public void TestTradeCallbacks()
{
var order0 = new SimpleOrder(false, 3250, 100);
var order1 = new SimpleOrder(true, 3250, 800);
var order2 = new SimpleOrder(false, 3230, 0);
var order3 = new SimpleOrder(false, 3240, 200);
var order4 = new SimpleOrder(true, 3250, 600);
var listener = new TradeCbListener();
var order_book = new OrderBook();
order_book.SetTradeListener(listener);
// Add order, should be accepted
order_book.Add(order0);
Assert.Equal(0, listener.quantities_.Count);
listener.Reset();
// Add matching order, should result in a trade
order_book.Add(order1);
Assert.Equal(1, listener.quantities_.Count);
Assert.Equal(1, listener.costs_.Count);
Assert.Equal((Quantity)100, listener.quantities_[0]);
Assert.Equal(100 * 3250, listener.costs_[0]);
listener.Reset();
// Add invalid order, should be rejected
order_book.Add(order2);
Assert.Equal(0, listener.quantities_.Count);
listener.Reset();
// Cancel only valid order, should be cancelled
order_book.Cancel(order1);
Assert.Equal(0, listener.quantities_.Count);
listener.Reset();
// Cancel filled order, should be rejected
order_book.Cancel(order0);
Assert.Equal(0, listener.quantities_.Count);
listener.Reset();
// Add a new order and replace it, should be replaced
order_book.Add(order3);
order_book.Replace(order3, 0, 3250);
Assert.Equal(0, listener.quantities_.Count);
listener.Reset();
// Add matching order, should be accepted, followed by a fill
order_book.Add(order4);
Assert.Equal(1, listener.quantities_.Count);
Assert.Equal(1, listener.costs_.Count);
listener.Reset();
// Replace matched order, with too large of a size decrease, replace
// should be rejected
order_book.Replace(order3, -500, 0);
Assert.Equal(0, listener.quantities_.Count);
}
public void TestOrderCallbacks()
{
var order0 = new SimpleOrder(false, 3250, 100);
var order1 = new SimpleOrder(true, 3250, 800);
var order2 = new SimpleOrder(false, 3230, 0);
var order3 = new SimpleOrder(false, 3240, 200);
var order4 = new SimpleOrder(true, 3250, 600);
var listener = new OrderCbListener();
var order_book = new OrderBook();
order_book.SetOrderListener(listener);
// Add order, should be accepted
order_book.Add(order0);
Assert.AreEqual(1, listener.accepts_.Count);
listener.Reset();
// Add matching order, should be accepted, followed by a fill
order_book.Add(order1);
Assert.AreEqual(1, listener.accepts_.Count);
Assert.AreEqual(1, listener.fills_.Count);
listener.Reset();
// Add invalid order, should be rejected
order_book.Add(order2);
Assert.AreEqual(1, listener.rejects_.Count);
listener.Reset();
// Cancel only valid order, should be cancelled
order_book.Cancel(order1);
Assert.AreEqual(1, listener.cancels_.Count);
listener.Reset();
// Cancel filled order, should be rejected
order_book.Cancel(order0);
Assert.AreEqual(1, listener.cancel_rejects_.Count);
listener.Reset();
// Add a new order and replace it, should be replaced
order_book.Add(order3);
order_book.Replace(order3, 0, 3250);
Assert.AreEqual(1, listener.accepts_.Count);
Assert.AreEqual(1, listener.replaces_.Count);
listener.Reset();
// Add matching order, should be accepted, followed by a fill
order_book.Add(order4);
Assert.AreEqual(1, listener.accepts_.Count);
Assert.AreEqual(1, listener.fills_.Count);
listener.Reset();
// Replace matched order, with too large of a size decrease, replace
// should be rejected
order_book.Replace(order3, -500, 0);
Assert.AreEqual(0, listener.replaces_.Count);
Assert.AreEqual(1, listener.replace_rejects_.Count);
}
internal static bool CancelAndVerify(OrderBook orderBook, IOrder order, OrderState expectedState)
{
orderBook.Cancel(order);
return((order as SimpleOrder)?.State == expectedState);
}