public void ToInstructionRoundsSizeToTwoDecimalsPlaces(double size, double rounded)
{
var order = new LimitOrder(1, Side.Back, 1.01, size);
var expected = new LimitOrderBuilder(1, Side.Back, 1.01, rounded).ExpectedInstructionJson();
Assert.Equal(expected, order.ToInstruction());
}
public void HandleBelowMinimumStakeForLayOrders(double size, double price, double expectedSize, double expectedPrice)
{
var order = new LimitOrder(12345, Side.Lay, price, size);
var expected = new LimitOrderBuilder(12345, Side.Lay, expectedPrice, expectedSize).ExpectedInstructionJson();
Assert.Equal(expected, order.ToInstruction());
}
public void PriceIsRoundedToNearestValidPrice(double price, double expectedPrice)
{
var order = new LimitOrder(1, Side.Back, price, 2);
var expected = new LimitOrderBuilder(1, Side.Back, expectedPrice, 2).ExpectedInstructionJson();
Assert.Equal(expected, order.ToInstruction());
}
public void InitialPriceForSmallOrdersIsValid(double size, double validPrice)
{
var order = new LimitOrder(12345, Side.Lay, validPrice, size);
var expected = new LimitOrderBuilder(12345, Side.Lay, validPrice, 2)
.ExpectedInstructionJson();
Assert.Equal(expected, order.ToInstruction());
}
public void ToInstructionReturnsNullIfProfitRatioIsInvalid(double price, double size)
{
var layOrder = new LimitOrder(12345, Side.Lay, price, size);
Assert.Null(layOrder.ToInstruction());
var backOrder = new LimitOrder(12345, Side.Back, price, size);
Assert.Null(backOrder.ToInstruction());
}
public async Task LimitOrderIsPlaced(string marketId, long selectionId, Side side, double price, double size)
{
var limitOrder = new LimitOrder(selectionId, side, price, size);
await _orderService.Place(marketId, new List <LimitOrder> {
limitOrder
});
var expected = $"{{\"marketId\":\"{marketId}\",\"instructions\":[{limitOrder.ToInstruction()}]}}";
Assert.Equal(expected, _exchange.SentParameters["placeOrders"]);
}
public async Task MultipleLimitOrdersArePlaced()
{
var order1 = new LimitOrder(12345, Side.Back, 1.01, 2.00);
var order2 = new LimitOrder(98765, Side.Lay, 1000, 9.99);
var limitOrders = new List <LimitOrder> {
order1, order2
};
await _orderService.Place("MarketId", limitOrders);
var expected = $"{{\"marketId\":\"MarketId\",\"instructions\":[{order1.ToInstruction()},{order2.ToInstruction()}]}}";
Assert.Equal(expected, _exchange.SentParameters["placeOrders"]);
}
public async Task DoNotPlaceOrdersOfZeroSize()
{
var validOrder = new LimitOrder(1, Side.Lay, 2.5, 9.99);
var orders = new List <LimitOrder>
{
validOrder,
new LimitOrder(2, Side.Back, 2.5, 0),
};
await _orderService.Place("1.2345", orders);
var expected = $"{{\"marketId\":\"1.2345\",\"instructions\":[{validOrder.ToInstruction()}]}}";
Assert.Equal(expected, _exchange.SentParameters["placeOrders"]);
}
public async Task DoNotPlaceOrdersWithAnInvalidProfitRatio()
{
var validOrder = new LimitOrder(1, Side.Lay, 2.5, 9.99);
var invalidOrder = new LimitOrder(1, Side.Lay, 1.09, 0.08);
var orders = new List <LimitOrder>
{
validOrder,
invalidOrder,
};
await _orderService.Place("1.2345", orders);
var expected = $"{{\"marketId\":\"1.2345\",\"instructions\":[{validOrder.ToInstruction()}]}}";
Assert.Equal(expected, _exchange.SentParameters["placeOrders"]);
}
public async Task BelowMinimumLimitOrdersArePlacedWithReference(string marketId, long selectionId, Side side, double size, double price, string reference)
{
var limitOrder = new LimitOrder(selectionId, side, price, size);
await _orderService.Place(marketId, new List <LimitOrder> {
limitOrder
}, reference);
var placeInstruction = $"{{\"marketId\":\"{marketId}\",\"customerStrategyRef\":\"{reference}\",\"instructions\":[{limitOrder.ToInstruction()}]}}";
var cancelInstruction = $"{{\"marketId\":\"{marketId}\",\"instructions\":[{limitOrder.ToBelowMinimumCancelInstruction()}]}}";
var replaceInstruction = $"{{\"marketId\":\"{marketId}\",\"customerStrategyRef\":\"{reference}\",\"instructions\":[{limitOrder.ToBelowMinimumReplaceInstruction()}]}}";
Assert.Equal(placeInstruction, _exchange.SentParameters["placeOrders"]);
Assert.Equal(cancelInstruction, _exchange.SentParameters["cancelOrders"]);
Assert.Equal(replaceInstruction, _exchange.SentParameters["replaceOrders"]);
}