public void Deserialize_CheckCorrectBidCountAskCountWithPriceLevel()
{
var book = new Book();
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 9, OpenQuantity = 10
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 8, OpenQuantity = 9
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 10, OpenQuantity = 10
});
var bytes = BookSerializer.Serialize(book, 9, 11000, DateTime.UtcNow.Ticks);
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(131, messageLength);
var bookDepth = BookSerializer.Deserialize(bytes);
Assert.Equal(11000, bookDepth.LTP);
Assert.Equal(2, bookDepth.Bid.Count);
Assert.Single(bookDepth.Ask);
Assert.Equal(9, bookDepth.Bid[0].Key);
Assert.Equal(10, bookDepth.Bid[0].Value);
Assert.Equal(8, bookDepth.Bid[1].Key);
Assert.Equal(9, bookDepth.Bid[1].Value);
Assert.Equal(10, bookDepth.Ask[0].Key);
Assert.Equal(10, bookDepth.Ask[0].Value);
}
public void Serialize_Doesnotthrowexception()
{
var book = new Book();
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 10
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 10
});
var bytes = BookSerializer.Serialize(book, 10, 10, DateTime.UtcNow.Ticks);
}
public void Deserialize_CheckCorrectOnlyBuy()
{
var book = new Book();
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 9, Quantity = 10, OpenQuantity = 10
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 8, Quantity = 9, OpenQuantity = 9
});
var bytes = BookSerializer.Serialize(book, 9, 11000, DateTime.UtcNow.Ticks);
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(99, messageLength);
var bookDepth = BookSerializer.Deserialize(bytes);
Assert.Equal(11000, bookDepth.LTP);
Assert.Equal(2, bookDepth.Bid.Count);
Assert.Empty(bookDepth.Ask);
Assert.Equal((Price)9, bookDepth.Bid[0].Key);
Assert.Equal((Quantity)10, bookDepth.Bid[0].Value);
Assert.Equal((Price)8, bookDepth.Bid[1].Key);
Assert.Equal((Quantity)9, bookDepth.Bid[1].Value);
}
public void Deserialize_CheckCorrectOnlyAsk()
{
var book = new Book();
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 10, OpenQuantity = 10
});
var bytes = BookSerializer.Serialize(book, 9, 11000, DateTime.UtcNow.Ticks);
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(67, messageLength);
var bookDepth = BookSerializer.Deserialize(bytes);
Assert.Equal(11000, bookDepth.LTP);
Assert.Empty(bookDepth.Bid);
Assert.Single(bookDepth.Ask);
Assert.Equal(10, bookDepth.Ask[0].Key);
Assert.Equal(10, bookDepth.Ask[0].Value);
}
public void Deserialize_CheckCorrectBidCountAskFullBook()
{
var book = new Book();
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 10, OpenQuantity = 1
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 9, OpenQuantity = 2
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 8, OpenQuantity = 3
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 7, OpenQuantity = 4
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 6, OpenQuantity = 5
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 5, OpenQuantity = 6
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 4, OpenQuantity = 7
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 3, OpenQuantity = 8
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 2, OpenQuantity = 9
});
book.AddOrderOpenBook(new Order {
IsBuy = true, Price = 1, OpenQuantity = 10
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 11, OpenQuantity = 11
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 12, OpenQuantity = 12
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 13, OpenQuantity = 13
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 14, OpenQuantity = 14
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 15, OpenQuantity = 15
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 16, OpenQuantity = 16
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 17, OpenQuantity = 17
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 18, OpenQuantity = 18
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 19, OpenQuantity = 19
});
book.AddOrderOpenBook(new Order {
IsBuy = false, Price = 20, OpenQuantity = 20
});
var bytes = BookSerializer.Serialize(book, 5, 10, DateTime.UtcNow.Ticks);
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(355, messageLength);
var bookDepth = BookSerializer.Deserialize(bytes);
Assert.Equal(10, bookDepth.LTP);
Assert.Equal(5, bookDepth.Bid.Count);
Assert.Equal(10, bookDepth.Bid[0].Key);
Assert.Equal(1, bookDepth.Bid[0].Value);
Assert.Equal(9, bookDepth.Bid[1].Key);
Assert.Equal(2, bookDepth.Bid[1].Value);
Assert.Equal(8, bookDepth.Bid[2].Key);
Assert.Equal(3, bookDepth.Bid[2].Value);
Assert.Equal(7, bookDepth.Bid[3].Key);
Assert.Equal(4, bookDepth.Bid[3].Value);
Assert.Equal(6, bookDepth.Bid[4].Key);
Assert.Equal(5, bookDepth.Bid[4].Value);
Assert.Equal(11, bookDepth.Ask[0].Key);
Assert.Equal(11, bookDepth.Ask[0].Value);
Assert.Equal(12, bookDepth.Ask[1].Key);
Assert.Equal(12, bookDepth.Ask[1].Value);
Assert.Equal(13, bookDepth.Ask[2].Key);
Assert.Equal(13, bookDepth.Ask[2].Value);
Assert.Equal(14, bookDepth.Ask[3].Key);
Assert.Equal(14, bookDepth.Ask[3].Value);
Assert.Equal(15, bookDepth.Ask[4].Key);
Assert.Equal(15, bookDepth.Ask[4].Value);
}
public SerializeBenchmark()
{
book = new Book();
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, IsTip = false, OpenQuantity = 1000, OrderId = 3434, Price = 234
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, IsTip = false, OpenQuantity = 1000, OrderId = 3434, Price = 235
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, IsTip = false, OpenQuantity = 1000, OrderId = 3435, Price = 236
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, IsTip = false, OpenQuantity = 1000, OrderId = 3436, Price = 237
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, IsTip = false, OpenQuantity = 1000, OrderId = 3437, Price = 238
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, IsTip = false, OpenQuantity = 1000, OrderId = 3438, Price = 239
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, IsTip = false, OpenQuantity = 1000, OrderId = 3439, Price = 240
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, IsTip = false, OpenQuantity = 1000, OrderId = 3440, Price = 241
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, IsTip = false, OpenQuantity = 1000, OrderId = 3441, Price = 242
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, IsTip = false, OpenQuantity = 1000, OrderId = 3442, Price = 243
});
bid = book.BidSide.Select(x => new KeyValuePair <Price, Quantity>(x.Key, x.Value.Quantity)).ToList();
ask = book.AskSide.Select(x => new KeyValuePair <Price, Quantity>(x.Key, x.Value.Quantity)).ToList();
var order = new Order {
CancelOn = 12345678, IsBuy = true, OrderId = 56789, Price = 404, OpenQuantity = 1000
};
var orderWrapper = new OrderWrapper()
{
Order = order, OrderCondition = OrderCondition.ImmediateOrCancel, StopPrice = 9534, TotalQuantity = 7878234
};
orderJsonString = JsonConvert.SerializeObject(orderWrapper);
orderBinarySerialized = OrderSerializer.Serialize(orderWrapper);
orderMsgPck = MessagePackSerializer.Serialize(new Order2 {
IsBuy = true, IsTip = false, OpenQuantity = 100, OrderId = 1001, Price = 400, Quantity = 100, Sequnce = 0, StopPrice = 0
});
fillJsonString = JsonConvert.SerializeObject(new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
});
fillBinary = FillSerializer.Serialize(new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
});
cancelJsonString = JsonConvert.SerializeObject(new CancelledOrder {
OrderId = 1201, CancelReason = CancelReason.UserRequested, RemainingQuantity = 2000, Timestamp = 234
});
cancelBinary = CancelledOrderSerializer.Serialize(new CancelledOrder {
OrderId = 1201, CancelReason = CancelReason.UserRequested, RemainingQuantity = 2000, Timestamp = 234
});
cancelRequestJsonString = JsonConvert.SerializeObject(new CancelRequest {
OrderId = 1023
});
cancelRequestBinary = CancelRequestSerializer.Serialize(new CancelRequest {
OrderId = 1023
});
orderTriggerBinary = OrderTriggerSerializer.Serialize(new OrderTrigger {
OrderId = 3453, Timestamp = 35345
});
orderTriggerJsonString = JsonConvert.SerializeObject(new OrderTrigger {
OrderId = 3453, Timestamp = 35345
});
bookRequestBinary = BookRequestSerializer.Serialize(new BookRequest {
});
bookRequestJsonString = JsonConvert.SerializeObject(new BookRequest {
});
bookRequest2 = MessagePackSerializer.Serialize(new BookRequest2 {
});
bookJsonString = JsonConvert.SerializeObject(new BookDepth {
Bid = bid, Ask = ask, LTP = 100, TimeStamp = 1234
});
bookBinary = BookSerializer.Serialize(book, 5, 100, 1234);
}
public SerializeBenchmark()
{
book = new Book();
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, OpenQuantity = 1000, OrderId = 3434, Price = 234
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, OpenQuantity = 1000, OrderId = 3434, Price = 235
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, OpenQuantity = 1000, OrderId = 3435, Price = 236
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, OpenQuantity = 1000, OrderId = 3436, Price = 237
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = true, OpenQuantity = 1000, OrderId = 3437, Price = 238
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, OpenQuantity = 1000, OrderId = 3438, Price = 239
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, OpenQuantity = 1000, OrderId = 3439, Price = 240
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, OpenQuantity = 1000, OrderId = 3440, Price = 241
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, OpenQuantity = 1000, OrderId = 3441, Price = 242
});
book.AddOrderOpenBook(new Order {
CancelOn = 1000, IsBuy = false, OpenQuantity = 1000, OrderId = 3442, Price = 243
});
bid = book.BidSide.Select(x => new KeyValuePair <Price, Quantity>(x.Key, x.Value.Quantity)).ToList();
ask = book.AskSide.Select(x => new KeyValuePair <Price, Quantity>(x.Key, x.Value.Quantity)).ToList();
var order = new Order()
{
CancelOn = 12345678, IsBuy = true, OrderId = 56789, Price = 404, OpenQuantity = 1000, OrderCondition = OrderCondition.ImmediateOrCancel, StopPrice = 9534, TotalQuantity = 7878234
};
orderJsonString = JsonConvert.SerializeObject(order);
orderBinarySerialized = new byte[OrderSerializer.MessageSize];
OrderSerializer.Serialize(order, orderBinarySerialized);
orderMsgPck = MessagePackSerializer.Serialize(new Order2 {
IsBuy = true, IsTip = false, OpenQuantity = 100, OrderId = 1001, Price = 400, Quantity = 100, Sequnce = 0, StopPrice = 0
});
fillJsonString = JsonConvert.SerializeObject(new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
});
fillBinary = new byte[FillSerializer.MessageSize];
FillSerializer.Serialize(new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
}, fillBinary);
cancelJsonString = JsonConvert.SerializeObject(new CancelledOrder {
OrderId = 1201, CancelReason = CancelReason.UserRequested, RemainingQuantity = 2000, Timestamp = 234
});
cancelBinary = new byte[CancelledOrderSerializer.MessageSize];
CancelledOrderSerializer.Serialize(new CancelledOrder {
OrderId = 1201, CancelReason = CancelReason.UserRequested, RemainingQuantity = 2000, Timestamp = 234
}, cancelBinary);
cancelRequestJsonString = JsonConvert.SerializeObject(new CancelRequest {
OrderId = 1023
});
cancelRequestBinary = new byte[CancelRequestSerializer.MessageSize];
CancelRequestSerializer.Serialize(new CancelRequest {
OrderId = 1023
}, cancelRequestBinary);
orderTriggerBinary = new byte[OrderTriggerSerializer.MessageSize];
OrderTriggerSerializer.Serialize(new OrderTrigger {
OrderId = 3453, Timestamp = 35345
}, orderTriggerBinary);
orderTriggerJsonString = JsonConvert.SerializeObject(new OrderTrigger {
OrderId = 3453, Timestamp = 35345
});
bookRequestBinary = new byte[BookRequestSerializer.MessageSize];
BookRequestSerializer.Serialize(new BookRequest {
}, bookRequestBinary);
bookRequestJsonString = JsonConvert.SerializeObject(new BookRequest {
});
bookRequest2Bytes = MessagePackSerializer.Serialize(new BookRequest2 {
});
bookDepth = new BookDepth(1234, 100, bid, ask);
bookJsonString = JsonConvert.SerializeObject(bookDepth);
bookBinary = new byte[OrderSerializer.MessageSize];
BookSerializer.Serialize(bookDepth, bookBinary);
fill = new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
};
order2 = new Order2 {
IsBuy = true, IsTip = false, OpenQuantity = 100, OrderId = 1001, Price = 400, Quantity = 100, Sequnce = 0, StopPrice = 0
};
this.order = new Order {
IsBuy = true, OpenQuantity = 100, OrderId = 1001, Price = 400, Sequnce = 0, TotalQuantity = 100, OrderCondition = OrderCondition.None, StopPrice = 0
};
cancelledOrder = new CancelledOrder {
OrderId = 1201, CancelReason = CancelReason.UserRequested, RemainingQuantity = 2000, Timestamp = 234
};
cancelRequest = new CancelRequest {
OrderId = 1023
};
orderTrigger = new OrderTrigger {
OrderId = 3453, Timestamp = 35345
};
bookRequest = new BookRequest {
LevelCount = 50
};
bookRequest2 = new BookRequest2 {
LevelCount = 50
};
}