public void OrderBookContext_constructor_test()
{
int depth = 10;
OrderBookContext obContext = new OrderBookContext(depth);
Assert.AreEqual(10, obContext.Depth);
Assert.AreEqual(0, obContext.GetOfferPrice("RTS-12.13_FT", 0));
Assert.AreEqual(0, obContext.GetBidPrice("RTS-12.13_FT", 0));
}
public void OrderBookContext_update_test()
{
OrderBookContext obContext = new OrderBookContext(10);
obContext.Update(0, "RTS-12.13_FT", 140000, 100, 140010, 50);
Assert.AreEqual(140010, obContext.GetOfferPrice("RTS-12.13_FT", 0));
Assert.AreEqual(140000, obContext.GetBidPrice("RTS-12.13_FT", 0));
Assert.AreEqual(50, obContext.GetOfferVolume("RTS-12.13_FT", 0));
Assert.AreEqual(100, obContext.GetBidVolume("RTS-12.13_FT", 0));
}
public static double GetBestBidPrice(this OrderBookContext context, string symbol, double priceStep)
{
double offer = context.GetOfferPrice(symbol, 0);
double bid = context.GetBidPrice(symbol, 0);
if (offer - bid > priceStep)
{
return(bid + priceStep);
}
return(bid);
}
public void UpdateQuotesOnBidAsk_handle_add_records_for_registered_symbol()
{
BidAsk bidAskOne = new BidAsk {
Id = SerialIntegerFactory.Make(), Symbol = "RTS-9.13_FT", DateTime = BrokerDateTime.Make(DateTime.Now), Row = 0, NRows = 10, Ask = 150010, AskSize = 300, Bid = 150000, BidSize = 100
};
this.tradingData.Get <ObservableCollection <BidAsk> >().Add(bidAskOne);
double resultBidPrice = storage.GetBidPrice(bidAskOne.Symbol, 0);
double resultBidVolume = storage.GetBidVolume(bidAskOne.Symbol, 0);
double resultOfferPrice = storage.GetOfferPrice(bidAskOne.Symbol, 0);
double resultOfferVolume = storage.GetOfferVolume(bidAskOne.Symbol, 0);
Assert.AreEqual(bidAskOne.Bid, resultBidPrice);
Assert.AreEqual(bidAskOne.BidSize, resultBidVolume);
Assert.AreEqual(bidAskOne.Ask, resultOfferPrice);
Assert.AreEqual(bidAskOne.AskSize, resultOfferVolume);
}