public void TestFokAskPartialMatch()
{
var order_book = new SimpleOrderBook();
var ask2 = new SimpleOrder(false, 1252, 100);
var ask1 = new SimpleOrder(false, 1251, 100);
var ask0 = new SimpleOrder(false, 1250, 300);
var bid0 = new SimpleOrder(true, 1250, 100);
var bid1 = new SimpleOrder(true, 1249, 100);
var bid2 = new SimpleOrder(true, 1248, 100);
// No match
Assert.IsTrue(AddAndVerify(order_book, ask1, false));
Assert.IsTrue(AddAndVerify(order_book, ask2, false));
Assert.IsTrue(AddAndVerify(order_book, bid0, false));
Assert.IsTrue(AddAndVerify(order_book, bid1, false));
Assert.IsTrue(AddAndVerify(order_book, bid2, false));
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(2, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(1250, 1, 100));
Assert.IsTrue(dc.VerifyBid(1249, 1, 100));
Assert.IsTrue(dc.VerifyBid(1248, 1, 100));
Assert.IsTrue(dc.VerifyAsk(1251, 1, 100));
Assert.IsTrue(dc.VerifyAsk(1252, 1, 100));
// Partial Match - will not fill and will cancel order
{
var fc0 = new FillChecker(bid0, 0, 0);
var fc1 = new FillChecker(bid1, 0, 0);
var fc2 = new FillChecker(bid2, 0, 0);
var fc3 = new FillChecker(ask0, 0, 0, FOK);
var fc4 = new FillChecker(ask1, 0, 0);
var fc5 = new FillChecker(ask2, 0, 0);
Assert.IsTrue(AddAndVerify(order_book, ask0, false, false, FOK));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
fc4.AssertFillSuccess();
fc5.AssertFillSuccess();
}
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(2, order_book.Asks.Count());
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(1250, 1, 100));
Assert.IsTrue(dc.VerifyBid(1249, 1, 100));
Assert.IsTrue(dc.VerifyBid(1248, 1, 100));
Assert.IsTrue(dc.VerifyAsk(1251, 1, 100));
Assert.IsTrue(dc.VerifyAsk(1252, 1, 100));
}
public void TestIocBidFullMatch()
{
var order_book = new SimpleOrderBook();
var ask2 = new SimpleOrder(false, 1252, 100);
var ask1 = new SimpleOrder(false, 1251, 100);
var ask0 = new SimpleOrder(false, 1250, 400);
var bid0 = new SimpleOrder(true, 1250, 300);
var bid1 = new SimpleOrder(true, 1249, 100);
var bid2 = new SimpleOrder(true, 1248, 100);
// No match
Assert.True(AddAndVerify(order_book, ask0, false));
Assert.True(AddAndVerify(order_book, ask1, false));
Assert.True(AddAndVerify(order_book, ask2, false));
Assert.True(AddAndVerify(order_book, bid1, false));
Assert.True(AddAndVerify(order_book, bid2, false));
// Verify sizes
Assert.Equal(2, order_book.Bids.Count());
Assert.Equal(3, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.True(dc.VerifyBid(1249, 1, 100));
Assert.True(dc.VerifyBid(1248, 1, 100));
Assert.True(dc.VerifyAsk(1250, 1, 400));
Assert.True(dc.VerifyAsk(1251, 1, 100));
Assert.True(dc.VerifyAsk(1252, 1, 100));
// Full Match - will complete order
{
var fc0 = new FillChecker(bid0, 300, 1250 * 300, IOC);
var fc1 = new FillChecker(bid1, 0, 0);
var fc2 = new FillChecker(bid2, 0, 0);
var fc3 = new FillChecker(ask0, 300, 1250 * 300);
var fc4 = new FillChecker(ask1, 0, 0);
var fc5 = new FillChecker(ask2, 0, 0);
Assert.True(AddAndVerify(order_book, bid0, true, true, IOC));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
fc4.AssertFillSuccess();
fc5.AssertFillSuccess();
}
// Verify sizes
Assert.Equal(2, order_book.Bids.Count());
Assert.Equal(3, order_book.Asks.Count());
// Verify depth
dc.Reset();
Assert.True(dc.VerifyBid(1249, 1, 100));
Assert.True(dc.VerifyBid(1248, 1, 100));
Assert.True(dc.VerifyAsk(1250, 1, 100));
Assert.True(dc.VerifyAsk(1251, 1, 100));
Assert.True(dc.VerifyAsk(1252, 1, 100));
}
public void TestRegAskMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask0 = new SimpleOrder(sellSide, prc2, qty1);
var ask1 = new SimpleOrder(sellSide, prc0, qty4);
var bid1 = new SimpleOrder(buySide, prc1, qty1); // AON
var bid2 = new SimpleOrder(buySide, prc1, qty1); // AON
var bid0 = new SimpleOrder(buySide, prc0, qty7);
// Calculate some expected results
// ask1(400) matches bid 1(100), bid2(100), and part(200) of bid0
// leaving 500 shares of bid 0)
Quantity bid0FillQty = qty4 - qty1 - qty1;
Quantity bid0RemainQty = qty7 - bid0FillQty;
decimal bid0FillAmount = bid0FillQty * prc0;
decimal bid1FillAmount = prc1 * qty1;
decimal bid2FillAmount = prc1 * qty1;
decimal ask1FillAmount = bid1FillAmount + bid2FillAmount + bid0FillAmount;
// No match
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch, expectNoComplete, AON));
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Match - complete
{
var fc0 = new FillChecker(bid1, qty1, prc1 * qty1);
var fc1 = new FillChecker(bid2, qty1, prc1 * qty1);
var fc2 = new FillChecker(bid0, qty2, prc0 * qty2);
var fc3 = new FillChecker(ask1, qty4, ask1FillAmount);
Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc0, 1, bid0RemainQty));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
}
public void TestAonAskNoMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask0 = new SimpleOrder(sellSide, prc2, qty1); // no match (price)
var ask1 = new SimpleOrder(sellSide, prc0, qty6); // AON
var bid0 = new SimpleOrder(buySide, prc0, qty4); // AON no match
var bid1 = new SimpleOrder(buySide, prc1, qty1); // AON
var bid2 = new SimpleOrder(buySide, prc1, qty4);
// No match
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch, expectNoComplete, AON));
Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON)); //AON)); //noConditions
Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc1, 2, qty1 + qty4));
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty4));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// This test was bogus -- testing a bug in the matching algorithm
// I fixed the bug and the test started to fail.
// So fixed the test to expect:
// Ask1 (600 AON) should match bid0 (400 AON) + bid1(100) + bid 2(100 of 400)
//
// Now we need a new test of an AON that should NOT match!
// No match
{
// ASSERT_NO_THROW(
var fc0 = new FillChecker(bid0, qty4, prc0 * qty4);
var fc1 = new FillChecker(bid1, qty1, qty1 * prc1);
var fc2 = new FillChecker(bid2, qty1, prc1 * qty1);
var fc3 = new FillChecker(ask1, qty6, prc0 * qty4 + qty1 * prc1 + prc1 * qty1);
Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete, AON));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
//);
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc1, 1, qty4 - qty1));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
}
public void TestAonBidMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask3 = new SimpleOrder(sellSide, prc2, qty1);
var ask2 = new SimpleOrder(sellSide, prc2, qty1);
var ask1 = new SimpleOrder(sellSide, prc1, qty4); // AON no match
var ask0 = new SimpleOrder(sellSide, prc1, qty4);
var bid1 = new SimpleOrder(buySide, MARKET_ORDER_PRICE, qty6); // AON
var bid0 = new SimpleOrder(buySide, prc0, qty1);
// No match
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
Assert.IsTrue(AddAndVerify(order_book, ask2, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask3, expectNoMatch));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(4, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
Assert.IsTrue(dc.VerifyAsk(prc1, 2, qty4 + qty4));
Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty1 + qty1));
// Match - complete
{
//ASSERT_NO_THROW(
var fc1 = new FillChecker(bid1, qty6, prc1 * qty2 + prc1 * qty4);
var fc2 = new FillChecker(ask0, qty2, prc1 * qty2);
var fc3 = new FillChecker(ask1, qty4, prc1 * qty4);
var fc4 = new FillChecker(ask2, 0, prc2 * (Quantity)0);
var fc5 = new FillChecker(ask3, 0, prc2 * (Quantity)0);
Assert.IsTrue(AddAndVerify(order_book, bid1, expectMatch, expectComplete, AON));
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
fc4.AssertFillSuccess();
fc5.AssertFillSuccess();
//);
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty2));
Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty1 + qty1));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(3, order_book.Asks.Count());
}
public void TestAonAskNoMatch()
{
var order_book = new SimpleOrderBook();
var ask0 = new SimpleOrder(sellSide, prc2, qty1);
var ask1 = new SimpleOrder(sellSide, prc1, qty4); // AON
var bid1 = new SimpleOrder(buySide, prc1, qty1);
var bid2 = new SimpleOrder(buySide, prc1, qty1);
var bid0 = new SimpleOrder(buySide, prc0, qty7);
// No match
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Match - complete
{
var fc0 = new FillChecker(bid1, qtyNone, prcNone);
var fc1 = new FillChecker(bid2, qtyNone, prcNone);
var fc2 = new FillChecker(bid0, qtyNone, prcNone);
var fc3 = new FillChecker(ask1, qtyNone, prcNone);
Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc1, 2, qty2));
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty4));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Verify sizes
Assert.AreEqual(3, order_book.Bids.Count());
Assert.AreEqual(2, order_book.Asks.Count());
}
public void TestAonBidNoMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask2 = new SimpleOrder(sellSide, prc2, qty4); // AON no match
var ask1 = new SimpleOrder(sellSide, prc2, qty1);
var ask0 = new SimpleOrder(sellSide, prc1, qty4);
var bid1 = new SimpleOrder(buySide, MARKET_ORDER_PRICE, qty6); // AON
var bid0 = new SimpleOrder(buySide, prc0, qty1);
// No match
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask1, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, ask2, expectNoMatch, expectNoComplete, AON));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(3, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty4));
Assert.IsTrue(dc.VerifyAsk(prc2, 2, qty4 + qty1));
// Match - complete
{
//ASSERT_NO_THROW(
var fc0 = new FillChecker(bid0, qtyNone, prcNone);
var fc1 = new FillChecker(bid1, qty6, qty2 * prc1 + qty4 * prc2); // filled 600 @ 751000
var fc2 = new FillChecker(ask0, qty2, qty2 * prc1); // filled 200 @ 250200
var fc3 = new FillChecker(ask1, qtyNone, prcNone); // 0
var fc4 = new FillChecker(ask2, qty4, qty4 * prc2); // filled 400 @ 500800
Assert.IsTrue(AddAndVerify(order_book, bid1, expectMatch, expectComplete, AON));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
fc4.AssertFillSuccess();
//);
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty1));
Assert.IsTrue(dc.VerifyAsk(prc1, 1, qty2));
}
public void TestReplaceAonBidPriceMatch()
{
var order_book = new SimpleOrderBook();
var ask2 = new SimpleOrder(sellSide, prc3, qty1);
var ask1 = new SimpleOrder(sellSide, prc2, qty1);
var ask0 = new SimpleOrder(sellSide, prc1, qty1);
var bid1 = new SimpleOrder(buySide, prc1, qty2); // AON
var bid0 = new SimpleOrder(buySide, prc0, qty1);
// No match
Assert.True(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.True(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
Assert.True(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.True(AddAndVerify(order_book, ask1, expectNoMatch));
Assert.True(AddAndVerify(order_book, ask2, expectNoMatch));
// Verify sizes
Assert.Equal(2, order_book.Bids.Count());
Assert.Equal(3, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.True(dc.VerifyBid(prc1, 1, qty2));
Assert.True(dc.VerifyBid(prc0, 1, qty1));
Assert.True(dc.VerifyAsk(prc1, 1, qty1));
Assert.True(dc.VerifyAsk(prc2, 1, qty1));
Assert.True(dc.VerifyAsk(prc3, 1, qty1));
// Match - complete
{
var fc1 = new FillChecker(ask0, qty1, prc1 * qty1);
var fc2 = new FillChecker(ask1, qty1, prc2 * qty1);
Assert.True(ReplaceAndVerify(
order_book, bid1, qtyNone, prc2, OrderState.Complete, qty2));
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
}
// Verify depth
dc.Reset();
Assert.True(dc.VerifyBid(prc0, 1, qty1));
Assert.True(dc.VerifyAsk(prc3, 1, qty1));
// Verify sizes
Assert.Equal(1, order_book.Bids.Count());
Assert.Equal(1, order_book.Asks.Count());
}
public void TestRegBidMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask2 = new SimpleOrder(sellSide, prc1, qty7);
var ask1 = new SimpleOrder(sellSide, prc1, qty1); // AON
var ask0 = new SimpleOrder(sellSide, prc1, qty1); // AON
var bid1 = new SimpleOrder(buySide, prc1, qty4);
var bid0 = new SimpleOrder(buySide, prc0, qty1);
// No match
Assert.True(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.True(AddAndVerify(order_book, ask0, expectNoMatch, expectNoComplete, AON));
Assert.True(AddAndVerify(order_book, ask1, expectNoMatch, expectNoComplete, AON));
Assert.True(AddAndVerify(order_book, ask2, expectNoMatch, expectNoComplete));
// Verify sizes
Assert.Equal(1, order_book.Bids.Count());
Assert.Equal(3, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.True(dc.VerifyBid(prc0, 1, qty1));
Assert.True(dc.VerifyAsk(prc1, 3, qty7 + qty1 + qty1));
// Match - complete
{
var fc0 = new FillChecker(bid1, qty4, prc1 * qty4);
var fc1 = new FillChecker(ask0, qty1, prc1 * qty1);
var fc2 = new FillChecker(ask1, qty1, prc1 * qty1);
var fc3 = new FillChecker(ask2, qty2, prc1 * qty2);
Assert.True(AddAndVerify(order_book, bid1, expectMatch, expectComplete));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
}
// Verify depth
dc.Reset();
Assert.True(dc.VerifyBid(prc0, 1, qty1));
Assert.True(dc.VerifyAsk(prc1, 1, qty4 + qty1));
// Verify sizes
Assert.Equal(1, order_book.Bids.Count());
Assert.Equal(1, order_book.Asks.Count());
}
public void TestAonAskMatchMulti()
{
var order_book = new SimpleOrderBook();
var ask0 = new SimpleOrder(sellSide, prc2, qty1); // no match due to price
var ask1 = new SimpleOrder(sellSide, prc0, qty6); // AON
var bid1 = new SimpleOrder(buySide, prc1, qty1); // AON
var bid2 = new SimpleOrder(buySide, prc1, qty1);
var bid3 = new SimpleOrder(buySide, prc1, qty1);
var bid0 = new SimpleOrder(buySide, prc0, qty7);
// No match
Assert.IsTrue(AddAndVerify(order_book, ask0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid0, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid1, expectNoMatch, expectNoComplete, AON));
Assert.IsTrue(AddAndVerify(order_book, bid2, expectNoMatch));
Assert.IsTrue(AddAndVerify(order_book, bid3, expectNoMatch));
// Verify sizes
Assert.AreEqual(4, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
// Verify depth
var dc = new DepthCheck(order_book.Depth);
Assert.IsTrue(dc.VerifyBid(prc1, 3, qty3));
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty7));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Match - complete
{
// ASSERT_NO_THROW(
decimal b1Cost = prc1 * qty1;
var fc0 = new FillChecker(bid1, qty1, b1Cost);
decimal b2Cost = prc1 * qty1;
var fc1 = new FillChecker(bid2, qty1, b2Cost);
decimal b3Cost = prc1 * qty1;
var fc2 = new FillChecker(bid3, qty1, b3Cost);
Quantity b0Fill = qty6 - qty1 - qty1 - qty1;
decimal b0Cost = b0Fill * prc0;
var fc3 = new FillChecker(bid0, b0Fill, b0Cost);
decimal a1Cost = b0Cost + b1Cost + b2Cost + b3Cost;
var fc4 = new FillChecker(ask1, qty6, a1Cost);
Assert.IsTrue(AddAndVerify(order_book, ask1, expectMatch, expectComplete, AON));
fc0.AssertFillSuccess();
fc1.AssertFillSuccess();
fc2.AssertFillSuccess();
fc3.AssertFillSuccess();
fc4.AssertFillSuccess();
// );
}
// Verify depth
dc.Reset();
Assert.IsTrue(dc.VerifyBid(prc0, 1, qty4));
Assert.IsTrue(dc.VerifyAsk(prc2, 1, qty1));
// Verify sizes
Assert.AreEqual(1, order_book.Bids.Count());
Assert.AreEqual(1, order_book.Asks.Count());
}