Limit_order_is_accepted_by_empty_exchange
(LimitOrder limitOrder,
Market market)
{
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var side = limitOrder.OrderInfo.Side;
// first make sure exchange's orderbook is empty
var someOrderBook = exchange[market];
Assert.That(someOrderBook[Side.Bid].Count(), Is.EqualTo(0),
"initial exchange state should be zero orders (buy)");
Assert.That(someOrderBook[Side.Ask].Count(), Is.EqualTo(0),
"initial exchange state should be zero orders (sell)");
SendOrder(exchange, limitOrder, market);
var someOrderBookAgain = exchange[market];
Assert.That(someOrderBookAgain[side].Count(), Is.EqualTo(1));
var uniqueLimitOrder = someOrderBookAgain[side].Tip.Value;
Assert.That(uniqueLimitOrder.OrderInfo.Side, Is.EqualTo(side));
Assert.That(uniqueLimitOrder.Price,
Is.EqualTo(limitOrder.Price));
Assert.That(uniqueLimitOrder.OrderInfo.Quantity,
Is.EqualTo(limitOrder.OrderInfo.Quantity));
Assert.That(someOrderBookAgain[side.Other()].Count(), Is.EqualTo(0));
yield return(exchange);
}
}
private static void MakerOnly_order_can_not_cross_another_limit_order_of_same_amount_and_same_price_and_should_be_rejected
(Side side)
{
var quantity = 1;
var price = 10000;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity), price);
SendOrder(exchange, firstLimitOrder, market);
var secondLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(), quantity), price);
Assert.Throws <MatchExpectationsUnmet>(() =>
{
SendOrder(exchange, secondLimitMatchingOrder, market);
});
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(1));
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(0));
}
}
private static void Limit_orders_of_different_sides_and_different_price_can_match
(Side side)
{
var quantity = 1;
var price = 1000;
var opposingPrice = side == Side.Bid ? price - 1 : price + 1;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity), price);
SendOrder(exchange, firstLimitOrder, market);
var secondLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(), quantity),
opposingPrice);
var maybeMatch = SendOrder(exchange, secondLimitOrder, market);
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(0));
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(0));
Assert.That(maybeMatch, Is.Not.Null);
Assert.That(maybeMatch.Value.IsFull);
}
}
private static void Limit_orders_of_same_side_never_match(Side side)
{
var quantity = 1;
var price = 10000;
var secondAndThirdPrice = price + 1;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity),
price);
var maybeMatch = SendOrder(exchange, firstLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var secondLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity),
secondAndThirdPrice);
maybeMatch = SendOrder(exchange, secondLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var thirdLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity),
secondAndThirdPrice);
maybeMatch = SendOrder(exchange, thirdLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var allLimitOrdersSent = new List <LimitOrder> {
firstLimitOrder, secondLimitOrder, thirdLimitOrder
};
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(0));
var ourSide = new List <LimitOrder>();
var orderBookThisSide = orderBookAgain[side];
while (true)
{
try
{
var tip = orderBookThisSide.Tip.Value;
ourSide.Add(tip);
orderBookThisSide = orderBookThisSide.Tail.Value;
}
catch
{
break;
}
}
AssertAreSameOrdersRegardlessOfOrder(ourSide, allLimitOrdersSent);
}
}
CreateNewExchangeAndSendTheseOrdersToIt
(IEnumerable <LimitOrder> orders)
{
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var someMarket = new Market(Currency.BTC, Currency.USD);
foreach (var order in orders)
{
SendOrder(exchange, order, someMarket);
}
yield return(exchange[someMarket]);
}
}
private static void Limit_order_crosses_one_limit_order_and_stays_partially_after_no_more_liquidity_left_in_one_side(Side side)
{
var quantityOfThePreviouslySittingOrder = 1;
var quantityOfIncomingOrder = quantityOfThePreviouslySittingOrder + 1;
var price = 10000;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side,
quantityOfThePreviouslySittingOrder),
price);
var maybeMatch = SendOrder(exchange, firstLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var incomingLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(),
quantityOfIncomingOrder),
price);
maybeMatch = SendOrder(exchange,
incomingLimitMatchingOrder,
market);
Assert.That(maybeMatch, Is.Not.Null);
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(0));
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(1));
var leftOverLimitOrder = orderBookAgain[side.Other()].Tip.Value;
Assert.That(leftOverLimitOrder.OrderInfo.Side,
Is.EqualTo(incomingLimitMatchingOrder.OrderInfo.Side));
Assert.That(leftOverLimitOrder.Price,
Is.EqualTo(price));
Assert.That(leftOverLimitOrder.OrderInfo.Quantity,
Is.EqualTo(quantityOfIncomingOrder - quantityOfThePreviouslySittingOrder));
Assert.That(maybeMatch.Value.IsPartial, Is.True);
var amount = ((Match.Partial)maybeMatch.Value).Item;
Assert.That(amount,
Is.EqualTo(quantityOfThePreviouslySittingOrder));
}
}
private static void Limit_order_that_matches_when_inserted_always_chooses_the_best_price_even_if_trader_was_stupid_to_choose_a_worse_price(Side side)
{
var quantity = 1;
var tipPrice = 10000;
var notTipPrice = side == Side.Bid ? tipPrice / 2 : tipPrice * 2;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var tipLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity),
tipPrice);
var maybeMatch = SendOrder(exchange, tipLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var nonTipLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity),
notTipPrice);
maybeMatch = SendOrder(exchange, nonTipLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var incomingLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(),
quantity),
notTipPrice);
maybeMatch = SendOrder(exchange,
incomingLimitMatchingOrder,
market);
var orderBook = exchange[market];
Assert.That(orderBook[side.Other()].Count(), Is.EqualTo(0));
Assert.That(orderBook[side].Count(), Is.EqualTo(1));
var leftOverLimitOrder = orderBook[side].Tip.Value;
Assert.That(leftOverLimitOrder.OrderInfo.Side,
Is.EqualTo(side));
Assert.That(leftOverLimitOrder.OrderInfo.Quantity,
Is.EqualTo(quantity));
Assert.That(leftOverLimitOrder.Price,
Is.EqualTo(notTipPrice));
Assert.That(maybeMatch, Is.Not.Null);
Assert.That(maybeMatch.Value.IsFull, Is.True);
}
}
private static void Limit_order_crosses_two_limit_orders_of_same_price(Side side)
{
var quantityOfEachOfTheSittingOrders = 1;
var quantityOfIncomingOrder = quantityOfEachOfTheSittingOrders * 2;
var price = 10000;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side,
quantityOfEachOfTheSittingOrders),
price);
var maybeMatch = SendOrder(exchange, firstLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var secondLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side,
quantityOfEachOfTheSittingOrders),
price);
maybeMatch = SendOrder(exchange,
secondLimitMatchingOrder,
market);
Assert.That(maybeMatch, Is.Null);
var incomingLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(),
quantityOfIncomingOrder),
price);
maybeMatch = SendOrder(exchange,
incomingLimitMatchingOrder,
market);
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(0));
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(0));
Assert.That(maybeMatch, Is.Not.Null);
Assert.That(maybeMatch.Value.IsFull);
}
}
private static void MakerOnly_orders_of_different_sides_but_different_price_dont_match
(Side side)
{
var quantity = 1;
var price = 10000;
var opposingPrice = side == Side.Bid ? price + 1 : price - 1;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstMakerOnlyOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side, quantity), price);
SendOrder(exchange, firstMakerOnlyOrder, market);
var secondMakerOnlyOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(), quantity),
opposingPrice);
SendOrder(exchange, secondMakerOnlyOrder, market);
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(1));
var aLimitOrder = orderBookAgain[side].Tip.Value;
Assert.That(aLimitOrder.OrderInfo.Side,
Is.EqualTo(firstMakerOnlyOrder.OrderInfo.Side));
Assert.That(aLimitOrder.Price,
Is.EqualTo(firstMakerOnlyOrder.Price));
Assert.That(aLimitOrder.OrderInfo.Quantity,
Is.EqualTo(firstMakerOnlyOrder.OrderInfo.Quantity));
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(1));
var anotherLimitOrder = orderBookAgain[side.Other()].Tip.Value;
Assert.That(anotherLimitOrder.OrderInfo.Side,
Is.EqualTo(secondMakerOnlyOrder.OrderInfo.Side));
Assert.That(anotherLimitOrder.Price,
Is.EqualTo(secondMakerOnlyOrder.Price));
Assert.That(anotherLimitOrder.OrderInfo.Quantity,
Is.EqualTo(secondMakerOnlyOrder.OrderInfo.Quantity));
}
}
private static void Limit_order_half_crosses_another_limit_order_of_same_price
(Side side)
{
var quantityOfFirstOrder = 2;
var quantityOfSecondOrder = quantityOfFirstOrder - 1;
var price = 10000;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var orderBook = exchange[market];
var firstLimitOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side,
quantityOfFirstOrder),
price);
var maybeMatch = SendOrder(exchange, firstLimitOrder, market);
Assert.That(maybeMatch, Is.Null);
var secondLimitMatchingOrder =
new LimitOrder(new OrderInfo(Guid.NewGuid(), side.Other(),
quantityOfSecondOrder),
price);
maybeMatch = SendOrder(exchange,
secondLimitMatchingOrder,
market);
var orderBookAgain = exchange[market];
Assert.That(orderBookAgain[side.Other()].Count(), Is.EqualTo(0));
Assert.That(orderBookAgain[side].Count(), Is.EqualTo(1));
var leftOverLimitOrder = orderBookAgain[side].Tip.Value;
Assert.That(leftOverLimitOrder.OrderInfo.Side,
Is.EqualTo(side));
Assert.That(leftOverLimitOrder.Price,
Is.EqualTo(price));
Assert.That(leftOverLimitOrder.OrderInfo.Quantity,
Is.EqualTo(quantityOfFirstOrder - quantityOfSecondOrder));
Assert.That(maybeMatch, Is.Not.Null);
Assert.That(maybeMatch.Value.IsFull, Is.True);
}
}
private void Market_order_throws_on_exchange_with_no_limit_orders_and_orderbooks_are_left_intact(Side side)
{
var quantityForMarketOrder = 1;
var market = new Market(Currency.BTC, Currency.USD);
foreach (var exchange in BasicTests.CreateExchangesOfDifferentTypes())
{
var marketOrder =
new OrderInfo(Guid.NewGuid(), side, quantityForMarketOrder);
Assert.Throws <LiquidityProblem>(() =>
{
exchange.SendMarketOrder(marketOrder, market);
});
var btcUsdOrderBookAfterException = exchange[market];
Assert.That(btcUsdOrderBookAfterException[Side.Ask].Count(),
Is.EqualTo(0));
Assert.That(btcUsdOrderBookAfterException[Side.Bid].Count(),
Is.EqualTo(0));
}
}