public void TestCloseEraseAsk()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1233, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1234, 500, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1233, 400, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
Assert.False(depth.CloseOrder(1233, 300, false)); // Does not erase
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
Assert.True(depth.CloseOrder(1233, 400, false)); // Erase
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
var firstAsk = depth.Asks.First().Value;
Assert.True(VerifyLevel(firstAsk, 1234, 1, 500));
Assert.Equal(1, depth.Asks.Count);
}
public void TestAppendAskLevels()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
var ask1 = depth.Asks.First().Value;
var ask2 = depth.Asks.ElementAt(1).Value;
var ask3 = depth.Asks.ElementAt(2).Value;
Assert.True(VerifyLevel(ask1, 1232, 1, 100));
Assert.True(VerifyLevel(ask2, 1235, 2, 600));
Assert.True(VerifyLevel(ask3, 1236, 1, 300));
Assert.Equal(3, depth.Asks.Count);
}
public void TestCloseEraseBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1235, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1234, 500, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1233, 200, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
Assert.True(!depth.CloseOrder(1235, 300, true)); // Does not erase
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
Assert.True(depth.CloseOrder(1235, 400, true)); // Erase
Assert.True(cc.VerifyBidChanged(true, true, true, false, false));
var bid0 = depth.Bids.ElementAt(0).Value;
var bid1 = depth.Bids.ElementAt(1).Value;
Assert.True(VerifyLevel(bid0, 1234, 1, 500));
Assert.True(VerifyLevel(bid1, 1233, 1, 200));
Assert.Equal(2, depth.Bids.Count);
}
public void TestInsertBidLevelsPast5()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 800, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1236, 300, true);
Assert.True(cc.VerifyBidChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1231, 700, true);
Assert.True(cc.VerifyBidChanged(false, false, false, true, false));
cc.Reset();
depth.AddOrder(1234, 900, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(false, true, true, true, true));
cc.Reset();
depth.AddOrder(1235, 200, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1231, 500, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, true));
cc.Reset();
depth.AddOrder(1230, 200, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, false));
cc.Reset();
depth.AddOrder(1229, 200, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, false));
cc.Reset();
var bid0 = depth.Bids.ElementAt(0).Value;
var bid1 = depth.Bids.ElementAt(1).Value;
var bid2 = depth.Bids.ElementAt(2).Value;
var bid3 = depth.Bids.ElementAt(3).Value;
var bid4 = depth.Bids.ElementAt(4).Value;
Assert.True(VerifyLevel(bid0, 1236, 1, 300));
Assert.True(VerifyLevel(bid1, 1235, 2, 600));
Assert.True(VerifyLevel(bid2, 1234, 2, 1700));
Assert.True(VerifyLevel(bid3, 1232, 1, 100));
Assert.True(VerifyLevel(bid4, 1231, 2, 1200));
Assert.Equal(5, depth.Bids.Count);
}
public void TestInsertAskLevelsPast5()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 800, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1231, 700, false);
Assert.True(cc.VerifyAskChanged(true, true, true, true, false));
cc.Reset();
depth.AddOrder(1234, 900, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, false, false, true, true));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(false, false, false, true, false));
cc.Reset();
depth.AddOrder(1231, 500, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1230, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, true, true, true));
cc.Reset();
depth.AddOrder(1229, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, true, true, true));
cc.Reset();
var ask0 = depth.Asks.ElementAt(0).Value;
var ask1 = depth.Asks.ElementAt(1).Value;
var ask2 = depth.Asks.ElementAt(2).Value;
var ask3 = depth.Asks.ElementAt(3).Value;
var ask4 = depth.Asks.ElementAt(4).Value;
Assert.True(VerifyLevel(ask0, 1229, 1, 200));
Assert.True(VerifyLevel(ask1, 1230, 1, 200));
Assert.True(VerifyLevel(ask2, 1231, 2, 1200));
Assert.True(VerifyLevel(ask3, 1232, 1, 100));
Assert.True(VerifyLevel(ask4, 1234, 2, 1700));
Assert.Equal(5, depth.Asks.Count);
}
public void TestReplaceBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
// Verify Levels
var bid0 = depth.Bids.First().Value;
var bid1 = depth.Bids.ElementAt(1).Value;
var bid2 = depth.Bids.ElementAt(2).Value;
Assert.True(VerifyLevel(bid0, 1236, 1, 300));
Assert.True(VerifyLevel(bid1, 1235, 2, 600));
Assert.True(VerifyLevel(bid2, 1232, 1, 100));
Assert.Equal(3, depth.Bids.Count);
// Replace bid
depth.ReplaceOrder(1235, 1237, 200, 200, true);
// Verify Levels
bid0 = depth.Bids.First().Value;
bid1 = depth.Bids.ElementAt(1).Value;
bid2 = depth.Bids.ElementAt(2).Value;
var bid3 = depth.Bids.ElementAt(3).Value;
Assert.True(VerifyLevel(bid0, 1237, 1, 200));
Assert.True(VerifyLevel(bid1, 1236, 1, 300));
Assert.True(VerifyLevel(bid2, 1235, 1, 400));
Assert.True(VerifyLevel(bid3, 1232, 1, 100));
Assert.Equal(4, depth.Bids.Count);
Assert.True(cc.VerifyBidChanged(true, true, true, true, false));
cc.Reset();
}
public void TestReplaceAsk()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
// Verify Levels
var ask0 = depth.Asks.First().Value;
var ask1 = depth.Asks.ElementAt(1).Value;
var ask2 = depth.Asks.ElementAt(2).Value;
Assert.True(VerifyLevel(ask0, 1232, 1, 100));
Assert.True(VerifyLevel(ask1, 1235, 2, 600));
Assert.True(VerifyLevel(ask2, 1236, 1, 300));
Assert.Equal(3, depth.Asks.Count);
// Replace ask
depth.ReplaceOrder(1235, 1237, 200, 200, false);
// Verify Levels
ask0 = depth.Asks.First().Value;
ask1 = depth.Asks.ElementAt(1).Value;
ask2 = depth.Asks.ElementAt(2).Value;
var ask3 = depth.Asks.ElementAt(3).Value;
Assert.True(VerifyLevel(ask0, 1232, 1, 100));
Assert.True(VerifyLevel(ask1, 1235, 1, 400));
Assert.True(VerifyLevel(ask2, 1236, 1, 300));
Assert.True(VerifyLevel(ask3, 1237, 1, 200));
Assert.Equal(4, depth.Asks.Count);
Assert.True(cc.VerifyAskChanged(false, true, false, true, false));
cc.Reset();
}
public void TestIncreaseDecreaseBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 37, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1235, -41, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1232, 60, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, -41, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 210, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
var bid0 = depth.Bids.ElementAt(0).Value;
var bid1 = depth.Bids.ElementAt(1).Value;
var bid2 = depth.Bids.ElementAt(2).Value;
Assert.True(VerifyLevel(bid0, 1236, 1, 506));
Assert.True(VerifyLevel(bid1, 1235, 2, 559));
Assert.True(VerifyLevel(bid2, 1232, 1, 160));
Assert.Equal(3, depth.Bids.Count);
}
public void TestIncreaseDecreaseAsk()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 37, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1235, -41, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1232, 51, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, -41, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.ChangeOrderQuantity(1236, 201, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
var ask0 = depth.Asks.First().Value;
var ask1 = depth.Asks.ElementAt(1).Value;
var ask2 = depth.Asks.ElementAt(2).Value;
Assert.True(VerifyLevel(ask0, 1232, 1, 151));
Assert.True(VerifyLevel(ask1, 1235, 2, 559));
Assert.True(VerifyLevel(ask2, 1236, 1, 497));
Assert.Equal(3, depth.Asks.Count);
}
public void TestAddCloseAddHigherAsk()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.CloseOrder(1234, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
var ask0 = depth.Asks.ElementAt(0).Value;
Assert.True(VerifyLevel(ask0, 1235, 1, 200));
Assert.Equal(1, depth.Asks.Count);
}
public void TestAddAsks()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 100, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1234, 200, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1234, 300, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
var firstAsk = depth.Asks.First().Value;
Assert.True(VerifyLevel(firstAsk, 1234, 3, 600));
Assert.Equal(1, depth.Asks.Count);
}
public void TestCloseBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1234, 500, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
Assert.True(!depth.CloseOrder(1234, 300, true)); // Does not erase
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
var firstBid = depth.Bids.First().Value;
Assert.True(VerifyLevel(firstBid, 1234, 1, 500));
Assert.Equal(1, depth.Bids.Count);
}
public void TestAddCloseAddBid()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.CloseOrder(1234, 300, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1233, 200, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
var bid0 = depth.Bids.ElementAt(0).Value;
Assert.True(VerifyLevel(bid0, 1233, 1, 200));
Assert.Equal(1, depth.Bids.Count);
}
public void TestCloseAsksFreeLevels()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 800, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, false);
Assert.True(cc.VerifyAskChanged(true, true, false, false, false));
cc.Reset();
depth.AddOrder(1236, 300, false);
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1235, 200, false);
Assert.True(cc.VerifyAskChanged(false, false, true, true, false));
cc.Reset();
depth.AddOrder(1234, 900, false);
Assert.True(cc.VerifyAskChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1231, 700, false);
Assert.True(cc.VerifyAskChanged(true, true, true, true, true));
cc.Reset();
depth.AddOrder(1235, 400, false);
Assert.True(cc.VerifyAskChanged(false, false, false, true, false));
cc.Reset();
depth.AddOrder(1231, 500, false);
Assert.True(cc.VerifyAskChanged(true, false, false, false, false));
cc.Reset();
depth.CloseOrder(1234, 900, false); // does not erase
Assert.True(cc.VerifyAskChanged(false, false, true, false, false));
cc.Reset();
depth.CloseOrder(1232, 100, false); // erase
Assert.True(cc.VerifyAskChanged(false, true, true, true, true));
cc.Reset();
depth.CloseOrder(1236, 100, false);
Assert.True(cc.VerifyAskChanged(false, false, false, true, false));
cc.Reset();
var ask0 = depth.Asks.First().Value;
var ask1 = depth.Asks.ElementAt(1).Value;
var ask2 = depth.Asks.ElementAt(2).Value;
Assert.True(VerifyLevel(ask0, 1231, 2, 1200));
Assert.True(VerifyLevel(ask1, 1234, 1, 800));
Assert.True(VerifyLevel(ask2, 1235, 2, 600));
Assert.Equal(3, depth.Asks.Count);
depth.AddOrder(1233, 350, false);
depth.AddOrder(1236, 300, false);
depth.AddOrder(1231, 700, false);
ask0 = depth.Asks.First().Value;
ask1 = depth.Asks.ElementAt(1).Value;
ask2 = depth.Asks.ElementAt(2).Value;
var ask3 = depth.Asks.ElementAt(3).Value;
var ask4 = depth.Asks.ElementAt(4).Value;
Assert.True(VerifyLevel(ask0, 1231, 3, 1900));
Assert.True(VerifyLevel(ask1, 1233, 1, 350));
Assert.True(VerifyLevel(ask2, 1234, 1, 800));
Assert.True(VerifyLevel(ask3, 1235, 2, 600));
Assert.True(VerifyLevel(ask4, 1236, 1, 300));
Assert.Equal(5, depth.Asks.Count);
}
public void TestCloseBidsFreeLevels()
{
var depth = new Depth();
var cc = new ChangedChecker(depth);
depth.AddOrder(1234, 800, true);
Assert.True(cc.VerifyBidChanged(true, false, false, false, false));
cc.Reset();
depth.AddOrder(1232, 100, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1236, 300, true);
Assert.True(cc.VerifyBidChanged(true, true, true, false, false));
cc.Reset();
depth.AddOrder(1235, 200, true);
Assert.True(cc.VerifyBidChanged(false, true, true, true, false));
cc.Reset();
depth.AddOrder(1234, 900, true);
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.AddOrder(1231, 700, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, true));
cc.Reset();
depth.AddOrder(1235, 400, true);
Assert.True(cc.VerifyBidChanged(false, true, false, false, false));
cc.Reset();
depth.AddOrder(1231, 500, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, true));
cc.Reset();
depth.CloseOrder(1234, 900, true); // No erase
Assert.True(cc.VerifyBidChanged(false, false, true, false, false));
cc.Reset();
depth.CloseOrder(1232, 100, true); // Erase
Assert.True(cc.VerifyBidChanged(false, false, false, true, true));
cc.Reset();
depth.CloseOrder(1236, 300, true); // Erase
Assert.True(cc.VerifyBidChanged(true, true, true, true, false));
cc.Reset();
var bid0 = depth.Bids.ElementAt(0).Value;
var bid1 = depth.Bids.ElementAt(1).Value;
var bid2 = depth.Bids.ElementAt(2).Value;
Assert.True(VerifyLevel(bid0, 1235, 2, 600));
Assert.True(VerifyLevel(bid1, 1234, 1, 800));
Assert.True(VerifyLevel(bid2, 1231, 2, 1200));
Assert.Equal(3, depth.Bids.Count);
depth.AddOrder(1233, 350, true); // Insert
Assert.True(cc.VerifyBidChanged(false, false, true, true, false));
cc.Reset();
depth.AddOrder(1236, 300, true); // Insert
Assert.True(cc.VerifyBidChanged(true, true, true, true, true));
cc.Reset();
depth.AddOrder(1231, 700, true);
Assert.True(cc.VerifyBidChanged(false, false, false, false, true));
cc.Reset();
bid0 = depth.Bids.ElementAt(0).Value;
bid1 = depth.Bids.ElementAt(1).Value;
bid2 = depth.Bids.ElementAt(2).Value;
var bid3 = depth.Bids.ElementAt(3).Value;
var bid4 = depth.Bids.ElementAt(4).Value;
Assert.True(VerifyLevel(bid0, 1236, 1, 300));
Assert.True(VerifyLevel(bid1, 1235, 2, 600));
Assert.True(VerifyLevel(bid2, 1234, 1, 800));
Assert.True(VerifyLevel(bid3, 1233, 1, 350));
Assert.True(VerifyLevel(bid4, 1231, 3, 1900));
Assert.Equal(5, depth.Bids.Count);
}