public void GetRatesTest_ChecksTheRatesForAllCurrencyPairsSubmittingDepthLevels_ChecksTheRatesReturnedToVerify()
{
MarketController marketController = (MarketController)_applicationContext["MarketController"];
BBOMemoryImage bboMemoryImage = (BBOMemoryImage)_applicationContext["BBOMemoryImage"];
DepthLevel xbtUsdBidLevel = new DepthLevel(new Price(491));
DepthLevel ltcUsdBidLevel = new DepthLevel(new Price(492));
DepthLevel btcUsdBidLevel = new DepthLevel(new Price(493));
DepthLevel xbtUsdAskLevel = new DepthLevel(new Price(494));
DepthLevel ltcUsdAskLevel = new DepthLevel(new Price(495));
DepthLevel btcUsdAskLevel = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", xbtUsdBidLevel, xbtUsdAskLevel);
bboMemoryImage.OnBBOArrived("LTC/USD", ltcUsdBidLevel, ltcUsdAskLevel);
bboMemoryImage.OnBBOArrived("BTC/USD", btcUsdBidLevel, btcUsdAskLevel);
IHttpActionResult httpActionResult = marketController.GetAllRates();
OkNegotiatedContentResult <RatesList> returnedOkRate = (OkNegotiatedContentResult <RatesList>)httpActionResult;
RatesList ratesList = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", ratesList.ToList()[0].CurrencyPair);
Assert.AreEqual(492.5, ratesList.ToList()[0].RateValue); // MidPoint of xbtUsdBidLevel = 491 & xbtUsdAskLevel = 494
Assert.AreEqual("LTC/USD", ratesList.ToList()[1].CurrencyPair);
Assert.AreEqual(493.5, ratesList.ToList()[1].RateValue); // MidPoint of ltcUsdBidLevel = 492 & ltcUsdAskLevel = 495
Assert.AreEqual("BTC/USD", ratesList.ToList()[2].CurrencyPair);
Assert.AreEqual(494.5, ratesList.ToList()[2].RateValue); // MidPoint of btcUsdBidLevel = 493 & btcUsdAskLevel = 496
}
/// <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 GetRateTest_ChecksTheRateForTheGivenCurrencyPairAfterSubmittingDepthLevels_ChecksTheRateReturnedToVerify()
{
MarketController marketController = (MarketController)_applicationContext["MarketController"];
BBOMemoryImage bboMemoryImage = (BBOMemoryImage)_applicationContext["BBOMemoryImage"];
DepthLevel bidLevel1 = new DepthLevel(new Price(491));
DepthLevel bidLevel2 = new DepthLevel(new Price(492));
DepthLevel bidLevel3 = new DepthLevel(new Price(493));
DepthLevel askLevel1 = new DepthLevel(new Price(494));
DepthLevel askLevel2 = new DepthLevel(new Price(495));
DepthLevel askLevel3 = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel1, askLevel1);
IHttpActionResult httpActionResult = marketController.GetRate("XBT/USD");
OkNegotiatedContentResult <Rate> returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
Rate rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(492.5, rate.RateValue); // MidPoint of bidLevel1 = 491 & askLevel1 = 494
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel2, askLevel2);
httpActionResult = marketController.GetRate("XBT/USD");
returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(493.5, rate.RateValue); // MidPoint of bidLevel2 = 492 & askLevel2 = 495
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel3, askLevel3);
httpActionResult = marketController.GetRate("XBT/USD");
returnedOkRate = (OkNegotiatedContentResult <Rate>)httpActionResult;
rate = returnedOkRate.Content;
Assert.AreEqual("XBT/USD", rate.CurrencyPair);
Assert.AreEqual(494.5, rate.RateValue); // MidPoint of bidLevel3 = 493 & askLevel3 = 496
}
public void AddRatesForMultiplkeCurrenciesTest_AddRatesForMultipleCurrenciesAndExpectsAListOfRates_VerifiesThroughTheReturnedRateList()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel xbtUsdBidLevel = new DepthLevel(new Price(491));
DepthLevel ltcUsdBidLevel = new DepthLevel(new Price(492));
DepthLevel btcUsdBidLevel = new DepthLevel(new Price(493));
DepthLevel xbtUsdAskLevel = new DepthLevel(new Price(494));
DepthLevel ltcUsdAskLevel = new DepthLevel(new Price(495));
DepthLevel btcUsdAskLevel = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", xbtUsdBidLevel, xbtUsdAskLevel);
bboMemoryImage.OnBBOArrived("LTC/USD", ltcUsdBidLevel, ltcUsdAskLevel);
bboMemoryImage.OnBBOArrived("BTC/USD", btcUsdBidLevel, btcUsdAskLevel);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(492.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of xbtUsdBidLevel = 491 & xbtUsdAskLevel = 494
Assert.AreEqual("LTC/USD", bboMemoryImage.RatesList.ToList()[1].CurrencyPair);
Assert.AreEqual(493.5, bboMemoryImage.RatesList.ToList()[1].RateValue); // MidPoint of ltcUsdBidLevel = 492 & ltcUsdAskLevel = 495
Assert.AreEqual("BTC/USD", bboMemoryImage.RatesList.ToList()[2].CurrencyPair);
Assert.AreEqual(494.5, bboMemoryImage.RatesList.ToList()[2].RateValue); // MidPoint of btcUsdBidLevel = 493 & btcUsdAskLevel = 496
}
public void GetBboTest_ChecksIfTheBboIsRetreivedSuccessfully_ReturnsBboForCurrencypairIfPresent()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
MarketDataQueryService queryService = new MarketDataQueryService(null, null, bboMemoryImage, null, null);
DepthLevel bestBid = new DepthLevel(new Price(491));
bestBid.IncreaseVolume(new Volume(100));
DepthLevel bestAsk = new DepthLevel(new Price(492));
bestAsk.IncreaseVolume(new Volume(200));
bboMemoryImage.OnBBOArrived("BTCUSD", bestBid, bestAsk);
BBORepresentation bboRepresentation = queryService.GetBBO("BTCUSD");
Assert.IsNotNull(bboRepresentation);
Assert.AreEqual(bestBid.Price.Value, bboRepresentation.BestBidPrice);
Assert.AreEqual(bestBid.AggregatedVolume.Value, bboRepresentation.BestBidVolume);
Assert.AreEqual(bestBid.OrderCount, bboRepresentation.BestBidOrderCount);
Assert.AreEqual(bestAsk.Price.Value, bboRepresentation.BestAskPrice);
Assert.AreEqual(bestAsk.AggregatedVolume.Value, bboRepresentation.BestAskVolume);
Assert.AreEqual(bestAsk.OrderCount, bboRepresentation.BestAskOrderCount);
}
public void AddRateTest_TestIfTheRateForACurrencyPairIsAsExpected_VerifiesThroughTheReturnedRate()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel bidLevel1 = new DepthLevel(new Price(491));
DepthLevel bidLevel2 = new DepthLevel(new Price(492));
DepthLevel bidLevel3 = new DepthLevel(new Price(493));
DepthLevel askLevel1 = new DepthLevel(new Price(494));
DepthLevel askLevel2 = new DepthLevel(new Price(495));
DepthLevel askLevel3 = new DepthLevel(new Price(496));
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel1, askLevel1);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(492.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel1 = 491 & askLevel1 = 494
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel2, askLevel2);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(493.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel2 = 492 & askLevel2 = 495
bboMemoryImage.OnBBOArrived("XBT/USD", bidLevel3, askLevel3);
Assert.AreEqual("XBT/USD", bboMemoryImage.RatesList.ToList()[0].CurrencyPair);
Assert.AreEqual(494.5, bboMemoryImage.RatesList.ToList()[0].RateValue); // MidPoint of bidLevel3 = 493 & askLevel3 = 496
}
public void BboAddTest_ChecksWhetherTheBestBidAndOfferAreAddedSuccessfully_VerifiesBBoListFromMEmoryImage()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
DepthLevel bestBid = new DepthLevel(new Price(491));
bestBid.IncreaseVolume(new Volume(600));
bestBid.UpdateOrderCount(1);
DepthLevel bestAsk = new DepthLevel(new Price(496));
bestAsk.IncreaseVolume(new Volume(500));
bestAsk.UpdateOrderCount(1);
bboMemoryImage.OnBBOArrived("XTCUSD", bestBid, bestAsk);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.Count());
Assert.AreEqual(491, bboMemoryImage.BBORepresentationList.First().BestBidPrice);
Assert.AreEqual(496, bboMemoryImage.BBORepresentationList.First().BestAskPrice);
Assert.AreEqual(600, bboMemoryImage.BBORepresentationList.First().BestBidVolume);
Assert.AreEqual(500, bboMemoryImage.BBORepresentationList.First().BestAskVolume);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.First().BestBidOrderCount);
Assert.AreEqual(1, bboMemoryImage.BBORepresentationList.First().BestAskOrderCount);
}
public TickerInfoService(ITickerInfoRepository tickerInfoRepository, BBOMemoryImage bboMemoryImage)
{
_tickerInfoRepository = tickerInfoRepository;
_bboMemoryImage = bboMemoryImage;
}
