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orderbook_test.go
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orderbook_test.go
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package hftorderbook
import (
"testing"
"math"
"math/rand"
//"fmt"
)
func TestOrderbookEmpty(t *testing.T) {
b := NewOrderbook()
if b.BLength() != 0 {
t.Errorf("book should be empty")
}
if b.ALength() != 0 {
t.Errorf("book should be empty")
}
}
func TestOrderbookAddOne(t *testing.T) {
b := NewOrderbook()
bid := &Order{
BidOrAsk: true,
}
ask := &Order{
BidOrAsk: false,
}
b.Add(1.0, bid)
b.Add(2.0, ask)
if b.BLength() != 1 {
t.Errorf("book should have 1 bid")
}
if b.ALength() != 1 {
t.Errorf("book should have 1 ask")
}
}
func TestOrderbookAddMultiple(t *testing.T) {
b := NewOrderbook()
for i := 0; i < 100; i += 1 {
bid := &Order{
BidOrAsk: true,
}
b.Add(float64(i), bid)
}
for i := 100; i < 200; i += 1 {
bid := &Order{
BidOrAsk: false,
}
b.Add(float64(i), bid)
}
if b.BLength() != 100 {
t.Errorf("book should have 100 bids")
}
if b.ALength() != 100 {
t.Errorf("book should have 100 asks")
}
if b.GetBestBid() != 99.0 {
t.Errorf("best bid should be 99.0")
}
if b.GetBestOffer() != 100.0 {
t.Errorf("best offer should be 100.0")
}
}
func TestOrderbookAddAndCancel(t *testing.T) {
b := NewOrderbook()
bid1 := &Order{
Id: 1,
BidOrAsk: true,
}
bid2 := &Order{
Id: 2,
BidOrAsk: true,
}
b.Add(1.0, bid1)
b.Add(2.0, bid2)
if b.GetBestBid() != 2.0 {
t.Errorf("best bid should be 2.0")
}
b.Cancel(bid2)
if b.GetBestBid() != 1.0 {
t.Errorf("best bid should be 1.0 now")
}
}
func TestGetVolumeAtLimit(t *testing.T) {
b := NewOrderbook()
bid1 := &Order{
Id: 1,
BidOrAsk: true,
Volume: 0.1,
}
bid2 := &Order{
Id: 2,
BidOrAsk: true,
Volume: 0.2,
}
b.Add(1.0, bid1)
b.Add(1.0, bid2)
if math.Abs(b.GetVolumeAtBidLimit(1.0) - 0.3) > 0.0000001 {
t.Errorf("invalid volume at limit: %0.8f", b.GetVolumeAtBidLimit(1.0))
}
}
func benchmarkOrderbookLimitedRandomInsert(n int, b *testing.B) {
book := NewOrderbook()
// maximum number of levels in average is 10k
limitslist := make([]float64, n)
for i := range limitslist {
limitslist[i] = rand.Float64()
}
// preallocate empty orders
orders := make([]*Order, 0, b.N)
for i := 0; i < b.N; i += 1 {
orders = append(orders, &Order{})
}
// measure insertion time
b.ResetTimer()
for i := 0; i < b.N; i += 1 {
price := limitslist[rand.Intn(len(limitslist))]
// create a new order
o := orders[i]
o.Id = i
o.Volume = rand.Float64()
o.BidOrAsk = price < 0.5
// add to the book
book.Add(price, o)
}
//fmt.Printf("bid size %d, ask size %d\n", book.BLength(), book.ALength())
}
func BenchmarkOrderbook5kLevelsRandomInsert(b *testing.B) {
benchmarkOrderbookLimitedRandomInsert(5000, b)
}
func BenchmarkOrderbook10kLevelsRandomInsert(b *testing.B) {
benchmarkOrderbookLimitedRandomInsert(10000, b)
}
func BenchmarkOrderbook20kLevelsRandomInsert(b *testing.B) {
benchmarkOrderbookLimitedRandomInsert(20000, b)
}