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// OrderBook unit tests
//
// Ported from StockEx matcher/test_matcher.py, adapted for C++
// price-time priority matching with fixed-point prices.
// ════════════════════════════════════════════════════════════════════
#include "common/Book.hpp"
#include <iostream>
#include <cassert>
#include <vector>
#include <cmath>
using namespace eunex;
static int testsPassed = 0;
static int testsFailed = 0;
#define TEST(name) \
std::cout << " " << #name << "... "; \
try { test_##name(); std::cout << "PASS\n"; ++testsPassed; } \
catch (const std::exception& e) { std::cout << "FAIL: " << e.what() << "\n"; ++testsFailed; }
#define ASSERT_EQ(a, b) \
if ((a) != (b)) throw std::runtime_error( \
std::string("Expected ") + std::to_string(static_cast<long long>(b)) + " got " + std::to_string(static_cast<long long>(a)))
#define ASSERT_TRUE(x) \
if (!(x)) throw std::runtime_error("Assertion failed: " #x)
// ── Helpers ────────────────────────────────────────────────────────
static Order makeOrder(Side side, OrderType ot, TimeInForce tif,
double price, uint64_t qty, uint64_t clOrdId = 0) {
Order o{};
o.clOrdId = clOrdId;
o.symbolIdx = 1;
o.side = side;
o.ordType = ot;
o.tif = tif;
o.price = toFixedPrice(price);
o.quantity = qty;
return o;
}
static std::vector<Trade> trades;
static std::vector<ExecutionReport> reports;
static void resetCallbacks() {
trades.clear();
reports.clear();
}
static auto onTrade = [](const Trade& t) { trades.push_back(t); };
static auto onExec = [](const ExecutionReport& r) { reports.push_back(r); };
// ── Tests ──────────────────────────────────────────────────────────
void test_limit_buy_rests_on_empty_book() {
Book book(1);
resetCallbacks();
auto order = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 100.0, 50);
book.newOrder(order, onTrade, onExec);
ASSERT_EQ(trades.size(), 0UL);
ASSERT_EQ(book.bidCount(), 1UL);
ASSERT_EQ(book.askCount(), 0UL);
ASSERT_EQ(reports.back().status, OrderStatus::New);
}
void test_limit_sell_rests_on_empty_book() {
Book book(1);
resetCallbacks();
auto order = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 100.0, 50);
book.newOrder(order, onTrade, onExec);
ASSERT_EQ(trades.size(), 0UL);
ASSERT_EQ(book.bidCount(), 0UL);
ASSERT_EQ(book.askCount(), 1UL);
}
void test_exact_match() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 100);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 50.0, 100);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].quantity, 100UL);
ASSERT_EQ(book.bidCount(), 0UL);
ASSERT_EQ(book.askCount(), 0UL);
}
void test_partial_fill() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 100);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 50.0, 60);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].quantity, 60UL);
ASSERT_EQ(book.askCount(), 1UL);
auto asks = book.getAsks(1);
ASSERT_EQ(asks[0].totalQty, 40UL);
}
void test_price_priority() {
Book book(1);
resetCallbacks();
// Two sells at different prices
auto sell1 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 51.0, 50);
auto sell2 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 50);
book.newOrder(sell1, onTrade, onExec);
book.newOrder(sell2, onTrade, onExec);
resetCallbacks();
// Buy should match cheaper sell first
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 52.0, 30);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(toDouble(trades[0].price), 50.0);
ASSERT_EQ(trades[0].quantity, 30UL);
}
void test_time_priority() {
Book book(1);
resetCallbacks();
// Two sells at same price — first should match first (FIFO)
auto sell1 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 50, 101);
auto sell2 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 50, 102);
book.newOrder(sell1, onTrade, onExec);
book.newOrder(sell2, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 50.0, 30);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].sellClOrdId, 101UL);
}
void test_market_order_matches_any_price() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 999.99, 50);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Market, TimeInForce::IOC, 0, 30);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].quantity, 30UL);
}
void test_market_order_does_not_rest() {
Book book(1);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Market, TimeInForce::IOC, 0, 50);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 0UL);
ASSERT_EQ(book.bidCount(), 0UL);
ASSERT_TRUE(reports.back().status == OrderStatus::Cancelled);
}
void test_ioc_partial_fill_cancel_rest() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 30);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::IOC, 50.0, 100);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].quantity, 30UL);
ASSERT_EQ(book.bidCount(), 0UL); // unfilled portion cancelled
}
void test_fok_rejected_when_insufficient() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 30);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::FOK, 50.0, 100);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 0UL);
ASSERT_TRUE(reports.back().status == OrderStatus::Rejected);
ASSERT_EQ(book.askCount(), 1UL); // sell still on book
}
void test_fok_fills_when_sufficient() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 100);
book.newOrder(sell, onTrade, onExec);
resetCallbacks();
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::FOK, 50.0, 100);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 1UL);
ASSERT_EQ(trades[0].quantity, 100UL);
ASSERT_EQ(book.askCount(), 0UL);
}
void test_cancel_order() {
Book book(1);
resetCallbacks();
auto sell = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 100);
book.newOrder(sell, onTrade, onExec);
ExecutionReport rpt{};
bool ok = book.cancelOrder(sell.orderId, rpt);
ASSERT_TRUE(ok);
ASSERT_EQ(rpt.status, OrderStatus::Cancelled);
ASSERT_EQ(book.askCount(), 0UL);
}
void test_cancel_nonexistent() {
Book book(1);
ExecutionReport rpt{};
bool ok = book.cancelOrder(9999, rpt);
ASSERT_TRUE(!ok);
}
void test_multi_level_sweep() {
Book book(1);
resetCallbacks();
// Three sell levels
auto s1 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 50.0, 20);
auto s2 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 51.0, 20);
auto s3 = makeOrder(Side::Sell, OrderType::Limit, TimeInForce::Day, 52.0, 20);
book.newOrder(s1, onTrade, onExec);
book.newOrder(s2, onTrade, onExec);
book.newOrder(s3, onTrade, onExec);
resetCallbacks();
// Buy sweeps all three levels
auto buy = makeOrder(Side::Buy, OrderType::Limit, TimeInForce::Day, 52.0, 50);
book.newOrder(buy, onTrade, onExec);
ASSERT_EQ(trades.size(), 3UL);
ASSERT_EQ(trades[0].quantity, 20UL);
ASSERT_EQ(trades[1].quantity, 20UL);
ASSERT_EQ(trades[2].quantity, 10UL);
ASSERT_EQ(book.askCount(), 1UL); // 10 remaining at 52.0
}
// ── Main ───────────────────────────────────────────────────────────
int main() {
std::cout << "OrderBook Tests\n";
std::cout << "───────────────────────────────────────────\n";
TEST(limit_buy_rests_on_empty_book);
TEST(limit_sell_rests_on_empty_book);
TEST(exact_match);
TEST(partial_fill);
TEST(price_priority);
TEST(time_priority);
TEST(market_order_matches_any_price);
TEST(market_order_does_not_rest);
TEST(ioc_partial_fill_cancel_rest);
TEST(fok_rejected_when_insufficient);
TEST(fok_fills_when_sufficient);
TEST(cancel_order);
TEST(cancel_nonexistent);
TEST(multi_level_sweep);
std::cout << "───────────────────────────────────────────\n";
std::cout << testsPassed << " passed, " << testsFailed << " failed\n";
return testsFailed > 0 ? 1 : 0;
}
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