public void Basics()
{
Broker broker = new Broker();
broker.GotFill += new FillDelegate(broker_GotFill);
broker.GotOrder += new OrderDelegate(broker_GotOrder);
OrderImpl o = new OrderImpl();
int error = broker.sendOrder(o);
Assert.AreNotEqual((int)MessageTypes.OK,error);
Assert.That(orders == 0);
Assert.That(fills == 0);
o = new BuyMarket(s, 100);
broker.sendOrder(o);
Assert.That(orders == 1);
Assert.That(fills == 0);
Assert.That(broker.Execute(TickImpl.NewTrade(s,10,200)) == 1);
Assert.That(fills == 1);
// test that a limit order is not filled outside the market
o = new BuyLimit(s, 100, 9);
broker.sendOrder(o);
Assert.AreEqual(0, broker.Execute(TickImpl.NewTrade(s, 10, 100)));
Assert.That(fills == 1); // redudant but for counting
// test that limit order is filled inside the market
Assert.AreEqual(1, broker.Execute(TickImpl.NewTrade(s, 8, 100)));
Assert.That(fills == 2);
OrderImpl x = new OrderImpl();
// test that a market order is filled when opposite book exists
o = new SellLimit(s, 100, 11);
x = new BuyMarket(s, 100);
const string t2 = "trader2";
x.Account = t2;
broker.sendOrder(o);
broker.sendOrder(x);
Assert.AreEqual(3, fills);
// test that a market order is not filled when no book exists
// on opposite side
// clear existing orders
broker.CancelOrders();
o = new SellMarket(s, 100);
o.Account = t2;
broker.sendOrder(o);
Assert.AreEqual(3, fills);
}
public void OPGs()
{
Broker broker = new Broker();
const string s = "TST";
// build and send an OPG order
OrderImpl opg = new BuyOPG(s, 200, 10);
broker.sendOrder(opg);
// build a tick on another exchange
TickImpl it = TickImpl.NewTrade(s, 9, 100);
it.ex = "ISLD";
// fill order (should fail)
int c = broker.Execute(it);
Assert.AreEqual(0, c);
// build opening price for desired exchange
TickImpl nt = TickImpl.NewTrade(s, 9, 10000);
nt.ex = "NYS";
// fill order (should work)
c = broker.Execute(nt);
Assert.AreEqual(1, c);
// add another OPG, make sure it's not filled with another tick
TickImpl next = TickImpl.NewTrade(s, 9, 2000);
next.ex = "NYS";
OrderImpl late = new BuyOPG(s, 200, 10);
broker.sendOrder(late);
c = broker.Execute(next);
Assert.AreEqual(0, c);
}
public void BBO()
{
Broker broker = new Broker();
const string s = "TST";
const decimal p1 = 10m;
const decimal p2 = 11m;
const int x = 100;
Order bid,offer;
// send bid, make sure it's BBO (since it's only order on any book)
broker.sendOrder(new BuyLimit(s, x, p1));
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.That(bid.isValid && (bid.price==p1) && (bid.size==x), bid.ToString());
Assert.That(!offer.isValid, offer.ToString());
// add better bid, make sure it's BBO
Order o;
// Order#1... 100 shares buy at $11
o = new BuyLimit(s, x, p2,1);
broker.sendOrder(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2,bid.price);
Assert.AreEqual(x, bid.size);
Assert.That(!offer.isValid, offer.ToString());
// add another bid at same price on another account, make sure it's additive
//order #2... 100 shares buy at $11
o = new BuyLimit(s, x, p2,2);
o.Account = "ANOTHER_ACCOUNT";
broker.sendOrder(o);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p2, bid.price);
Assert.AreEqual(x*2, bid.size);
Assert.That(!offer.isValid, offer.ToString());
// cancel order and make sure bbo returns
broker.CancelOrder(1);
broker.CancelOrder(2);
bid = broker.BestBid(s);
offer = broker.BestOffer(s);
Assert.IsTrue(bid.isValid);
Assert.AreEqual(p1,bid.price);
Assert.AreEqual(x,bid.size);
Assert.IsTrue(!offer.isValid, offer.ToString());
// other test ideas
// replicate above tests for sell-side
}
