateway;
}