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CryptoOrderBookTests.cs
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CryptoOrderBookTests.cs
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using System;
using System.Collections.Generic;
using System.Linq;
using System.Threading;
using System.Threading.Tasks;
using Bitmex.Client.Websocket.Client;
using Crypto.Websocket.Extensions.Core.Models;
using Crypto.Websocket.Extensions.Core.OrderBooks;
using Crypto.Websocket.Extensions.Core.OrderBooks.Models;
using Crypto.Websocket.Extensions.Core.Utils;
using Crypto.Websocket.Extensions.OrderBooks.Sources;
using Crypto.Websocket.Extensions.Tests.data;
using Crypto.Websocket.Extensions.Tests.Helpers;
using Microsoft.Extensions.Logging.Abstractions;
using Xunit;
using static Crypto.Websocket.Extensions.Tests.Helpers.OrderBookTestUtils;
namespace Crypto.Websocket.Extensions.Tests
{
public class CryptoOrderBookTests
{
readonly string[] _rawFiles = {
"data/bitmex_raw_xbtusd_2018-11-13.txt.gz"
};
[Fact]
public void StreamingSnapshot_ShouldHandleCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBook = new CryptoOrderBook(pair, source);
source.StreamSnapshot();
Assert.Equal(500, orderBook.BidLevels.Length);
Assert.Equal(500, orderBook.AskLevels.Length);
Assert.Equal(499, orderBook.BidPrice);
Assert.Equal(1499, orderBook.BidLevels.First().Amount);
Assert.Equal(501, orderBook.AskPrice);
Assert.Equal(2501, orderBook.AskLevels.First().Amount);
var levels = orderBook.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair), level.Pair);
}
}
[Fact]
public void StreamingSnapshot_DifferentPairs_ShouldHandleCorrectly()
{
const string pair1 = "BTC/USD";
const string pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 3,
ServerTimestamp = now
};
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source);
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source);
orderBook1.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
orderBook2.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(3, x.ServerSequence);
Assert.Equal(now, x.ServerTimestamp);
});
source.StreamSnapshot();
Assert.Equal(500, orderBook1.BidLevels.Length);
Assert.Equal(500, orderBook1.AskLevels.Length);
Assert.Equal(200, orderBook2.BidLevels.Length);
Assert.Equal(200, orderBook2.AskLevels.Length);
Assert.Equal(499, orderBook1.BidLevels.First().Price);
Assert.Equal(1499, orderBook1.BidLevels.First().Amount);
Assert.Equal(199, orderBook2.BidLevels.First().Price);
Assert.Equal(599, orderBook2.BidLevels.First().Amount);
Assert.Equal(501, orderBook1.AskLevels.First().Price);
Assert.Equal(2501, orderBook1.AskLevels.First().Amount);
Assert.Equal(201, orderBook2.AskLevels.First().Price);
Assert.Equal(1001, orderBook2.AskLevels.First().Amount);
var levels = orderBook1.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair1), level.Pair);
}
}
[Fact]
public void StreamingSnapshot_DifferentPairsSeparately_ShouldHandleCorrectly()
{
const string pair1 = "BTC/USD";
const string pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var now = CryptoDateUtils.ConvertFromUnixSeconds(1577575307.123451);
var snapshot1 = new OrderBookLevelBulk(OrderBookAction.Insert, data1, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 4,
ServerTimestamp = now.AddMilliseconds(1)
};
var snapshot2 = new OrderBookLevelBulk(OrderBookAction.Insert, data2, CryptoOrderBookType.L2)
{
ExchangeName = "test",
ServerSequence = 5,
ServerTimestamp = now.AddMilliseconds(2)
};
var source = new OrderBookSourceMock();
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source);
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source);
orderBook1.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(4, x.ServerSequence);
Assert.Equal("1577575307.124451", x.ServerTimestamp.ToUnixSecondsString());
});
orderBook2.OrderBookUpdatedStream.Subscribe(x =>
{
Assert.Equal("test", x.ExchangeName);
Assert.Equal(5, x.ServerSequence);
Assert.Equal("1577575307.125451", x.ServerTimestamp.ToUnixSecondsString());
});
source.StreamSnapshotRaw(snapshot1);
source.StreamSnapshotRaw(snapshot2);
Assert.Equal(500, orderBook1.BidLevels.Length);
Assert.Equal(500, orderBook1.AskLevels.Length);
Assert.Equal(200, orderBook2.BidLevels.Length);
Assert.Equal(200, orderBook2.AskLevels.Length);
Assert.Equal(499, orderBook1.BidLevels.First().Price);
Assert.Equal(1499, orderBook1.BidLevels.First().Amount);
Assert.Equal(199, orderBook2.BidLevels.First().Price);
Assert.Equal(599, orderBook2.BidLevels.First().Amount);
Assert.Equal(501, orderBook1.AskLevels.First().Price);
Assert.Equal(2501, orderBook1.AskLevels.First().Amount);
Assert.Equal(201, orderBook2.AskLevels.First().Price);
Assert.Equal(1001, orderBook2.AskLevels.First().Amount);
var levels = orderBook1.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair1), level.Pair);
}
}
[Fact]
public void FindLevel_ShouldReturnCorrectValue()
{
const string pair1 = "BTC/USD";
const string pair2 = "ETH/BTC";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair1, source);
source.StreamSnapshot();
Assert.Equal(1000, orderBook.FindBidLevelByPrice(0)?.Amount);
Assert.Equal(1000, orderBook.FindBidLevelById("0-bid")?.Amount);
Assert.Equal(3000, orderBook.FindAskLevelByPrice(1000)?.Amount);
Assert.Equal(3000, orderBook.FindAskLevelById("1000-ask")?.Amount);
}
[Fact]
public async Task StreamingDiff_BeforeSnapshot_ShouldDoNothing()
{
const string pair = "BTC/USD";
var source = new OrderBookSourceMock();
var orderBook = new CryptoOrderBook(pair, source);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 55, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 105, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 200, 3000, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.Empty(orderBook.BidLevels);
Assert.Empty(orderBook.AskLevels);
Assert.Equal(0, orderBook.BidPrice);
Assert.Equal(0, orderBook.AskPrice);
}
#if DEBUG
[Fact]
public async Task StreamingDiff_ShouldHandleCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook.BidLevels);
Assert.NotEmpty(orderBook.AskLevels);
Assert.Equal(501, orderBook.BidLevels.Length);
Assert.Equal(501, orderBook.AskLevels.Length);
Assert.Equal(499.4, orderBook.BidPrice);
Assert.Equal(500.2, orderBook.AskPrice);
Assert.Equal(33, orderBook.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook.FindBidLevelByPrice(0));
Assert.Null(orderBook.FindBidLevelByPrice(1));
Assert.Null(orderBook.FindAskLevelByPrice(1000));
Assert.Null(orderBook.FindAskLevelByPrice(999));
Assert.Null(orderBook.FindBidLevelByPrice(101.1));
Assert.Null(orderBook.FindAskLevelByPrice(901.1));
}
[Fact]
public async Task StreamingDiff_TwoPairs_ShouldHandleCorrectly()
{
const string pair1 = "BTC/USD";
const string pair2 = "ETH/USD";
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var data2 = GetOrderBookSnapshotMockData(pair2, 200);
var data = data2.Concat(data1).ToArray();
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source) {DebugEnabled = true};
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source) {DebugEnabled = true};
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair2, 199.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair2, 198.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair2, 50.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair1, 500.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair1, 800.123, 1234, CryptoOrderSide.Ask),
CreateLevel(null, 101.1, null, CryptoOrderSide.Bid),
CreateLevel(null, 901.1, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair1, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair1, 498.3, 600, CryptoOrderSide.Bid),
CreateLevel(pair1, 300.33, 3350, CryptoOrderSide.Bid),
CreateLevel(pair2, 200.2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 203.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair2, 250.123, 1234, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair1, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair1, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair1, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair1, 900, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair1, 0, CryptoOrderSide.Bid),
CreateLevel(pair1, 1, CryptoOrderSide.Bid),
CreateLevel(pair2, 0, CryptoOrderSide.Bid),
CreateLevel(pair2, 1, CryptoOrderSide.Bid)
));
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair2, 400, CryptoOrderSide.Ask),
CreateLevel(pair2, 399, CryptoOrderSide.Ask),
CreateLevel(pair1, 1000, CryptoOrderSide.Ask),
CreateLevel(pair1, 999, CryptoOrderSide.Ask)
));
await Task.Delay(500);
Assert.NotEmpty(orderBook1.BidLevels);
Assert.NotEmpty(orderBook1.AskLevels);
Assert.Equal(501, orderBook1.BidLevels.Length);
Assert.Equal(501, orderBook1.AskLevels.Length);
Assert.Equal(201, orderBook2.BidLevels.Length);
Assert.Equal(201, orderBook2.AskLevels.Length);
Assert.Equal(499.4, orderBook1.BidPrice);
Assert.Equal(500.2, orderBook1.AskPrice);
Assert.Equal(199.4, orderBook2.BidPrice);
Assert.Equal(200.2, orderBook2.AskPrice);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(499)?.Amount);
Assert.Equal(33, orderBook1.FindBidLevelByPrice(450)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(501)?.Amount);
Assert.Equal(32, orderBook1.FindAskLevelByPrice(503.1)?.Amount);
var notCompleteBid = orderBook1.FindBidLevelByPrice(100);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteBid.Pair);
Assert.Equal(1100, notCompleteBid.Amount);
Assert.Equal(3, notCompleteBid.Count);
var notCompleteAsk = orderBook1.FindAskLevelByPrice(900);
Assert.Equal(CryptoPairsHelper.Clean(pair1), notCompleteAsk.Pair);
Assert.Equal(2900, notCompleteAsk.Amount);
Assert.Equal(3, notCompleteAsk.Count);
Assert.Null(orderBook1.FindBidLevelByPrice(0));
Assert.Null(orderBook1.FindBidLevelByPrice(1));
Assert.Null(orderBook1.FindAskLevelByPrice(1000));
Assert.Null(orderBook1.FindAskLevelByPrice(999));
Assert.Null(orderBook1.FindBidLevelByPrice(101.1));
Assert.Null(orderBook1.FindAskLevelByPrice(901.1));
Assert.Null(orderBook2.FindBidLevelByPrice(101.1));
Assert.Null(orderBook2.FindAskLevelByPrice(901.1));
}
[Fact]
public async Task StreamingData_ShouldNotifyCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var notificationCount = 0;
var notificationBidAskCount = 0;
var notificationTopLevelCount = 0;
var amountDifferenceBid = 0.0;
var amountDifferenceAsk = 0.0;
var changes = new List<IOrderBookChangeInfo>();
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) {DebugEnabled = true};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
notificationCount++;
changes.Add(x);
foreach (var bulk in x.Sources)
{
amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference);
amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference);
}
});
orderBook.BidAskUpdatedStream.Subscribe(_ => notificationBidAskCount++);
orderBook.TopLevelUpdatedStream.Subscribe(_ => notificationTopLevelCount++);
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 450, 33, CryptoOrderSide.Bid),
CreateLevel(pair, 501, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 503.1, 32, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 900, null, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 100, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 499.5, 200, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 500.2, 22, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 0, CryptoOrderSide.Bid),
CreateLevel(pair, 1, CryptoOrderSide.Bid),
CreateLevel(pair, 1000, CryptoOrderSide.Ask),
CreateLevel(pair, 999, CryptoOrderSide.Ask)
));
await Task.Delay(50);
Assert.Equal(9, notificationCount);
Assert.Equal(3, notificationBidAskCount);
Assert.Equal(6, notificationTopLevelCount);
var firstChange = changes.First();
var secondChange = changes[1];
Assert.Equal(0, firstChange.Levels.First().Price);
Assert.Equal(501, firstChange.Levels.Last().Price);
Assert.Equal(499.4, secondChange.Levels.First().Price);
Assert.Equal(500.2, secondChange.Levels.Last().Price);
Assert.Equal(623466, amountDifferenceBid);
Assert.Equal(1368070, amountDifferenceAsk);
}
[Fact]
public async Task StreamingData_ShouldNotifyOneByOne()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferInterval = TimeSpan.FromMilliseconds(10)
};
var notificationCount = 0;
var changes = new List<IOrderBookChangeInfo>();
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) {DebugEnabled = true};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
notificationCount++;
changes.Add(x);
Thread.Sleep(2000);
});
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.4, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 500.2, 400, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 499.5, 600, CryptoOrderSide.Bid),
CreateLevel(pair, 300.33, 3350, CryptoOrderSide.Bid)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 503.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.123, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 504.1, 3000, CryptoOrderSide.Ask),
CreateLevel(pair, 800.101, 1234, CryptoOrderSide.Ask)
));
await Task.Delay(50);
Assert.Equal(1, notificationCount);
await Task.Delay(2100);
Assert.Equal(2, notificationCount);
var firstChange = changes.First();
var secondChange = changes[1];
Assert.Equal(2, firstChange.Levels.Count);
Assert.Equal(499.4, firstChange.Levels.First().Price);
Assert.Equal(500.2, firstChange.Levels.Last().Price);
Assert.Equal(6, secondChange.Levels.Count);
}
[Fact]
public async Task AutoSnapshotReloading_ShouldWorkCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
LoadSnapshotEnabled = true,
BufferInterval = TimeSpan.FromMilliseconds(100)
};
_ = new CryptoOrderBook(pair, source)
{
SnapshotReloadTimeout = TimeSpan.FromMilliseconds(500),
SnapshotReloadEnabled = true
};
await Task.Delay(TimeSpan.FromSeconds(6));
Assert.Equal(pair, source.SnapshotLastPair);
Assert.True(source.SnapshotCalledCount >= 4);
}
[Fact]
public async Task ValidityChecking_ShouldWorkCorrectly()
{
const string pair = "BTC/USD";
var data = new []
{
CreateLevel(pair, 480, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 520, 50, CryptoOrderSide.Ask),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferInterval = TimeSpan.FromMilliseconds(100)
};
var orderBookUpdatedCount = 0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
ValidityCheckTimeout = TimeSpan.FromMilliseconds(200),
ValidityCheckEnabled = true,
ValidityCheckLimit = 2
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
orderBookUpdatedCount++;
});
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 500, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 499, 400, CryptoOrderSide.Ask)
));
await Task.Delay(TimeSpan.FromMilliseconds(2000));
Assert.Equal(pair, source.SnapshotLastPair);
Assert.InRange(source.SnapshotCalledCount, 4, 5);
Assert.Equal(2, orderBookUpdatedCount);
}
[Fact]
public async Task ValidityChecking_Disabling_ShouldWork()
{
const string pair = "BTC/USD";
var data = new []
{
CreateLevel(pair, 480, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 520, 50, CryptoOrderSide.Ask),
};
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot);
var orderBookUpdatedCount = 0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source)
{
ValidityCheckTimeout = TimeSpan.FromMilliseconds(200),
ValidityCheckEnabled = false
};
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
orderBookUpdatedCount++;
});
source.StreamSnapshot();
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 500, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 499, 400, CryptoOrderSide.Ask)
));
await Task.Delay(TimeSpan.FromMilliseconds(500));
Assert.Null(source.SnapshotLastPair);
Assert.Equal(0, source.SnapshotCalledCount);
Assert.Equal(2, orderBookUpdatedCount);
}
#endif
[Fact]
public void NegativePrice_ShouldHandleCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferEnabled = false
};
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) {DebugEnabled = true};
orderBook.IgnoreDiffsBeforeSnapshot = false;
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, -200, -50, CryptoOrderSide.Bid),
CreateLevel(pair, 500, -400, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, -50, -600, CryptoOrderSide.Bid),
CreateLevel(pair, -100, -3350, CryptoOrderSide.Bid)
));
Assert.Equal(-50, orderBook.BidPrice);
Assert.Equal(600, orderBook.BidAmount);
Assert.Equal(500, orderBook.AskPrice);
Assert.Equal(400, orderBook.AskAmount);
}
[Fact]
public void InvalidBidAsk_ShouldBePreserved()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferEnabled = false
};
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) {DebugEnabled = true};
orderBook.IgnoreDiffsBeforeSnapshot = false;
var changesTopLevel = new List<IOrderBookChangeInfo>();
orderBook.BidAskUpdatedStream.Subscribe(x => changesTopLevel.Add(x));
var changes = new List<IOrderBookChangeInfo>();
orderBook.OrderBookUpdatedStream.Subscribe(x => changes.Add(x));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 200, 400, CryptoOrderSide.Ask),
CreateLevel(pair, 300, 600, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 205, 60, CryptoOrderSide.Bid),
CreateLevel(pair, 211, 333, CryptoOrderSide.Bid)
));
Assert.Equal(211, orderBook.BidPrice);
Assert.Equal(333, orderBook.BidAmount);
Assert.Equal(200, orderBook.AskPrice);
Assert.Equal(400, orderBook.AskAmount);
Assert.False(orderBook.IsValid());
source.StreamBulk(GetDeleteBulkL2(
CreateLevel(pair, 200, CryptoOrderSide.Ask)
));
Assert.Equal(211, orderBook.BidPrice);
Assert.Equal(333, orderBook.BidAmount);
Assert.Equal(300, orderBook.AskPrice);
Assert.Equal(600, orderBook.AskAmount);
Assert.True(orderBook.IsValid());
Assert.Equal(3, changesTopLevel.Count);
Assert.True(changesTopLevel[0].Quotes.IsValid());
Assert.False(changesTopLevel[1].Quotes.IsValid());
Assert.True(changesTopLevel[2].Quotes.IsValid());
Assert.Equal(3, changes.Count);
Assert.True(changes[0].Quotes.IsValid());
Assert.False(changes[1].Quotes.IsValid());
Assert.True(changes[2].Quotes.IsValid());
}
[Fact]
public void DifferentPairs_ShouldNotNotifyAboutOtherPair()
{
const string pair1 = "BTC/USD";
const string pair2 = "ETH/USD";
var ob1NotifiedCount = 0;
var ob2NotifiedCount = 0;
var data1 = GetOrderBookSnapshotMockData(pair1, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data1, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferEnabled = false
};
ICryptoOrderBook orderBook1 = new CryptoOrderBook(pair1, source) {DebugEnabled = true};
ICryptoOrderBook orderBook2 = new CryptoOrderBook(pair2, source) {DebugEnabled = true};
orderBook1.IgnoreDiffsBeforeSnapshot = false;
orderBook2.IgnoreDiffsBeforeSnapshot = false;
orderBook1.OrderBookUpdatedStream.Subscribe(x => ob1NotifiedCount++);
orderBook1.TopLevelUpdatedStream.Subscribe(x => ob1NotifiedCount++);
orderBook1.BidAskUpdatedStream.Subscribe(x => ob1NotifiedCount++);
orderBook2.OrderBookUpdatedStream.Subscribe(x => ob2NotifiedCount++);
orderBook2.TopLevelUpdatedStream.Subscribe(x => ob2NotifiedCount++);
orderBook2.BidAskUpdatedStream.Subscribe(x => ob2NotifiedCount++);
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair1, -200, -50, CryptoOrderSide.Bid),
CreateLevel(pair1, 500, -400, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair1, -50, -600, CryptoOrderSide.Bid),
CreateLevel(pair1, -100, -3350, CryptoOrderSide.Bid)
));
Assert.Equal(-50, orderBook1.BidPrice);
Assert.Equal(600, orderBook1.BidAmount);
Assert.Equal(500, orderBook1.AskPrice);
Assert.Equal(400, orderBook1.AskAmount);
Assert.Equal(0, ob2NotifiedCount);
Assert.Equal(2*3, ob1NotifiedCount);
}
[Fact]
public async Task StreamingFromFile_ShouldHandleCorrectly()
{
const string pair = "XBTUSD";
var communicator = new RawFileCommunicator
{
FileNames = _rawFiles
};
var client = new BitmexWebsocketClient(NullLogger.Instance, communicator);
var source = new BitmexOrderBookSource(client)
{
LoadSnapshotEnabled = false,
BufferEnabled = false
};
var orderBook = new CryptoOrderBook(pair, source)
{
SnapshotReloadEnabled = false,
ValidityCheckEnabled = false
};
var receivedUpdate = 0;
IOrderBookChangeInfo lastReceivedUpdate = null;
var receivedTopLevel = 0;
IOrderBookChangeInfo lastReceivedTopLevel = null;
var receivedBidAskUpdate = 0;
IOrderBookChangeInfo lastReceivedBidAskUpdate = null;
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
receivedUpdate++;
lastReceivedUpdate = x;
});
orderBook.TopLevelUpdatedStream.Subscribe(x =>
{
receivedTopLevel++;
lastReceivedTopLevel = x;
});
orderBook.BidAskUpdatedStream.Subscribe(x =>
{
receivedBidAskUpdate++;
lastReceivedBidAskUpdate = x;
});
await communicator.Start();
Assert.Equal(3284, orderBook.BidLevels.Length);
Assert.Equal(4035, orderBook.AskLevels.Length);
Assert.Equal(6249, orderBook.BidPrice);
Assert.Equal(163556, orderBook.BidLevels.First().Amount);
Assert.Equal(6249.5, orderBook.AskPrice);
Assert.Equal(270526, orderBook.AskLevels.First().Amount);
Assert.Equal(322703, receivedUpdate);
Assert.Equal(6249, lastReceivedUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedUpdate?.Quotes?.Ask);
Assert.Equal("8799374800", lastReceivedUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6252, lastReceivedUpdate.Sources[0].Levels[0].Price);
Assert.Equal(79020, receivedTopLevel);
Assert.Equal(6249, lastReceivedTopLevel?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedTopLevel?.Quotes?.Ask);
Assert.Equal("8799375100", lastReceivedTopLevel.Sources[0].Levels[0].Id);
Assert.Equal(6249, lastReceivedTopLevel.Sources[0].Levels[0].Price);
Assert.Equal(584, receivedBidAskUpdate);
Assert.Equal(6249, lastReceivedBidAskUpdate?.Quotes?.Bid);
Assert.Equal(6249.5, lastReceivedBidAskUpdate?.Quotes?.Ask);
Assert.Equal("8799375050", lastReceivedBidAskUpdate.Sources[0].Levels[0].Id);
Assert.Equal(6249.5, lastReceivedBidAskUpdate.Sources[0].Levels[0].Price);
var levels = orderBook.Levels;
foreach (var level in levels)
{
Assert.Equal(CryptoPairsHelper.Clean(pair), level.Pair);
}
}
[Fact]
public void StreamingData_ShouldComputeDifferenceCorrectly()
{
const string pair = "BTC/USD";
var data = GetOrderBookSnapshotMockData(pair, 500);
var snapshot = new OrderBookLevelBulk(OrderBookAction.Insert, data, CryptoOrderBookType.L2);
var source = new OrderBookSourceMock(snapshot)
{
BufferEnabled = false
};
var amountDifferenceBid = 0.0;
var amountDifferenceAsk = 0.0;
ICryptoOrderBook orderBook = new CryptoOrderBook(pair, source) {DebugEnabled = true};
orderBook.SnapshotReloadEnabled = false;
orderBook.ValidityCheckEnabled = false;
orderBook.IgnoreDiffsBeforeSnapshot = false;
orderBook.OrderBookUpdatedStream.Subscribe(x =>
{
foreach (var bulk in x.Sources)
{
amountDifferenceBid += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Bid).Sum(x => x.AmountDifference);
amountDifferenceAsk += bulk.Levels.Where(x => x.Side == CryptoOrderSide.Ask).Sum(x => x.AmountDifference);
}
});
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 100, 50, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 500, CryptoOrderSide.Ask)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid),
CreateLevel(pair, 98, 20, CryptoOrderSide.Bid)
));
source.StreamBulk(GetInsertBulkL2(
CreateLevel(pair, 102, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 200, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 100, 25, CryptoOrderSide.Bid),
CreateLevel(pair, 99, 5, CryptoOrderSide.Bid),
CreateLevel(pair, 101, 250, CryptoOrderSide.Ask),
CreateLevel(pair, 103, 100, CryptoOrderSide.Ask),
CreateLevel(pair, 100, null, CryptoOrderSide.Bid),
CreateLevel(pair, 102, null, CryptoOrderSide.Ask)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 98, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 99, 10, CryptoOrderSide.Bid)
));
source.StreamBulk(GetUpdateBulkL2(
CreateLevel(pair, 103, 400, CryptoOrderSide.Ask)
));
source.StreamBulk(GetDeleteBulkL2(