public void PartialFillForGreaterThanOrEqualToCurrentQuantityThrows(decimal orderQty,
decimal fillQty)
{
var totalQ = orderQty;
var clipQ = orderQty;
var expected = DefaultFakeOrderRecord(quantity: totalQ);
var mockServer = new Mock <IServerFacade>();
mockServer.Setup(s => s.CreateOrder(It.IsAny <OrderRecord>())).Returns(true);
const decimal priceDelta = 0;
var iceberg = new IcebergOrder(mockServer.Object,
expected.Symbol,
expected.ClOrdID,
expected.Side,
expected.Quantity,
clipQ,
expected.Price,
priceDelta);
iceberg.Activate();
const string orderID = "FakeOrderID";
iceberg.ActivatedMarketOrderAccepted(orderID);
Assert.Throws <ApplicationException>(() => iceberg.OnPartialFill(fillQty));
mockServer.Verify(s => s.CreateOrder(It.IsAny <OrderRecord>()),
Times.Once());
}
public void PartialFillAdjustsLastTradedTime()
{
const decimal totalQ = 20;
const decimal clipQ = 10;
var expected = DefaultFakeOrderRecord(quantity: totalQ);
var mockServer = new Mock <IServerFacade>();
mockServer.Setup(s => s.CreateOrder(It.IsAny <OrderRecord>())).Returns(true);
const decimal priceDelta = 0;
var iceberg = new IcebergOrder(mockServer.Object,
expected.Symbol,
expected.ClOrdID,
expected.Side,
expected.Quantity,
clipQ,
expected.Price,
priceDelta);
iceberg.Activate();
const string orderID = "FakeOrderID";
iceberg.ActivatedMarketOrderAccepted(orderID);
const decimal fillQ = 5;
Assert.IsNull(iceberg.LastTradedTime);
iceberg.OnPartialFill(fillQ);
Assert.NotNull(iceberg.LastTradedTime);
mockServer.Verify(s => s.CreateOrder(It.IsAny <OrderRecord>()),
Times.Once());
}
public void PartialFillAdjustsCurrentAndRemainingQuantity()
{
const decimal totalQ = 20;
const decimal clipQ = 10;
var expected = DefaultFakeOrderRecord(quantity: totalQ);
var mockServer = new Mock <IServerFacade>();
mockServer.Setup(s => s.CreateOrder(It.IsAny <OrderRecord>())).Returns(true);
const decimal priceDelta = 0;
var iceberg = new IcebergOrder(mockServer.Object,
expected.Symbol,
expected.ClOrdID,
expected.Side,
expected.Quantity,
clipQ,
expected.Price,
priceDelta);
iceberg.Activate();
const string orderID = "FakeOrderID";
iceberg.ActivatedMarketOrderAccepted(orderID);
const decimal fillQ = 5;
iceberg.OnPartialFill(fillQ);
mockServer.Verify(s => s.CreateOrder(It.IsAny <OrderRecord>()),
Times.Once());
Assert.AreEqual(clipQ - fillQ,
iceberg.CurrentQuantity,
"Current quantity not updated correctly");
Assert.AreEqual(totalQ - fillQ,
iceberg.RemainingQuantity,
"Remaining quantity not updated correctly");
}
public void PartialFillThenTotalFillOnlyRemovesAClipSizeOfQuantity()
{
const decimal totalQ = 25;
const decimal clipQ = 10;
var expected = DefaultFakeOrderRecord(quantity: totalQ);
var mockServer = new Mock <IServerFacade>();
mockServer.Setup(s => s.CreateOrder(It.IsAny <OrderRecord>())).Returns(true);
const decimal priceDelta = 0;
var iceberg = new IcebergOrder(mockServer.Object,
expected.Symbol,
expected.ClOrdID,
expected.Side,
expected.Quantity,
clipQ,
expected.Price,
priceDelta);
iceberg.Activate();
var idGen = new SimpleOrderIDGenerator();
iceberg.ActivatedMarketOrderAccepted(idGen.GetID());
iceberg.OnPartialFill(5);
iceberg.OnTotalFill();
mockServer.Verify(s => s.CreateOrder(It.IsAny <OrderRecord>()),
Times.Exactly(2));
Assert.AreEqual(clipQ,
iceberg.CurrentQuantity,
"Order not refilled to correct clip size");
Assert.AreEqual(totalQ - clipQ,
iceberg.RemainingQuantity,
"Remaining quantity should be total minus one clip");
}
public void PartialFillWhileOrderInactiveThrows()
{
var expected = DefaultFakeOrderRecord();
var mockServer = new Mock <IServerFacade>();
mockServer.Setup(s => s.CreateOrder(It.IsAny <OrderRecord>())).Returns(true);
var clipSize = expected.Quantity;
const decimal priceDelta = 0;
var iceberg = new IcebergOrder(mockServer.Object,
expected.Symbol,
expected.ClOrdID,
expected.Side,
expected.Quantity,
clipSize,
expected.Price,
priceDelta);
Assert.AreEqual(IcebergOrder.ActivationState.Suspended,
iceberg.State,
"Order should not be active");
Assert.Throws <ApplicationException>(() => iceberg.OnPartialFill(1));
}