public void FromOrderBook_1_Test()
{
const string source = "FakeExchange";
var timestamp = DateTime.UtcNow;
var inverted = _btcusd.Invert();
var btcUsdOrderBook = new OrderBook(source, _btcusd,
new List <LimitOrder> // bids
{
new LimitOrder(1 / 8825m, 9), new LimitOrder(1 / 8823m, 5)
},
new List <LimitOrder> // asks
{
new LimitOrder(1 / 9000m, 10), new LimitOrder(1 / 8999.95m, 7), new LimitOrder(1 / 8900.12345677m, 3)
},
timestamp);
var synthOrderBook = SynthOrderBook.FromOrderBook(btcUsdOrderBook, inverted);
Assert.Equal(source, synthOrderBook.Source);
Assert.Equal(inverted, synthOrderBook.AssetPair);
Assert.Equal("BTCUSD", synthOrderBook.ConversionPath);
Assert.Equal(3, synthOrderBook.Bids.Count());
Assert.Equal(2, synthOrderBook.Asks.Count());
Assert.Equal(9000m, synthOrderBook.BestBid.Price, 8);
Assert.Equal(8825m, synthOrderBook.Asks.Max(x => x.Price), 8);
Assert.Equal(8900.12345677m, synthOrderBook.Bids.Min(x => x.Price), 8);
Assert.Equal(8823m, synthOrderBook.BestAsk.Price, 8);
Assert.Equal(0.00111111m, synthOrderBook.BestBid.Volume, 8);
Assert.Equal(0.00101983m, synthOrderBook.Asks.Max(x => x.Volume), 8);
Assert.Equal(0.00033707m, synthOrderBook.Bids.Min(x => x.Volume), 8);
Assert.Equal(0.00056670m, synthOrderBook.BestAsk.Volume, 8);
Assert.Equal(timestamp, synthOrderBook.Timestamp);
Assert.Equal(1, synthOrderBook.OriginalOrderBooks.Count);
}
public void FromOrderBook_0_Test()
{
const string source = "FakeExchange";
var timestamp = DateTime.UtcNow;
var btcEurOrderBook = new OrderBook(source, _btceur,
new List <LimitOrder> // bids
{
new LimitOrder(8825, 9), new LimitOrder(8823, 5)
},
new List <LimitOrder> // asks
{
new LimitOrder(9000, 10), new LimitOrder(8999.95m, 7), new LimitOrder(8900.12345677m, 3)
},
timestamp);
var synthOrderBook = SynthOrderBook.FromOrderBook(btcEurOrderBook, _btceur);
Assert.Equal(source, synthOrderBook.Source);
Assert.Equal(_btceur, synthOrderBook.AssetPair);
Assert.Equal("BTCEUR", synthOrderBook.ConversionPath);
Assert.Equal(2, synthOrderBook.Bids.Count());
Assert.Equal(3, synthOrderBook.Asks.Count());
Assert.Equal(8825m, synthOrderBook.BestBid.Price);
Assert.Equal(9000m, synthOrderBook.Asks.Max(x => x.Price));
Assert.Equal(8823m, synthOrderBook.Bids.Min(x => x.Price));
Assert.Equal(8900.12345677m, synthOrderBook.BestAsk.Price);
Assert.Equal(9, synthOrderBook.BestBid.Volume);
Assert.Equal(10, synthOrderBook.Asks.Max(x => x.Volume));
Assert.Equal(5, synthOrderBook.Bids.Min(x => x.Volume));
Assert.Equal(3, synthOrderBook.BestAsk.Volume);
Assert.Equal(timestamp, synthOrderBook.Timestamp);
Assert.Equal(1, synthOrderBook.OriginalOrderBooks.Count);
}