public void FillBidAsk()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 8, 100)));
// buy limit
// limit should fill if order price is inside market
o = new BuyLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
Assert.That(!o.FillBidAsk(TickImpl.NewBid(s, 10, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewAsk(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.FillBidAsk(TickImpl.NewBid(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.FillBidAsk(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.FillBidAsk(TickImpl.NewTrade(s, 0, 0)));
}
