public void AskDepthLevelsVolumeCheck_ChecksWhetherTheLevelshaveTheSameVolumeAsInDepthLevels_VerifiesFromTheAskDepthRepresentations()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
Depth depth = new Depth(CurrencyConstants.BtcUsd, 10);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(498), new Volume(800), OrderSide.Sell);
depth.AddOrder(new Price(493), new Volume(300), OrderSide.Sell);
depth.AddOrder(new Price(496), new Volume(600), OrderSide.Sell);
Assert.AreEqual(10, depth.BidLevels.Count());
Assert.AreEqual(10, depth.AskLevels.Count());
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
Assert.AreEqual(4, depthMemoryImage.AskDepths.First().Value.Count());
Assert.AreEqual(100, depthMemoryImage.AskDepths.First().Value.First().Volume);
Assert.AreEqual(300, depthMemoryImage.AskDepths.First().Value.ToList()[1].Volume);
Assert.AreEqual(600, depthMemoryImage.AskDepths.First().Value.ToList()[2].Volume);
Assert.AreEqual(800, depthMemoryImage.AskDepths.First().Value.ToList()[3].Volume);
}
public void GetAskDepthForACurrencyTest_TestsTheAskDepthRetreivalForAParticularCurrencyPair_ReturnsDepthLevelinformationForEachLevel()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
MarketDataQueryService memoryImageQueryService = new MarketDataQueryService(null, depthMemoryImage, null, null, null);
Depth depth = new Depth("BTCUSD", 10);
depth.AddOrder(new Price(941), new Volume(300), OrderSide.Buy);
depth.AddOrder(new Price(941), new Volume(200), OrderSide.Buy);
depth.AddOrder(new Price(942), new Volume(200), OrderSide.Buy);
depth.AddOrder(new Price(943), new Volume(500), OrderSide.Buy);
depth.AddOrder(new Price(948), new Volume(300), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(200), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(200), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(500), OrderSide.Sell);
depthMemoryImage.OnDepthArrived(depth);
var returnedDepth = memoryImageQueryService.GetDepth("BTCUSD") as DepthTupleRepresentation;
Assert.AreEqual(300, returnedDepth.AskDepth[0].Volume); // Aggregated Volume
Assert.AreEqual(948, returnedDepth.AskDepth[0].Price); // Price
Assert.AreEqual(1, returnedDepth.AskDepth[0].OrderCount); // OrderCount
Assert.AreEqual(900, returnedDepth.AskDepth[1].Volume); // Aggregated Volume
Assert.AreEqual(949, returnedDepth.AskDepth[1].Price); // Price
Assert.AreEqual(3, returnedDepth.AskDepth[1].OrderCount); // OrderCount
Assert.IsNull(returnedDepth.AskDepth[2]); // Second index is null as there is no depth level for it
}
/// <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 SellDepthMemoryImageInitialization_ChecksWhetherTheDictionariesInitializesAsExpected_ChecksTheCountForDepthDictionaries()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
Depth depth = new Depth(CurrencyConstants.BtcUsd, 10);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(498), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(493), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(496), new Volume(100), OrderSide.Sell);
Assert.AreEqual(10, depth.BidLevels.Count());
Assert.AreEqual(10, depth.AskLevels.Count());
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
Assert.AreEqual(4, depthMemoryImage.AskDepths.First().Value.Count());
}
public void GetDepthFromControllerTest_TestsTheLinkBetweenMarketControllerAndMArketQueryService_ChecksTheOutputToBeAsExpected()
{
// Get the context
//IApplicationContext applicationContext = ContextRegistry.GetContext();
// Get the instance through Spring configuration
MarketController marketController = (MarketController)_applicationContext["MarketController"];
Depth depth = new Depth("XBTUSD", 3);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(492), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(492), new Volume(200), OrderSide.Buy);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(490), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(490), new Volume(200), OrderSide.Sell);
DepthMemoryImage depthMemoryImage = (DepthMemoryImage)_applicationContext["DepthMemoryImage"];
depthMemoryImage.OnDepthArrived(depth);
IHttpActionResult httpActionResult = marketController.GetDepth("XBTUSD");
OkNegotiatedContentResult <object> result =
(OkNegotiatedContentResult <object>)httpActionResult;
DepthTupleRepresentation returnedDepths = result.Content as DepthTupleRepresentation;
Assert.IsNotNull(returnedDepths);
// Bid Depth First Element represented as Item1
Assert.AreEqual(300, returnedDepths.BidDepth.ToList()[0].Volume); // Aggregated Volume
Assert.AreEqual(492, returnedDepths.BidDepth.ToList()[0].Price); // Price
Assert.AreEqual(2, returnedDepths.BidDepth.ToList()[0].OrderCount); // OrderCount
// Ask Depth First Element represented as Item2
Assert.AreEqual(400, returnedDepths.AskDepth.ToList()[0].Volume); // Aggregated Volume
Assert.AreEqual(490, returnedDepths.AskDepth.ToList()[0].Price); // Price
Assert.AreEqual(3, returnedDepths.AskDepth.ToList()[0].OrderCount); // OrderCount
}
public void LastAskRemovedTest_TestsIfTheLastAskIsRemovedFromTheMemorymagesListOfDepths_VerifiesusingMemoryImagesAskBook()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
Depth depth = new Depth(CurrencyConstants.BtcUsd, 5);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Buy);
depth.AddOrder(new Price(498), new Volume(800), OrderSide.Buy);
depth.AddOrder(new Price(493), new Volume(300), OrderSide.Buy);
depth.AddOrder(new Price(496), new Volume(600), OrderSide.Buy);
depth.AddOrder(new Price(491), new Volume(100), OrderSide.Sell);
depth.AddOrder(new Price(498), new Volume(800), OrderSide.Sell);
depth.AddOrder(new Price(493), new Volume(300), OrderSide.Sell);
depth.AddOrder(new Price(496), new Volume(600), OrderSide.Sell);
// Checks first and last bid prices
Assert.AreEqual(498, depth.BidLevels[0].Price.Value);
Assert.AreEqual(491, depth.BidLevels[3].Price.Value);
// Checks first and last ask prices
Assert.AreEqual(491, depth.AskLevels[0].Price.Value);
Assert.AreEqual(498, depth.AskLevels[3].Price.Value);
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
// Bids in DepthMemoryImage
Assert.AreEqual(800, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Volume);
Assert.AreEqual(498, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].OrderCount);
Assert.AreEqual(600, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Volume);
Assert.AreEqual(496, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].OrderCount);
Assert.AreEqual(300, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Volume);
Assert.AreEqual(493, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].OrderCount);
Assert.AreEqual(100, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Volume);
Assert.AreEqual(491, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Price);
Assert.AreEqual(1, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].OrderCount);
// Asks in DepthMemoryImage
Assert.AreEqual(100, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].Volume);
Assert.AreEqual(491, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[0].OrderCount);
Assert.AreEqual(300, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].Volume);
Assert.AreEqual(493, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[1].OrderCount);
Assert.AreEqual(600, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].Volume);
Assert.AreEqual(496, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[2].OrderCount);
Assert.AreEqual(800, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].Volume);
Assert.AreEqual(498, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].Price);
Assert.AreEqual(1, depthMemoryImage.AskDepths.First().Value.DepthLevels[3].OrderCount);
DepthLevel depthLevel498 = depth.FindLevel(new Price(498), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel498, OrderSide.Sell);
DepthLevel depthLevel496 = depth.FindLevel(new Price(496), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel496, OrderSide.Sell);
DepthLevel depthLevel493 = depth.FindLevel(new Price(493), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel493, OrderSide.Sell);
DepthLevel depthLevel491 = depth.FindLevel(new Price(491), OrderSide.Sell, depth.AskLevels);
depth.EraseLevel(depthLevel491, OrderSide.Sell);
// Checks first and last bid prices
Assert.AreEqual(498, depth.BidLevels[0].Price.Value);
Assert.AreEqual(491, depth.BidLevels[3].Price.Value);
// Checks first and last ask prices
Assert.AreEqual(null, depth.AskLevels[0].Price);
Assert.AreEqual(null, depth.AskLevels[3].Price);
depthMemoryImage.OnDepthArrived(depth);
Assert.AreEqual(1, depthMemoryImage.BidDepths.Count());
Assert.AreEqual(1, depthMemoryImage.AskDepths.Count());
// Bids in DepthMemoryImage
Assert.AreEqual(498, depthMemoryImage.BidDepths.First().Value.DepthLevels[0].Price);
Assert.AreEqual(496, depthMemoryImage.BidDepths.First().Value.DepthLevels[1].Price);
Assert.AreEqual(493, depthMemoryImage.BidDepths.First().Value.DepthLevels[2].Price);
Assert.AreEqual(491, depthMemoryImage.BidDepths.First().Value.DepthLevels[3].Price);
// Asks in DepthMemoryImage
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[0]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[1]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[2]);
Assert.IsNull(depthMemoryImage.AskDepths.First().Value.DepthLevels[3]);
}
