public void Deserialize_ThrowsExecption_IfMessageIsNothaveValidType()
{
var bytes = new byte[60];
Exception ex = Assert.Throws <Exception>(() => FillSerializer.Deserialize(bytes));
Assert.Equal("Invalid Message", ex.Message);
}
private void OnMessage(byte[] body)
{
var type = Serializer.GetMessageType(body);
object obj = null;
switch (type)
{
case MessageType.Cancel:
obj = CancelledOrderSerializer.Deserialize(body);
break;
case MessageType.Fill:
obj = FillSerializer.Deserialize(body);
break;
case MessageType.OrderTrigger:
obj = OrderTriggerSerializer.Deserialize(body);
break;
default:
//TODO
break;
}
var message = new Message(type.Value, body, obj);
_inboundChannelWritter.TryWrite(message);
}
public void Deserialize_ThrowsExecption_IfMessageIsNothaveValidType()
{
var bytes = new byte[135];
Exception ex = Assert.Throws <Exception>(() => FillSerializer.Deserialize(bytes));
Assert.Equal(Types.Constant.INVALID_MESSAGE, ex.Message);
}
public void Deserialize_ThrowsExecption_IfMessageIsGreaterThan35Bytes()
{
var bytes = new byte[136];
Exception ex = Assert.Throws <Exception>(() => FillSerializer.Deserialize(bytes));
Assert.Equal("Fill Message must be of Size : 135", ex.Message);
}
public void Serialize_Doesnotthrowexception_Max()
{
Span <byte> bytes = stackalloc byte[FillSerializer.MessageSize];
FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MaxValue, TakerOrderId = OrderId.MaxValue, Timestamp = int.MaxValue, MatchQuantity = int.MaxValue, MatchRate = int.MaxValue, BidCost = Quantity.MaxValue, BidFee = Quantity.MaxValue, AskRemainingQuantity = Quantity.MaxValue, AskFee = Quantity.MaxValue, MessageSequence = long.MaxValue
}, bytes);
}
public void Deserialize_ThrowsExecption_IfVersionIsNotSet()
{
var bytes = new byte[135];
bytes[4] = (byte)MessageType.Fill;
Exception ex = Assert.Throws <Exception>(() => FillSerializer.Deserialize(bytes));
Assert.Equal(Types.Constant.INVALID_VERSION, ex.Message);
}
public void Deserialize_ThrowsExecption_IfVersionIsNotSet()
{
var bytes = new byte[60];
bytes[4] = (byte)MessageType.Fill;
Exception ex = Assert.Throws <Exception>(() => FillSerializer.Deserialize(bytes));
Assert.Equal("version mismatch", ex.Message);
}
public void Deserialize_Doesnotthrowexception_Max()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MaxValue, TakerOrderId = OrderId.MaxValue, Timestamp = int.MaxValue, MatchQuantity = int.MaxValue, MatchRate = int.MaxValue, IncomingOrderFilled = true
});
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(60, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal(OrderId.MaxValue, fill.MakerOrderId);
Assert.Equal(OrderId.MaxValue, fill.TakerOrderId);
Assert.Equal((Price)int.MaxValue, fill.MatchRate);
Assert.Equal((Quantity)int.MaxValue, fill.MatchQuantity);
Assert.Equal(int.MaxValue, fill.Timestamp);
Assert.True(fill.IncomingOrderFilled);
}
public void Deserialize_Doesnotthrowexception()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = 12345678, TakerOrderId = 56789, Timestamp = 404, MatchQuantity = 2356, MatchRate = 9534, IncomingOrderFilled = true
});
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(60, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal((OrderId)12345678, fill.MakerOrderId);
Assert.Equal((OrderId)56789, fill.TakerOrderId);
Assert.Equal((Price)9534, fill.MatchRate);
Assert.Equal((Quantity)2356, fill.MatchQuantity);
Assert.Equal(404, fill.Timestamp);
Assert.True(fill.IncomingOrderFilled);
}
public void Deserialize_Doesnotthrowexception_AskRemainingQuantityNull()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = 12345678, TakerOrderId = 56789, Timestamp = 404, MatchQuantity = 2356, MatchRate = 9534, BidCost = 4347, AskRemainingQuantity = null
});
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(93, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal((OrderId)12345678, fill.MakerOrderId);
Assert.Equal((OrderId)56789, fill.TakerOrderId);
Assert.Equal(9534, fill.MatchRate);
Assert.Equal(2356, fill.MatchQuantity);
Assert.Equal(404, fill.Timestamp);
Assert.Equal(4347, fill.BidCost);
Assert.Null(fill.AskRemainingQuantity);
}
public void Deserialize_Doesnotthrowexception_Max()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MaxValue, TakerOrderId = OrderId.MaxValue, Timestamp = int.MaxValue, MatchQuantity = int.MaxValue, MatchRate = int.MaxValue, BidCost = Quantity.MaxValue, AskRemainingQuantity = Quantity.MaxValue
});
var messageLength = BitConverter.ToInt32(bytes, 0);
Assert.Equal(93, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal(OrderId.MaxValue, fill.MakerOrderId);
Assert.Equal(OrderId.MaxValue, fill.TakerOrderId);
Assert.Equal(int.MaxValue, fill.MatchRate);
Assert.Equal(int.MaxValue, fill.MatchQuantity);
Assert.Equal(int.MaxValue, fill.Timestamp);
Assert.Equal(Quantity.MaxValue, fill.AskRemainingQuantity);
Assert.Equal(Quantity.MaxValue, fill.BidCost);
}
public void Deserialize_Doesnotthrowexception_Min()
{
Span <byte> bytes = stackalloc byte[FillSerializer.MessageSize];
FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MinValue, TakerOrderId = OrderId.MinValue, Timestamp = int.MinValue, MatchQuantity = int.MinValue, MatchRate = int.MinValue, BidCost = Quantity.MinValue, BidFee = Quantity.MinValue, AskRemainingQuantity = Quantity.MinValue, AskFee = Quantity.MinValue
}, bytes);
var messageLength = BitConverter.ToInt32(bytes.Slice(0));
Assert.Equal(127, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal(OrderId.MinValue, fill.MakerOrderId);
Assert.Equal(OrderId.MinValue, fill.TakerOrderId);
Assert.Equal(int.MinValue, fill.MatchRate);
Assert.Equal(int.MinValue, fill.MatchQuantity);
Assert.Equal(int.MinValue, fill.Timestamp);
Assert.Equal(Quantity.MinValue, fill.BidCost);
Assert.Equal(Quantity.MinValue, fill.BidFee);
Assert.Equal(Quantity.MinValue, fill.AskRemainingQuantity);
Assert.Equal(Quantity.MinValue, fill.AskFee);
}
public void Deserialize_Doesnotthrowexception_AskRemainingQuantityNull()
{
Span <byte> bytes = stackalloc byte[FillSerializer.MessageSize];
FillSerializer.Serialize(new Fill {
MakerOrderId = 12345678, TakerOrderId = 56789, Timestamp = 404, MatchQuantity = 2356, MatchRate = 9534, BidCost = 4347, BidFee = 891434, AskRemainingQuantity = null, AskFee = null
}, bytes);
var messageLength = BitConverter.ToInt32(bytes.Slice(0));
Assert.Equal(127, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal((OrderId)12345678, fill.MakerOrderId);
Assert.Equal((OrderId)56789, fill.TakerOrderId);
Assert.Equal(9534, fill.MatchRate);
Assert.Equal(2356, fill.MatchQuantity);
Assert.Equal(404, fill.Timestamp);
Assert.Equal(4347, fill.BidCost);
Assert.Equal(891434, fill.BidFee);
Assert.Null(fill.AskRemainingQuantity);
Assert.Null(fill.AskFee);
}
public void Deserialize_Doesnotthrowexception()
{
Span <byte> bytes = stackalloc byte[FillSerializer.MessageSize];
FillSerializer.Serialize(new Fill {
MakerOrderId = 12345678, TakerOrderId = 56789, Timestamp = 404, MatchQuantity = 2356, MatchRate = 9534, BidCost = 4347, BidFee = 76157, AskRemainingQuantity = 87135, AskFee = 12103, MessageSequence = 6812379
}, bytes);
var messageLength = BitConverter.ToInt32(bytes.Slice(0));
Assert.Equal(135, messageLength);
var fill = FillSerializer.Deserialize(bytes);
Assert.Equal((OrderId)12345678, fill.MakerOrderId);
Assert.Equal((OrderId)56789, fill.TakerOrderId);
Assert.Equal(9534, fill.MatchRate);
Assert.Equal(2356, fill.MatchQuantity);
Assert.Equal(404, fill.Timestamp);
Assert.Equal(4347, fill.BidCost);
Assert.Equal(76157, fill.BidFee);
Assert.Equal(87135, fill.AskRemainingQuantity);
Assert.Equal(12103, fill.AskFee);
Assert.Equal(6812379, fill.MessageSequence);
}
public void fillBinarySerialize()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = 10001, MatchQuantity = 2000, MatchRate = 2400, TakerOrderId = 9999, Timestamp = 10303
});
}
public void Deserialize_ThrowsExecption_IfNullPassed()
{
ArgumentNullException ex = Assert.Throws <ArgumentNullException>(() => FillSerializer.Deserialize(null));
Assert.Equal("bytes", ex.ParamName);
}
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
};
}
public void Serialize_Doesnotthrowexception_Min()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MinValue, TakerOrderId = OrderId.MinValue, Timestamp = int.MinValue, MatchQuantity = int.MinValue, MatchRate = int.MinValue, IncomingOrderFilled = true
});
}
public void FillBinarySerialize()
{
Span <byte> bytes = stackalloc byte[FillSerializer.MessageSize];
FillSerializer.Serialize(fill, bytes);
}
public void Serialize_Doesnotthrowexception_Min()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = OrderId.MinValue, TakerOrderId = OrderId.MinValue, Timestamp = int.MinValue, MatchQuantity = int.MinValue, MatchRate = int.MinValue, BidCost = Quantity.MinValue, AskRemainingQuantity = Quantity.MinValue
});
}
public void fillBinaryDeserialize()
{
var fill = FillSerializer.Deserialize(fillBinary);
}
public void Serialize_Doesnotthrowexception_Max()
{
var bytes = FillSerializer.Serialize(new Fill {
MakerOrderId = ulong.MaxValue, TakerOrderId = ulong.MaxValue, Timestamp = long.MaxValue, MatchQuantity = int.MaxValue, MatchRate = int.MaxValue, IncomingOrderFilled = false
});
}
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 void FillBinaryDeserialize()
{
FillSerializer.Deserialize(fillBinary);
}
