public void UpdateDelete_ShouldConstructCorrectOrderBook()
{
var pair1 = "BTC/USD";
var source = new OrderBookSourceMock();
source.BufferEnabled = false;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source);
orderBook.IgnoreDiffsBeforeSnapshot = false;
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.123, orderBook.AskAmount);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.444, CryptoOrderSide.Ask, null, "ASK2"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.555, CryptoOrderSide.Ask, null, "ASK3"))
);
var asks = orderBook.FindAskLevelsByPrice(100.111);
Assert.Equal(3, asks.Length);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.123, orderBook.AskAmount);
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Ask, "ASK1"))
);
asks = orderBook.FindAskLevelsByPrice(100.111);
Assert.Equal(2, asks.Length);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.444, orderBook.AskAmount);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.888, CryptoOrderSide.Ask, null, "ASK2"))
);
asks = orderBook.FindAskLevelsByPrice(100.111);
Assert.Equal(2, asks.Length);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.555, orderBook.AskAmount);
}
public void FindLevel_ShouldReturnCorrectValue()
{
var pair1 = "BTC/USD";
var pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockDataL3(pair1, 500);
var data2 = GetOrderBookSnapshotMockDataL3(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source);
source.StreamSnapshot();
var bids = orderBook.FindBidLevelsByPrice(0);
var asks = orderBook.FindAskLevelsByPrice(99);
Assert.Equal(1000, orderBook.FindBidLevelByPrice(0)?.Amount);
Assert.Equal(10, bids.Length);
Assert.Equal(3000, orderBook.FindAskLevelByPrice(100)?.Amount);
Assert.Equal(10, asks.Length);
}
public void UpdatePrice_ShouldConstructCorrectOrderBook()
{
var pair1 = "BTC/USD";
var source = new OrderBookSourceMock();
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair1, source);
orderBook.IgnoreDiffsBeforeSnapshot = false;
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.444, CryptoOrderSide.Ask, null, "ASK2"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 101, 0.555, CryptoOrderSide.Ask, null, "ASK3"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 101, 0.666, CryptoOrderSide.Ask, null, "ASK4"))
);
var asks = orderBook.FindAskLevelsByPrice(100.111);
Assert.Equal(2, asks.Length);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.123, orderBook.AskAmount);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100, 0.555, CryptoOrderSide.Ask, null, "ASK3"))
);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 101, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.111222, CryptoOrderSide.Bid, null, "BID1"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 99, 0.9, CryptoOrderSide.Bid, null, "BID2"))
);
var allAsks = orderBook.AskLevelsPerPrice;
Assert.Equal(100.111, orderBook.BidPrice);
Assert.Equal(0.111222, orderBook.BidAmount);
Assert.Equal(100, orderBook.AskPrice);
Assert.Equal(0.555, orderBook.AskAmount);
Assert.Equal(3, allAsks.Count);
Assert.Single(allAsks[100]);
Assert.Equal(2, allAsks[101].Length);
Assert.Single(allAsks[100.111]);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 101, 0.123123, CryptoOrderSide.Bid, null, "BID1"))
);
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 101, 0.777, CryptoOrderSide.Ask, null, "ASK5"))
);
var ask101 = orderBook.FindAskLevelsByPrice(101);
Assert.Equal(3, ask101.Length);
Assert.Equal("ASK4", ask101[0].Id);
Assert.Equal("ASK1", ask101[1].Id);
Assert.Equal("ASK5", ask101[2].Id);
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Ask, "ASK4"))
);
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Bid, "BID2"))
);
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Ask, "ASK3"))
);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
allAsks = orderBook.AskLevelsPerPrice;
Assert.Equal(101, orderBook.BidPrice);
Assert.Equal(0.123123, orderBook.BidAmount);
Assert.Equal(100.111, orderBook.AskPrice);
Assert.Equal(0.444, orderBook.AskAmount);
Assert.Equal(2, allAsks.Count);
Assert.Equal(2, allAsks[100.111].Length);
Assert.Equal("ASK5", allAsks[101][0].Id);
}
public void UpdateDeleteComplex_ShouldConstructCorrectOrderBook()
{
var pair1 = "BTC/USD";
var data = GetOrderBookSnapshotMockDataL3(pair1, 200);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L3);
var source = new OrderBookSourceMock(snapshot);
source.BufferEnabled = false;
var orderBook = new CryptoOrderBook(pair1, source);
orderBook.IgnoreDiffsBeforeSnapshot = true;
source.StreamBulk(
GetInsertBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 100.111, 0.123, CryptoOrderSide.Ask, null, "ASK1"))
);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.BidAmount);
Assert.Equal(0, orderBook.AskPrice);
Assert.Equal(0, orderBook.AskAmount);
source.StreamSnapshot();
Assert.Equal(19, orderBook.BidPrice);
Assert.Equal(590, orderBook.BidAmount);
Assert.Equal(20, orderBook.AskPrice);
Assert.Equal(1009, orderBook.AskAmount);
var asks = orderBook.FindAskLevelsByPrice(20);
var levelsToDelete = asks
.Select(x => CreateLevel(x.Pair, null, x.Side, x.Id))
.ToArray();
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, levelsToDelete)
);
source.StreamBulk(
GetUpdateBulk(CryptoOrderBookType.L3, CreateLevel(pair1, 20, 0.123, CryptoOrderSide.Bid, null, "BID1"))
);
Assert.Equal(20, orderBook.BidPrice);
Assert.Equal(0.123, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
var bids = orderBook.BidLevelsPerPrice;
foreach (var bidLevel in bids[19])
{
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, bidLevel.Price, bidLevel.Amount, bidLevel.Side, null, bidLevel.Id))
);
}
source.StreamBulk(
GetDeleteBulk(CryptoOrderBookType.L3, CreateLevel(pair1, null, CryptoOrderSide.Bid, "BID1"))
);
Assert.Equal(18, orderBook.BidPrice);
Assert.Equal(580, orderBook.BidAmount);
Assert.Equal(21, orderBook.AskPrice);
Assert.Equal(1019, orderBook.AskAmount);
}