public void PerfectMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google","GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 10, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 10;
fill2.originalOrder = order2;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 0);
}
static void Main()
{
//Initialize Position Manager
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
PositionManager posMgr = new PositionManager(matcher);
//Initialize Risk Engine
SimplePositionLimtRiskFilter riskFilter = new SimplePositionLimtRiskFilter(posMgr);
//Initialize Broker Managers
brokers = new List<BrokerManager>();
//Register to get a call back when this broker is ready to receive orders
IBBrokerManager ibManager = new IBBrokerManager(riskFilter);
ibManager.AcceptingOrders += new BrokerReadyEventHandler(readyToAcceptOrders);
brokers.Add(ibManager);
posMgr.addBrokers(brokers);
ibManager.connect();
//Create Main Window
log.Info("Creating UI components");
Application.EnableVisualStyles();
Application.SetCompatibleTextRenderingDefault(false);
//MainWindow win = new MainWindow(controller);
MainWindow win = new MainWindow();
//Create UI Controller
UIController controller = new UIController(brokers, posMgr, win);
Application.Run(win);
}
public void LopsidedMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google", "GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 5, Order.Side.SELL);
Order order3 = new Order(p, 25, Order.Side.BUY);
Order order4 = new Order(p, 7, Order.Side.SELL);
Order order5 = new Order(p, 12, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 5;
fill2.originalOrder = order2;
Fill fill3 = new Fill();
fill3.price = 100;
fill3.qty = 20;
fill3.originalOrder = order3;
Fill fill4 = new Fill();
fill4.price = 100;
fill4.qty = 6;
fill4.originalOrder = order4;
Fill fill5 = new Fill();
fill5.price = 100;
fill5.qty = 12;
fill5.originalOrder = order5;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
fills.Add(fill3);
fills.Add(fill4);
fills.Add(fill5);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 3);
}