public void FindSellLevelTest_InsertsTheNewLevelIntoTheDesiredPosition_ChecksLevelsPricesAfterInsertion()
{
Depth depthOrderBook = new Depth("XBTUSD", 10);
depthOrderBook.FindLevel(new Price(490), OrderSide.Sell, depthOrderBook.AskLevels);
depthOrderBook.FindLevel(new Price(491), OrderSide.Sell, depthOrderBook.AskLevels);
depthOrderBook.FindLevel(new Price(492), OrderSide.Sell, depthOrderBook.AskLevels);
depthOrderBook.FindLevel(new Price(494), OrderSide.Sell, depthOrderBook.AskLevels);
// Price that comes in between the currently present prices
depthOrderBook.FindLevel(new Price(493), OrderSide.Sell, depthOrderBook.AskLevels);
Assert.AreEqual(490, depthOrderBook.AskLevels.First().Price.Value, "Price at zero index in ascending order");
Assert.AreEqual(491, depthOrderBook.AskLevels[1].Price.Value, "Price at zero index in ascending order");
Assert.AreEqual(492, depthOrderBook.AskLevels[2].Price.Value, "Price at second index in ascending order");
Assert.AreEqual(493, depthOrderBook.AskLevels[3].Price.Value, "Price at last index in ascending order");
Assert.AreEqual(494, depthOrderBook.AskLevels[4].Price.Value, "Price at last index in ascending order");
}
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]);
}