public void StreamingSnapshot_DifferentPairs_ShouldHandleCorrectly()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 3,
ServerTimestamp = now
};
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source);
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source);
orderBook1.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
orderBook2.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
source.StreamSnapshot();
Assert.Equal(500, orderBook1.BidLevels.Length);
Assert.Equal(500, orderBook1.AskLevels.Length);
Assert.Equal(200, orderBook2.BidLevels.Length);
Assert.Equal(200, orderBook2.AskLevels.Length);
Assert.Equal(499, orderBook1.BidLevels.First().Price);
Assert.Equal(1499, orderBook1.BidLevels.First().Amount);
Assert.Equal(199, orderBook2.BidLevels.First().Price);
Assert.Equal(599, orderBook2.BidLevels.First().Amount);
Assert.Equal(501, orderBook1.AskLevels.First().Price);
Assert.Equal(2501, orderBook1.AskLevels.First().Amount);
Assert.Equal(201, orderBook2.AskLevels.First().Price);
Assert.Equal(1001, orderBook2.AskLevels.First().Amount);
var levels = orderBook1.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair1), level.Pair);
}
}
public async Task ValidityChecking_Disabling_ShouldWork()
{
var pair = "BTC/USD";
var data = new []
{
CreateLevel(pair, 480, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 520, 50, CryptoOrderSide.Ask),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBookUpdatedCount = 0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
ValidityCheckTimeout = TimeSpan.FromMilliseconds(200),
ValidityCheckEnabled = false
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
orderBookUpdatedCount++;
});
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 500, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 499, 400, CryptoOrderSide.Ask)
));
await Task.Delay(TimeSpan.FromMilliseconds(500));
Assert.Null(source.SnapshotLastPair);
Assert.Equal(0, source.SnapshotCalledCount);
Assert.Equal(2, orderBookUpdatedCount);
}
public void StreamLargeAmount_20kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBookL2(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 20000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.Equal(601, orderBook.BidLevels.Length);
Assert.Equal(596, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(500, orderBook.AskPrice);
Assert.Equal(20049, orderBook.BidAmount);
Assert.Equal(22999, orderBook.AskAmount);
Assert.True(elapsedMs < 2400, msg);
}
public void StreamingSnapshot_ShouldHandleCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.StreamSnapshot();
Assert.Equal(500, orderBook.BidLevels.Length);
Assert.Equal(500, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(1499, orderBook.BidLevels.First().Amount);
Assert.Equal(501, orderBook.AskPrice);
Assert.Equal(2501, orderBook.AskLevels.First().Amount);
var levels = orderBook.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair), level.Pair);
}
}
public async Task StreamLargeAmount_100kIterations_WithBufferAndSlowdown_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBookL2(pair, source);
var endTime = DateTime.MinValue;
orderBook.OrderBookUpdatedStream.Subscribe(x => endTime = DateTime.UtcNow);
source.BufferEnabled = true;
source.BufferInterval = TimeSpan.FromMilliseconds(1);
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var startTime = DateTime.UtcNow;
var elapsedInsertingMs = StreamLevels(pair, source, 100000, 500, 500, true);
var msgInserting = $"Elapsed time for inserting was: {elapsedInsertingMs} ms";
_output.WriteLine(msgInserting);
await Task.Delay(1000);
var elapsedEnd = endTime.Subtract(startTime).TotalMilliseconds;
var msg = $"Elapsed time for processing was: {elapsedEnd} ms";
_output.WriteLine(msg);
Assert.True(elapsedEnd < 5000, msgInserting);
Assert.True(elapsedInsertingMs < 1000, msgInserting);
}
public void FindLevel_ShouldReturnCorrectValue()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source);
source.StreamSnapshot();
Assert.Equal(1000, orderBook.FindBidLevelByPrice(0)?.Amount);
Assert.Equal(1000, orderBook.FindBidLevelById("0-bid")?.Amount);
Assert.Equal(3000, orderBook.FindAskLevelByPrice(1000)?.Amount);
Assert.Equal(3000, orderBook.FindAskLevelById("1000-ask")?.Amount);
}
public void StreamLargeAmount_100kIterations_ShouldBeFast()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.BufferEnabled = false;
source.LoadSnapshotEnabled = false;
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
source.StreamSnapshot();
var elapsedMs = StreamLevels(pair, source, 100000, 500, 500);
var msg = $"Elapsed time was: {elapsedMs} ms";
_output.WriteLine(msg);
Assert.True(elapsedMs < 7000, msg);
}
public async Task StreamingData_ShouldNotifyCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var notificationCount = 0;
var notificationBidAskCount = 0;
var notificationTopLevelCount = 0;
var amountDifferenceBid = 0.0;
var amountDifferenceAsk = 0.0;
var changes = new List <IOrderBookChangeInfo>();
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
DebugEnabled = true
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
notificationCount++;
changes.Add(x);
foreach (var bulk in x.Sources)
{
amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference);
amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference);
}
});
orderBook.BidAskUpdatedStream.Subscribe(_ => notificationBidAskCount++);
orderBook.TopLevelUpdatedStream.Subscribe(_ => notificationTopLevelCount++);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 100, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 200, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 500.2, 22, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(50);
Assert.Equal(9, notificationCount);
Assert.Equal(3, notificationBidAskCount);
Assert.Equal(6, notificationTopLevelCount);
var firstChange = changes.First();
var secondChange = changes[1];
Assert.Equal(0, firstChange.Levels.First().Price);
Assert.Equal(501, firstChange.Levels.Last().Price);
Assert.Equal(499.4, secondChange.Levels.First().Price);
Assert.Equal(500.2, secondChange.Levels.Last().Price);
Assert.Equal(623466, amountDifferenceBid);
Assert.Equal(1368070, amountDifferenceAsk);
}
public async Task StreamingDiff_TwoPairs_ShouldHandleCorrectly()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/USD";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source)
{
DebugEnabled = true
};
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source)
{
DebugEnabled = true
};
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair2, 199.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair2, 198.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair2, 50.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair1, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair1, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair1, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair1, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair1, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair2, 200.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 203.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair2, 250.123, 1234, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair1, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair1, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair1, 0, CryptoOrderSide.Bid),
CreateLevel(pair1, 1, CryptoOrderSide.Bid),
CreateLevel(pair2, 0, CryptoOrderSide.Bid),
CreateLevel(pair2, 1, CryptoOrderSide.Bid)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 399, CryptoOrderSide.Ask),
CreateLevel(pair1, 1000, CryptoOrderSide.Ask),
CreateLevel(pair1, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook1.BidLevels);
Assert.NotEmpty(orderBook1.AskLevels);
Assert.Equal(501, orderBook1.BidLevels.Length);
Assert.Equal(501, orderBook1.AskLevels.Length);
Assert.Equal(201, orderBook2.BidLevels.Length);
Assert.Equal(201, orderBook2.AskLevels.Length);
Assert.Equal(499.4, orderBook1.BidPrice);
Assert.Equal(500.2, orderBook1.AskPrice);
Assert.Equal(199.4, orderBook2.BidPrice);
Assert.Equal(200.2, orderBook2.AskPrice);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook1.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook1.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook1.FindBidLevelByPrice(0));
Assert.Null(orderBook1.FindBidLevelByPrice(1));
Assert.Null(orderBook1.FindAskLevelByPrice(1000));
Assert.Null(orderBook1.FindAskLevelByPrice(999));
Assert.Null(orderBook1.FindBidLevelByPrice(101.1));
Assert.Null(orderBook1.FindAskLevelByPrice(901.1));
Assert.Null(orderBook2.FindBidLevelByPrice(101.1));
Assert.Null(orderBook2.FindAskLevelByPrice(901.1));
}
public async Task StreamingDiff_ShouldHandleCorrectly()
{
var pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook.BidLevels);
Assert.NotEmpty(orderBook.AskLevels);
Assert.Equal(501, orderBook.BidLevels.Length);
Assert.Equal(501, orderBook.AskLevels.Length);
Assert.Equal(499.4, orderBook.BidPrice);
Assert.Equal(500.2, orderBook.AskPrice);
Assert.Equal(33, orderBook.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook.FindBidLevelByPrice(0));
Assert.Null(orderBook.FindBidLevelByPrice(1));
Assert.Null(orderBook.FindAskLevelByPrice(1000));
Assert.Null(orderBook.FindAskLevelByPrice(999));
Assert.Null(orderBook.FindBidLevelByPrice(101.1));
Assert.Null(orderBook.FindAskLevelByPrice(901.1));
}
public void UpdateDeleteComplex_ShouldConstructCorrectOrderBook()
{
var pair1 = "BTC/USD";
var data = GetOrderBookSnapshotMockDataL3(pair1, 200);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair1, source);
orderBook.IgnoreDiffsBeforeSnapshot = true;
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(0, orderBook.AskPrice);
Assert.Equal(0, orderBook.AskAmount);
source.StreamSnapshot();
Assert.Equal(19, orderBook.BidPrice);
Assert.Equal(590, orderBook.BidAmount);
Assert.Equal(20, orderBook.AskPrice);
Assert.Equal(1009, orderBook.AskAmount);
var asks = orderBook.FindAskLevelsByPrice(20);
var levelsToDelete = asks
.Select(x => CreateLevel(x.Pair, null, x.Side, x.Id))
.ToArray();
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, levelsToDelete)
);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 20, 0.123, CryptoOrderSide.Bid, null, "BID1"))
);
Assert.Equal(20, orderBook.BidPrice);
Assert.Equal(0.123, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
var bids = orderBook.BidLevelsPerPrice;
foreach (var bidLevel in bids[19])
{
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, bidLevel.Price, bidLevel.Amount, bidLevel.Side, null, bidLevel.Id))
);
}
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Bid, "BID1"))
);
Assert.Equal(18, orderBook.BidPrice);
Assert.Equal(580, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
}
