Bruno BELANYI
21ff896730
I think it makes more sense to centralise these important types in the `book` library.
242 lines
10 KiB
C++
242 lines
10 KiB
C++
#include <fstream>
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#include <gtest/gtest.h>
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#include "config.h"
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#include "parse/parse.hh"
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// Allow namespace pollution in tests for convenience
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using namespace kraken;
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using namespace kraken::parse;
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namespace {
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std::vector<Order> parse_file(std::string const& input_name) {
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using namespace std::literals;
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auto input
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= std::ifstream{CMAKE_SOURCE_DIR + "/data/inputs/"s + input_name};
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return parse_orders(input);
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}
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} // namespace
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TEST(parse_orders, empty) {
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auto const expected = std::vector<Order>{};
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ASSERT_EQ(parse_file("empty.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_1) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::BID,
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UserOrderId{3}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::ASK,
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UserOrderId{103}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{4}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{104}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-1.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_2) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::ASK,
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UserOrderId{103}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-2.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_3) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::BID,
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UserOrderId{103}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-3.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_4) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{10}, Quantity{20}, Side::ASK,
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UserOrderId{103}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-4.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_5) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{11}, Quantity{20}, Side::BID,
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UserOrderId{3}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-5.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_6) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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CancelOrder{User{1}, UserOrderId{1}},
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CancelOrder{User{2}, UserOrderId{102}},
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FlushOrder{}};
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ASSERT_EQ(parse_file("balanced-book-6.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_7) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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CancelOrder{User{1}, UserOrderId{2}},
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CancelOrder{User{2}, UserOrderId{101}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-7.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_8) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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CancelOrder{User{1}, UserOrderId{1}},
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CancelOrder{User{2}, UserOrderId{101}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-8.in.csv"), expected);
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}
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TEST(parse_orders, balance_book_9) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{103}},
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CancelOrder{User{2}, UserOrderId{103}},
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CancelOrder{User{2}, UserOrderId{102}},
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CancelOrder{User{1}, UserOrderId{2}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("balanced-book-9.in.csv"), expected);
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}
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TEST(parse_orders, shallow_ask) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"VAL"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{2}, Symbol{"VAL"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{1}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::BID,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"VAL"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{103}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("shallow-ask.in.csv"), expected);
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}
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TEST(parse_orders, shallow_bid) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"AAPL"}, Price{12}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"AAPL"}, Price{11}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{2}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::ASK,
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UserOrderId{103}},
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TradeOrder{User{1}, Symbol{"AAPL"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{3}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("shallow-bid.in.csv"), expected);
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}
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TEST(parse_orders, tighten_spread_through_new_limit_orders) {
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auto const expected = std::vector<Order>{
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TradeOrder{User{1}, Symbol{"IBM"}, Price{10}, Quantity{100}, Side::BID,
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UserOrderId{1}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{16}, Quantity{100}, Side::ASK,
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UserOrderId{2}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{9}, Quantity{100}, Side::BID,
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UserOrderId{101}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{15}, Quantity{100}, Side::ASK,
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UserOrderId{102}},
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TradeOrder{User{2}, Symbol{"IBM"}, Price{11}, Quantity{100}, Side::BID,
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UserOrderId{103}},
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TradeOrder{User{1}, Symbol{"IBM"}, Price{14}, Quantity{100}, Side::ASK,
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UserOrderId{3}},
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FlushOrder{},
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};
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ASSERT_EQ(parse_file("tighten-spread-through-new-limit-orders.in.csv"),
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expected);
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}
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