public void PerfectMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google","GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 10, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 10;
fill2.originalOrder = order2;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 0);
}
public void LopsidedMatchTest()
{
FIFOTradeMatcher matcher = new FIFOTradeMatcher();
List<Trade> matches = new List<Trade>();
Equity p = new Equity("Google", "GOOG");
Order order1 = new Order(p, 10, Order.Side.BUY);
Order order2 = new Order(p, 5, Order.Side.SELL);
Order order3 = new Order(p, 25, Order.Side.BUY);
Order order4 = new Order(p, 7, Order.Side.SELL);
Order order5 = new Order(p, 12, Order.Side.SELL);
Fill fill1 = new Fill();
fill1.price = 100;
fill1.qty = 10;
fill1.originalOrder = order1;
Fill fill2 = new Fill();
fill2.price = 100;
fill2.qty = 5;
fill2.originalOrder = order2;
Fill fill3 = new Fill();
fill3.price = 100;
fill3.qty = 20;
fill3.originalOrder = order3;
Fill fill4 = new Fill();
fill4.price = 100;
fill4.qty = 6;
fill4.originalOrder = order4;
Fill fill5 = new Fill();
fill5.price = 100;
fill5.qty = 12;
fill5.originalOrder = order5;
List<Fill> fills = new List<Fill>();
fills.Add(fill1);
fills.Add(fill2);
fills.Add(fill3);
fills.Add(fill4);
fills.Add(fill5);
matches = matcher.match(fills);
Assert.IsTrue(matches.Count == 1 && fills.Count == 3);
}
//start strategy
private void startStrategy(int id, Dictionary<PARMS, String> parms)
{
if (runningStrategy == null)
{
Equity eq1 = new Equity(parms[PARMS.Ticker1], parms[PARMS.Ticker1]);
List<Product> products = new List<Product>();
products.Add(eq1);
switch (id)
{
case 0:
runningStrategy = new PairStrategy(products, brokers, Int32.Parse(parms[PARMS.BuyQty]));
break;
case 1:
runningStrategy = new BasicPairTradeStrategy();
break;
}
runningStrategy.start();
}
}