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60 lines
2.2 KiB
60 lines
2.2 KiB
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module TestLOB |
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( |
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tests |
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) where |
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import ATrade.ESim.Core |
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(MatchingAction (..), PriceTick (PriceTick), Volume (..), addToLob, emptyLob, executeMatchingActions) |
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import ATrade.Types (Operation (..), Order (..), OrderPrice (..), OrderState (..), Price, SignalId (..)) |
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import Hedgehog |
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import Hedgehog.Gen qualified as Gen |
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import Hedgehog.Range qualified as Range |
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import Test.Tasty |
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import Test.Tasty.Hedgehog |
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tests :: TestTree |
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tests = testGroup "LimitOrderBook" |
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[ |
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testProperty "add to empty LOB => enqueues order" prop_add_to_empty_lob, |
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testProperty "full match" prop_full_match |
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] |
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prop_add_to_empty_lob :: Property |
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prop_add_to_empty_lob = property $ do |
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priceTick <- forAll $ Gen.integral (Range.linear 1 100000) |
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order <- forAll $ |
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Order <$> Gen.integral (Range.linear 1 100000) |
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<*> Gen.text (Range.linear 1 50) Gen.unicode |
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<*> Gen.text (Range.linear 1 50) Gen.unicode |
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<*> pure (Limit $ fromInteger priceTick * tickSize) |
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<*> Gen.integral (Range.linear 1 10000) |
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<*> pure 0 |
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<*> pure Buy |
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<*> pure Unsubmitted |
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<*> pure (SignalId "test" "foo" "") |
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addToLob order lob === [Enqueue (orderId order) (PriceTick . fromInteger $ priceTick) (Volume . fromIntegral $ orderQuantity order) (orderOperation order)] |
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where |
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lob = emptyLob "Test" tickSize |
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tickSize :: Price |
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tickSize = 0.1 |
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prop_full_match :: Property |
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prop_full_match = property $ do |
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priceTick <- forAll $ Gen.integral (Range.linear 1 100000) |
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order <- forAll $ |
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Order <$> Gen.integral (Range.linear 1 100000) |
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<*> Gen.text (Range.linear 1 50) Gen.unicode |
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<*> Gen.text (Range.linear 1 50) Gen.unicode |
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<*> pure Market |
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<*> Gen.integral (Range.linear 1 10000) |
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<*> pure 0 |
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<*> pure Buy |
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<*> pure Unsubmitted |
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<*> pure (SignalId "test" "foo" "") |
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addToLob order (lob order priceTick) === [Match (orderId order) 1 (orderOperation order) (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order)] |
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where |
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lob order priceTick = executeMatchingActions lob0 [Enqueue 1 (PriceTick priceTick) (Volume . fromIntegral $ orderQuantity order) Sell] |
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lob0 = emptyLob "Test" tickSize |
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tickSize = 0.1 |
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