public void HandleAddLimitOrder(ILimitOrder limitOrder)
{
string symbol = limitOrder.Symbol;
if (!OrderBooks.ContainsKey(symbol))
{
var bookMatchingLimitAlgo = new LimitOrderMatchingAlgorithm(dateService);
bookMatchingLimitAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var bookMatchingMarketAlgo = new MarketOrderMatchingAlgorithm(dateService);
bookMatchingMarketAlgo.AddExecutionsHandler(outgoingQueue.EnqueueClientExecution);
var level1 = new OrderBookBestBidAsk(symbol);
level1.RegisterUpdateHandler(outgoingQueue.EnqueueLevel1Update);
var book = new OrderBook(symbol, bookMatchingLimitAlgo, bookMatchingMarketAlgo, level1);
OrderBooks.Add(symbol, book);
}
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
limitOrder.RegisterDeleteNotificationHandler(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterFilledNotification(OrderBooks[symbol].RemoveLimitOrder);
limitOrder.RegisterModifyNotificationHandler(OrderBooks[symbol].HandleLimitOrderModify);
OrderBooks[symbol].AddLimitOrder(limitOrder);
}
public void PublisherShouldReceiveOrderAddedData()
{
var limitOrder = new LimitOrder("ABC", 21, 20d, WayEnum.Buy, 90);
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
Thread.Sleep(100);
messagePublisherMock.Verify(a => a.OnEvent(It.Is <ServerToClientMessage>(b =>
b.MessageType == ServerToClientMessageTypeEnum.LimitOrderAccepted &&
b.LimitOrder.ClientId == 90 &&
b.LimitOrder.Price == 20d &&
b.LimitOrder.Quantity == 21 &&
b.LimitOrder.Symbol == "ABC" &&
b.LimitOrder.Way == WayEnum.Buy),
It.IsAny <long>(),
It.IsAny <bool>()), Times.Once);
}
public void PublisherShouldReceiveOrderAddedData()
{
var limitOrder = new LimitOrder("ABC", 21, 20d, WayEnum.Buy, 90);
outgoingQueue.EnqueueAddedLimitOrder(limitOrder);
Thread.Sleep(100);
messagePublisherMock.AssertWasCalled(a => a.OnNext(Arg <ServerToClientMessage> .Matches(b =>
b.MessageType == ServerToClientMessageTypeEnum.LimitOrderAccepted &&
b.LimitOrder.ClientId == 90 &&
b.LimitOrder.Price == 20d &&
b.LimitOrder.Quantity == 21 &&
b.LimitOrder.Symbol == "ABC" &&
b.LimitOrder.Way == WayEnum.Buy),
Arg <long> .Is.Anything,
Arg <bool> .Is.Anything), options => options.Repeat.Once());
}
