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Parameterize cancellation integration tests
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94 changes: 94 additions & 0 deletions
94
exchange/test/src/integration/test_algos/cpp/cancel_limit_order.hpp
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,94 @@ | ||
| #include <cstdint> | ||
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|
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| #include <string> | ||
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| /** | ||
| * Place a market order | ||
| * | ||
| * IMPORTANT: | ||
| * You should handle the case where the order fails due to rate limiting | ||
| * (maybe wait and try again?) | ||
| * | ||
| * @param side Side of the order to place ("BUY" or "SELL") | ||
| * @param ticker Ticker of the order to place ("ETH", "BTC", or "LTC") | ||
| * @param quantity Volume of the order to place | ||
| * | ||
| * @return true if order succeeded, false if order failed due to rate limiting | ||
| */ | ||
| bool | ||
| place_market_order(std::string const& side, std::string const& ticker, double quantity); | ||
|
|
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| /** | ||
| * Place a limit order | ||
| * | ||
| * IMPORTANT: | ||
| * You should handle the case where the order fails due to rate limiting | ||
| * (maybe wait and try again?) | ||
| * | ||
| * @param side Side of the order to place ("BUY" or "SELL") | ||
| * @param ticker Ticker of the order to place ("ETH", "BTC", or "LTC") | ||
| * @param quantity Volume of the order to place | ||
| * @param price Price of the order to place | ||
| * @param ioc Immediate or cancel | ||
| * | ||
| * @return true if order succeeded, false if order failed due to rate limiting | ||
| */ | ||
| std::int64_t place_limit_order( | ||
| std::string const& side, std::string const& ticker, double quantity, double price, | ||
| bool ioc = false | ||
| ); | ||
|
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| bool cancel_order(std::string const& ticker, std::int64_t order_id); | ||
|
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| class Strategy { | ||
| public: | ||
| Strategy() | ||
| { | ||
| auto order_id = place_limit_order("BUY", "ETH", 100, 10); | ||
| cancel_order("ETH", order_id); | ||
| } | ||
|
|
||
| /** | ||
| * Called whenever two orders match. Could be one of your orders, or two other | ||
| * people's orders. | ||
| * | ||
| * @param ticker Ticker of the orders that were matched ("ETH", "BTC", or | ||
| * "LTC) | ||
| * @param side Side of the orders that were matched ("BUY" or "SELL") | ||
| * @param price Price that trade was executed at | ||
| * @quantity quantity Volume traded | ||
| */ | ||
| void | ||
| on_trade_update(std::string ticker, std::string side, double quantity, double price) | ||
| {} | ||
|
|
||
| /** | ||
| * Called whenever the orderbook changes. This could be because of a trade, or | ||
| * because of a new order, or both. | ||
| * | ||
| * @param ticker Ticker that has an orderbook update ("ETH", "BTC", or "LTC") | ||
| * @param side Which orderbook as updated ("BUY" or "SELL") | ||
| * @param price Price of orderbook that has an update | ||
| * @param quantity Volume placed into orderbook | ||
| */ | ||
| void | ||
| on_orderbook_update( | ||
| std::string ticker, std::string side, double quantity, double price | ||
| ) | ||
| {} | ||
|
|
||
| /** | ||
| * Called whenever one of your orders is filled. | ||
| * | ||
| * @param ticker Ticker of order that was fulfilled ("ETH", "BTC", or "LTC") | ||
| * @param side Side of order that was fulfilled ("BUY" or "SELL") | ||
| * @param price Price that order was fulfilled at | ||
| * @param quantity Amount of capital after fulfilling order | ||
| */ | ||
| void | ||
| on_account_update( | ||
| std::string ticker, std::string side, double price, double quantity, | ||
| double capital_remaining | ||
| ) | ||
| {} | ||
| }; |
95 changes: 95 additions & 0 deletions
95
exchange/test/src/integration/test_algos/cpp/partial_cancel_limit_order.hpp
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,95 @@ | ||
| #include <cstdint> | ||
|
|
||
| #include <string> | ||
|
|
||
| /** | ||
| * Place a market order | ||
| * | ||
| * IMPORTANT: | ||
| * You should handle the case where the order fails due to rate limiting | ||
| * (maybe wait and try again?) | ||
| * | ||
| * @param side Side of the order to place ("BUY" or "SELL") | ||
| * @param ticker Ticker of the order to place ("ETH", "BTC", or "LTC") | ||
| * @param quantity Volume of the order to place | ||
| * | ||
| * @return true if order succeeded, false if order failed due to rate limiting | ||
| */ | ||
| bool | ||
| place_market_order(std::string const& side, std::string const& ticker, double quantity); | ||
|
|
||
| /** | ||
| * Place a limit order | ||
| * | ||
| * IMPORTANT: | ||
| * You should handle the case where the order fails due to rate limiting | ||
| * (maybe wait and try again?) | ||
| * | ||
| * @param side Side of the order to place ("BUY" or "SELL") | ||
| * @param ticker Ticker of the order to place ("ETH", "BTC", or "LTC") | ||
| * @param quantity Volume of the order to place | ||
| * @param price Price of the order to place | ||
| * @param ioc Immediate or cancel | ||
| * | ||
| * @return true if order succeeded, false if order failed due to rate limiting | ||
| */ | ||
| std::int64_t place_limit_order( | ||
| std::string const& side, std::string const& ticker, double quantity, double price, | ||
| bool ioc = false | ||
| ); | ||
|
|
||
| bool cancel_order(std::string const& ticker, std::int64_t order_id); | ||
|
|
||
| class Strategy { | ||
| public: | ||
| Strategy() | ||
| { | ||
| auto order_id = place_limit_order("BUY", "ETH", 100, 10); | ||
| place_limit_order("BUY", "ETH", 100, 20); | ||
| cancel_order("ETH", order_id); | ||
| } | ||
|
|
||
| /** | ||
| * Called whenever two orders match. Could be one of your orders, or two other | ||
| * people's orders. | ||
| * | ||
| * @param ticker Ticker of the orders that were matched ("ETH", "BTC", or | ||
| * "LTC) | ||
| * @param side Side of the orders that were matched ("BUY" or "SELL") | ||
| * @param price Price that trade was executed at | ||
| * @quantity quantity Volume traded | ||
| */ | ||
| void | ||
| on_trade_update(std::string ticker, std::string side, double quantity, double price) | ||
| {} | ||
|
|
||
| /** | ||
| * Called whenever the orderbook changes. This could be because of a trade, or | ||
| * because of a new order, or both. | ||
| * | ||
| * @param ticker Ticker that has an orderbook update ("ETH", "BTC", or "LTC") | ||
| * @param side Which orderbook as updated ("BUY" or "SELL") | ||
| * @param price Price of orderbook that has an update | ||
| * @param quantity Volume placed into orderbook | ||
| */ | ||
| void | ||
| on_orderbook_update( | ||
| std::string ticker, std::string side, double quantity, double price | ||
| ) | ||
| {} | ||
|
|
||
| /** | ||
| * Called whenever one of your orders is filled. | ||
| * | ||
| * @param ticker Ticker of order that was fulfilled ("ETH", "BTC", or "LTC") | ||
| * @param side Side of order that was fulfilled ("BUY" or "SELL") | ||
| * @param price Price that order was fulfilled at | ||
| * @param quantity Amount of capital after fulfilling order | ||
| */ | ||
| void | ||
| on_account_update( | ||
| std::string ticker, std::string side, double price, double quantity, | ||
| double capital_remaining | ||
| ) | ||
| {} | ||
| }; |
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