Ejemplo n.º 1
0
        public void TestOneAonBidOneAonAsk()
        {
            var order_book = new SimpleOrderBook();
            var bid1       = new SimpleOrder(buySide, prc1, qty1);  // AON
            var ask1       = new SimpleOrder(sellSide, prc1, qty1); // AON

            // Prime the order book: No Matches
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(0, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 1, qty1));

            // Add matching order
            {
                var fc1 = new FillChecker(bid1, qty1, qty1 * prc1);
                var fc3 = new FillChecker(ask1, qty1, qty1 * prc1);
                Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete, AON));
                fc1.AssertFillSuccess();
                fc3.AssertFillSuccess();
            }

            // Verify sizes
            Assert.AreEqual(0, order_book.Bids.Count());
            Assert.AreEqual(0, order_book.Asks.Count());
        }
        public void TestFokAskPartialMatch()
        {
            var order_book = new SimpleOrderBook();
            var ask2       = new SimpleOrder(false, 1252, 100);
            var ask1       = new SimpleOrder(false, 1251, 100);
            var ask0       = new SimpleOrder(false, 1250, 300);
            var bid0       = new SimpleOrder(true, 1250, 100);
            var bid1       = new SimpleOrder(true, 1249, 100);
            var bid2       = new SimpleOrder(true, 1248, 100);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, ask1, false));
            Assert.IsTrue(AddAndVerify(order_book, ask2, false));
            Assert.IsTrue(AddAndVerify(order_book, bid0, false));
            Assert.IsTrue(AddAndVerify(order_book, bid1, false));
            Assert.IsTrue(AddAndVerify(order_book, bid2, false));

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(2, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(1250, 1, 100));
            Assert.IsTrue(dc.VerifyBid(1249, 1, 100));
            Assert.IsTrue(dc.VerifyBid(1248, 1, 100));
            Assert.IsTrue(dc.VerifyAsk(1251, 1, 100));
            Assert.IsTrue(dc.VerifyAsk(1252, 1, 100));

            // Partial Match - will not fill and will cancel order
            {
                var fc0 = new FillChecker(bid0, 0, 0);
                var fc1 = new FillChecker(bid1, 0, 0);
                var fc2 = new FillChecker(bid2, 0, 0);
                var fc3 = new FillChecker(ask0, 0, 0, FOK);
                var fc4 = new FillChecker(ask1, 0, 0);
                var fc5 = new FillChecker(ask2, 0, 0);
                Assert.IsTrue(AddAndVerify(order_book, ask0, false, false, FOK));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                fc4.AssertFillSuccess();
                fc5.AssertFillSuccess();
            }

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(2, order_book.Asks.Count());

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(1250, 1, 100));
            Assert.IsTrue(dc.VerifyBid(1249, 1, 100));
            Assert.IsTrue(dc.VerifyBid(1248, 1, 100));
            Assert.IsTrue(dc.VerifyAsk(1251, 1, 100));
            Assert.IsTrue(dc.VerifyAsk(1252, 1, 100));
        }
Ejemplo n.º 3
0
        public void TestIocBidFullMatch()
        {
            var order_book = new SimpleOrderBook();
            var ask2       = new SimpleOrder(false, 1252, 100);
            var ask1       = new SimpleOrder(false, 1251, 100);
            var ask0       = new SimpleOrder(false, 1250, 400);
            var bid0       = new SimpleOrder(true, 1250, 300);
            var bid1       = new SimpleOrder(true, 1249, 100);
            var bid2       = new SimpleOrder(true, 1248, 100);

            // No match
            Assert.True(AddAndVerify(order_book, ask0, false));
            Assert.True(AddAndVerify(order_book, ask1, false));
            Assert.True(AddAndVerify(order_book, ask2, false));
            Assert.True(AddAndVerify(order_book, bid1, false));
            Assert.True(AddAndVerify(order_book, bid2, false));

            // Verify sizes
            Assert.Equal(2, order_book.Bids.Count());
            Assert.Equal(3, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.True(dc.VerifyBid(1249, 1, 100));
            Assert.True(dc.VerifyBid(1248, 1, 100));
            Assert.True(dc.VerifyAsk(1250, 1, 400));
            Assert.True(dc.VerifyAsk(1251, 1, 100));
            Assert.True(dc.VerifyAsk(1252, 1, 100));

            // Full Match - will complete order
            {
                var fc0 = new FillChecker(bid0, 300, 1250 * 300, IOC);
                var fc1 = new FillChecker(bid1, 0, 0);
                var fc2 = new FillChecker(bid2, 0, 0);
                var fc3 = new FillChecker(ask0, 300, 1250 * 300);
                var fc4 = new FillChecker(ask1, 0, 0);
                var fc5 = new FillChecker(ask2, 0, 0);
                Assert.True(AddAndVerify(order_book, bid0, true, true, IOC));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                fc4.AssertFillSuccess();
                fc5.AssertFillSuccess();
            }

            // Verify sizes
            Assert.Equal(2, order_book.Bids.Count());
            Assert.Equal(3, order_book.Asks.Count());

            // Verify depth
            dc.Reset();
            Assert.True(dc.VerifyBid(1249, 1, 100));
            Assert.True(dc.VerifyBid(1248, 1, 100));
            Assert.True(dc.VerifyAsk(1250, 1, 100));
            Assert.True(dc.VerifyAsk(1251, 1, 100));
            Assert.True(dc.VerifyAsk(1252, 1, 100));
        }
Ejemplo n.º 4
0
        public void TestRegAskMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask0       = new SimpleOrder(sellSide, prc2, qty1);
            var ask1       = new SimpleOrder(sellSide, prc0, qty4);
            var bid1       = new SimpleOrder(buySide, prc1, qty1); // AON
            var bid2       = new SimpleOrder(buySide, prc1, qty1); // AON
            var bid0       = new SimpleOrder(buySide, prc0, qty7);

            // Calculate some expected results
            // ask1(400) matches bid 1(100), bid2(100), and part(200) of bid0
            // leaving 500 shares of bid 0)
            Quantity bid0FillQty    = qty4 - qty1 - qty1;
            Quantity bid0RemainQty  = qty7 - bid0FillQty;
            decimal  bid0FillAmount = bid0FillQty * prc0;
            decimal  bid1FillAmount = prc1 * qty1;
            decimal  bid2FillAmount = prc1 * qty1;
            decimal  ask1FillAmount = bid1FillAmount + bid2FillAmount + bid0FillAmount;

            // No match
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch, expectNoComplete, AON));

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Match - complete
            {
                var fc0 = new FillChecker(bid1, qty1, prc1 * qty1);
                var fc1 = new FillChecker(bid2, qty1, prc1 * qty1);
                var fc2 = new FillChecker(bid0, qty2, prc0 * qty2);
                var fc3 = new FillChecker(ask1, qty4, ask1FillAmount);
                Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc0, 1, bid0RemainQty));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());
        }
Ejemplo n.º 5
0
        public void TestAonAskNoMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask0       = new SimpleOrder(sellSide, prc2, qty1); // no match (price)
            var ask1       = new SimpleOrder(sellSide, prc0, qty6); // AON

            var bid0 = new SimpleOrder(buySide, prc0, qty4);        // AON no match
            var bid1 = new SimpleOrder(buySide, prc1, qty1);        // AON
            var bid2 = new SimpleOrder(buySide, prc1, qty4);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON)); //AON)); //noConditions
            Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 2, qty1 + qty4));
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty4));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // This test was bogus -- testing a bug in the matching algorithm
            // I fixed the bug and the test started to fail.
            // So fixed the test to expect:
            // Ask1 (600 AON) should match bid0 (400 AON) + bid1(100) + bid 2(100 of 400)
            //
            // Now we need a new test of an AON that should NOT match!

            // No match
            {
                //  ASSERT_NO_THROW(
                var fc0 = new FillChecker(bid0, qty4, prc0 * qty4);
                var fc1 = new FillChecker(bid1, qty1, qty1 * prc1);
                var fc2 = new FillChecker(bid2, qty1, prc1 * qty1);
                var fc3 = new FillChecker(ask1, qty6, prc0 * qty4 + qty1 * prc1 + prc1 * qty1);
                Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete, AON));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                //);
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc1, 1, qty4 - qty1));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());
        }
Ejemplo n.º 6
0
        public void TestAonBidMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask3       = new SimpleOrder(sellSide, prc2, qty1);
            var ask2       = new SimpleOrder(sellSide, prc2, qty1);
            var ask1       = new SimpleOrder(sellSide, prc1, qty4);              // AON no match
            var ask0       = new SimpleOrder(sellSide, prc1, qty4);
            var bid1       = new SimpleOrder(buySide, MARKET_ORDER_PRICE, qty6); // AON
            var bid0       = new SimpleOrder(buySide, prc0, qty1);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, ask2, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask3, expectNoMatch));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(4, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
            Assert.IsTrue(dc.VerifyAsk(prc1, 2, qty4 + qty4));
            Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty1 + qty1));

            // Match - complete
            {
                //ASSERT_NO_THROW(
                var fc1 = new FillChecker(bid1, qty6, prc1 * qty2 + prc1 * qty4);
                var fc2 = new FillChecker(ask0, qty2, prc1 * qty2);
                var fc3 = new FillChecker(ask1, qty4, prc1 * qty4);
                var fc4 = new FillChecker(ask2, 0, prc2 * (Quantity)0);
                var fc5 = new FillChecker(ask3, 0, prc2 * (Quantity)0);
                Assert.IsTrue(AddAndVerify(order_book, bid1, expectMatch, expectComplete, AON));
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                fc4.AssertFillSuccess();
                fc5.AssertFillSuccess();
                //);
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty2));
            Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty1 + qty1));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(3, order_book.Asks.Count());
        }
Ejemplo n.º 7
0
        public void TestAonAskNoMatch()
        {
            var order_book = new SimpleOrderBook();
            var ask0       = new SimpleOrder(sellSide, prc2, qty1);
            var ask1       = new SimpleOrder(sellSide, prc1, qty4); // AON
            var bid1       = new SimpleOrder(buySide, prc1, qty1);
            var bid2       = new SimpleOrder(buySide, prc1, qty1);
            var bid0       = new SimpleOrder(buySide, prc0, qty7);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Match - complete
            {
                var fc0 = new FillChecker(bid1, qtyNone, prcNone);
                var fc1 = new FillChecker(bid2, qtyNone, prcNone);
                var fc2 = new FillChecker(bid0, qtyNone, prcNone);
                var fc3 = new FillChecker(ask1, qtyNone, prcNone);
                Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty4));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Verify sizes
            Assert.AreEqual(3, order_book.Bids.Count());
            Assert.AreEqual(2, order_book.Asks.Count());
        }
Ejemplo n.º 8
0
        public void TestTwoAonBidTwoAonAsk()
        {
#if true
            //int todo_FixTestAonsTwoBidTwoAsk;
            //std::cout << "***** WARNING TEST " << "TestAonsTwoBidTwoAsk" << " is disabled" << std::endl;
            Console.WriteLine("***** WARNING TEST TestAonsTwoBidTwoAsk is disabled");
#else
// The current match algorithm tries to match one order from one side of the market to "N" orders
// from the other side.   This test won't pass because it requires two orders from each side.
// I'm leaving the test here as a challenge to future developers who want to improve the matching
// algorithm (good luck)

            var order_book = new SimpleOrderBook();

            SimpleOrder ask1(sellSide, prc1, qty3); // AON
            SimpleOrder ask2(sellSide, prc1, qty2); // AON

            SimpleOrder bid1(buySide, prc1, qty1);  // AON
            SimpleOrder bid2(buySide, prc1, qty4);  // AON

            // Prime the order book: No Matches
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));

            // Verify sizes
            Assert.AreEqual(2u, order_book.Bids.Count());
            Assert.AreEqual(1u, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);
            Assert.IsTrue(dc.VerifyBid(prc1, 2, qty1 + qty4));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty3));

            // Add matching order
            {
                SimpleFillCheck fc1(bid1, qty1, qty3 *prc1);
                SimpleFillCheck fc2(bid2, qty4, qty3 *prc1);
                SimpleFillCheck fc3(ask1, qty3, qty1 *prc1);
                SimpleFillCheck fc4(ask2, qty2, qty2 *prc1);

                Assert.IsTrue(AddAndVerify(order_book, ask2, expectMatch, expectComplete, AON));
            }

            // Verify sizes
            Assert.AreEqual(0, order_book.Bids.Count());
            Assert.AreEqual(0, order_book.Asks.Count());
#endif
        }
Ejemplo n.º 9
0
        public void TestAonBidNoMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask2       = new SimpleOrder(sellSide, prc2, qty4); // AON no match
            var ask1       = new SimpleOrder(sellSide, prc2, qty1);
            var ask0       = new SimpleOrder(sellSide, prc1, qty4);
            var bid1       = new SimpleOrder(buySide, MARKET_ORDER_PRICE, qty6); // AON
            var bid0       = new SimpleOrder(buySide, prc0, qty1);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, ask2, expectNoMatch, expectNoComplete, AON));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(3, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty4));
            Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty4 + qty1));

            // Match - complete
            {
                //ASSERT_NO_THROW(
                var fc0 = new FillChecker(bid0, qtyNone, prcNone);
                var fc1 = new FillChecker(bid1, qty6, qty2 * prc1 + qty4 * prc2); // filled 600 @ 751000
                var fc2 = new FillChecker(ask0, qty2, qty2 * prc1);               // filled 200 @ 250200
                var fc3 = new FillChecker(ask1, qtyNone, prcNone);                // 0
                var fc4 = new FillChecker(ask2, qty4, qty4 * prc2);               // filled 400 @ 500800
                Assert.IsTrue(AddAndVerify(order_book, bid1, expectMatch, expectComplete, AON));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                fc4.AssertFillSuccess();
                //);
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty2));
        }
Ejemplo n.º 10
0
        public void TestReplaceAonBidPriceMatch()
        {
            var order_book = new SimpleOrderBook();
            var ask2       = new SimpleOrder(sellSide, prc3, qty1);
            var ask1       = new SimpleOrder(sellSide, prc2, qty1);
            var ask0       = new SimpleOrder(sellSide, prc1, qty1);
            var bid1       = new SimpleOrder(buySide, prc1, qty2); // AON
            var bid0       = new SimpleOrder(buySide, prc0, qty1);

            // No match
            Assert.True(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.True(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
            Assert.True(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.True(AddAndVerify(order_book, ask1, expectNoMatch));
            Assert.True(AddAndVerify(order_book, ask2, expectNoMatch));

            // Verify sizes
            Assert.Equal(2, order_book.Bids.Count());
            Assert.Equal(3, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.True(dc.VerifyBid(prc1, 1, qty2));
            Assert.True(dc.VerifyBid(prc0, 1, qty1));
            Assert.True(dc.VerifyAsk(prc1, 1, qty1));
            Assert.True(dc.VerifyAsk(prc2, 1, qty1));
            Assert.True(dc.VerifyAsk(prc3, 1, qty1));

            // Match - complete
            {
                var fc1 = new FillChecker(ask0, qty1, prc1 * qty1);
                var fc2 = new FillChecker(ask1, qty1, prc2 * qty1);
                Assert.True(ReplaceAndVerify(
                                order_book, bid1, qtyNone, prc2, OrderState.Complete, qty2));
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
            }

            // Verify depth
            dc.Reset();
            Assert.True(dc.VerifyBid(prc0, 1, qty1));
            Assert.True(dc.VerifyAsk(prc3, 1, qty1));

            // Verify sizes
            Assert.Equal(1, order_book.Bids.Count());
            Assert.Equal(1, order_book.Asks.Count());
        }
Ejemplo n.º 11
0
        public void TestRegBidMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask2       = new SimpleOrder(sellSide, prc1, qty7);
            var ask1       = new SimpleOrder(sellSide, prc1, qty1); // AON
            var ask0       = new SimpleOrder(sellSide, prc1, qty1); // AON
            var bid1       = new SimpleOrder(buySide, prc1, qty4);
            var bid0       = new SimpleOrder(buySide, prc0, qty1);

            // No match
            Assert.True(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.True(AddAndVerify(order_book, ask0, expectNoMatch, expectNoComplete, AON));
            Assert.True(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
            Assert.True(AddAndVerify(order_book, ask2, expectNoMatch, expectNoComplete));

            // Verify sizes
            Assert.Equal(1, order_book.Bids.Count());
            Assert.Equal(3, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.True(dc.VerifyBid(prc0, 1, qty1));
            Assert.True(dc.VerifyAsk(prc1, 3, qty7 + qty1 + qty1));

            // Match - complete
            {
                var fc0 = new FillChecker(bid1, qty4, prc1 * qty4);
                var fc1 = new FillChecker(ask0, qty1, prc1 * qty1);
                var fc2 = new FillChecker(ask1, qty1, prc1 * qty1);
                var fc3 = new FillChecker(ask2, qty2, prc1 * qty2);
                Assert.True(AddAndVerify(order_book, bid1, expectMatch, expectComplete));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
            }

            // Verify depth
            dc.Reset();
            Assert.True(dc.VerifyBid(prc0, 1, qty1));
            Assert.True(dc.VerifyAsk(prc1, 1, qty4 + qty1));

            // Verify sizes
            Assert.Equal(1, order_book.Bids.Count());
            Assert.Equal(1, order_book.Asks.Count());
        }
Ejemplo n.º 12
0
        public void TestOneAonBidTwoAsk()
        {
            var order_book = new SimpleOrderBook();

            var bid1 = new SimpleOrder(buySide, prc1, qty3);  // AON
            var ask1 = new SimpleOrder(sellSide, prc1, qty1); // No Conditions
            var ask2 = new SimpleOrder(sellSide, prc1, qty2); // No Conditions

            // Prime the order book: No Matches
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete,
                                       AON)); //AON)); //noConditions

            // Add an order that does NOT meet the AON condition
            Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, NoConditions));
            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 1, qty3));
            Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty1));

            // Add matching order
            {
                var fc1 = new FillChecker(bid1, qty3, qty3 * prc1);
                var fc2 = new FillChecker(ask1, qty1, qty1 * prc1);
                var fc3 = new FillChecker(ask2, qty2, qty2 * prc1);
                Assert.IsTrue(AddAndVerify(order_book, ask2, expectMatch, expectComplete, NoConditions));
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
            }

            // Verify sizes
            Assert.AreEqual(0, order_book.Bids.Count());
            Assert.AreEqual(0, order_book.Asks.Count());
        }
Ejemplo n.º 13
0
        public void TestAonAskMatchMulti()
        {
            var order_book = new SimpleOrderBook();
            var ask0       = new SimpleOrder(sellSide, prc2, qty1); // no match due to price
            var ask1       = new SimpleOrder(sellSide, prc0, qty6); // AON
            var bid1       = new SimpleOrder(buySide, prc1, qty1);  // AON
            var bid2       = new SimpleOrder(buySide, prc1, qty1);
            var bid3       = new SimpleOrder(buySide, prc1, qty1);
            var bid0       = new SimpleOrder(buySide, prc0, qty7);

            // No match
            Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
            Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));
            Assert.IsTrue(AddAndVerify(order_book, bid3, expectNoMatch));

            // Verify sizes
            Assert.AreEqual(4, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());

            // Verify depth
            var dc = new DepthCheck(order_book.Depth);

            Assert.IsTrue(dc.VerifyBid(prc1, 3, qty3));
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Match - complete
            {
                // ASSERT_NO_THROW(

                decimal  b1Cost = prc1 * qty1;
                var      fc0    = new FillChecker(bid1, qty1, b1Cost);
                decimal  b2Cost = prc1 * qty1;
                var      fc1    = new FillChecker(bid2, qty1, b2Cost);
                decimal  b3Cost = prc1 * qty1;
                var      fc2    = new FillChecker(bid3, qty1, b3Cost);
                Quantity b0Fill = qty6 - qty1 - qty1 - qty1;
                decimal  b0Cost = b0Fill * prc0;
                var      fc3    = new FillChecker(bid0, b0Fill, b0Cost);
                decimal  a1Cost = b0Cost + b1Cost + b2Cost + b3Cost;
                var      fc4    = new FillChecker(ask1, qty6, a1Cost);
                Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete, AON));
                fc0.AssertFillSuccess();
                fc1.AssertFillSuccess();
                fc2.AssertFillSuccess();
                fc3.AssertFillSuccess();
                fc4.AssertFillSuccess();
                // );
            }

            // Verify depth
            dc.Reset();
            Assert.IsTrue(dc.VerifyBid(prc0, 1, qty4));
            Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));

            // Verify sizes
            Assert.AreEqual(1, order_book.Bids.Count());
            Assert.AreEqual(1, order_book.Asks.Count());
        }