public void OrdersAreSortedOnLastUpdateTimeIfPriceEqual(string order1,
string order2,
bool o1IsEarlier)
{
const int id1 = 1;
const int id2 = 2;
var earlyDate = new DateTime(2013, 01, 01, 10, 0, 0);
var lateDate = new DateTime(2013, 01, 01, 10, 0, 1);
var o1 = FakeOrder.CreateOrderFromString(id1, order1);
var o2 = FakeOrder.CreateOrderFromString(id2, order2);
o1.LastUpdateTime = o1IsEarlier ? earlyDate : lateDate;
o2.LastUpdateTime = o1IsEarlier ? lateDate : earlyDate;
Assert.AreEqual(o1.Price, o2.Price, "Orders must have same price for this test");
var orders = new[] { o1, o2 };
var sorted = new SortedSet <IOrder>(orders, new OrderStack.StandardOrderComparer());
Assert.AreEqual(2, sorted.Count, "Sorting has changed the number of orders!");
if (o1IsEarlier)
{
Assert.AreEqual(id1, sorted.ElementAt(0).ID, "Order 1 should be first in the list");
Assert.AreEqual(id2, sorted.ElementAt(1).ID, "Order 2 should be second in the list");
}
else
{
Assert.AreEqual(id2, sorted.ElementAt(0).ID, "Order 2 should be first in the list");
Assert.AreEqual(id1, sorted.ElementAt(1).ID, "Order 1 should be second in the list");
}
}
public void AttemptingToSortABidAndAnAskThrows()
{
var o1 = FakeOrder.CreateOrderFromString(1, "Limit;TEST;Bid;20@10");
var o2 = FakeOrder.CreateOrderFromString(2, "Limit;TEST;Ask;20@10");
Assert.Throws <InvalidOperationException>(
() => new SortedSet <IOrder>(new[] { o1, o2 }, new OrderStack.StandardOrderComparer()));
}
public void AttemptingToSortANullOrderThrows(bool order1Null, bool order2Null)
{
var o1 = order1Null ? null : FakeOrder.CreateOrderFromString(1, "Limit;TEST;Bid;20@10");
var o2 = order2Null ? null : FakeOrder.CreateOrderFromString(2, "Limit;TEST;Bid;20@11");
Assert.Throws <InvalidOperationException>(
() => new SortedSet <IOrder>(new[] { o1, o2 }, new OrderStack.StandardOrderComparer()));
}
// TODO Test market order matching if we ever support them
// Price, priority vs limit orders etc
private static Tuple <SortedSet <IOrder>, SortedSet <IOrder> > BuildStack(
IEnumerable <string> orderStrings)
{
long id = 0;
var orders = orderStrings.Select(s => FakeOrder.CreateOrderFromString(++id, s)).ToArray();
var bids = orders.Where(o => o.MarketSide == MarketSide.Bid);
var asks = orders.Where(o => o.MarketSide == MarketSide.Ask);
return(Tuple.Create(DefaultSort(bids), DefaultSort(asks)));
}
public void OrdersAreSortedByIDIfAllElseIsEqual(string order1,
string order2)
{
const int id1 = 1;
const int id2 = 2;
var orders = new List <FakeOrder>
{
FakeOrder.CreateOrderFromString(id1, order1),
FakeOrder.CreateOrderFromString(id2, order2)
};
var t = DateTime.UtcNow;
orders.ForEach(o => o.LastUpdateTime = t);
var sorted = new SortedSet <IOrder>(orders, new OrderStack.StandardOrderComparer());
Assert.AreEqual(2, sorted.Count, "Sorting has changed the number of orders!");
Assert.AreEqual(id1, sorted.ElementAt(0).ID, "Order 1 should be first in the list");
Assert.AreEqual(id2, sorted.ElementAt(1).ID, "Order 2 should be second in the list");
}
public void TwoTradesMatchingProducesTwoMatchNotifications()
{
var matcher = new StandardOrderMatcher();
var orderRepository = new StandardOrderRepository(matcher);
var matchRecorder = new MatchRecorder();
orderRepository.OrdersMatched += matchRecorder.OnMatch;
var ask = FakeOrder.CreateOrderFromString(1, "Limit;TEST;Ask;10@10");
var bid = FakeOrder.CreateOrderFromString(1, "Limit;TEST;Bid;10@10");
AddOrderToRepository(ask, orderRepository);
AddOrderToRepository(bid, orderRepository);
orderRepository.MatchOrders(bid.Contract);
Assert.AreEqual(1, matchRecorder.Matches.Count);
var matches = matchRecorder.Matches[0];
Assert.AreEqual(2, matches.OrderMatches.Count());
}
public void TwoAsksAreSortedByAscendingPrice(string a1, string a2, bool ask1Better)
{
// Note that quantity, last update time, ID don't come into it yet
const int id1 = 1;
const int id2 = 2;
var asks = new[]
{
FakeOrder.CreateOrderFromString(id1, a1),
FakeOrder.CreateOrderFromString(id2, a2)
};
var sorted = new SortedSet <IOrder>(asks, new OrderStack.StandardOrderComparer());
Assert.AreEqual(2, sorted.Count, "Sorting has changed the number of orders!");
if (ask1Better)
{
Assert.AreEqual(id1, sorted.ElementAt(0).ID, "Ask 1 should be first in the list");
Assert.AreEqual(id2, sorted.ElementAt(1).ID, "Ask 2 should be second in the list");
}
else
{
Assert.AreEqual(id2, sorted.ElementAt(0).ID, "Ask 2 should be first in the list");
Assert.AreEqual(id1, sorted.ElementAt(1).ID, "Ask 1 should be second in the list");
}
}
private FakeOrder DefaultOrder(long orderID)
{
return(FakeOrder.CreateOrderFromString(orderID, "Limit;TEST;Bid;10@100"));
}