public void OnNext(byte[] data, long sequence, bool endOfBatch)
{
object getObject = StreamConversion.ByteArrayToObject(data);
if (getObject is Order)
{
_receviedOrder = getObject as Order;
}
if (getObject is Trade)
{
_receivedTrade = getObject as Trade;
}
if (getObject is LimitOrderBook)
{
_receivedLimitOrderBook = getObject as LimitOrderBook;
}
if (getObject is Depth)
{
_receivedDepth = getObject as Depth;
}
if (getObject is BBO)
{
_receivedBbo = getObject as BBO;
}
}
public void PublishBboToDisruptor_IfBboIsConvertedToByteArray_ItShouldBeReceivedAndCastedToBbo()
{
DepthLevel askDepthLevel = new DepthLevel(new Price(491.32M));
bool addOrder1 = askDepthLevel.AddOrder(new Volume(2000));
bool addOrder2 = askDepthLevel.AddOrder(new Volume(1000));
DepthLevel bidDepthLevel = new DepthLevel(new Price(491.32M));
addOrder1 = bidDepthLevel.AddOrder(new Volume(2000));
addOrder2 = bidDepthLevel.AddOrder(new Volume(1000));
bool addOrder3 = bidDepthLevel.AddOrder(new Volume(3000));
BBO bbo = new BBO("BTCUSD", bidDepthLevel, askDepthLevel);
//byte[] array = ObjectToByteArray(bbo);
OutputDisruptor.Publish(bbo);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receivedBbo);
Assert.AreEqual(_receivedBbo.BestAsk.OrderCount, 2);
Assert.AreEqual(_receivedBbo.BestBid.OrderCount, 3);
}
void InstrumentsManager_OnBBO(BBO bbo)
{
QuoteProccessed();
}
/// <summary>
/// Event listener for listening BBO
/// </summary>
/// <param name="bbo"></param>
private void OnBBOArrived(BBO bbo)
{
OnBBOArrived(bbo.CurrencyPair, bbo.BestBid, bbo.BestAsk);
}
public void PublishAllTypesToOutputDisruptor_IfAllTypesAreConvertedToByteArray_ItShouldReceivedAndProperlyCasted()
{
Order order = OrderFactory.CreateOrder("1234", "XBTUSD", "market", "buy", 5, 0,
new StubbedOrderIdGenerator());
//byte[] array = ObjectToByteArray(order);
OutputDisruptor.Publish(order);
Order buyOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "buy", 5, 10,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 5, 11,
new StubbedOrderIdGenerator());
Trade trade = new Trade(new TradeId("123"), "XBTUSD", new Price(100), new Volume(10), DateTime.Now, buyOrder, sellOrder);
//byte[] array1 = ObjectToByteArray(trade);
OutputDisruptor.Publish(trade);
LimitOrderBook limitOrderBook = new LimitOrderBook("XBTUSD");
limitOrderBook.PlaceOrder(buyOrder);
limitOrderBook.PlaceOrder(sellOrder);
//byte[] array2 = ObjectToByteArray(limitOrderBook);
OutputDisruptor.Publish(limitOrderBook);
Depth depth = new Depth("XBTUSD", 3);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(492), new Volume(200), OrderSide.Buy);
//byte[] array3 = ObjectToByteArray(depth);
OutputDisruptor.Publish(depth);
DepthLevel askDepthLevel = new DepthLevel(new Price(491.32M));
bool addOrder1 = askDepthLevel.AddOrder(new Volume(2000));
bool addOrder2 = askDepthLevel.AddOrder(new Volume(1000));
DepthLevel bidDepthLevel = new DepthLevel(new Price(491.32M));
addOrder1 = bidDepthLevel.AddOrder(new Volume(2000));
addOrder2 = bidDepthLevel.AddOrder(new Volume(1000));
bool addOrder3 = bidDepthLevel.AddOrder(new Volume(3000));
BBO bbo = new BBO("XBTUSD", bidDepthLevel, askDepthLevel);
//byte[] array4 = ObjectToByteArray(bbo);
OutputDisruptor.Publish(bbo);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receviedOrder);
Assert.AreEqual(_receviedOrder, order);
Assert.NotNull(_receivedTrade);
Assert.AreEqual(_receivedTrade.BuyOrder, buyOrder);
Assert.AreEqual(_receivedTrade.SellOrder, sellOrder);
Assert.NotNull(_receivedLimitOrderBook);
Assert.AreEqual(_receivedLimitOrderBook.AskCount, 1);
Assert.AreEqual(_receivedLimitOrderBook.BidCount, 1);
Assert.NotNull(_receivedDepth);
Assert.AreEqual(_receivedDepth.BidLevels[0].Price.Value, 492);
Assert.AreEqual(_receivedDepth.BidLevels[1].Price.Value, 491);
Assert.AreEqual(_receivedDepth.BidLevels[2].Price.Value, 490);
Assert.NotNull(_receivedBbo);
Assert.AreEqual(_receivedBbo.BestAsk.OrderCount, 2);
Assert.AreEqual(_receivedBbo.BestBid.OrderCount, 3);
}
