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();
}