exchange-simulator/test/TestLOB.hs

module TestLOB
  (
    tests
  ) where

import ATrade.ESim.Core
    (MatchingAction (..), PriceTick (PriceTick), Volume (..), addToLob, emptyLob, executeMatchingActions)
import ATrade.Types        (Operation (..), Order (..), OrderPrice (..), OrderState (..), Price, SignalId (..))
import Hedgehog
import Hedgehog.Gen        qualified as Gen
import Hedgehog.Range      qualified as Range
import Test.Tasty
import Test.Tasty.Hedgehog

tests :: TestTree
tests  = testGroup "LimitOrderBook"
  [
    testProperty "add to empty LOB => enqueues order" prop_add_to_empty_lob,
    testProperty "full match" prop_full_match
  ]

prop_add_to_empty_lob :: Property
prop_add_to_empty_lob = property $ do
  priceTick <- forAll $ Gen.integral (Range.linear 1 100000)
  order <- forAll $
    Order <$> Gen.integral (Range.linear 1 100000)
          <*> Gen.text (Range.linear 1 50) Gen.unicode
          <*> Gen.text (Range.linear 1 50) Gen.unicode
          <*> pure (Limit $ fromInteger priceTick * tickSize)
          <*> Gen.integral (Range.linear 1 10000)
          <*> pure 0
          <*> pure Buy
          <*> pure Unsubmitted
          <*> pure (SignalId "test" "foo" "")
  addToLob order lob === [Enqueue (orderId order) (PriceTick . fromInteger $ priceTick) (Volume . fromIntegral $ orderQuantity order) (orderOperation order)]
  where
    lob = emptyLob "Test" tickSize
    tickSize :: Price
    tickSize = 0.1

prop_full_match :: Property
prop_full_match = property $ do
  priceTick <- forAll $ Gen.integral (Range.linear 1 100000)
  order <- forAll $
    Order <$> Gen.integral (Range.linear 1 100000)
            <*> Gen.text (Range.linear 1 50) Gen.unicode
            <*> Gen.text (Range.linear 1 50) Gen.unicode
            <*> pure Market
            <*> Gen.integral (Range.linear 1 10000)
            <*> pure 0
            <*> pure Buy
            <*> pure Unsubmitted
            <*> pure (SignalId "test" "foo" "")
  addToLob order (lob order priceTick) === [Match (orderId order) 1 (orderOperation order) (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order)]
  where
    lob order priceTick = executeMatchingActions lob0 [Enqueue 1 (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order) Sell]
    lob0 = emptyLob "Test" tickSize
    tickSize = 0.1