public void GetAskDepthForACurrencyTest_TestsTheAskDepthRetreivalForAParticularCurrencyPair_ReturnsDepthLevelinformationForEachLevel()
{
DepthMemoryImage depthMemoryImage = new DepthMemoryImage();
MarketDataQueryService memoryImageQueryService = new MarketDataQueryService(null, depthMemoryImage, null, null, null);
Depth depth = new Depth("BTCUSD", 10);
depth.AddOrder(new Price(941), new Volume(300), OrderSide.Buy);
depth.AddOrder(new Price(941), new Volume(200), OrderSide.Buy);
depth.AddOrder(new Price(942), new Volume(200), OrderSide.Buy);
depth.AddOrder(new Price(943), new Volume(500), OrderSide.Buy);
depth.AddOrder(new Price(948), new Volume(300), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(200), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(200), OrderSide.Sell);
depth.AddOrder(new Price(949), new Volume(500), OrderSide.Sell);
depthMemoryImage.OnDepthArrived(depth);
var returnedDepth = memoryImageQueryService.GetDepth("BTCUSD") as DepthTupleRepresentation;
Assert.AreEqual(300, returnedDepth.AskDepth[0].Volume); // Aggregated Volume
Assert.AreEqual(948, returnedDepth.AskDepth[0].Price); // Price
Assert.AreEqual(1, returnedDepth.AskDepth[0].OrderCount); // OrderCount
Assert.AreEqual(900, returnedDepth.AskDepth[1].Volume); // Aggregated Volume
Assert.AreEqual(949, returnedDepth.AskDepth[1].Price); // Price
Assert.AreEqual(3, returnedDepth.AskDepth[1].OrderCount); // OrderCount
Assert.IsNull(returnedDepth.AskDepth[2]); // Second index is null as there is no depth level for it
}
public void GetBidOrderBookTest_ChecksIfOrderBookIsretreivedSuccessfully_VerifiesOrderBookToSeeItContainsValuesAsExpected()
{
OrderBookMemoryImage orderBookMemoryImage = new OrderBookMemoryImage();
MarketDataQueryService memoryImageQueryService = new MarketDataQueryService(orderBookMemoryImage, null, null, null, null);
LimitOrderBook limitOrderBook = new LimitOrderBook("BTCUSD");
Order buyOrder1 = OrderFactory.CreateOrder("1233", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 941, new StubbedOrderIdGenerator());
Order buyOrder2 = OrderFactory.CreateOrder("1234", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 945, new StubbedOrderIdGenerator());
Order buyOrder3 = OrderFactory.CreateOrder("1234", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 946, new StubbedOrderIdGenerator());
Order buyOrder4 = OrderFactory.CreateOrder("12347", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_BUY, 100, 940, new StubbedOrderIdGenerator());
Order sellOrder1 = OrderFactory.CreateOrder("1244", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 949, new StubbedOrderIdGenerator());
Order sellOrder2 = OrderFactory.CreateOrder("1222", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 948, new StubbedOrderIdGenerator());
Order sellOrder3 = OrderFactory.CreateOrder("1222", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 947, new StubbedOrderIdGenerator());
Order sellOrder4 = OrderFactory.CreateOrder("127633", "BTCUSD", Constants.ORDER_TYPE_LIMIT,
Constants.ORDER_SIDE_SELL, 100, 950, new StubbedOrderIdGenerator());
limitOrderBook.AddOrder(buyOrder1);
limitOrderBook.AddOrder(buyOrder2);
limitOrderBook.AddOrder(buyOrder3);
limitOrderBook.AddOrder(buyOrder4);
limitOrderBook.AddOrder(sellOrder1);
limitOrderBook.AddOrder(sellOrder2);
limitOrderBook.AddOrder(sellOrder3);
limitOrderBook.AddOrder(sellOrder4);
Assert.AreEqual(4, limitOrderBook.Bids.Count());
Assert.AreEqual(4, limitOrderBook.Asks.Count());
orderBookMemoryImage.OnOrderBookChanged(limitOrderBook);
OrderBookRepresentation orderBooksTuple = (OrderBookRepresentation)memoryImageQueryService.GetOrderBook("BTCUSD", 3);
Assert.AreEqual(3, orderBooksTuple.Bids.Count());
Assert.AreEqual("BTCUSD", orderBooksTuple.Bids.CurrencyPair);
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[0].Volume); // Volume
Assert.AreEqual(946, orderBooksTuple.Bids.ToList()[0].Price); // Price
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[1].Volume); // Volume
Assert.AreEqual(945, orderBooksTuple.Bids.ToList()[1].Price); // Price
Assert.AreEqual(100, orderBooksTuple.Bids.ToList()[2].Volume); // Volume
Assert.AreEqual(941, orderBooksTuple.Bids.ToList()[2].Price); // Price
}
public void GetBboTest_ChecksIfTheBboIsRetreivedSuccessfully_ReturnsBboForCurrencypairIfPresent()
{
BBOMemoryImage bboMemoryImage = new BBOMemoryImage();
MarketDataQueryService queryService = new MarketDataQueryService(null, null, bboMemoryImage, null, null);
DepthLevel bestBid = new DepthLevel(new Price(491));
bestBid.IncreaseVolume(new Volume(100));
DepthLevel bestAsk = new DepthLevel(new Price(492));
bestAsk.IncreaseVolume(new Volume(200));
bboMemoryImage.OnBBOArrived("BTCUSD", bestBid, bestAsk);
BBORepresentation bboRepresentation = queryService.GetBBO("BTCUSD");
Assert.IsNotNull(bboRepresentation);
Assert.AreEqual(bestBid.Price.Value, bboRepresentation.BestBidPrice);
Assert.AreEqual(bestBid.AggregatedVolume.Value, bboRepresentation.BestBidVolume);
Assert.AreEqual(bestBid.OrderCount, bboRepresentation.BestBidOrderCount);
Assert.AreEqual(bestAsk.Price.Value, bboRepresentation.BestAskPrice);
Assert.AreEqual(bestAsk.AggregatedVolume.Value, bboRepresentation.BestAskVolume);
Assert.AreEqual(bestAsk.OrderCount, bboRepresentation.BestAskOrderCount);
}
