124 lines
2.7 KiB
C++
124 lines
2.7 KiB
C++
#include <fstream>
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#include <gtest/gtest.h>
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#include "config.h"
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#include "csv/read-csv.hh"
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#include "engine/csv-engine-listener.hh"
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#include "engine/engine.hh"
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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::csv;
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using namespace kraken::engine;
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using namespace kraken::parse;
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namespace {
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void do_compare(std::istream& input, std::istream& expected_output,
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CrossBehaviour behaviour) {
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auto listener = std::make_shared<CsvEngineListener>();
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auto engine = Engine{listener, behaviour};
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engine.process_orders(parse_orders(input));
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auto expected = read_csv(expected_output, CsvHeader::KEEP);
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ASSERT_EQ(listener->output(), expected);
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}
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void compare(std::string const& test_name) {
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using namespace std::literals;
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auto input = std::ifstream{CMAKE_SOURCE_DIR + "/data/inputs/"s + test_name
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+ ".in.csv"};
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auto expected_output_file = std::ifstream{
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CMAKE_SOURCE_DIR + "/data/outputs/"s + test_name + ".out.csv"};
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do_compare(input, expected_output_file, CrossBehaviour::REJECT);
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}
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void compare_trades(std::string const& test_name) {
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using namespace std::literals;
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auto input = std::ifstream{CMAKE_SOURCE_DIR + "/data/inputs/"s + test_name
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+ ".in.csv"};
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auto expected_output_file = std::ifstream{
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CMAKE_SOURCE_DIR + "/data/outputs/"s + test_name + ".trades.out.csv"};
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do_compare(input, expected_output_file, CrossBehaviour::MATCH);
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}
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} // namespace
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TEST(engine, empty) {
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compare("empty");
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}
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TEST(engine, only_one) {
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compare("only-one");
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}
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TEST(engine, only_one_cancelled) {
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compare("only-one-cancelled");
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}
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TEST(engine, two) {
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compare("two");
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}
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TEST(engine, balanced_book_1) {
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compare("balanced-book-1");
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}
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TEST(engine, balanced_book_2) {
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compare("balanced-book-2");
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}
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TEST(engine, balanced_book_3) {
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compare("balanced-book-3");
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}
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TEST(engine, balanced_book_4) {
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compare("balanced-book-4");
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}
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TEST(engine, balanced_book_5) {
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compare("balanced-book-5");
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}
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TEST(engine, balanced_book_6) {
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compare("balanced-book-6");
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}
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TEST(engine, balanced_book_7) {
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compare("balanced-book-7");
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}
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TEST(engine, balanced_book_8) {
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compare("balanced-book-8");
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}
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TEST(engine, balanced_book_9) {
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compare("balanced-book-9");
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}
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TEST(engine, shallow_ask) {
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compare("shallow-ask");
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}
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TEST(engine, shallow_bid) {
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compare("shallow-bid");
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}
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TEST(engine, tighten_spread_through_new_limit_orders) {
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compare("tighten-spread-through-new-limit-orders");
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}
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TEST(engine_trade, balanced_book_3) {
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compare_trades("balanced-book-3");
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}
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TEST(engine_trade, shallow_ask) {
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compare_trades("shallow-ask");
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}
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