public void ShouldNotMatchOrdersWithZeroQuantity()
{
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 0, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
sellOrder.Modify(90);
buyOrder.Modify(0);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
}
public void ShouldNotMatchOrdersWithDifferentSymbols()
{
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock.Object);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("QQQ", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
}
public void ShouldNotMatchHigherSellOrderWithLowerBuyOrder()
{
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 10, 100, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
}
public void ShouldExecuteOnLowestQuantity()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List<INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 40, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 100, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(1, generatedExecutions.Count);
Assert.AreEqual(40, generatedExecutions[0].MatchedQuantity);
}
public void OrdersShouldNotHaveModifiedQuantitiesAfterNoMatch()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List<INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 40, 91, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 100, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(40, sellOrder.Quantity);
Assert.AreEqual(100, buyOrder.Quantity);
}
public void OrdersShouldNotHaveModifiedQuantitiesAfterNoMatch()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 40, 91, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 100, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(40, sellOrder.Quantity);
Assert.AreEqual(100, buyOrder.Quantity);
}
public void ShouldExecuteOnLowestQuantity()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 40, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 100, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(1, generatedExecutions.Count);
Assert.AreEqual(40, generatedExecutions[0].MatchedQuantity);
}
public void ShouldGenerateExecutionWithSamePriceAsBuyAndSell()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List <INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(1, generatedExecutions.Count);
Assert.AreEqual(10, generatedExecutions[0].MatchedQuantity);
Assert.AreEqual(90, generatedExecutions[0].MatchedPrice);
Assert.AreEqual(buyOrder, generatedExecutions[0].BuySideOrder);
Assert.AreEqual(sellOrder, generatedExecutions[0].SellSideOrder);
Assert.AreEqual(staticDatetimeOffset, generatedExecutions[0].ExecutionTime);
}
public void ShouldNotMatchOrdersWithZeroQuantity()
{
var generatedExecutions = new List<INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 0, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
sellOrder.Modify(90);
buyOrder.Modify(0);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
}
public void ShouldNotMatchHigherSellOrderWithLowerBuyOrder()
{
var generatedExecutions = new List<INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 10, 100, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(0, generatedExecutions.Count);
}
public void ShouldGenerateExecutionWithSamePriceAsBuyAndSell()
{
var staticDatetimeOffset = DateTimeOffset.UtcNow;
dateServiceMock.Stub(a => a.UtcNow()).Return(staticDatetimeOffset);
var generatedExecutions = new List<INewExecution>();
var algo = new LimitOrderMatchingAlgorithm(dateServiceMock);
algo.AddExecutionsHandler(generatedExecutions.Add);
ILimitOrder sellOrder = new LimitOrder("ABC", 10, 90, WayEnum.Sell, 13);
ILimitOrder buyOrder = new LimitOrder("ABC", 10, 90, WayEnum.Buy, 12);
algo.TryMatch(buyOrder, sellOrder);
Assert.AreEqual(1, generatedExecutions.Count);
Assert.AreEqual(10, generatedExecutions[0].MatchedQuantity);
Assert.AreEqual(90, generatedExecutions[0].MatchedPrice);
Assert.AreEqual(buyOrder, generatedExecutions[0].BuySideOrder);
Assert.AreEqual(sellOrder, generatedExecutions[0].SellSideOrder);
Assert.AreEqual(staticDatetimeOffset, generatedExecutions[0].ExecutionTime);
}