public void HandleAddLimitOrder(ILimitOrder limitOrder)
{
string symbol = limitOrder.Symbol;
if (!OrderBooks.ContainsKey(symbol))
{
var bookMatchingLimitAlgo = new LimitOrderMatchingAlgorithm(dateService);
bookMatchingLimitAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var bookMatchingMarketAlgo = new MarketOrderMatchingAlgorithm(dateService);
bookMatchingMarketAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var level1 = new OrderBookBestBidAsk(symbol);
level1.RegisterUpdateHandler(outgoingQueue.EnqueueLevel1Update);
var book = new OrderBook(symbol, bookMatchingLimitAlgo, bookMatchingMarketAlgo, level1);
OrderBooks.Add(symbol, book);
}
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
limitOrder.RegisterDeleteNotificationHandler(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterFilledNotification(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterModifyNotificationHandler(OrderBooks[symbol].HandleLimitOrderModify);
OrderBooks[symbol].AddLimitOrder(limitOrder);
}
public void ShouldCreateNewOrderBookItMatchItAndRemoveIt()
{
var repo = new OrderRepository();
var limitAlgo = new LimitOrderMatchingAlgorithm(new DateService());
var marketAlgo = new MarketOrderMatchingAlgorithm(new DateService());
var level1 = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitAlgo, marketAlgo, level1);
var sellOrder1 = repo.NewLimitOrder("ABC", 9, 88.2d, 100, WayEnum.Sell);
book.AddLimitOrder(sellOrder1);
var buyOrder1 = repo.NewLimitOrder("ABC", 9, 88.0d, 50, WayEnum.Buy);
book.AddLimitOrder(buyOrder1);
Assert.AreEqual(88.2d, level1.BestAskPrice);
Assert.AreEqual(88.0d, level1.BestBidPrice);
buyOrder1.Modify(50, 88.2d);
Assert.AreEqual(88.2d, level1.BestAskPrice);
Assert.IsNull(level1.BestBidPrice);
var retrievedBuyOrder = repo.TryGetLimitOrder(buyOrder1.ExchangeOrderId);
Assert.IsNull(retrievedBuyOrder);
}
