public void TestHuobiOrderbookDeserializer()
{
//Arrange:
//sample websocket message from Huobi for an orderbook refresh:
string sampleWebsocketMessage = "{\"ch\":\"market.btcusdt.mbp.refresh.10\",\"ts\":1611504245560,\"tick\":{\"seqNum\":119437040567,\"bids\":[[32115.28,0.02],[32115.13,0.15],[32114.05,0.072382],[32113.94,0.066716],[32113.61,0.02],[32113.52,2.521393],[32113.48,0.117404],[32109.42,0.139009],[32108.76,0.123],[32108.25,0.11175]],\"asks\":[[32115.29,0.005],[32115.69,0.03],[32116.2,0.01759],[32118.17,0.03],[32118.86,0.03],[32119.61,0.12],[32120.41,0.08],[32121.51,0.125775],[32121.64,0.03563],[32124.4,0.001]]}}";
//expected deserialized orderbook:
var expectedOrderbook = new HuobiOrderbook();
expectedOrderbook.Sequence = 119437040567;
expectedOrderbook.Symbol = "BTCUSDT";
expectedOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialBids.TryAdd(32115.28m, 0.02m);
expectedOrderbook.OfficialBids.TryAdd(32115.13m, 0.15m);
expectedOrderbook.OfficialBids.TryAdd(32114.05m, 0.072382m);
expectedOrderbook.OfficialBids.TryAdd(32113.94m, 0.066716m);
expectedOrderbook.OfficialBids.TryAdd(32113.61m, 0.02m);
expectedOrderbook.OfficialBids.TryAdd(32113.52m, 2.521393m);
expectedOrderbook.OfficialBids.TryAdd(32113.48m, 0.117404m);
expectedOrderbook.OfficialBids.TryAdd(32109.42m, 0.139009m);
expectedOrderbook.OfficialBids.TryAdd(32108.76m, 0.123m);
expectedOrderbook.OfficialBids.TryAdd(32108.25m, 0.11175m);
expectedOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
expectedOrderbook.OfficialAsks.TryAdd(32115.29m, 0.005m);
expectedOrderbook.OfficialAsks.TryAdd(32115.69m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32116.2m, 0.01759m);
expectedOrderbook.OfficialAsks.TryAdd(32118.17m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32118.86m, 0.03m);
expectedOrderbook.OfficialAsks.TryAdd(32119.61m, 0.12m);
expectedOrderbook.OfficialAsks.TryAdd(32120.41m, 0.08m);
expectedOrderbook.OfficialAsks.TryAdd(32121.51m, 0.125775m);
expectedOrderbook.OfficialAsks.TryAdd(32121.64m, 0.03563m);
expectedOrderbook.OfficialAsks.TryAdd(32124.4m, 0.001m);
//Act: run the sample websocket message through the Huobi OrderbookConverter
IOrderbook testOrderbook = (IOrderbook)JsonSerializer.Deserialize(sampleWebsocketMessage, typeof(HuobiOrderbook));
//Assert: test that the actual outcome matches the expected outcome
Assert.AreEqual(expectedOrderbook.Symbol, testOrderbook.Symbol);
Assert.AreEqual(expectedOrderbook.Sequence, testOrderbook.Sequence);
Assert.IsTrue(expectedOrderbook.OfficialAsks.Count == testOrderbook.OfficialAsks.Count &&
expectedOrderbook.OfficialBids.Count == testOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(expectedOrderbook, testOrderbook));
}
public void TestHuobiOrderbookMerge()
{
//Arrange
//Beginning Orderbooks: one empty, one with 10 values, one with 5 values
var dummyExchange = new HuobiExchange("huobi");
dummyExchange.ProfitableSymbolMapping.TryAdd("dummy", DateTime.UtcNow);
var beginningEmptyOrderbook = new HuobiOrderbook();
var beginningFullOrderbook = new HuobiOrderbook();
beginningFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
beginningFullOrderbook.OfficialBids.TryAdd(32115.28m, 0.02m);
beginningFullOrderbook.OfficialBids.TryAdd(32115.13m, 0.15m);
beginningFullOrderbook.OfficialBids.TryAdd(32114.05m, 0.072382m);
beginningFullOrderbook.OfficialBids.TryAdd(32113.94m, 0.066716m);
beginningFullOrderbook.OfficialBids.TryAdd(32113.61m, 0.02m);
beginningFullOrderbook.OfficialBids.TryAdd(32113.52m, 2.521393m);
beginningFullOrderbook.OfficialBids.TryAdd(32113.48m, 0.117404m);
beginningFullOrderbook.OfficialBids.TryAdd(32109.42m, 0.139009m);
beginningFullOrderbook.OfficialBids.TryAdd(32108.76m, 0.123m);
beginningFullOrderbook.OfficialBids.TryAdd(32108.25m, 0.11175m);
beginningFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
beginningFullOrderbook.OfficialAsks.TryAdd(32115.29m, 0.005m);
beginningFullOrderbook.OfficialAsks.TryAdd(32115.69m, 0.03m);
beginningFullOrderbook.OfficialAsks.TryAdd(32116.2m, 0.01759m);
beginningFullOrderbook.OfficialAsks.TryAdd(32118.17m, 0.03m);
beginningFullOrderbook.OfficialAsks.TryAdd(32118.86m, 0.03m);
beginningFullOrderbook.OfficialAsks.TryAdd(32119.61m, 0.12m);
beginningFullOrderbook.OfficialAsks.TryAdd(32120.41m, 0.08m);
beginningFullOrderbook.OfficialAsks.TryAdd(32121.51m, 0.125775m);
beginningFullOrderbook.OfficialAsks.TryAdd(32121.64m, 0.03563m);
beginningFullOrderbook.OfficialAsks.TryAdd(32124.4m, 0.001m);
var beginningHalfFullOrderbook = new HuobiOrderbook();
beginningHalfFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
beginningHalfFullOrderbook.OfficialBids.TryAdd(32115.28m, 0.02m);
beginningHalfFullOrderbook.OfficialBids.TryAdd(32115.13m, 0.15m);
beginningHalfFullOrderbook.OfficialBids.TryAdd(32114.05m, 0.072382m);
beginningHalfFullOrderbook.OfficialBids.TryAdd(32113.94m, 0.066716m);
beginningHalfFullOrderbook.OfficialBids.TryAdd(32113.61m, 0.02m);
beginningHalfFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
beginningHalfFullOrderbook.OfficialAsks.TryAdd(32115.29m, 0.005m);
beginningHalfFullOrderbook.OfficialAsks.TryAdd(32115.69m, 0.03m);
beginningHalfFullOrderbook.OfficialAsks.TryAdd(32116.2m, 0.01759m);
beginningHalfFullOrderbook.OfficialAsks.TryAdd(32118.17m, 0.03m);
beginningHalfFullOrderbook.OfficialAsks.TryAdd(32118.86m, 0.03m);
beginningEmptyOrderbook.Symbol = "BTCUSDT";
beginningHalfFullOrderbook.Symbol = "BTCUSDT";
beginningFullOrderbook.Symbol = "BTCUSDT";
beginningEmptyOrderbook.Sequence = 1;
beginningHalfFullOrderbook.Sequence = 1;
beginningFullOrderbook.Sequence = 1;
beginningEmptyOrderbook.Exchange = dummyExchange;
beginningHalfFullOrderbook.Exchange = dummyExchange;
beginningFullOrderbook.Exchange = dummyExchange;
//arrange orderbook updates: one empty, one full, one with 6 values
var updateFullOrderbook = new HuobiOrderbook();
updateFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
updateFullOrderbook.OfficialBids.TryAdd(1m, 0.02m);
updateFullOrderbook.OfficialBids.TryAdd(2m, 0.15m);
updateFullOrderbook.OfficialBids.TryAdd(3m, 0.072382m);
updateFullOrderbook.OfficialBids.TryAdd(4m, 0.066716m);
updateFullOrderbook.OfficialBids.TryAdd(5m, 0.02m);
updateFullOrderbook.OfficialBids.TryAdd(6m, 2.521393m);
updateFullOrderbook.OfficialBids.TryAdd(7m, 0.117404m);
updateFullOrderbook.OfficialBids.TryAdd(8m, 0.139009m);
updateFullOrderbook.OfficialBids.TryAdd(9m, 0.123m);
updateFullOrderbook.OfficialBids.TryAdd(10m, 0.11175m);
updateFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
updateFullOrderbook.OfficialAsks.TryAdd(11m, 0.005m);
updateFullOrderbook.OfficialAsks.TryAdd(12m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(13m, 0.01759m);
updateFullOrderbook.OfficialAsks.TryAdd(14m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(15m, 0.03m);
updateFullOrderbook.OfficialAsks.TryAdd(16m, 0.12m);
updateFullOrderbook.OfficialAsks.TryAdd(17m, 0.08m);
updateFullOrderbook.OfficialAsks.TryAdd(18m, 0.125775m);
updateFullOrderbook.OfficialAsks.TryAdd(19m, 0.03563m);
updateFullOrderbook.OfficialAsks.TryAdd(20m, 0.001m);
var updateHalfFullOrderbook = new HuobiOrderbook();
updateHalfFullOrderbook.OfficialBids = new ConcurrentDictionary <decimal, decimal>();
updateHalfFullOrderbook.OfficialBids.TryAdd(1m, 0.02m);
updateHalfFullOrderbook.OfficialBids.TryAdd(2m, 0.15m);
updateHalfFullOrderbook.OfficialBids.TryAdd(3m, 0.072382m);
updateHalfFullOrderbook.OfficialBids.TryAdd(4m, 0.066716m);
updateHalfFullOrderbook.OfficialBids.TryAdd(5m, 0.02m);
updateHalfFullOrderbook.OfficialAsks = new ConcurrentDictionary <decimal, decimal>();
updateHalfFullOrderbook.OfficialAsks.TryAdd(6m, 0.005m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(7m, 0.03m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(8m, 0.01759m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(9m, 0.03m);
updateHalfFullOrderbook.OfficialAsks.TryAdd(10m, 0.03m);
updateFullOrderbook.Sequence = 2;
updateHalfFullOrderbook.Sequence = 2;
updateFullOrderbook.Exchange = dummyExchange;
updateHalfFullOrderbook.Exchange = dummyExchange;
updateFullOrderbook.Symbol = "BTCUSDT";
updateHalfFullOrderbook.Symbol = "BTCUSDT";
//Act: run the following merge combinations:
// empty beginning orderbook -> full update | full beginning -> half-full update | half-full beginning to full update
beginningEmptyOrderbook.Merge(updateFullOrderbook);
beginningFullOrderbook.Merge(updateHalfFullOrderbook);
beginningHalfFullOrderbook.Merge(updateFullOrderbook);
//Assert: check that the beginning orderbooks now match the updates
Assert.IsTrue(beginningEmptyOrderbook.OfficialAsks.Count == updateFullOrderbook.OfficialAsks.Count &&
beginningEmptyOrderbook.OfficialBids.Count == updateFullOrderbook.OfficialBids.Count);
Assert.IsTrue(beginningFullOrderbook.OfficialAsks.Count == updateHalfFullOrderbook.OfficialAsks.Count &&
beginningFullOrderbook.OfficialBids.Count == updateHalfFullOrderbook.OfficialBids.Count);
Assert.IsTrue(beginningHalfFullOrderbook.OfficialAsks.Count == updateFullOrderbook.OfficialAsks.Count &&
beginningHalfFullOrderbook.OfficialBids.Count == updateFullOrderbook.OfficialBids.Count);
Assert.IsTrue(CheckLayers(updateFullOrderbook, beginningEmptyOrderbook));
Assert.IsTrue(CheckLayers(updateHalfFullOrderbook, beginningFullOrderbook));
Assert.IsTrue(CheckLayers(updateFullOrderbook, beginningHalfFullOrderbook));
}
