public void TestAskComparer()
{
var askComparer = OrderComparer.DescAskComparer();
var o1 = new ExchangeOrder(1, 1, OrderSide.Sell, OrderType.Limit, 10, 10);
var o2 = new ExchangeOrder(2, 1, OrderSide.Sell, OrderType.Limit, 9, 10);
var c1 = askComparer.Compare(o1, o2);
Assert.AreEqual(1, c1, string.Format("AskComparer: lower price should win over higher price. {0} vs {1}", o1.Price, o2.Price));
var c2 = askComparer.Compare(o2, o1);
Assert.AreEqual(-1, c2, "AskComparer: price comparison not symmetric");
Thread.Sleep(TimeSpan.FromTicks(10000)); //otherwhise timestamp comparison is not precise enough
var o3 = new ExchangeOrder(3, 1, OrderSide.Sell, OrderType.Limit, 10, 10);
var c3 = askComparer.Compare(o1, o3);
//this test does not always pass. if timespan between c1 and c2 is too small.
Assert.AreEqual(-1, c3, string.Format("AskComparer: Timestamp comparison failed. {0} vs {1}", o1.UTCTimestamp.Ticks, o3.UTCTimestamp.Ticks));
var c4 = askComparer.Compare(o3, o1);
Assert.AreEqual(1, c4, "BidComparer: Timestamp comparison not symmetric");
//try to get two orders with the same timestamp.
//depending on environment, it could take a variable amout of time. Try 10 times and then give up
var o4 = new ExchangeOrder(4, 1, OrderSide.Sell, OrderType.Limit, 10, 10);
var o5 = new ExchangeOrder(5, 1, OrderSide.Sell, OrderType.Limit, 10, 9);
int counter = 0;
while (o4.UTCTimestamp != o5.UTCTimestamp && counter < 10)
{
o4 = new ExchangeOrder(4, 1, OrderSide.Sell, OrderType.Limit, 10, 10);
o5 = new ExchangeOrder(5, 1, OrderSide.Sell, OrderType.Limit, 10, 9);
counter++;
}
if (counter == 10)
{
Assert.Inconclusive("failed to create two orders with the same timestamp. Could not test RemainingVolume comparison");
}
else
{
var c5 = askComparer.Compare(o4, o5);
Assert.AreEqual(-1, c5, string.Format("AskComparer: If price and timestamp are equal, the order with the most remaining volume should win. {0} vs {1}", o4.RemainingVolume, o5.RemainingVolume));
}
}
public void TestSortedSetOfOrders()
{
//ATTENTION sorted set is in descending order. [best order, ..., worst order]
var bids = ImmutableSortedSet.Create(comparer: OrderComparer.DescBidComparer());
var b1 = new ExchangeOrder(1, 1, OrderSide.Buy, OrderType.Limit, 10, 10);
bids = bids.Add(b1);
var b2 = new ExchangeOrder(2, 1, OrderSide.Buy, OrderType.Limit, 9, 3);
bids = bids.Add(b2);
Assert.AreEqual(1, bids[0].ID);
Assert.AreEqual(2, bids[1].ID);
var b3 = new ExchangeOrder(3, 1, OrderSide.Buy, OrderType.Limit, 11, 5);
bids = bids.Add(b3);
Assert.AreEqual(3, bids[0].ID);
Assert.AreEqual(1, bids[1].ID);
Assert.AreEqual(2, bids[2].ID);
var b4 = new ExchangeOrder(4, 1, OrderSide.Buy, OrderType.Limit, 10, 8);
bids = bids.Add(b4);
Assert.AreEqual(3, bids[0].ID);
Assert.AreEqual(1, bids[1].ID);
Assert.AreEqual(4, bids[2].ID);
Assert.AreEqual(2, bids[3].ID);
var b5 = new ExchangeOrder(5, 1, OrderSide.Buy, OrderType.Limit, 9.5m, 4);
bids = bids.Add(b5);
Assert.AreEqual(3, bids[0].ID);
Assert.AreEqual(1, bids[1].ID);
Assert.AreEqual(4, bids[2].ID);
Assert.AreEqual(5, bids[3].ID);
Assert.AreEqual(2, bids[4].ID);
var asks = ImmutableSortedSet.Create(comparer: OrderComparer.DescAskComparer());
var a1 = new ExchangeOrder(1, 1, OrderSide.Sell, OrderType.Limit, 10, 10);
asks = asks.Add(a1);
var a2 = new ExchangeOrder(2, 1, OrderSide.Sell, OrderType.Limit, 11, 4);
asks = asks.Add(a2);
Assert.AreEqual(1, asks[0].ID);
Assert.AreEqual(2, asks[1].ID);
var a3 = new ExchangeOrder(3, 1, OrderSide.Sell, OrderType.Limit, 9, 5);
asks = asks.Add(a3);
Assert.AreEqual(3, asks[0].ID);
Assert.AreEqual(1, asks[1].ID);
Assert.AreEqual(2, asks[2].ID);
var a4 = new ExchangeOrder(4, 1, OrderSide.Sell, OrderType.Limit, 10, 8);
asks = asks.Add(a4);
Assert.AreEqual(3, asks[0].ID);
Assert.AreEqual(1, asks[1].ID);
Assert.AreEqual(4, asks[2].ID);
Assert.AreEqual(2, asks[3].ID);
var a5 = new ExchangeOrder(5, 1, OrderSide.Sell, OrderType.Limit, 10.5m, 2);
asks = asks.Add(a5);
Assert.AreEqual(3, asks[0].ID);
Assert.AreEqual(1, asks[1].ID);
Assert.AreEqual(4, asks[2].ID);
Assert.AreEqual(5, asks[3].ID);
Assert.AreEqual(2, asks[4].ID);
}