public void Fill() { const string s = "TST"; // market should fill on trade but not on quote OrderImpl o = new BuyMarket(s, 100); Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100))); Assert.That(!o.Fill(TickImpl.NewBid(s, 8, 100))); // buy limit // limit should fill if order price is inside market o = new BuyLimit(s, 100, 10m); Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100))); // shouldn't fill outside market o = new BuyLimit(s, 100, 10m); Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100))); // sell limit // limit should fill if order price is inside market o = new SellLimit(s, 100, 10m); Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100))); // shouldn't fill outside market o = new SellLimit(s, 100, 10m); Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100))); // buy stop o = new BuyStop(s, 100, 10m); Assert.That(o.Fill(TickImpl.NewTrade(s, 11, 100))); // shouldn't fill outside market o = new BuyStop(s, 100, 10m); Assert.That(!o.Fill(TickImpl.NewTrade(s, 9, 100))); // sell stop o = new SellStop(s, 100, 10m); Assert.That(o.Fill(TickImpl.NewTrade(s, 9, 100))); // shouldn't fill outside market o = new SellStop(s, 100, 10m); Assert.That(!o.Fill(TickImpl.NewTrade(s, 11, 100))); // always fail filling an invalid tick o = new BuyMarket(s, 100); Assert.IsFalse(o.Fill(TickImpl.NewTrade(s, 0, 0))); // always fail filling invalid order o = new BuyLimit(s, 100, 10); OrderImpl x = new OrderImpl(); Assert.IsFalse(o.Fill(x)); // always fail filling an order that doesn't cross market x = new BuyMarket(s, 100); Assert.IsFalse(o.Fill(x)); const string t2 = "trader2"; // suceed on crossing market x = new SellMarket(s, 100); x.Account = t2; Assert.IsTrue(o.Fill(x)); // fail when accounts are the same x = new SellMarket(s, 100); x.Account = o.Account; Assert.IsFalse(o.Fill(x)); // fail on match outside of market x = new SellLimit(s, 100, 11); x.Account = t2; Assert.IsFalse(o.Fill(x)); // succeed on limit cross o = new BuyLimit(s, 100, 10); x = new SellLimit(s, 100, 10); x.Account = t2; Assert.IsTrue(o.Fill(x)); // make sure we can stop cross o = new SellStop(s, 100, 10); x = new BuyMarket(s, 100); x.Account = t2; Assert.IsTrue(o.Fill(x)); }