public void TestIncreaseDecreaseAsk()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 37, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1235, -41, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1232, 51, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, -41, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 201, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
var ask0 = depth.Asks.First().Value;
var ask1 = depth.Asks.ElementAt(1).Value;
var ask2 = depth.Asks.ElementAt(2).Value;
Assert.True(VerifyLevel(ask0, 1232, 1, 151));
Assert.True(VerifyLevel(ask1, 1235, 2, 559));
Assert.True(VerifyLevel(ask2, 1236, 1, 497));
Assert.Equal(3, depth.Asks.Count);
}
public void TestIncreaseDecreaseBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 37, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1235, -41, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1232, 60, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, -41, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 210, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
var bid0 = depth.Bids.ElementAt(0).Value;
var bid1 = depth.Bids.ElementAt(1).Value;
var bid2 = depth.Bids.ElementAt(2).Value;
Assert.True(VerifyLevel(bid0, 1236, 1, 506));
Assert.True(VerifyLevel(bid1, 1235, 2, 559));
Assert.True(VerifyLevel(bid2, 1232, 1, 160));
Assert.Equal(3, depth.Bids.Count);
}
public void ChangeSellOrderQuantityTest_ChecksIfMethodRemovesQuantityAsSpecified_AssertsVolumeForTheExpectedChangedLevel()
{
Depth depth = new Depth("XBT/USD", 10);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(492), new Volume(200), OrderSide.Sell);
DepthLevel resultingDepthLevel = (from depthLevel in depth.AskLevels
where depthLevel.Price != null && depthLevel.Price.Value == 492
select depthLevel).ToList().Single();
// By only removing 100 volume from 200, we still have the depth level with a volume of 100
depth.ChangeOrderQuantity(new Price(492), -100, OrderSide.Sell);
Assert.IsTrue(depth.AskLevels.Contains(resultingDepthLevel));
Assert.AreEqual(100, resultingDepthLevel.AggregatedVolume.Value, "Remaining volume after first decrease");
Assert.AreEqual(1, resultingDepthLevel.OrderCount, "Remaining volume after first decrease");
// By removing the remaining 100 volume, we wont have any volume left so the level needs to be removed
depth.ChangeOrderQuantity(new Price(492), -100, OrderSide.Sell);
Assert.IsFalse(depth.AskLevels.Contains(resultingDepthLevel));
}