From 7c9b61b654d10d3f1cc6f04853d6bac99ffac639 Mon Sep 17 00:00:00 2001
From: Bruno BELANYI <bruno@belanyi.fr>
Date: Sat, 12 Mar 2022 03:32:21 +0100
Subject: [PATCH] test: unit: add tests for input parsing

---
 tests/unit/CMakeLists.txt |  12 ++
 tests/unit/parse.cc       | 240 ++++++++++++++++++++++++++++++++++++++
 2 files changed, 252 insertions(+)
 create mode 100644 tests/unit/parse.cc

diff --git a/tests/unit/CMakeLists.txt b/tests/unit/CMakeLists.txt
index 5086fb6..0529460 100644
--- a/tests/unit/CMakeLists.txt
+++ b/tests/unit/CMakeLists.txt
@@ -13,4 +13,16 @@ target_link_libraries(csv_test PRIVATE
 )
 
 gtest_discover_tests(csv_test)
+
+add_executable(parse_test parse.cc)
+target_link_libraries(parse_test PRIVATE common_options)
+
+target_link_libraries(parse_test PRIVATE
+  parse
+  GTest::gtest
+  GTest::gtest_main
+)
+
+gtest_discover_tests(parse_test)
+
 endif (${GTest_FOUND})
diff --git a/tests/unit/parse.cc b/tests/unit/parse.cc
new file mode 100644
index 0000000..8736e97
--- /dev/null
+++ b/tests/unit/parse.cc
@@ -0,0 +1,240 @@
+#include <fstream>
+
+#include <gtest/gtest.h>
+
+#include "config.h"
+#include "parse/parse.hh"
+
+// Allow namespace pollution in tests for convenience
+using namespace kraken::parse;
+
+namespace {
+
+std::vector<Order> parse_file(std::string const& input_name) {
+    using namespace std::literals;
+    auto input
+        = std::ifstream{CMAKE_SOURCE_DIR + "/data/inputs/"s + input_name};
+    return parse_orders(input);
+}
+
+} // namespace
+
+TEST(parse_orders, empty) {
+    auto const expected = std::vector<Order>{};
+    ASSERT_EQ(parse_file("empty.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_1) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::BID,
+                   UserOrderId{3}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::ASK,
+                   UserOrderId{103}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{4}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{104}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-1.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_2) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::ASK,
+                   UserOrderId{103}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-2.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_3) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::BID,
+                   UserOrderId{103}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-3.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_4) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{10}, Quantity{20}, Side::ASK,
+                   UserOrderId{103}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-4.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_5) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{11}, Quantity{20}, Side::BID,
+                   UserOrderId{3}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-5.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_6) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        CancelOrder{User{1}, UserOrderId{1}},
+        CancelOrder{User{2}, UserOrderId{102}},
+        FlushOrder{}};
+    ASSERT_EQ(parse_file("balanced-book-6.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_7) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        CancelOrder{User{1}, UserOrderId{2}},
+        CancelOrder{User{2}, UserOrderId{101}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-7.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_8) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        CancelOrder{User{1}, UserOrderId{1}},
+        CancelOrder{User{2}, UserOrderId{101}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-8.in.csv"), expected);
+}
+
+TEST(parse_orders, balance_book_9) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{103}},
+        CancelOrder{User{2}, UserOrderId{103}},
+        CancelOrder{User{2}, UserOrderId{102}},
+        CancelOrder{User{1}, UserOrderId{2}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("balanced-book-9.in.csv"), expected);
+}
+
+TEST(parse_orders, shallow_ask) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"VAL"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{2}, Symbol{"VAL"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{1}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::BID,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{103}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("shallow-ask.in.csv"), expected);
+}
+
+TEST(parse_orders, shallow_bid) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"AAPL"}, Price{12}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"AAPL"}, Price{11}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{2}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::ASK,
+                   UserOrderId{103}},
+        TradeOrder{User{1}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{3}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("shallow-bid.in.csv"), expected);
+}
+
+TEST(parse_orders, tighten_spread_through_new_limit_orders) {
+    auto const expected = std::vector<Order>{
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
+                   UserOrderId{1}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{16}, Quantity{100}, Side::ASK,
+                   UserOrderId{2}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
+                   UserOrderId{101}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{15}, Quantity{100}, Side::ASK,
+                   UserOrderId{102}},
+        TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::BID,
+                   UserOrderId{103}},
+        TradeOrder{User{1}, Symbol{"IBM"}, Price{14}, Quantity{100}, Side::ASK,
+                   UserOrderId{3}},
+        FlushOrder{},
+    };
+    ASSERT_EQ(parse_file("tighten-spread-through-new-limit-orders.in.csv"),
+              expected);
+}