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orderbook_test.cpp
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#include "order.h"
#define BOOST_TEST_MODULE orderbook
#include <boost/test/included/unit_test.hpp>
#include "orderbook.h"
#include "test.h"
BOOST_AUTO_TEST_CASE( orderbook_cancel ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
auto o1 = new TestOrder(1,100,10,Order::BUY);
ob.insertOrder(o1);
ob.cancelOrder(o1);
auto levels = ob.book();
BOOST_TEST(levels.bids.size()==0);
auto o2 = new TestOrder(1,100,10,Order::BUY);
ob.insertOrder(o2);
auto o3 = new TestOrder(1,90,10,Order::BUY);
ob.insertOrder(o3);
auto o4 = new TestOrder(1,80,10,Order::BUY);
ob.insertOrder(o4);
ob.cancelOrder(o3);
auto book = ob.book();
BOOST_TEST(book.bids.size()==2);
BOOST_TEST(book.bids[0].price==100);
BOOST_TEST(book.bids[1].price==80);
}
BOOST_AUTO_TEST_CASE( booklevels ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
auto o1 = new TestOrder(1,100,10,Order::BUY);
ob.insertOrder(o1);
auto levels = ob.book();
BOOST_TEST(levels.bids[0].price==100);
BOOST_TEST(levels.bids[0].quantity==10);
}
BOOST_AUTO_TEST_CASE( booklevels_sum ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
auto o1 = new TestOrder(1,100,10,Order::BUY);
ob.insertOrder(o1);
auto o2 = new TestOrder(2,100,10,Order::BUY);
ob.insertOrder(o2);
auto levels = ob.book();
BOOST_TEST(levels.bids[0].price==100);
BOOST_TEST(levels.bids[0].quantity==20);
}
BOOST_AUTO_TEST_CASE( booklevels_multiple ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
auto o1 = new TestOrder(1,100,10,Order::BUY);
ob.insertOrder(o1);
auto o2 = new TestOrder(2,100,10,Order::BUY);
ob.insertOrder(o2);
auto o3 = new TestOrder(2,200,30,Order::BUY);
ob.insertOrder(o3);
auto levels = ob.book();
BOOST_TEST(levels.bids[0].price==200);
BOOST_TEST(levels.bids[0].quantity==30);
BOOST_TEST(levels.bids[1].price==100);
BOOST_TEST(levels.bids[1].quantity==20);
}
BOOST_AUTO_TEST_CASE( booklevels_order ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
ob.insertOrder(new TestOrder(1,100,10,Order::BUY));
ob.insertOrder(new TestOrder(1,101,10,Order::BUY));
ob.insertOrder(new TestOrder(1,99,10,Order::BUY));
ob.insertOrder(new TestOrder(1,98,10,Order::BUY));
ob.insertOrder(new TestOrder(1,200,10,Order::SELL));
ob.insertOrder(new TestOrder(1,199,10,Order::SELL));
ob.insertOrder(new TestOrder(1,201,10,Order::SELL));
ob.insertOrder(new TestOrder(1,202,10,Order::SELL));
auto levels = ob.book();
BOOST_TEST(levels.bids[0].price==101);
BOOST_TEST(levels.bids[1].price==100);
BOOST_TEST(levels.bids[2].price==99);
BOOST_TEST(levels.bids[3].price==98);
BOOST_TEST(levels.asks[0].price==199);
BOOST_TEST(levels.asks[1].price==200);
BOOST_TEST(levels.asks[2].price==201);
BOOST_TEST(levels.asks[3].price==202);
}
BOOST_AUTO_TEST_CASE( sessionId ) {
const std::string s1("session1");
const std::string s2("session2");
const std::string s3("session1");
BOOST_TEST(s1<s2);
BOOST_TEST(!(s2<s1));
BOOST_TEST(s1==s1);
BOOST_TEST(!(s1==s2));
BOOST_TEST(s1==s3);
}
BOOST_AUTO_TEST_CASE( sessionQuoteId ) {
std::string session1("session1");
std::string session2("session2");
std::string session3("session1");
SessionQuoteId s1(session1, "quote1");
SessionQuoteId s2(session2, "quote2");
SessionQuoteId s3(session3, "quote1");
BOOST_TEST(s1<s2);
BOOST_TEST(!(s2<s1));
BOOST_TEST(s1==s1);
BOOST_TEST(!(s1==s2));
BOOST_TEST(s1==s3);
}
BOOST_AUTO_TEST_CASE( quoting ) {
OrderBookListener listener;
OrderBook ob(dummy_instrument,listener);
std::string sessionId("session");
std::string quoteId("myquote");
auto quotes = QuoteOrders{new TestOrder(1,100,10,Order::BUY),new TestOrder(2,101,20,Order::SELL)};
ob.quote(quotes,100,10,101,20);
auto levels = ob.book();
BOOST_TEST(levels.bids.size()==1);
BOOST_TEST(levels.bids[0].price==100);
BOOST_TEST(levels.bids[0].quantity==10);
BOOST_TEST(levels.asks.size()==1);
BOOST_TEST(levels.asks[0].price==101);
BOOST_TEST(levels.asks[0].quantity==20);
ob.quote(quotes,100,20,101,30);
levels = ob.book();
BOOST_TEST(levels.bids.size()==1);
BOOST_TEST(levels.bids[0].price==100);
BOOST_TEST(levels.bids[0].quantity==20);
BOOST_TEST(levels.asks.size()==1);
BOOST_TEST(levels.asks[0].price==101);
BOOST_TEST(levels.asks[0].quantity==30);
ob.quote(quotes,100,0,101,30);
levels = ob.book();
BOOST_TEST(levels.bids.size()==0);
BOOST_TEST(levels.asks.size()==1);
BOOST_TEST(levels.asks[0].price==101);
BOOST_TEST(levels.asks[0].quantity==30);
ob.quote(quotes,100,0,101,0);
levels = ob.book();
BOOST_TEST(levels.bids.size()==0);
BOOST_TEST(levels.asks.size()==0);
}