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 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);
}