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2 task 1 implement testorderbook howard #18

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d2c9ff4
init commit
ilovelinabell Mar 4, 2023
76e76ff
Changes: 4 tests cases: oneBidstoplimit, oneAsklimit, twoAskmarketone…
ilovelinabell Mar 4, 2023
f5f9892
Merge branch 'main' into 2-task-1-implement-testorderbook-howard
ilovelinabell Mar 5, 2023
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10 changes: 0 additions & 10 deletions .idea/runConfigurations.xml
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This file was deleted.

24 changes: 12 additions & 12 deletions Data-Integration.iml
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Original file line number Diff line number Diff line change
Expand Up @@ -6,7 +6,7 @@
<sourceFolder url="file://$MODULE_DIR$/src" isTestSource="false" />
<sourceFolder url="file://$MODULE_DIR$/src/test" isTestSource="true" />
</content>
<orderEntry type="inheritedJdk" />
<orderEntry type="jdk" jdkName="11 (2)" jdkType="JavaSDK" />
<orderEntry type="sourceFolder" forTests="false" />
<orderEntry type="module-library">
<library>
Expand All @@ -20,24 +20,24 @@
<orderEntry type="module-library">
<library name="JUnit4">
<CLASSES>
<root url="jar://$MAVEN_REPOSITORY$/junit/junit/4.13.1/junit-4.13.1.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/hamcrest/hamcrest-core/1.3/hamcrest-core-1.3.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-4.13.1.jar!/" />
<root url="jar://$MODULE_DIR$/lib/hamcrest-core-1.3.jar!/" />
</CLASSES>
<JAVADOC />
<SOURCES />
</library>
</orderEntry>
<orderEntry type="module-library">
<library name="JUnit5.7.0">
<library name="JUnit5.8.1">
<CLASSES>
<root url="jar://$MAVEN_REPOSITORY$/org/junit/jupiter/junit-jupiter/5.7.0/junit-jupiter-5.7.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/junit/jupiter/junit-jupiter-api/5.7.0/junit-jupiter-api-5.7.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/apiguardian/apiguardian-api/1.1.0/apiguardian-api-1.1.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/opentest4j/opentest4j/1.2.0/opentest4j-1.2.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/junit/platform/junit-platform-commons/1.7.0/junit-platform-commons-1.7.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/junit/jupiter/junit-jupiter-params/5.7.0/junit-jupiter-params-5.7.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/junit/jupiter/junit-jupiter-engine/5.7.0/junit-jupiter-engine-5.7.0.jar!/" />
<root url="jar://$MAVEN_REPOSITORY$/org/junit/platform/junit-platform-engine/1.7.0/junit-platform-engine-1.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-jupiter-5.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-jupiter-api-5.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/apiguardian-api-1.1.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/opentest4j-1.2.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-platform-commons-1.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-jupiter-params-5.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-jupiter-engine-5.7.0.jar!/" />
<root url="jar://$MODULE_DIR$/lib/junit-platform-engine-1.7.0.jar!/" />
</CLASSES>
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@DanielMistrik DanielMistrik Mar 5, 2023

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I'm not sure whether this will work on other people's computers. Your unique set-up might make this not work on anyone elses. Also try to use Junit 5.7.0, not Junit 5.8.1

<JAVADOC />
<SOURCES />
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10 changes: 8 additions & 2 deletions src/OrderBook/OrderBook.java
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Original file line number Diff line number Diff line change
Expand Up @@ -29,7 +29,7 @@ private void sortedPlace(Order order){
return;
}
else if (sideOfBook.get(i).price < order.price && !isAsk ||
sideOfBook.get(i).price > order.price && isAsk){
sideOfBook.get(i).price > order.price && isAsk) {
if (order.side == Side.ASK)
asks.add(i,order);
else
Expand Down Expand Up @@ -84,8 +84,14 @@ public void placeOrder(Order order){
sittingVolume += order.size;
adjustBBO();
placedOrders.put(order.orderID, order.orderID);

if (bestBidPrice > bestAskPrice && bestBidPrice != -1 && bestAskPrice != -1) {
// NEW ASSERTION, check for crossed orderbook condition where best bid over best ask
throw new RuntimeException("Crossed orderbook condition!");
}
}


/**
* Registers fill event on the order book
* WARNING: Will throw if fill event doesn't fill any sitting order
Expand All @@ -100,4 +106,4 @@ public void fillEvent(Fill fill){
adjustBBO();
recordedFills.put(fill.orderID, fill.orderID);
}
}
}
150 changes: 149 additions & 1 deletion src/test/testOrderBook.java
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Original file line number Diff line number Diff line change
@@ -1,6 +1,12 @@
import OrderBook.Order;
import OrderBook.Fill;
import OrderBook.OrderBook;
import OrderBook.Side;

import static OrderBook.OrderType.MARKET_ORDER;
import static OrderBook.OrderType.LIMIT_ORDER;
import static OrderBook.OrderType.STOP_LIMIT_ORDER;

import org.junit.jupiter.api.Test;

import static org.junit.jupiter.api.Assertions.*;
Expand Down Expand Up @@ -168,4 +174,146 @@ void placeTwoAsk() {
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(1.8f, testSubject.sittingVolume);
}
}

@Test
void placeOneBidSTOPLIMIT() {
// Init and checking start conditions
OrderBook testSubject = new OrderBook();
assertEquals(0, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(0f, testSubject.sittingVolume);
// Operation
Order newSTOPLIMIT = new Order("helloUUID!", "helloproductID!", 2.2f, 99.99f,
STOP_LIMIT_ORDER, false, Side.BID, 1677598183L);
testSubject.placeOrder(newSTOPLIMIT);
// Checking Operation
assertEquals(0, testSubject.asks.size());
assertEquals(1, testSubject.bids.size());
assertEquals(99.99f, testSubject.bids.getFirst().price);
assertEquals(2.2f, testSubject.bids.getFirst().size);
assertEquals(1677598183L, testSubject.bids.getFirst().createdTs);
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(99.99f, testSubject.bestBidPrice);
assertEquals(2.2f, testSubject.sittingVolume);
}

@Test
void placeOneAskLIMITORDER() {
// Init and checking start conditions
OrderBook testSubject = new OrderBook();
assertEquals(0, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(0f, testSubject.sittingVolume);
// Operation
Order newLIMIT = new Order("helloUUID!", "helloproductID!", 6.9f, 69.69f,
LIMIT_ORDER, false, Side.ASK, 69L);
testSubject.placeOrder(newLIMIT);
// Checking Operation
assertEquals(1, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(69.69f, testSubject.asks.getFirst().price);
assertEquals(6.9f, testSubject.asks.getFirst().size);
assertEquals(69L, testSubject.asks.getFirst().createdTs);
assertEquals(69.69f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(6.9f, testSubject.sittingVolume);
}

@Test
void placeTwoAskMARKETORDERandOneBidLIMITORDERthrowCROSSED_ORDERBOOK() {
// Init and checking start conditions
OrderBook testSubject = new OrderBook();
assertEquals(0, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(0f, testSubject.sittingVolume);
// Operation
Order newMARKETORDER = new Order("helloUUID!", "helloproductID_1!", 106.0f,
99.99f, MARKET_ORDER, false, Side.ASK, 1677598097L);
testSubject.placeOrder(newMARKETORDER);
// Checking Operation
assertEquals(1, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(99.99f, testSubject.asks.getFirst().price); // No orders have been filled yet
assertEquals(106.0f, testSubject.asks.getFirst().size); // No orders have been filled yet
assertEquals(1677598097L, testSubject.asks.getFirst().createdTs);
assertEquals(99.99f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(106.0f, testSubject.sittingVolume);
// Operation
newMARKETORDER = new Order("helloUUID!", "helloproductID_2!", 3.7f,
0.01f, MARKET_ORDER, false, Side.ASK, 1677598150L);
testSubject.placeOrder(newMARKETORDER);
// Checking Operation
assertEquals(2, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(0.01f, testSubject.asks.getFirst().price);
assertEquals(3.7f, testSubject.asks.getFirst().size);
assertEquals(1677598150L, testSubject.asks.getFirst().createdTs);
assertEquals(0.01f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(109.7f, testSubject.sittingVolume);
/* // Operation
Order newLIMITORDER = new Order("helloUUID!", "helloproductID_3!", 100.0f,
49.97f, LIMIT_ORDER, false, Side.BID, 1677598167L);
testSubject.placeOrder(newLIMITORDER);
// Checking Operation, note CROSSED ORDERBOOK */
}

@Test
void placeOneBidandOneAskLIMITORDERfillEvent() {
// Init and checking start conditions
OrderBook testSubject = new OrderBook();
assertEquals(0, testSubject.asks.size());
assertEquals(0, testSubject.bids.size());
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(-1f, testSubject.bestBidPrice);
assertEquals(0f, testSubject.sittingVolume);
// Operation
Order newLIMITORDER = new Order("helloUUID!", "helloproductID_1!", 100.0f,
27.37f, LIMIT_ORDER, false, Side.BID, 100L);
testSubject.placeOrder(newLIMITORDER);
assertEquals(0, testSubject.asks.size());
assertEquals(1, testSubject.bids.size());
assertEquals(27.37f, testSubject.bids.getFirst().price);
assertEquals(100.0f, testSubject.bids.getFirst().size);
assertEquals(100L, testSubject.bids.getFirst().createdTs);
assertEquals(-1f, testSubject.bestAskPrice);
assertEquals(27.37f, testSubject.bestBidPrice);
assertEquals(100.0f, testSubject.sittingVolume);
// Operation
newLIMITORDER = new Order("helloUUID!", "helloproductID_2!", 50.0f,
34.31f, LIMIT_ORDER, false, Side.ASK, 200L);
testSubject.placeOrder(newLIMITORDER);
assertEquals(1, testSubject.asks.size());
assertEquals(1, testSubject.bids.size());
assertEquals(34.31f, testSubject.asks.getFirst().price);
assertEquals(50.0f, testSubject.asks.getFirst().size);
assertEquals(27.37f, testSubject.bids.getFirst().price);
assertEquals(100.0f, testSubject.bids.getFirst().size);
assertEquals(200L, testSubject.asks.getFirst().createdTs);
assertEquals(100L, testSubject.bids.getFirst().createdTs);
assertEquals(34.31f, testSubject.bestAskPrice);
assertEquals(27.37f, testSubject.bestBidPrice);
assertEquals(150.0f, testSubject.sittingVolume);
// Operation
Fill newFill = new Fill("helloproductID_2!", "helloclientID!", 35.5f,
34.31f, 1.5f, LIMIT_ORDER, Side.ASK, 330L);
testSubject.fillEvent(newFill);
assertEquals(1, testSubject.asks.size());
assertEquals(1, testSubject.bids.size());
assertEquals(34.31f, testSubject.asks.getFirst().price);
assertEquals(14.5f, testSubject.asks.getFirst().size);
assertEquals(27.37f, testSubject.bids.getFirst().price);
assertEquals(100.0f, testSubject.bids.getFirst().size);
assertEquals(100L, testSubject.bids.getFirst().createdTs);
assertEquals(34.31f, testSubject.bestAskPrice);
assertEquals(27.37f, testSubject.bestBidPrice);
assertEquals(114.5f, testSubject.sittingVolume);
}
}