public void CalculateAverageFillPrice()
{
var orderbook = new TestableSymbolOrderBook();
orderbook.SetData(new List <ISymbolOrderBookEntry>
{
new BookEntry {
Price = 1, Quantity = 1
},
new BookEntry {
Price = 1.1m, Quantity = 1
},
},
new List <ISymbolOrderBookEntry>()
{
new BookEntry {
Price = 1.2m, Quantity = 1
},
new BookEntry {
Price = 1.3m, Quantity = 1
},
});
var resultBids = orderbook.CalculateAverageFillPrice(2, OrderBookEntryType.Bid);
var resultAsks = orderbook.CalculateAverageFillPrice(2, OrderBookEntryType.Ask);
var resultBids2 = orderbook.CalculateAverageFillPrice(1.5m, OrderBookEntryType.Bid);
var resultAsks2 = orderbook.CalculateAverageFillPrice(1.5m, OrderBookEntryType.Ask);
Assert.True(resultBids.Success);
Assert.True(resultAsks.Success);
Assert.AreEqual(1.05m, resultBids.Data);
Assert.AreEqual(1.25m, resultAsks.Data);
Assert.AreEqual(1.06666667m, resultBids2.Data);
Assert.AreEqual(1.23333333m, resultAsks2.Data);
}
public void GivenEmptyAskList_WhenBestAsk_ThenEmptySymbolOrderBookEntry()
{
var symbolOrderBook = new TestableSymbolOrderBook();
Assert.IsNotNull(symbolOrderBook.BestBid);
Assert.AreEqual(0m, symbolOrderBook.BestBid.Price);
Assert.AreEqual(0m, symbolOrderBook.BestAsk.Quantity);
}
public void GivenEmptyBidAndAskList_WhenBestOffers_ThenEmptySymbolOrderBookEntries()
{
var symbolOrderBook = new TestableSymbolOrderBook();
Assert.IsNotNull(symbolOrderBook.BestOffers);
Assert.IsNotNull(symbolOrderBook.BestOffers.Bid);
Assert.IsNotNull(symbolOrderBook.BestOffers.Ask);
Assert.AreEqual(0m, symbolOrderBook.BestOffers.Bid.Price);
Assert.AreEqual(0m, symbolOrderBook.BestOffers.Bid.Quantity);
Assert.AreEqual(0m, symbolOrderBook.BestOffers.Ask.Price);
Assert.AreEqual(0m, symbolOrderBook.BestOffers.Ask.Quantity);
}
