public void OnMessageFillTest(decimal expectedQuantity)
{
string json = _matchData;
string id = "132fb6ae-456b-4654-b4e0-d681ac05cea1";
//not our order
if (expectedQuantity == 99)
{
var message = JsonConvert.DeserializeObject <Matched>(json);
message.UserId = null;
json = JsonConvert.SerializeObject(message);
}
decimal orderQuantity = 6.1m;
GDAXTestsHelpers.AddOrder(_unit, 1, id, orderQuantity);
ManualResetEvent raised = new ManualResetEvent(false);
decimal actualFee = 0;
decimal actualQuantity = 0;
_unit.OrderStatusChanged += (s, e) =>
{
Assert.AreEqual("BTCUSD", e.Symbol.Value);
actualFee += e.OrderFee.Value.Amount;
Assert.AreEqual(Currencies.USD, e.OrderFee.Value.Currency);
actualQuantity += e.AbsoluteFillQuantity;
Assert.IsTrue(actualQuantity != orderQuantity);
Assert.AreEqual(OrderStatus.PartiallyFilled, e.Status);
Assert.AreEqual(expectedQuantity, e.FillQuantity);
// fill quantity = 5.23512
// fill price = 400.23
// partial order fee = (400.23 * 5.23512 * 0.003) = 6.2857562328
Assert.AreEqual(6.2857562328m, actualFee);
raised.Set();
};
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
// not our order, market order is completed even if not totally filled
var msg = JsonConvert.DeserializeObject <Matched>(json);
msg.UserId = null;
json = JsonConvert.SerializeObject(msg);
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
//if not our order should get no event
Assert.AreEqual(raised.WaitOne(1000), expectedQuantity != 99);
raised.DisposeSafely();
}
public void OnMessageFillTest(decimal expectedQuantity)
{
string json = _matchData;
string id = "132fb6ae-456b-4654-b4e0-d681ac05cea1";
//not our order
if (expectedQuantity == 99)
{
json = json.Replace(id, Guid.NewGuid().ToString());
}
decimal orderQuantity = 6.1m;
GDAXTestsHelpers.AddOrder(_unit, 1, id, orderQuantity);
ManualResetEvent raised = new ManualResetEvent(false);
decimal actualFee = 0;
decimal actualQuantity = 0;
_unit.OrderStatusChanged += (s, e) =>
{
Assert.AreEqual("BTCUSD", e.Symbol.Value);
actualFee += e.OrderFee;
actualQuantity += e.AbsoluteFillQuantity;
Assert.IsTrue(actualQuantity != orderQuantity);
Assert.AreEqual(OrderStatus.Filled, e.Status);
Assert.AreEqual(expectedQuantity, e.FillQuantity);
// fill quantity = 5.23512
// fill price = 400.23
// partial order fee = (400.23 * 5.23512 * 0.003) = 6.2857562328
Assert.AreEqual(6.2857562328m, actualFee);
raised.Set();
};
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
// not our order, market order is completed even if not totally filled
json = json.Replace(id, Guid.NewGuid().ToString());
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
//if not our order should get no event
Assert.AreEqual(raised.WaitOne(1000), expectedQuantity != 99);
}
public void OnMessageTickerTest()
{
string json = _tickerData;
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
var actual = _unit.Ticks.First();
Assert.AreEqual("BTCUSD", actual.Symbol.Value);
Assert.AreEqual(4388.005m, actual.Price);
Assert.AreEqual(4388m, actual.BidPrice);
Assert.AreEqual(4388.01m, actual.AskPrice);
actual = _unit.Ticks.Last();
Assert.AreEqual("BTCUSD", actual.Symbol.Value);
Assert.AreEqual(4388.01m, actual.Price);
Assert.AreEqual(0.03m, actual.Quantity);
}
public void ErrorTest()
{
string actual = null;
// subscribe to invalid symbol
const string expected = "[\"BTC-LTC\"]";
_wss.Setup(w => w.Send(It.IsAny <string>())).Callback <string>(c => actual = c);
_unit.Subscribe(new[] { Symbol.Create("BTCLTC", SecurityType.Crypto, Market.GDAX) });
StringAssert.Contains(expected, actual);
BrokerageMessageType messageType = 0;
_unit.Message += (sender, e) => { messageType = e.Type; };
const string json = "{\"type\":\"error\",\"message\":\"Failed to subscribe\",\"reason\":\"Invalid product ID provided\"}";
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
Assert.AreEqual(BrokerageMessageType.Warning, messageType);
}
public void OnMessageFillTest(decimal expectedQuantity)
{
string json = _matchData;
string id = "132fb6ae-456b-4654-b4e0-d681ac05cea1";
//not our order
if (expectedQuantity == 99)
{
json = json.Replace(id, Guid.NewGuid().ToString());
}
decimal orderQuantity = 6.1m;
GDAXTestsHelpers.AddOrder(_unit, 1, id, orderQuantity);
ManualResetEvent raised = new ManualResetEvent(false);
decimal actualFee = 0;
decimal actualQuantity = 0;
_unit.OrderStatusChanged += (s, e) =>
{
Assert.AreEqual("BTCUSD", e.Symbol.Value);
actualFee += e.OrderFee;
actualQuantity += e.AbsoluteFillQuantity;
Assert.AreEqual(actualQuantity != orderQuantity ? Orders.OrderStatus.PartiallyFilled : Orders.OrderStatus.Filled, e.Status);
Assert.AreEqual(expectedQuantity, e.FillQuantity);
// order fees are pro-rated for partial fills
// total order fee = 0.01
// partial order fee = (0.01 * 5.23512 / 6.1) = 0.0085821639344262295081967213
Assert.AreEqual(0.00858216m, Math.Round(actualFee, 8));
raised.Set();
};
_unit.OnMessage(_unit, GDAXTestsHelpers.GetArgs(json));
//if not our order should get no event
Assert.AreEqual(raised.WaitOne(1000), expectedQuantity != 99);
}