public void Should_Process_Update_Message_With_More_Fields()
{
// Arrange
var level1MessageDynamicHandler = new Level1MessageDynamicHandler();
// set more fields that are currently used in UpdateSummaryMessage
level1MessageDynamicHandler.SetDynamicFields(
DynamicFieldset.Symbol,
DynamicFieldset.MostRecentTrade,
DynamicFieldset.MostRecentTradeSize,
DynamicFieldset.MostRecentTradeTime,
DynamicFieldset.MostRecentTradeMarketCenter,
DynamicFieldset.TotalVolume,
DynamicFieldset.Bid,
DynamicFieldset.BidSize,
DynamicFieldset.Ask,
DynamicFieldset.AskSize,
DynamicFieldset.Open,
DynamicFieldset.High,
DynamicFieldset.Low,
DynamicFieldset.Close,
DynamicFieldset.MessageContents,
DynamicFieldset.MostRecentTradeConditions,
DynamicFieldset.MostRecentTradeDate,
DynamicFieldset.Volatility,
DynamicFieldset.VWAP);
var msg = "Q,AAPL,123.0000,50,19:59:53.475143,11,0,123.0000,1700,123.0500,200,,,,123.0000,Cbacv,400142,04/01/2021,,0.0000,\r\n";
var msgBytes = Encoding.ASCII.GetBytes(msg);
var count = msgBytes.Length;
level1MessageDynamicHandler.Update += message => { };
const int ExecutionsCount = 5;
var results = new double[ExecutionsCount];
for (int i = 0; i < ExecutionsCount; i++)
{
var sw = Stopwatch.StartNew();
for (var j = 0; j < 1000000; j++)
{
level1MessageDynamicHandler.ProcessMessages(msgBytes, count);
}
sw.Stop();
results[i] = sw.Elapsed.TotalMilliseconds;
Console.WriteLine(sw.Elapsed.TotalMilliseconds);
}
Console.WriteLine($"Min: {results.Min()}");
Console.WriteLine($"Avg: {results.Average()}");
Console.WriteLine($"Max: {results.Max()}");
}
public void Should_Throw_Exception_When_Dynamic_Field_Type_Requested()
{
// Arrange
var level1DynamicHandler = new Level1MessageDynamicHandler();
var fields = new[]
{
DynamicFieldset.Symbol,
DynamicFieldset.Type
};
// Assert
Assert.Throws <ArgumentException>(() => level1DynamicHandler.SetDynamicFields(fields));
}
public void Should_Process_Update_Message_With_Standard_Fields()
{
// Arrange
var level1MessageDynamicHandler = new Level1MessageDynamicHandler();
// set the exact fields that are currently used in good old UpdateSummaryMessage
level1MessageDynamicHandler.SetDynamicFields(
DynamicFieldset.Symbol,
DynamicFieldset.MostRecentTrade,
DynamicFieldset.MostRecentTradeSize,
DynamicFieldset.MostRecentTradeTime,
DynamicFieldset.MostRecentTradeMarketCenter,
DynamicFieldset.TotalVolume,
DynamicFieldset.Bid,
DynamicFieldset.BidSize,
DynamicFieldset.Ask,
DynamicFieldset.AskSize,
DynamicFieldset.Open,
DynamicFieldset.High,
DynamicFieldset.Low,
DynamicFieldset.Close,
DynamicFieldset.MessageContents,
DynamicFieldset.MostRecentTradeConditions);
var msg = "Q,AAPL,322.7500,40,16:53:23.256494,11,37629453,322.6800,100,322.8700,100,312.6000,318.4000,312.1900,308.9500,ba,873D17,\r\n";
var msgBytes = Encoding.ASCII.GetBytes(msg);
var count = msgBytes.Length;
level1MessageDynamicHandler.Update += message => { };
const int ExecutionsCount = 5;
var results = new double[ExecutionsCount];
for (int i = 0; i < ExecutionsCount; i++)
{
var sw = Stopwatch.StartNew();
for (var j = 0; j < 1000000; j++)
{
level1MessageDynamicHandler.ProcessMessages(msgBytes, count);
}
sw.Stop();
results[i] = sw.Elapsed.TotalMilliseconds;
Console.WriteLine(sw.Elapsed.TotalMilliseconds);
}
Console.WriteLine($"Min: {results.Min()}");
Console.WriteLine($"Avg: {results.Average()}");
Console.WriteLine($"Max: {results.Max()}");
}
public void Should_Process_Update_Message_With_Less_Fields()
{
// Arrange
var level1MessageDynamicHandler = new Level1MessageDynamicHandler();
// set less fields that are currently used in UpdateSummaryMessage
level1MessageDynamicHandler.SetDynamicFields(
DynamicFieldset.Symbol,
DynamicFieldset.MostRecentTrade,
DynamicFieldset.MostRecentTradeSize,
DynamicFieldset.MostRecentTradeTime,
DynamicFieldset.TotalVolume);
var msg = "Q,AAPL,123.0000,50,19:59:53.475143,0,\r\n";
var msgBytes = Encoding.ASCII.GetBytes(msg);
var count = msgBytes.Length;
level1MessageDynamicHandler.Update += message => { };
const int ExecutionsCount = 5;
var results = new double[ExecutionsCount];
for (int i = 0; i < ExecutionsCount; i++)
{
var sw = Stopwatch.StartNew();
for (var j = 0; j < 1000000; j++)
{
level1MessageDynamicHandler.ProcessMessages(msgBytes, count);
}
sw.Stop();
results[i] = sw.Elapsed.TotalMilliseconds;
Console.WriteLine(sw.Elapsed.TotalMilliseconds);
}
Console.WriteLine($"Min: {results.Min()}");
Console.WriteLine($"Avg: {results.Average()}");
Console.WriteLine($"Max: {results.Max()}");
}
public void SetUp()
{
_level1MessageHandler = new Level1MessageDynamicHandler();
_level1Client = Level1ClientFactory.CreateNew(_level1MessageHandler);
_level1Client.Connect();
}