public void AddBuyOrderBookToMemoryImage_ChecksWhetherOrderBooksGetAddedToImageListsPrperly_VerifiesImageListsToConfirm()
{
LimitOrderBook orderBook = new LimitOrderBook(CurrencyConstants.BtcUsd);
Order buyOrder1 = new Order(new OrderId("1"), CurrencyConstants.BtcUsd, new Price(1251), OrderSide.Buy,
OrderType.Limit, new Volume(250), new TraderId("1"));
Order buyOrder2 = new Order(new OrderId("2"), CurrencyConstants.BtcUsd, new Price(1250), OrderSide.Buy,
OrderType.Limit, new Volume(250), new TraderId("2"));
Order buyOrder3 = new Order(new OrderId("3"), CurrencyConstants.BtcUsd, new Price(1252), OrderSide.Buy,
OrderType.Limit, new Volume(250), new TraderId("3"));
Order buyOrder4 = new Order(new OrderId("4"), CurrencyConstants.BtcUsd, new Price(1251), OrderSide.Buy,
OrderType.Limit, new Volume(250), new TraderId("4"));
orderBook.AddOrder(buyOrder1);
orderBook.AddOrder(buyOrder2);
orderBook.AddOrder(buyOrder3);
orderBook.AddOrder(buyOrder4);
OrderBookMemoryImage orderBookMemory = new OrderBookMemoryImage();
orderBookMemory.OnOrderBookChanged(orderBook);
Assert.AreEqual(CurrencyConstants.BtcUsd, orderBookMemory.BidBooks.First().CurrencyPair, "Currency pair of the first book in the" +
" memory image's list of BidOrderBook representations");
Assert.AreEqual(4, orderBookMemory.BidBooks.First().Count(), "Count of the Bids in the first Bid Book present in the memory image");
Assert.AreEqual(0, orderBookMemory.AskBooks.First().Count(), "Count of the Asks in te first Ask Book present in the memory image");
}
public void InitializeOrderBookRepresentationForACurrency_ChecksWhetherTheOrderRepresentationBooksInitializeForCurrencies_VerifiesUsingMemoryImage()
{
OrderBookMemoryImage orderBookMemory = new OrderBookMemoryImage();
// At initialization, one OrderRepresentationBook gets initialized for bid and ask each
Assert.AreEqual(1, orderBookMemory.BidBooks.Count(), "Count of the Bid Books present in the memory image");
Assert.AreEqual(1, orderBookMemory.AskBooks.Count(), "Count of the Ask Books present in the memory image");
}
/// <summary>
/// Default constructor
/// </summary>
public MarketDataQueryService(OrderBookMemoryImage orderBookMemoryImage, DepthMemoryImage depthMemoryImage,
BBOMemoryImage bboMemoryImage, IOhlcRepository ohlcRepository, TickerInfoService tickerInfoService)
{
_orderBookMemoryImage = orderBookMemoryImage;
_depthMemoryImage = depthMemoryImage;
_bboMemoryImage = bboMemoryImage;
_ohlcRepository = ohlcRepository;
_tickerInfoService = tickerInfoService;
}
public void SellOrdersPartiallyFilledTest_ChecksIfFilledOrdersAreRepresentedCorrectlyInAskBooksVolumes_VerifiesThroughAskBookOutput()
{
LimitOrderBook orderBook = new LimitOrderBook(CurrencyConstants.BtcUsd);
Order buyOrder1 = new Order(new OrderId("1"), CurrencyConstants.BtcUsd, new Price(941), OrderSide.Buy,
OrderType.Limit, new Volume(100), new TraderId("1"));
Order buyOrder2 = new Order(new OrderId("2"), CurrencyConstants.BtcUsd, new Price(942), OrderSide.Buy,
OrderType.Limit, new Volume(200), new TraderId("2"));
Order buyOrder3 = new Order(new OrderId("3"), CurrencyConstants.BtcUsd, new Price(943), OrderSide.Buy,
OrderType.Limit, new Volume(300), new TraderId("3"));
Order buyOrder4 = new Order(new OrderId("4"), CurrencyConstants.BtcUsd, new Price(944), OrderSide.Buy,
OrderType.Limit, new Volume(400), new TraderId("4"));
Order sellOrder1 = new Order(new OrderId("5"), CurrencyConstants.BtcUsd, new Price(941), OrderSide.Sell,
OrderType.Limit, new Volume(200), new TraderId("5"));
Order sellOrder2 = new Order(new OrderId("6"), CurrencyConstants.BtcUsd, new Price(942), OrderSide.Sell,
OrderType.Limit, new Volume(400), new TraderId("6"));
Order sellOrder3 = new Order(new OrderId("7"), CurrencyConstants.BtcUsd, new Price(943), OrderSide.Sell,
OrderType.Limit, new Volume(600), new TraderId("7"));
Order sellOrder4 = new Order(new OrderId("8"), CurrencyConstants.BtcUsd, new Price(944), OrderSide.Sell,
OrderType.Limit, new Volume(800), new TraderId("8"));
orderBook.AddOrder(buyOrder1);
orderBook.AddOrder(buyOrder2);
orderBook.AddOrder(buyOrder3);
orderBook.AddOrder(buyOrder4);
orderBook.AddOrder(sellOrder4);
orderBook.AddOrder(sellOrder3);
orderBook.AddOrder(sellOrder2);
orderBook.AddOrder(sellOrder1);
OrderBookMemoryImage orderBookMemory = new OrderBookMemoryImage();
orderBookMemory.OnOrderBookChanged(orderBook);
Assert.AreEqual(CurrencyConstants.BtcUsd, orderBookMemory.BidBooks.First().CurrencyPair, "Currency pair of " +
"the first book in the memory image's list of BidOrderBook representations");
// Both books contain one currency pair
Assert.AreEqual(1, orderBookMemory.BidBooks.Count());
Assert.AreEqual(1, orderBookMemory.AskBooks.Count());
// Each currency pair contains several entries for the orders
Assert.AreEqual(0, orderBookMemory.BidBooks.First().Count(), "Count of the Bids in the first Bid Book present in the memory image");
Assert.AreEqual(4, orderBookMemory.AskBooks.First().Count(), "Count of the Asks in te first Ask Book present in the memory image");
// Check the Volume elements of the first order book in the Memory Image's list of Order representations
Assert.AreEqual(100, orderBookMemory.AskBooks.First().ToList()[0].Volume);
Assert.AreEqual(200, orderBookMemory.AskBooks.First().ToList()[1].Volume);
Assert.AreEqual(300, orderBookMemory.AskBooks.First().ToList()[2].Volume);
Assert.AreEqual(400, orderBookMemory.AskBooks.First().ToList()[3].Volume);
// Check Prices
Assert.AreEqual(941, orderBookMemory.AskBooks.First().ToList()[0].Price);
Assert.AreEqual(942, orderBookMemory.AskBooks.First().ToList()[1].Price);
Assert.AreEqual(943, orderBookMemory.AskBooks.First().ToList()[2].Price);
Assert.AreEqual(944, orderBookMemory.AskBooks.First().ToList()[3].Price);
}
public void GetOrderBookTest_ChecksIfOrderBookIsRetreivedProperly_ValidatesReturnedOrderBook()
{
// Get the context
// IApplicationContext applicationContext = ContextRegistry.GetContext();
// Get the instance through Spring configuration
MarketController marketController = (MarketController)_applicationContext["MarketController"];
LimitOrderBook limitOrderBook = new LimitOrderBook("XBTUSD");
Order buyOrder1 = OrderFactory.CreateOrder("1233", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 150, 481.34M, new StubbedOrderIdGenerator());
Order buyOrder2 = OrderFactory.CreateOrder("1234", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 50, 482.34M, new StubbedOrderIdGenerator());
Order buyOrder3 = OrderFactory.CreateOrder("1222", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 50, 483.34M, new StubbedOrderIdGenerator());
Order sellOrder1 = OrderFactory.CreateOrder("1233", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 150, 491.34M, new StubbedOrderIdGenerator());
Order sellOrder2 = OrderFactory.CreateOrder("1234", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 50, 492.34M, new StubbedOrderIdGenerator());
Order sellrder3 = OrderFactory.CreateOrder("1222", "XBTUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 50, 493.34M, new StubbedOrderIdGenerator());
limitOrderBook.PlaceOrder(buyOrder1);
limitOrderBook.PlaceOrder(buyOrder2);
limitOrderBook.PlaceOrder(buyOrder3);
limitOrderBook.PlaceOrder(sellOrder1);
limitOrderBook.PlaceOrder(sellOrder2);
limitOrderBook.PlaceOrder(sellrder3);
OrderBookMemoryImage orderBookMemoryImage = (OrderBookMemoryImage)_applicationContext["OrderBookMemoryImage"];
orderBookMemoryImage.OnOrderBookChanged(limitOrderBook);
IHttpActionResult httpActionResult = marketController.GetOrderBook("XBTUSD");
OkNegotiatedContentResult <object> okResponseMessage =
(OkNegotiatedContentResult <object>)httpActionResult;
OrderBookRepresentation representation = okResponseMessage.Content as OrderBookRepresentation;
Assert.IsNotNull(okResponseMessage);
Assert.IsNotNull(representation);
// Check the Currency Pair for Bid Book
Assert.AreEqual("XBTUSD", representation.Bids.CurrencyPair);
// Check the Currency Pair for Ask Book
Assert.AreEqual("XBTUSD", representation.Asks.CurrencyPair);
// Count of the number of Bids in the Bid Order Book
Assert.AreEqual(3, representation.Bids.Count());
// Count of the number of Asks in the Ask Order Book
Assert.AreEqual(3, representation.Asks.Count());
Assert.AreEqual(50, representation.Bids.ToList()[0].Volume); // Highest Bid Volumein Bid Order Book
Assert.AreEqual(483.34M, representation.Bids.ToList()[0].Price); // Highest Bid Price in Bid Order Book
Assert.AreEqual(150, representation.Asks.ToList()[0].Volume); // Highest Ask Volumein Ask Order Book
Assert.AreEqual(491.34M, representation.Asks.ToList()[0].Price); // Highest Ask Price in Ask Order Book
}
public void GetBidOrderBookTest_ChecksIfOrderBookIsretreivedSuccessfully_VerifiesOrderBookToSeeItContainsValuesAsExpected()
{
OrderBookMemoryImage orderBookMemoryImage = new OrderBookMemoryImage();
MarketDataQueryService memoryImageQueryService = new MarketDataQueryService(orderBookMemoryImage, null, null, null, null);
LimitOrderBook limitOrderBook = new LimitOrderBook("BTCUSD");
Order buyOrder1 = OrderFactory.CreateOrder("1233", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 941, new StubbedOrderIdGenerator());
Order buyOrder2 = OrderFactory.CreateOrder("1234", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 945, new StubbedOrderIdGenerator());
Order buyOrder3 = OrderFactory.CreateOrder("1234", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 946, new StubbedOrderIdGenerator());
Order buyOrder4 = OrderFactory.CreateOrder("12347", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 940, new StubbedOrderIdGenerator());
Order sellOrder1 = OrderFactory.CreateOrder("1244", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 949, new StubbedOrderIdGenerator());
Order sellOrder2 = OrderFactory.CreateOrder("1222", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 948, new StubbedOrderIdGenerator());
Order sellOrder3 = OrderFactory.CreateOrder("1222", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 947, new StubbedOrderIdGenerator());
Order sellOrder4 = OrderFactory.CreateOrder("127633", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 950, new StubbedOrderIdGenerator());
limitOrderBook.AddOrder(buyOrder1);
limitOrderBook.AddOrder(buyOrder2);
limitOrderBook.AddOrder(buyOrder3);
limitOrderBook.AddOrder(buyOrder4);
limitOrderBook.AddOrder(sellOrder1);
limitOrderBook.AddOrder(sellOrder2);
limitOrderBook.AddOrder(sellOrder3);
limitOrderBook.AddOrder(sellOrder4);
Assert.AreEqual(4, limitOrderBook.Bids.Count());
Assert.AreEqual(4, limitOrderBook.Asks.Count());
orderBookMemoryImage.OnOrderBookChanged(limitOrderBook);
OrderBookRepresentation orderBooksTuple = (OrderBookRepresentation)memoryImageQueryService.GetOrderBook("BTCUSD", 3);
Assert.AreEqual(3, orderBooksTuple.Bids.Count());
Assert.AreEqual("BTCUSD", orderBooksTuple.Bids.CurrencyPair);
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[0].Volume); // Volume
Assert.AreEqual(946, orderBooksTuple.Bids.ToList()[0].Price); // Price
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[1].Volume); // Volume
Assert.AreEqual(945, orderBooksTuple.Bids.ToList()[1].Price); // Price
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[2].Volume); // Volume
Assert.AreEqual(941, orderBooksTuple.Bids.ToList()[2].Price); // Price
}
public void CheckAskBookVolumes_ChecksWhetherOrderOfAsksPricesIsSameAsTheLimitOrderBook_VerifiesImageListsToConfirm()
{
LimitOrderBook orderBook = new LimitOrderBook(CurrencyConstants.BtcUsd);
Order sellOrder1 = new Order(new OrderId("1"), CurrencyConstants.BtcUsd, new Price(1251), OrderSide.Sell,
OrderType.Limit, new Volume(100), new TraderId("1"));
Order sellOrder2 = new Order(new OrderId("2"), CurrencyConstants.BtcUsd, new Price(1250), OrderSide.Sell,
OrderType.Limit, new Volume(200), new TraderId("2"));
Order sellOrder3 = new Order(new OrderId("3"), CurrencyConstants.BtcUsd, new Price(1252), OrderSide.Sell,
OrderType.Limit, new Volume(300), new TraderId("3"));
Order sellOrder4 = new Order(new OrderId("4"), CurrencyConstants.BtcUsd, new Price(1253), OrderSide.Sell,
OrderType.Limit, new Volume(400), new TraderId("4"));
orderBook.AddOrder(sellOrder1);
orderBook.AddOrder(sellOrder2);
orderBook.AddOrder(sellOrder3);
orderBook.AddOrder(sellOrder4);
OrderBookMemoryImage orderBookMemory = new OrderBookMemoryImage();
orderBookMemory.OnOrderBookChanged(orderBook);
Assert.AreEqual(CurrencyConstants.BtcUsd, orderBookMemory.AskBooks.First().CurrencyPair, "Currency pair of " +
"the first book in the memory image's list of BidOrderBook representations");
Assert.AreEqual(1, orderBookMemory.BidBooks.Count());
Assert.AreEqual(1, orderBookMemory.AskBooks.Count());
Assert.AreEqual(0, orderBookMemory.BidBooks.First().Count(), "Count of the Bids in the first Bid Book present in the memory image");
Assert.AreEqual(4, orderBookMemory.AskBooks.First().Count(), "Count of the Asks in te first Ask Book present in the memory image");
// Check the Prices elements of the first order book in the Memory Image's list of Order representations
Assert.AreEqual(200, orderBookMemory.AskBooks.First().ToList()[0].Volume);
Assert.AreEqual(100, orderBookMemory.AskBooks.First().ToList()[1].Volume);
Assert.AreEqual(300, orderBookMemory.AskBooks.First().ToList()[2].Volume);
Assert.AreEqual(400, orderBookMemory.AskBooks.First().ToList()[3].Volume);
Assert.AreEqual(1, orderBookMemory.BidBooks.Count());
Assert.AreEqual(1, orderBookMemory.AskBooks.Count());
}