public void Orderbook_PriceEngineTest_Live()
{
Console.WriteLine("Orderbook_PriceEngineTest_Live");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
double MAXTIME = 10000;
ob.addBid(12.2, 100, null);
ob.addAsk(12.3, 100, null);
IOrderbookPriceEngine pe = new OrderbookPriceEngine();
try
{
System.IO.TextWriter writeFile = new StreamWriter("Orderbook_PriceEngineTest_Live.txt");
for (int i = 0; i < MAXTIME; i++)
{
if (pe.isMarket(ob))
{
double pp = pe.getMarketPrice(ob);
bool isbid = SingletonRandomGenerator.Instance.NextBoolean();
if (isbid)
{
ob.addBid(pp, 100, null);
}
else
{
ob.addAsk(pp, 100, null);
}
writeFile.WriteLine("?, ?, " + pp);
}
else
{
double ppask = pe.getAskPrice(ob);
ob.addAsk(ppask, 100, null);
double ppbid = pe.getBidPrice(ob);
ob.addBid(ppbid, 100, null);
writeFile.WriteLine("" + ppask + ", " + ppbid + ", ?");
}
}
writeFile.Flush();
writeFile.Close();
writeFile = null;
}
catch (IOException)
{
Assert.AreEqual(0, 1);
}
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
}
public void Orderbook_PriceEngineTest()
{
Console.WriteLine("Orderbook_PriceEngineTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
double MAXTIME = 10000;
ob.addBid(12.2, 100, null);
ob.addAsk(12.3, 100, null);
IOrderbookPriceEngine pe = new OrderbookPriceEngine();
try
{
System.IO.TextWriter writeFile = new StreamWriter("Orderbook_PriceEngineTest.txt");
for (int i = 0; i < MAXTIME; i++)
{
if (pe.isMarket(ob))
{
writeFile.WriteLine("?, ?, " + pe.getMarketPriceOffset(ob));
}
else
{
writeFile.WriteLine("" + pe.getAskPriceOffset(ob) + ", " + pe.getBidPriceOffset(ob) + ", ?");
}
}
writeFile.Flush();
writeFile.Close();
writeFile = null;
}
catch (IOException)
{
Assert.AreEqual(0, 1);
}
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
}
public void Orderbook_AddOrdersTest()
{
Console.WriteLine("Orderbook_AddOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 0);
Assert.AreEqual(o1.isAsk(), true);
Assert.AreEqual(o1.getPrice(), 10.0);
Assert.AreEqual(o1.getVolume(), 3);
Assert.AreEqual(o1.isCancelled(), false);
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o1.getOwner(), null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o2.isAsk(), false);
Assert.AreEqual(o2.getPrice(), 5.0);
Assert.AreEqual(o2.getVolume(), 3);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o2.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 5.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// place bid 3
IOrder o3 = ob.addBid(10.0, 3, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
Assert.AreEqual(o3.isAsk(), false);
Assert.AreEqual(o3.getPrice(), 10.0);
Assert.AreEqual(o3.getVolume(), 3);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(o3.getOwner(), null);
Assert.AreEqual(ob.getHighestBid(), 10.0);
Assert.AreEqual(ob.getLowestAsk(), 10.0);
// execution occurs -- o3 hits o1, leaving just the bid o2
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 2, "fills = 2");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Assert.AreEqual(o3.isFilled(), true);
Assert.AreEqual(o3.getCapital(), -30.0);
Assert.AreEqual(o1.isFilled(), true);
Assert.AreEqual(o1.getCapital(), 30.0);
IOrder o4 = ob.addAsk(5.0, 1, null);
IOrder o5 = ob.addAsk(5.0, 1, null);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(o4.isAsk(), true);
Assert.AreEqual(o4.getPrice(), 5.0);
Assert.AreEqual(o4.getVolume(), 1);
Assert.AreEqual(o4.isCancelled(), false);
Assert.AreEqual(o4.isFilled(), false);
Assert.AreEqual(o4.getCapital(), 0.0);
Assert.AreEqual(o4.getOwner(), null);
Assert.AreEqual(o5.isAsk(), true);
Assert.AreEqual(o5.getPrice(), 5.0);
Assert.AreEqual(o5.getVolume(), 1);
Assert.AreEqual(o5.isCancelled(), false);
Assert.AreEqual(o5.isFilled(), false);
Assert.AreEqual(o5.getCapital(), 0.0);
Assert.AreEqual(o5.getOwner(), null);
Assert.AreEqual(o6.isAsk(), true);
Assert.AreEqual(o6.getPrice(), 5.0);
Assert.AreEqual(o6.getVolume(), 1);
Assert.AreEqual(o6.isCancelled(), false);
Assert.AreEqual(o6.isFilled(), false);
Assert.AreEqual(o6.getCapital(), 0.0);
Assert.AreEqual(o6.getOwner(), null);
// execution occurs: 4 5 and 6 to hit o2
Scheduler.Instance().Run();
Assert.AreEqual(o4.isFilled(), true);
Assert.AreEqual(o4.getCapital(), 5.0);
Assert.AreEqual(o6.isFilled(), true);
Assert.AreEqual(o6.getCapital(), 5.0);
Assert.AreEqual(o5.isFilled(), true);
Assert.AreEqual(o5.getCapital(), 5.0);
Assert.AreEqual(o2.isFilled(), true);
Assert.AreEqual(o2.getCapital(), -15.0);
Assert.AreEqual(m.NumAddOrdersReceived, 6, "orders = 6");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills = 2");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
//Assert.AreEqual(1, 0);
}
public void Orderbook_ComplexMatcherTest()
{
Console.WriteLine("Orderbook_ComplexMatcherTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
IOrder o2 = ob.addBid(5.0, 3, null);
// let o2 fail to execute
Scheduler.Instance().Run();
IOrder o3 = ob.addBid(10.0, 5, null);
// low asks will hit an existing high bid
IOrder o4 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o5 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 2);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o6 = ob.addAsk(5.0, 1, null);
Assert.AreEqual(ob.getNumAsks(), 3);
Assert.AreEqual(ob.getNumBids(), 2);
// execution occurs: 4 5 and 6 partially hit 3 out of 5 units of o3 at the ask price (5)
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 5, "orders = 5");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
Assert.AreEqual(o4.isFilled(), true);
Assert.AreEqual(o4.getCapital(), 5.0);
Assert.AreEqual(o6.isFilled(), true);
Assert.AreEqual(o6.getCapital(), 5.0);
Assert.AreEqual(o5.isFilled(), true);
Assert.AreEqual(o5.getCapital(), 5.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.getCapital(), -15.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
IOrder o7 = ob.addAsk(20.0, 1, null);
IOrder o8 = ob.addAsk(20.0, 2, null);
IOrder o9 = ob.addAsk(20.0, 3, null);
// load up the new ask orders
Scheduler.Instance().Run();
Assert.AreEqual(m.NumAddOrdersReceived, 8, "orders = 8");
Assert.AreEqual(m.NumFillsSent, 3, "fills = 3");
Assert.AreEqual(m.NumPartialFillsSent, 3, "partial fills = 3");
// high bid will hit existing low asks
IOrder o10 = ob.addBid(100.0, 7, null);
// execution occurs: 7 8 and 9 partially hit 10 out of 6 units of o10 at the ask price (20)
Scheduler.Instance().Run();
Assert.AreEqual(o7.isFilled(), true);
Assert.AreEqual(o7.getCapital(), 20.0);
Assert.AreEqual(o8.isFilled(), true);
Assert.AreEqual(o8.getCapital(), 40.0);
Assert.AreEqual(o9.isFilled(), true);
Assert.AreEqual(o9.getCapital(), 60.0);
Assert.AreEqual(o10.isFilled(), false);
Assert.AreEqual(o10.getCapital(), -120.0);
Assert.AreEqual(m.NumAddOrdersReceived, 9, "orders = 9");
Assert.AreEqual(m.NumFillsSent, 6, "fills = 6");
Assert.AreEqual(m.NumPartialFillsSent, 6, "partial fills = 6");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 3);
}
public void SimpleMatcherTest()
{
Console.WriteLine("MatcherTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
int ct = 0;
// bids
IOrder o1 = ob.addBid(10.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o1 = " + o1);
IOrder o2 = ob.addBid(12.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o2 = " + o2);
IOrder o3 = ob.addBid(14.0, 3, null);
Scheduler.Instance().Run();
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 0, "fills " + 0);
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills " + 0);
Console.WriteLine("o3 = " + o3);
// asks
IOrder o4 = ob.addAsk(10.0, 9, null);
Scheduler.Instance().Run();
// should get matched to bid @14,12,10
// generating 4 fills (for ask and 3 bids) and 2 partial fills for the ask.
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o4 = " + o4);
IOrder o5 = ob.addAsk(5.0, 1, null);
Scheduler.Instance().Run();
// should generate no new matching
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o5 = " + o5);
IOrder o6 = ob.addAsk(5.0, 1, null);
Scheduler.Instance().Run();
// should generate no new matching
ct++; Assert.AreEqual(m.NumAddOrdersReceived, ct, "order " + ct);
Assert.AreEqual(m.NumFillsSent, 4, "fills " + 4);
Assert.AreEqual(m.NumPartialFillsSent, 2, "partial fills " + 2);
Console.WriteLine("o6 = " + o6);
}
public void Orderbook_CancelOrdersTest()
{
Console.WriteLine("Orderbook_CancelOrdersTest");
Orderbook ob = new Orderbook();
Matcher m = new Matcher();
ob.setMatcher(m);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 0);
// place ask 1
IOrder o1 = ob.addAsk(10.0, 3, null);
// place bid 2
IOrder o2 = ob.addBid(5.0, 3, null);
// no bids or asks
Assert.AreEqual(ob.getNumAsks(), 1);
Assert.AreEqual(ob.getNumBids(), 1);
bool cancelResult = ob.cancelOrder(o1);
Assert.AreEqual(cancelResult, true);
// no asks, 1 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 1);
Scheduler.Instance().Run();
// place bid 3
IOrder o3 = ob.addBid(10.0, 5, null);
// no asks, 2 bid
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
Scheduler.Instance().Run();
// execution is attempted -- but nothing can execute
// since o2 cannot match o3
Scheduler.Instance().Run();
Assert.AreEqual(o1.isFilled(), false);
Assert.AreEqual(o1.isCancelled(), true);
Assert.AreEqual(o1.getCapital(), 0.0);
Assert.AreEqual(o2.isFilled(), false);
Assert.AreEqual(o2.isCancelled(), false);
Assert.AreEqual(o2.getCapital(), 0.0);
Assert.AreEqual(o3.isFilled(), false);
Assert.AreEqual(o3.isCancelled(), false);
Assert.AreEqual(o3.getCapital(), 0.0);
Assert.AreEqual(m.NumAddOrdersReceived, 3, "orders = 3");
Assert.AreEqual(m.NumFillsSent, 0, "fills = 0");
Assert.AreEqual(m.NumPartialFillsSent, 0, "partial fills = 0");
Assert.AreEqual(ob.getNumAsks(), 0);
Assert.AreEqual(ob.getNumBids(), 2);
}