/// <summary>
/// Handles the OrderBook's event in case the state of an Order changes
/// </summary>
/// <param name="order"> </param>
public void OnOrderChanged(Order order)
{
OutputDisruptor.Publish(order);
// Raising Event to be handled by OrderEventListener
OrderEvent.Raise(order);
Log.Debug("Order change received and published. Order: " + order.ToString());
}
public void OnTrade(Trade trade)
{
if (_trades == null)
{
_trades = new TradeList(trade.CurrencyPair);
}
_trades.Add(trade);
OutputDisruptor.Publish(trade);
Log.Debug("Trade received: " + trade.ToString());
}
public void PublishOrderToOutputDisruptor_IfOrderIsConvertedToByteArray_ItShouldBeReceivedAndCastedToOrder()
{
Order order = OrderFactory.CreateOrder("1234", "XBTUSD", "market", "buy", 5, 0,
new StubbedOrderIdGenerator());
//byte[] array = ObjectToByteArray(order);
OutputDisruptor.Publish(order);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receviedOrder);
Assert.AreEqual(_receviedOrder, order);
}
public void VerifyTickerInfoCalculations_WhenANewTradeIsArrived_NewUpdatedTickerInfoShouldGetSaved()
{
Order buyOrder = OrderFactory.CreateOrder("123", "XBTUSD", "limit", "buy", 10, 100,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 10, 100,
new StubbedOrderIdGenerator());
DateTime dateTime = DateTime.Now.AddSeconds(-1 * DateTime.Now.Second);
Trade trade5 = new Trade(new TradeId("1"), "XBTUSD", new Price(2), new Volume(10), dateTime.AddDays(-1),
buyOrder, sellOrder);
Trade trade6 = new Trade(new TradeId("2"), "XBTUSD", new Price(3), new Volume(5), dateTime.AddDays(-1).AddMinutes(1),
buyOrder, sellOrder);
Trade trade1 = new Trade(new TradeId("3"), "XBTUSD", new Price(10), new Volume(10), dateTime.AddSeconds(10),
buyOrder, sellOrder);
Trade trade2 = new Trade(new TradeId("4"), "XBTUSD", new Price(15), new Volume(15), dateTime.AddSeconds(15),
buyOrder, sellOrder);
Trade trade3 = new Trade(new TradeId("5"), "XBTUSD", new Price(20), new Volume(5), dateTime.AddSeconds(20),
buyOrder, sellOrder);
Trade trade4 = new Trade(new TradeId("6"), "XBTUSD", new Price(5), new Volume(10), dateTime.AddSeconds(40),
buyOrder, sellOrder);
OutputDisruptor.Publish(trade5);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade6);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade1);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade2);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade3);
_manualResetEvent.WaitOne(4000);
OutputDisruptor.Publish(trade4);
_manualResetEvent.WaitOne(10000);
TickerInfoReadModel model = _tickerInfoRepository.GetTickerInfoByCurrencyPair("XBTUSD");
Assert.NotNull(model);
Assert.AreEqual(model.CurrencyPair, "XBTUSD");
Assert.AreEqual(model.TradePrice, 5);
Assert.AreEqual(model.TradeVolume, 10);
Assert.AreEqual(model.OpeningPrice, 10);
Assert.AreEqual(model.TodaysHigh, 20);
Assert.AreEqual(model.Last24HoursHigh, 20);
Assert.AreEqual(model.TodaysLow, 5);
Assert.AreEqual(model.Last24HoursLow, 3);
Assert.AreEqual(model.TodaysVolume, 40);
Assert.AreEqual(model.Last24HourVolume, 45);
Assert.AreEqual(model.TodaysTrades, 4);
Assert.AreEqual(model.Last24HourTrades, 5);
Assert.AreEqual(model.TodaysVolumeWeight, 11.875m);
Assert.AreEqual(model.Last24HourVolumeWeight, 10.88889m);
}
public void PublishDepthToDisruptor_IfDepthIsConvertedToByteArray_ItShouldBeReceivedAndCastedToDepth()
{
Depth depth = new Depth("XBTUSD", 3);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(492), new Volume(200), OrderSide.Buy);
//byte[] array = ObjectToByteArray(depth);
OutputDisruptor.Publish(depth);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receivedDepth);
Assert.AreEqual(_receivedDepth.BidLevels[0].Price.Value, 492);
Assert.AreEqual(_receivedDepth.BidLevels[1].Price.Value, 491);
Assert.AreEqual(_receivedDepth.BidLevels[2].Price.Value, 490);
}
public void PublishOrderToOutputDisruptor_IfOrderListenerIsInitiated_ItShouldSaveInDatabase()
{
Order order = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "buy", 5, 10,
new StubbedOrderIdGenerator());
OutputDisruptor.Publish(order);
_manualResetEvent.WaitOne(5000);
OrderReadModel receivedOrder = _orderRepository.GetOrderById(order.OrderId.Id.ToString());
Assert.NotNull(receivedOrder);
Assert.AreEqual(receivedOrder.OrderId, order.OrderId.Id.ToString());
Assert.AreEqual(receivedOrder.Side, order.OrderSide.ToString());
Assert.AreEqual(receivedOrder.Type, order.OrderType.ToString());
Assert.AreEqual(receivedOrder.Price, order.Price.Value);
Assert.AreEqual(receivedOrder.CurrencyPair, order.CurrencyPair);
}
public void PublishOrderBookToDisruptor_IfOrderBookIsConvertedToByteArray_ItShouldBeReceivedAndCastedToOrderBook()
{
LimitOrderBook limitOrderBook = new LimitOrderBook("XBTUSD");
Order buyOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "buy", 5, 10,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 5, 11,
new StubbedOrderIdGenerator());
limitOrderBook.PlaceOrder(buyOrder);
limitOrderBook.PlaceOrder(sellOrder);
//byte[] array = ObjectToByteArray(limitOrderBook);
OutputDisruptor.Publish(limitOrderBook);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receivedLimitOrderBook);
Assert.AreEqual(_receivedLimitOrderBook.AskCount, 1);
Assert.AreEqual(_receivedLimitOrderBook.BidCount, 1);
}
public void PublishTradeToOutputDisruptor_IfTradeIsConvertedToByteArray_ItShouldBeReceivedAndCastedToTrade()
{
Order buyOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "market", "buy", 5, 0,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "market", "sell", 5, 0,
new StubbedOrderIdGenerator());
//Trade trade=new Trade("XBTUSD",new Price(100),new Volume(10),DateTime.Now,buyOrder,sellOrder);
Trade trade = TradeFactory.GenerateTrade("XBTUSD", new Price(100), new Volume(10), buyOrder, sellOrder);
//byte[] array = ObjectToByteArray(trade);
OutputDisruptor.Publish(trade);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receivedTrade);
Assert.AreEqual(_receivedTrade.TradeId.Id, trade.TradeId.Id);
Assert.AreEqual(_receivedTrade.BuyOrder, buyOrder);
Assert.AreEqual(_receivedTrade.SellOrder, sellOrder);
}
public void CheckBarFormation_WhenANewTradeIsArrived_NewUpdatedBarShouldGetSaved()
{
Order buyOrder = OrderFactory.CreateOrder("123", "XBTUSD", "limit", "buy", 10, 100,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 10, 100,
new StubbedOrderIdGenerator());
DateTime dateTime = DateTime.Now.AddSeconds(-1 * DateTime.Now.Second);
Trade trade1 = new Trade(new TradeId("1"), "XBTUSD", new Price(10), new Volume(10), dateTime.AddSeconds(10), buyOrder, sellOrder);
Trade trade2 = new Trade(new TradeId("2"), "XBTUSD", new Price(15), new Volume(15), dateTime.AddSeconds(15), buyOrder, sellOrder);
Trade trade3 = new Trade(new TradeId("3"), "XBTUSD", new Price(20), new Volume(5), dateTime.AddSeconds(20), buyOrder, sellOrder);
Trade trade4 = new Trade(new TradeId("4"), "XBTUSD", new Price(5), new Volume(10), dateTime.AddSeconds(40), buyOrder, sellOrder);
Trade trade5 = new Trade(new TradeId("5"), "XBTUSD", new Price(2), new Volume(10), dateTime.AddMinutes(1), buyOrder, sellOrder);
Trade trade6 = new Trade(new TradeId("6"), "XBTUSD", new Price(10), new Volume(5), dateTime.AddMinutes(1.1), buyOrder, sellOrder);
OutputDisruptor.Publish(trade1);
OutputDisruptor.Publish(trade2);
OutputDisruptor.Publish(trade3);
OutputDisruptor.Publish(trade4);
OutputDisruptor.Publish(trade5);
OutputDisruptor.Publish(trade6);
_manualResetEvent.WaitOne(10000);
OhlcReadModel model = _ohlcRepository.GetOhlcByDateTime(dateTime.AddMinutes(1));
OhlcReadModel model2 = _ohlcRepository.GetOhlcByDateTime(dateTime.AddMinutes(2));
//bar 1 verification(will form from trade 1-4)
Assert.NotNull(model);
Assert.AreEqual(model.High, 20);
Assert.AreEqual(model.Open, 10);
Assert.AreEqual(model.Low, 5);
Assert.AreEqual(model.Close, 5);
Assert.AreEqual(model.Volume, 40);
Assert.AreEqual(model.TotalWeight, 475);
Assert.AreEqual(model.AveragePrice, 11.875);
//bar 2 verification(will form from trade 5-6)
Assert.NotNull(model2);
Assert.AreEqual(model2.High, 10);
Assert.AreEqual(model2.Open, 2);
Assert.AreEqual(model2.Low, 2);
Assert.AreEqual(model2.Close, 10);
Assert.AreEqual(model2.Volume, 15);
Assert.AreEqual(model2.TotalWeight, 70);
Assert.AreEqual(model2.AveragePrice, 4.66667);
}
public void PublishBboToDisruptor_IfBboIsConvertedToByteArray_ItShouldBeReceivedAndCastedToBbo()
{
DepthLevel askDepthLevel = new DepthLevel(new Price(491.32M));
bool addOrder1 = askDepthLevel.AddOrder(new Volume(2000));
bool addOrder2 = askDepthLevel.AddOrder(new Volume(1000));
DepthLevel bidDepthLevel = new DepthLevel(new Price(491.32M));
addOrder1 = bidDepthLevel.AddOrder(new Volume(2000));
addOrder2 = bidDepthLevel.AddOrder(new Volume(1000));
bool addOrder3 = bidDepthLevel.AddOrder(new Volume(3000));
BBO bbo = new BBO("BTCUSD", bidDepthLevel, askDepthLevel);
//byte[] array = ObjectToByteArray(bbo);
OutputDisruptor.Publish(bbo);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receivedBbo);
Assert.AreEqual(_receivedBbo.BestAsk.OrderCount, 2);
Assert.AreEqual(_receivedBbo.BestBid.OrderCount, 3);
}
public void PublishTradeToOutputDisruptor_IfTradeListenerIsInitiated_ItShouldSaveInDatabase()
{
Order buyOrder = OrderFactory.CreateOrder("123", "XBTUSD", "limit", "buy", 10, 100,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 10, 100,
new StubbedOrderIdGenerator());
//Trade trade=new Trade("XBTUSD",new Price(100),new Volume(10),DateTime.Now,buyOrder,sellOrder);
Trade trade = TradeFactory.GenerateTrade("XBTUSD", new Price(1000), new Volume(10), buyOrder, sellOrder);
OutputDisruptor.Publish(trade);
_manualResetEvent.WaitOne(5000);
TradeReadModel model = _tradeRepository.GetById(trade.TradeId.Id.ToString());
Assert.NotNull(model);
Assert.AreEqual(model.BuyOrderId, buyOrder.OrderId.Id.ToString());
Assert.AreEqual(model.SellOrderId, sellOrder.OrderId.Id.ToString());
Assert.AreEqual(model.Price, 1000);
Assert.AreEqual(model.CurrencyPair, "XBTUSD");
Assert.AreEqual(model.BuyTraderId, "123");
Assert.AreEqual(model.SellTraderId, "1234");
Assert.AreEqual(model.Volume, 10);
}
/// <summary>
/// Handles the event that signifies that the OrderBook has changed
/// </summary>
public void OnOrderBookChanged(LimitOrderBook orderBook)
{
OutputDisruptor.Publish(orderBook);
Log.Debug("OrderBook changed for Currency pair: " + orderBook.CurrencyPair);
}
/// <summary>
/// Handles the OrderBook's event in case the state of an Order changes
/// </summary>
/// <param name="order"> </param>
public void OnOrderChanged(Order order)
{
OutputDisruptor.Publish(order);
Log.Debug("Order change received and published. Order: " + order.ToString());
}
public void OnDepthChanged(Depth depth)
{
//Publish to output disruptor
OutputDisruptor.Publish(depth);
Log.Debug("Depth changed for currency pair: " + depth.CurrencyPair);
}
/// <summary>
/// Onn BBO changed event
/// </summary>
/// <param name="bbo"> </param>
public void OnBBOChange(BBO bbo)
{
OutputDisruptor.Publish(bbo);
Log.Debug("Best bid and offer received for currency pair: " + bbo.CurrencyPair);
}
public void PublishAllTypesToOutputDisruptor_IfAllTypesAreConvertedToByteArray_ItShouldReceivedAndProperlyCasted()
{
Order order = OrderFactory.CreateOrder("1234", "XBTUSD", "market", "buy", 5, 0,
new StubbedOrderIdGenerator());
//byte[] array = ObjectToByteArray(order);
OutputDisruptor.Publish(order);
Order buyOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "buy", 5, 10,
new StubbedOrderIdGenerator());
Order sellOrder = OrderFactory.CreateOrder("1234", "XBTUSD", "limit", "sell", 5, 11,
new StubbedOrderIdGenerator());
Trade trade = new Trade(new TradeId("123"), "XBTUSD", new Price(100), new Volume(10), DateTime.Now, buyOrder, sellOrder);
//byte[] array1 = ObjectToByteArray(trade);
OutputDisruptor.Publish(trade);
LimitOrderBook limitOrderBook = new LimitOrderBook("XBTUSD");
limitOrderBook.PlaceOrder(buyOrder);
limitOrderBook.PlaceOrder(sellOrder);
//byte[] array2 = ObjectToByteArray(limitOrderBook);
OutputDisruptor.Publish(limitOrderBook);
Depth depth = new Depth("XBTUSD", 3);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(492), new Volume(200), OrderSide.Buy);
//byte[] array3 = ObjectToByteArray(depth);
OutputDisruptor.Publish(depth);
DepthLevel askDepthLevel = new DepthLevel(new Price(491.32M));
bool addOrder1 = askDepthLevel.AddOrder(new Volume(2000));
bool addOrder2 = askDepthLevel.AddOrder(new Volume(1000));
DepthLevel bidDepthLevel = new DepthLevel(new Price(491.32M));
addOrder1 = bidDepthLevel.AddOrder(new Volume(2000));
addOrder2 = bidDepthLevel.AddOrder(new Volume(1000));
bool addOrder3 = bidDepthLevel.AddOrder(new Volume(3000));
BBO bbo = new BBO("XBTUSD", bidDepthLevel, askDepthLevel);
//byte[] array4 = ObjectToByteArray(bbo);
OutputDisruptor.Publish(bbo);
_manualResetEvent.WaitOne(3000);
Assert.NotNull(_receviedOrder);
Assert.AreEqual(_receviedOrder, order);
Assert.NotNull(_receivedTrade);
Assert.AreEqual(_receivedTrade.BuyOrder, buyOrder);
Assert.AreEqual(_receivedTrade.SellOrder, sellOrder);
Assert.NotNull(_receivedLimitOrderBook);
Assert.AreEqual(_receivedLimitOrderBook.AskCount, 1);
Assert.AreEqual(_receivedLimitOrderBook.BidCount, 1);
Assert.NotNull(_receivedDepth);
Assert.AreEqual(_receivedDepth.BidLevels[0].Price.Value, 492);
Assert.AreEqual(_receivedDepth.BidLevels[1].Price.Value, 491);
Assert.AreEqual(_receivedDepth.BidLevels[2].Price.Value, 490);
Assert.NotNull(_receivedBbo);
Assert.AreEqual(_receivedBbo.BestAsk.OrderCount, 2);
Assert.AreEqual(_receivedBbo.BestBid.OrderCount, 3);
}