internal void UpdateOrder_WhenOrderCompleted_CorrectlyUpdatesIndexes()
{
// Arrange
var order = new StubOrderBuilder().EntryOrder("O-123456").BuildMarketOrder();
var traderId = TraderId.FromString("TESTER-000");
var accountId = AccountId.FromString("NAUTILUS-000-SIMULATED");
var positionId = new PositionId("P-123456");
var strategyId = new StrategyId("SCALPER", "001");
this.database.AddOrder(order, traderId, accountId, strategyId, positionId);
order.Apply(StubEventMessageProvider.OrderSubmittedEvent(order));
this.database.UpdateOrder(order);
order.Apply(StubEventMessageProvider.OrderRejectedEvent(order));
// Act
this.database.UpdateOrder(order);
// Assert
Assert.Contains(order.Id, this.database.GetOrderIds());
Assert.Contains(order.Id, this.database.GetOrderIds(traderId));
Assert.Contains(order.Id, this.database.GetOrderIds(traderId, strategyId));
Assert.Contains(order.Id, this.database.GetOrderCompletedIds());
Assert.Contains(order.Id, this.database.GetOrderCompletedIds(traderId));
Assert.Contains(order.Id, this.database.GetOrderCompletedIds(traderId, strategyId));
Assert.DoesNotContain(order.Id, this.database.GetOrderWorkingIds());
Assert.Contains(order.Id, this.database.GetOrders(traderId));
Assert.Contains(order.Id, this.database.GetOrders(traderId, strategyId));
Assert.Contains(order.Id, this.database.GetOrdersCompleted(traderId));
Assert.Contains(order.Id, this.database.GetOrdersCompleted(traderId, strategyId));
}
internal void IsComplete_OrderPartiallyFilled_ReturnsFalse()
{
// Arrange
var order = new StubOrderBuilder()
.WithQuantity(Quantity.Create(100000))
.BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order, order.Price);
var event4 = StubEventMessageProvider.OrderPartiallyFilledEvent(
order,
Quantity.Create(50000),
Quantity.Create(50000),
order.Price);
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
order.Apply(event4);
// Act
var result = order.IsCompleted;
// Assert
Assert.True(order.State == OrderState.PartiallyFilled);
Assert.False(result);
}
internal void GetOrdersCompleted_WhenDoesNotExistInCache_ReturnsEmptyDictionary()
{
// Arrange
var order = new StubOrderBuilder().EntryOrder("O-123456").BuildMarketOrder();
var traderId = TraderId.FromString("TESTER-000");
var accountId = AccountId.FromString("NAUTILUS-000-SIMULATED");
var positionId = new PositionId("P-123456");
var strategyId = new StrategyId("SCALPER", "001");
this.database.AddOrder(order, traderId, accountId, strategyId, positionId);
order.Apply(StubEventMessageProvider.OrderSubmittedEvent(order));
this.database.UpdateOrder(order);
order.Apply(StubEventMessageProvider.OrderRejectedEvent(order));
this.database.UpdateOrder(order);
// Act
this.database.ClearCaches();
// Assert
Assert.Empty(this.database.GetOrders());
Assert.Empty(this.database.GetOrders(traderId));
Assert.Empty(this.database.GetOrders(traderId, strategyId));
Assert.Empty(this.database.GetOrdersWorking());
Assert.Empty(this.database.GetOrdersWorking(traderId));
Assert.Empty(this.database.GetOrdersWorking(traderId, strategyId));
Assert.Empty(this.database.GetOrdersCompleted());
Assert.Empty(this.database.GetOrdersCompleted(traderId));
Assert.Empty(this.database.GetOrdersCompleted(traderId, strategyId));
}
internal void GetSlippage_SellOrderFilledVariousAveragePrices_ReturnsExpectedResult(decimal averagePrice, decimal expectedSlippage)
{
// Arrange
var order = new StubOrderBuilder()
.WithOrderSide(OrderSide.Sell)
.WithPrice(Price.Create(1.20000m, 5))
.BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order, order.Price);
var event4 = StubEventMessageProvider.OrderFilledEvent(order, Price.Create(averagePrice, 5));
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
order.Apply(event4);
// Act
var result = order.Slippage;
// Assert
Assert.Equal(OrderState.Filled, order.State);
Assert.Equal(expectedSlippage, result);
}
internal void Apply_OrderPartiallyFilled_ReturnsCorrectOrderStatus()
{
// Arrange
var order = new StubOrderBuilder().BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order, order.Price);
var event4 = StubEventMessageProvider.OrderPartiallyFilledEvent(
order,
order.Quantity,
Quantity.Create(order.Quantity / 2),
order.Price);
// Act
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
order.Apply(event4);
var result = order.State;
// Assert
Assert.Equal(OrderState.PartiallyFilled, result);
}
internal void Rejected_ParametersValid_ReturnsExpectedResult()
{
// Arrange
var order = new StubOrderBuilder().BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderRejectedEvent(order);
// Act
order.Apply(event1);
order.Apply(event2);
// Assert
Assert.Equal(3, order.EventCount);
Assert.Equal(OrderState.Rejected, order.State);
Assert.Equal(StubZonedDateTime.UnixEpoch(), order.LastEvent.Timestamp);
}
internal void IsComplete_OrderWorking_ReturnsFalse()
{
// Arrange
var order = new StubOrderBuilder().BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order);
// Act
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
var result = order.IsCompleted;
// Assert
Assert.False(result);
}
internal void Apply_OrderFilled_ReturnsCorrectOrderStatus()
{
// Arrange
var order = new StubOrderBuilder().BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order, order.Price);
var event4 = StubEventMessageProvider.OrderFilledEvent(order, order.Price);
// Act
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
order.Apply(event4);
// Assert
Assert.Equal(OrderState.Filled, order.State);
}
internal void Working_ParametersValid_ReturnsExpectedResult()
{
// Arrange
var order = new StubOrderBuilder().BuildStopMarketOrder();
var event1 = StubEventMessageProvider.OrderSubmittedEvent(order);
var event2 = StubEventMessageProvider.OrderAcceptedEvent(order);
var event3 = StubEventMessageProvider.OrderWorkingEvent(order, order.Price);
// Act
order.Apply(event1);
order.Apply(event2);
order.Apply(event3);
// Assert
Assert.Equal("BO-123456", order.IdBroker?.Value);
Assert.Equal(4, order.EventCount);
Assert.Equal(OrderState.Working, order.State);
Assert.Equal(StubZonedDateTime.UnixEpoch(), order.LastEvent.Timestamp);
}
internal void LoadOrdersCache_WhenOrdersInDatabase_CorrectlyCachesOrders()
{
// Arrange
var order1 = new StubOrderBuilder().EntryOrder("O-123456-1").BuildStopMarketOrder();
var order2 = new StubOrderBuilder().EntryOrder("O-123456-2").BuildStopMarketOrder();
var traderId = TraderId.FromString("TESTER-000");
var accountId = AccountId.FromString("NAUTILUS-000-SIMULATED");
var positionId = new PositionId("P-123456");
var strategyId = new StrategyId("SCALPER", "001");
this.database.AddOrder(order1, traderId, accountId, strategyId, positionId);
this.database.AddOrder(order2, traderId, accountId, strategyId, positionId);
order2.Apply(StubEventMessageProvider.OrderSubmittedEvent(order2));
this.database.UpdateOrder(order2);
order2.Apply(StubEventMessageProvider.OrderAcceptedEvent(order2));
this.database.UpdateOrder(order2);
order2.Apply(StubEventMessageProvider.OrderWorkingEvent(order2));
this.database.UpdateOrder(order2);
order2.Apply(StubEventMessageProvider.OrderCancelledEvent(order2));
this.database.UpdateOrder(order2);
this.database.ClearCaches();
// Act
this.database.LoadOrdersCache();
// Assert
Assert.Equal(order1, this.database.GetOrders()[order1.Id]);
Assert.Equal(order2, this.database.GetOrders()[order2.Id]);
Assert.Equal(1, this.database.GetOrders()[order1.Id].EventCount);
Assert.Equal(5, this.database.GetOrders()[order2.Id].EventCount);
Assert.Equal(OrderState.Initialized, this.database.GetOrders()[order1.Id].State);
Assert.Equal(OrderState.Cancelled, this.database.GetOrders()[order2.Id].State);
}
