public void TestBinanceOrderbookDeserializer()
{
//Arrange:
//sample websocket message from Binance for an orderbook refresh:
string sampleWebsocketMessage = "{\"u\":494630706,\"s\":\"XRPETH\",\"b\":\"0.00034050\",\"B\":\"131.00000000\",\"a\":\"0.00034350\",\"A\":\"1358.00000000\"}";
//expected deserialized orderbook:
var expectedOrderbook = new BinanceOrderbook();
expectedOrderbook.Sequence = 494630706;
expectedOrderbook.Symbol = "XRPETH";
expectedOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialBids.TryAdd(0.00034050m, 131m);
expectedOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialAsks.TryAdd(0.00034350m, 1358m);
//Act: run the sample websocket message through the Huobi OrderbookConverter
IOrderbook testOrderbook = (IOrderbook)JsonSerializer.Deserialize(sampleWebsocketMessage, typeof(BinanceOrderbook));
//Assert: test that the actual outcome matches the expected outcome
Assert.AreEqual(expectedOrderbook.Symbol, testOrderbook.Symbol);
Assert.AreEqual(expectedOrderbook.Sequence, testOrderbook.Sequence);
Assert.IsTrue(expectedOrderbook.OfficialAsks.Count == testOrderbook.OfficialAsks.Count &&
expectedOrderbook.OfficialBids.Count == testOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(expectedOrderbook, testOrderbook));
}
public void TestBinanceOrderbookMerge()
{
//Arrange
//Beginning Orderbooks: one empty, one with 10 values, one with 5 values
var dummyExchange = new BinanceExchange("binance");
dummyExchange.ProfitableSymbolMapping.TryAdd("dummy", DateTime.UtcNow);
var beginningEmptyOrderbook = new BinanceOrderbook();
var beginningFullOrderbook = new BinanceOrderbook();
beginningFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
beginningFullOrderbook.OfficialBids.TryAdd(32115.28m, 0.02m);
beginningFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
beginningFullOrderbook.OfficialAsks.TryAdd(32115.29m, 0.005m);
beginningEmptyOrderbook.Symbol = "XRPETH";
beginningFullOrderbook.Symbol = "XRPETH";
beginningEmptyOrderbook.Sequence = 1;
//beginningHalfFullOrderbook.Sequence = 1;
beginningFullOrderbook.Sequence = 1;
beginningEmptyOrderbook.Exchange = dummyExchange;
//beginningHalfFullOrderbook.Exchange = dummyExchange;
beginningFullOrderbook.Exchange = dummyExchange;
//arrange orderbook updates: one empty, one full, one with 6 values
var updateFullOrderbook = new BinanceOrderbook();
updateFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
updateFullOrderbook.OfficialBids.TryAdd(1m, 0.02m);
updateFullOrderbook.OfficialBids.TryAdd(2m, 0.15m);
updateFullOrderbook.OfficialBids.TryAdd(3m, 0.072382m);
updateFullOrderbook.OfficialBids.TryAdd(4m, 0.066716m);
updateFullOrderbook.OfficialBids.TryAdd(5m, 0.02m);
updateFullOrderbook.OfficialBids.TryAdd(6m, 2.521393m);
updateFullOrderbook.OfficialBids.TryAdd(7m, 0.117404m);
updateFullOrderbook.OfficialBids.TryAdd(8m, 0.139009m);
updateFullOrderbook.OfficialBids.TryAdd(9m, 0.123m);
updateFullOrderbook.OfficialBids.TryAdd(10m, 0.11175m);
updateFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
updateFullOrderbook.OfficialAsks.TryAdd(11m, 0.005m);
updateFullOrderbook.OfficialAsks.TryAdd(12m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(13m, 0.01759m);
updateFullOrderbook.OfficialAsks.TryAdd(14m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(15m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(16m, 0.12m);
updateFullOrderbook.OfficialAsks.TryAdd(17m, 0.08m);
updateFullOrderbook.OfficialAsks.TryAdd(18m, 0.125775m);
updateFullOrderbook.OfficialAsks.TryAdd(19m, 0.03563m);
updateFullOrderbook.OfficialAsks.TryAdd(20m, 0.001m);
var updateHalfFullOrderbook = new BinanceOrderbook();
updateHalfFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
updateHalfFullOrderbook.OfficialBids.TryAdd(1m, 0.02m);
updateHalfFullOrderbook.OfficialBids.TryAdd(2m, 0.15m);
updateHalfFullOrderbook.OfficialBids.TryAdd(3m, 0.072382m);
updateHalfFullOrderbook.OfficialBids.TryAdd(4m, 0.066716m);
updateHalfFullOrderbook.OfficialBids.TryAdd(5m, 0.02m);
updateHalfFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
updateHalfFullOrderbook.OfficialAsks.TryAdd(6m, 0.005m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(7m, 0.03m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(8m, 0.01759m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(9m, 0.03m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(10m, 0.03m);
updateFullOrderbook.Sequence = 2;
updateHalfFullOrderbook.Sequence = 2;
updateFullOrderbook.Exchange = dummyExchange;
updateHalfFullOrderbook.Exchange = dummyExchange;
updateFullOrderbook.Symbol = "BTCUSDT";
updateHalfFullOrderbook.Symbol = "BTCUSDT";
//Act: run the following merge combinations:
// empty beginning orderbook -> full update | full beginning -> half-full update | half-full beginning to full update
beginningEmptyOrderbook.Merge(updateFullOrderbook);
beginningFullOrderbook.Merge(updateHalfFullOrderbook);
//beginningHalfFullOrderbook.Merge(updateFullOrderbook);
//Assert: check that the beginning orderbooks now match the updates
Assert.IsTrue(beginningEmptyOrderbook.OfficialAsks.Count == updateFullOrderbook.OfficialAsks.Count &&
beginningEmptyOrderbook.OfficialBids.Count == updateFullOrderbook.OfficialBids.Count);
Assert.IsTrue(beginningFullOrderbook.OfficialAsks.Count == updateHalfFullOrderbook.OfficialAsks.Count &&
beginningFullOrderbook.OfficialBids.Count == updateHalfFullOrderbook.OfficialBids.Count);
//Assert.IsTrue(beginningHalfFullOrderbook.OfficialAsks.Count == updateFullOrderbook.OfficialAsks.Count &&
// beginningHalfFullOrderbook.OfficialBids.Count == updateFullOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(updateFullOrderbook, beginningEmptyOrderbook));
Assert.IsTrue(CheckLayers(updateHalfFullOrderbook, beginningFullOrderbook));
//Assert.IsTrue(CheckLayers(updateFullOrderbook, beginningHalfFullOrderbook));
}