public void ShouldNotTriggerSellSideOnHigherBidAndAskPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 40, WayEnum.Sell);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(50, 51, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsFalse(triggerResult);
Assert.IsFalse(triggered);
}
public void ShouldNotTriggerBuySideOnLowerBidPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 10.4d, WayEnum.Buy);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(9.4d, null, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsFalse(triggerResult);
Assert.IsFalse(triggered);
}
public IStopLimitOrder NewStopLimitOrder(string symbol, int clientId, double triggerPrice, double limitPrice, int quantity, WayEnum way)
{
if (!ClientStopLimitOrders.ContainsKey(clientId))
ClientStopLimitOrders.Add(clientId, new EditableList<IStopLimitOrder>());
var trigger = new BestPriceTrigger(symbol, triggerPrice, way);
var toReturn = new StopLimitOrder(symbol, quantity, limitPrice, triggerPrice, way, clientId, trigger );
toReturn.SetExchangeOrderId(globalItemCounter);
StopLimitOrders.Add(globalItemCounter, toReturn);
ClientStopLimitOrders[clientId].Add(toReturn);
toReturn.RegisterOrderRepositoryDeleteHandler(HandleDeletedStopLimitOrder);
globalItemCounter++;
return toReturn;
}
public void ShouldRemoveTriggerWhenTriggerIsExecuted()
{
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var book = new OrderBook("ABC", limitOrderMatchingAlgorithmMock, marketOrderMatchingAlgorithmMock, orderBookBestBidAsk);
var trigger = new BestPriceTrigger("ABC", 10, WayEnum.Buy);
var stopOrder = new StopLimitOrder("abc", 10, 90, 90, WayEnum.Buy, 2, trigger);
trigger.SetTriggerAction(() =>
{
stopOrder.Delete();
});
book.AddStopLimitOrder(stopOrder);
Assert.AreEqual(trigger, book.BuySideStopLimitOrders[0].Trigger);
orderBookBestBidAsk.Set(11,12, 100, 100);
trigger.TryExecute(orderBookBestBidAsk);
Assert.AreEqual(0, book.BuySideStopLimitOrders.Count);
}
public void ShouldNotMatchSellStopLimitOrderLowerThanMarket()
{
var executions = new List<INewExecution>();
var orderBookBestBidAsk = new OrderBookBestBidAsk("ABC");
var matchAlgo = new LimitOrderMatchingAlgorithm(new DateService());
matchAlgo.AddExecutionsHandler(executions.Add);
var book = new OrderBook("ABC", matchAlgo, marketOrderMatchingAlgorithmMock, orderBookBestBidAsk);
var sellOrder1 = new LimitOrder("ABC", 10, 1161.8d, WayEnum.Sell, 9);
book.AddLimitOrder(sellOrder1);
var buyOrder1 = new LimitOrder("ABC", 10, 1161.7d, WayEnum.Buy, 9);
book.AddLimitOrder(buyOrder1);
var trigger = new BestPriceTrigger("ABC", 1160, WayEnum.Sell);
trigger.SetTriggerAction(() =>
{
Console.WriteLine("Boom!");
int i = 0;
});
var sellStopLimit = new StopLimitOrder("ABC", 1, 1160,1160, WayEnum.Sell, 5, trigger);
book.AddStopLimitOrder(sellStopLimit);
Assert.AreEqual(0, executions.Count);
}
public void ShouldTriggerBuySideOnEqualBidHigherAskPrice()
{
bool triggered = false;
var trigger = new BestPriceTrigger("abc", 50d, WayEnum.Buy);
trigger.SetTriggerAction(() => triggered = true);
var bb = new OrderBookBestBidAsk("abc");
bb.Set(50, 51, 1, 1);
var triggerResult = trigger.TryExecute(bb);
Assert.IsTrue(triggerResult);
Assert.IsTrue(triggered);
}