public void Minus_1_value_equals_to_Unlimited()
{
var value = new DepthLevel(-1);
var expected = DepthLevel.Unlimited;
Assert.True(value == expected);
Assert.Equal(value, expected);
}
public void Zero_value_equals_to_default()
{
var value = new DepthLevel(0);
var expected = default(DepthLevel);
Assert.True(value == expected);
Assert.Equal(value, expected);
}
public void Minus_2_value_equals_to_Excluded()
{
var value = new DepthLevel(-2);
var expected = DepthLevel.Excluded;
Assert.True(value == expected);
Assert.Equal(value, expected);
}
public RenderPanel(int x, int y, int width, int height, DepthLevel depth = DepthLevel.Medium)
{
_panelSpriteBatch = new SpriteBatch(Singleton.Device);
_sprites = new List<IDrawableSprite>();
_buffers = new List<IDrawableBuffer>();
_depth = (float) depth/10;
_renderPanels.Add(this);
_renderTarget = new RenderTarget2D(Singleton.Device, width, height, false, SurfaceFormat.Color, DepthFormat.Depth24Stencil8);
_position = new Vector2(x, y);
BoundingBox = new Rectangle(x, y, width, height);
}
public void GetRateTest_ChecksTheRateForTheGivenCurrencyPairAfterSubmittingDepthLevels_ChecksTheRateReturnedToVerify()
{
MarketController marketController = (MarketController)_applicationContext["MarketController"];
BBOMemoryImage bboMemoryImage = (BBOMemoryImage)_applicationContext["BBOMemoryImage"];
DepthLevel bidLevel1 = new DepthLevel(new Price(491));
DepthLevel bidLevel2 = new DepthLevel(new Price(492));
DepthLevel bidLevel3 = new DepthLevel(new Price(493));
DepthLevel askLevel1 = new DepthLevel(new Price(494));
DepthLevel askLevel2 = new DepthLevel(new Price(495));
DepthLevel askLevel3 = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel1, askLevel1);
IHttpActionResult httpActionResult = marketController.GetRate("XBT/USD");
OkNegotiatedContentResult <Rate> returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
Rate rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(492.5, rate.RateValue); // MidPoint of bidLevel1 = 491 & askLevel1 = 494
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel2, askLevel2);
httpActionResult = marketController.GetRate("XBT/USD");
returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(493.5, rate.RateValue); // MidPoint of bidLevel2 = 492 & askLevel2 = 495
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel3, askLevel3);
httpActionResult = marketController.GetRate("XBT/USD");
returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(494.5, rate.RateValue); // MidPoint of bidLevel3 = 493 & askLevel3 = 496
}
public static bool VerifyDepth(DepthLevel level, Price price, int count, Quantity quantity)
{
var matched = true;
if (level.Price != price)
{
matched = false;
}
if (level.OrderCount != count)
{
matched = false;
}
if (level.AggregateQty != quantity)
{
matched = false;
}
if (level.IsExcess)
{
matched = false;
}
return(matched);
}
public void AddRatesForMultiplkeCurrenciesTest_AddRatesForMultipleCurrenciesAndExpectsAListOfRates_VerifiesThroughTheReturnedRateList()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel xbtUsdBidLevel = new DepthLevel(new Price(491));
DepthLevel ltcUsdBidLevel = new DepthLevel(new Price(492));
DepthLevel btcUsdBidLevel = new DepthLevel(new Price(493));
DepthLevel xbtUsdAskLevel = new DepthLevel(new Price(494));
DepthLevel ltcUsdAskLevel = new DepthLevel(new Price(495));
DepthLevel btcUsdAskLevel = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", xbtUsdBidLevel, xbtUsdAskLevel);
bboMemoryImage.OnBBOArrived("LTC/USD", ltcUsdBidLevel, ltcUsdAskLevel);
bboMemoryImage.OnBBOArrived("BTC/USD", btcUsdBidLevel, btcUsdAskLevel);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(492.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of xbtUsdBidLevel = 491 & xbtUsdAskLevel = 494
Assert.AreEqual("LTC/USD", bboMemoryImage.RatesList.ToList()[1].CurrencyPair);
Assert.AreEqual(493.5, bboMemoryImage.RatesList.ToList()[1].RateValue); // MidPoint of ltcUsdBidLevel = 492 & ltcUsdAskLevel = 495
Assert.AreEqual("BTC/USD", bboMemoryImage.RatesList.ToList()[2].CurrencyPair);
Assert.AreEqual(494.5, bboMemoryImage.RatesList.ToList()[2].RateValue); // MidPoint of btcUsdBidLevel = 493 & btcUsdAskLevel = 496
}
public void GetBboTest_ChecksIfTheBboIsRetreivedSuccessfully_ReturnsBboForCurrencypairIfPresent()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
MarketDataQueryService queryService = new MarketDataQueryService(null, null, bboMemoryImage, null, null);
DepthLevel bestBid = new DepthLevel(new Price(491));
bestBid.IncreaseVolume(new Volume(100));
DepthLevel bestAsk = new DepthLevel(new Price(492));
bestAsk.IncreaseVolume(new Volume(200));
bboMemoryImage.OnBBOArrived("BTCUSD", bestBid, bestAsk);
BBORepresentation bboRepresentation = queryService.GetBBO("BTCUSD");
Assert.IsNotNull(bboRepresentation);
Assert.AreEqual(bestBid.Price.Value, bboRepresentation.BestBidPrice);
Assert.AreEqual(bestBid.AggregatedVolume.Value, bboRepresentation.BestBidVolume);
Assert.AreEqual(bestBid.OrderCount, bboRepresentation.BestBidOrderCount);
Assert.AreEqual(bestAsk.Price.Value, bboRepresentation.BestAskPrice);
Assert.AreEqual(bestAsk.AggregatedVolume.Value, bboRepresentation.BestAskVolume);
Assert.AreEqual(bestAsk.OrderCount, bboRepresentation.BestAskOrderCount);
}
public bool VerifyDepth(DepthLevel depthLevel, Price price, int count, Volume volume)
{
bool matched = true;
if (depthLevel.Price != null)
{
if (!depthLevel.Price.Equals(price))
{
Console.WriteLine("Price = " + depthLevel.Price.Value);
matched = false;
}
if (depthLevel.OrderCount != count)
{
Console.WriteLine("OrderCount = " + depthLevel.OrderCount);
matched = false;
}
if (depthLevel.AggregatedVolume != null && !depthLevel.AggregatedVolume.Equals(volume))
{
Console.WriteLine("Volume = " + depthLevel.AggregatedVolume.Value);
matched = false;
}
}
return(matched);
}
public void AddRateTest_TestIfTheRateForACurrencyPairIsAsExpected_VerifiesThroughTheReturnedRate()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel bidLevel1 = new DepthLevel(new Price(491));
DepthLevel bidLevel2 = new DepthLevel(new Price(492));
DepthLevel bidLevel3 = new DepthLevel(new Price(493));
DepthLevel askLevel1 = new DepthLevel(new Price(494));
DepthLevel askLevel2 = new DepthLevel(new Price(495));
DepthLevel askLevel3 = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel1, askLevel1);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(492.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel1 = 491 & askLevel1 = 494
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel2, askLevel2);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(493.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel2 = 492 & askLevel2 = 495
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel3, askLevel3);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(494.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel3 = 493 & askLevel3 = 496
}
public void BboAddTest_ChecksWhetherTheBestBidAndOfferAreAddedSuccessfully_VerifiesBBoListFromMEmoryImage()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel bestBid = new DepthLevel(new Price(491));
bestBid.IncreaseVolume(new Volume(600));
bestBid.UpdateOrderCount(1);
DepthLevel bestAsk = new DepthLevel(new Price(496));
bestAsk.IncreaseVolume(new Volume(500));
bestAsk.UpdateOrderCount(1);
bboMemoryImage.OnBBOArrived("XTCUSD", bestBid, bestAsk);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.Count());
Assert.AreEqual(491, bboMemoryImage.BBORepresentationList.First().BestBidPrice);
Assert.AreEqual(496, bboMemoryImage.BBORepresentationList.First().BestAskPrice);
Assert.AreEqual(600, bboMemoryImage.BBORepresentationList.First().BestBidVolume);
Assert.AreEqual(500, bboMemoryImage.BBORepresentationList.First().BestAskVolume);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.First().BestBidOrderCount);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.First().BestAskOrderCount);
}
public void Default_level_is_Level()
{
var value = new DepthLevel();
Assert.True(value.Level == DepthLevel.LevelType.Level);
}
public void Value_matches_ToString(short value, string expected)
{
var actual = new DepthLevel(value).ToString();
Assert.Equal(expected, actual);
}
public void Default_value_is_zero()
{
var value = new DepthLevel();
Assert.True(value.Value == 0);
}
public void LastAskRemovedTest_TestsIfTheLastAskIsRemovedFromTheMemorymagesListOfDepths_VerifiesusingMemoryImagesAskBook()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
Depth depth = new Depth(CurrencyConstants.BtcUsd, 5);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(498), new Volume(800), OrderSide.Buy);
depth.AddOrder(new Price(493), new Volume(300), OrderSide.Buy);
depth.AddOrder(new Price(496), new Volume(600), OrderSide.Buy);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(498), new Volume(800), OrderSide.Sell);
depth.AddOrder(new Price(493), new Volume(300), OrderSide.Sell);
depth.AddOrder(new Price(496), new Volume(600), OrderSide.Sell);
// Checks first and last bid prices
Assert.AreEqual(498, depth.BidLevels[0].Price.Value);
Assert.AreEqual(491, depth.BidLevels[3].Price.Value);
// Checks first and last ask prices
Assert.AreEqual(491, depth.AskLevels[0].Price.Value);
Assert.AreEqual(498, depth.AskLevels[3].Price.Value);
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
// Bids in DepthMemoryImage
Assert.AreEqual(800, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Volume);
Assert.AreEqual(498, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].OrderCount);
Assert.AreEqual(600, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Volume);
Assert.AreEqual(496, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].OrderCount);
Assert.AreEqual(300, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Volume);
Assert.AreEqual(493, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].OrderCount);
Assert.AreEqual(100, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Volume);
Assert.AreEqual(491, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].OrderCount);
// Asks in DepthMemoryImage
Assert.AreEqual(100, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].Volume);
Assert.AreEqual(491, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].OrderCount);
Assert.AreEqual(300, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].Volume);
Assert.AreEqual(493, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].OrderCount);
Assert.AreEqual(600, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].Volume);
Assert.AreEqual(496, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].OrderCount);
Assert.AreEqual(800, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].Volume);
Assert.AreEqual(498, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].OrderCount);
DepthLevel depthLevel498 = depth.FindLevel(new Price(498), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel498, OrderSide.Sell);
DepthLevel depthLevel496 = depth.FindLevel(new Price(496), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel496, OrderSide.Sell);
DepthLevel depthLevel493 = depth.FindLevel(new Price(493), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel493, OrderSide.Sell);
DepthLevel depthLevel491 = depth.FindLevel(new Price(491), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel491, OrderSide.Sell);
// Checks first and last bid prices
Assert.AreEqual(498, depth.BidLevels[0].Price.Value);
Assert.AreEqual(491, depth.BidLevels[3].Price.Value);
// Checks first and last ask prices
Assert.AreEqual(null, depth.AskLevels[0].Price);
Assert.AreEqual(null, depth.AskLevels[3].Price);
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
// Bids in DepthMemoryImage
Assert.AreEqual(498, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(496, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(493, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(491, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Price);
// Asks in DepthMemoryImage
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[0]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[1]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[2]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[3]);
}
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);
}
