public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
OrderImpl o = new OrderImpl();
int error = broker.SendOrderStatus(o);
Assert.AreNotEqual((int)MessageTypes.OK,error);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
broker.SendOrderStatus(o);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(TickImpl.NewTrade(s,10,200)) == 1);
Assert.That(fills == 1);
// test that a limit order is not filled outside the market
o = new BuyLimit(s, 100, 9);
broker.SendOrderStatus(o);
Assert.AreEqual(0, broker.Execute(TickImpl.NewTrade(s, 10, 100)));
Assert.That(fills == 1); // redudant but for counting
// test that limit order is filled inside the market
Assert.AreEqual(1, broker.Execute(TickImpl.NewTrade(s, 8, 100)));
Assert.That(fills == 2);
OrderImpl x = new OrderImpl();
// test that a market order is filled when opposite book exists
o = new SellLimit(s, 100, 11);
x = new BuyMarket(s, 100);
const string t2 = "trader2";
x.Account = t2;
broker.SendOrderStatus(o);
broker.SendOrderStatus(x);
Assert.AreEqual(3, fills);
// test that a market order is not filled when no book exists
// on opposite side
// clear existing orders
broker.CancelOrders();
o = new SellMarket(s, 100);
o.Account = t2;
broker.SendOrderStatus(o);
Assert.AreEqual(3, fills);
}
public void SplitWithPartialFillRoundMinsize100()
{
lasto = new OrderImpl();
oc = 0;
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
ost.MinLotSize = 100;
ost.Split = true;
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 58));
// over sell
Order o = new SellMarket("TST", 100);
o.id = 1;
ost.sendorder(o);
// verify that flat and adjustment were sent
Assert.AreEqual(1, oc);
Assert.AreEqual(-100, lasto.size);
}
public void Fill()
{
const string s = "TST";
// market should fill on trade but not on quote
OrderImpl o = new BuyMarket(s, 100);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
Assert.That(!o.Fill(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.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new BuyLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// sell limit
// limit should fill if order price is inside market
o = new SellLimit(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new SellLimit(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// buy stop
o = new BuyStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100)));
// shouldn't fill outside market
o = new BuyStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100)));
// sell stop
o = new SellStop(s, 100, 10m);
Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100)));
// shouldn't fill outside market
o = new SellStop(s, 100, 10m);
Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100)));
// always fail filling an invalid tick
o = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(TickImpl.NewTrade(s, 0, 0)));
// always fail filling invalid order
o = new BuyLimit(s, 100, 10);
OrderImpl x = new OrderImpl();
Assert.IsFalse(o.Fill(x));
// always fail filling an order that doesn't cross market
x = new BuyMarket(s, 100);
Assert.IsFalse(o.Fill(x));
const string t2 = "trader2";
// suceed on crossing market
x = new SellMarket(s,100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// fail when accounts are the same
x = new SellMarket(s, 100);
x.Account = o.Account;
Assert.IsFalse(o.Fill(x));
// fail on match outside of market
x = new SellLimit(s, 100, 11);
x.Account = t2;
Assert.IsFalse(o.Fill(x));
// succeed on limit cross
o = new BuyLimit(s, 100, 10);
x = new SellLimit(s, 100, 10);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
// make sure we can stop cross
o = new SellStop(s, 100, 10);
x = new BuyMarket(s, 100);
x.Account = t2;
Assert.IsTrue(o.Fill(x));
}
public void SplitCancelCopy()
{
lasto = new OrderImpl();
oc = 0;
cancels.Clear();
ost = new OversellTracker();
ost.SendOrderEvent += new OrderDelegate(ost_SendOrderEvent);
ost.SendDebugEvent += new DebugDelegate(rt.d);
ost.SendCancelEvent += new LongDelegate(ost_SendCancelEvent);
ost.Split = true;
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 300));
// over sell
Order o = new SellMarket("TST", 500);
o.id = 5;
ost.sendorder(o);
// verify that only flat was sent
Assert.AreEqual(2, oc);
Assert.AreEqual(-200, lasto.size);
// make sure we've not canceled
Assert.AreEqual(0, cancels.Count);
// cancel original order
ost.sendcancel(5);
// ensure two cancels sent
Assert.AreEqual(2, cancels.Count);
// ensure different cancels
Assert.AreEqual(5, cancels[0]);
Assert.AreNotEqual(5, cancels[1]);
// do it again
// take a position
ost.GotPosition(new PositionImpl("TST", 100, 300));
// over sell
o = new SellMarket("TST", 500);
o.id = 10;
ost.sendorder(o);
// verify that only flat was sent
Assert.AreEqual(4, oc);
Assert.AreEqual(-200, lasto.size);
// make sure we've not canceled
Assert.AreEqual(2, cancels.Count);
// cancel original order
ost.sendcancel(10);
// ensure two cancels sent
Assert.AreEqual(4, cancels.Count);
// ensure different cancels
Assert.AreEqual(10, cancels[2]);
Assert.AreNotEqual(10, cancels[3]);
}
