batsboe_us_to_fix.cpp

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/******************************************************************************
** Copyright © 2015 by J.M.McGuiness, isimud@hussar.me.uk
**
** This library is free software; you can redistribute it and/or
** modify it under the terms of the GNU Lesser General Public
** License as published by the Free Software Foundation; either
** version 2.1 of the License, or (at your option) any later version.
**
** This library is distributed in the hope that it will be useful,
** but WITHOUT ANY WARRANTY; without even the implied warranty of
** MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE. See the GNU
** Lesser General Public License for more details.
**
** You should have received a copy of the GNU Lesser General Public
** License along with this library; if not, write to the Free Software
** Foundation, Inc., 59 Temple Place, Suite 330, Boston, MA 02111-1307 USA
*/
 
#include "stdafx.h"
 
#define BOOST_TEST_MODULE isimud_tests
#include <boost/test/included/unit_test.hpp>
 
#include <boost/mpl/list.hpp>
 
#include "../exchanges/conversions/batsboe_us_to_fix_conversions.hpp"
 
using namespace libjmmcg;
using namespace libisimud;
 
const int32_t seqNum=1;
const exchanges::BATSBOE::common::ClientOrderID_t clientOrderId1{"abcdefghijklm0test1"};
const exchanges::BATSBOE::common::Price_t price=42*exchanges::BATSBOE::common::implied_decimal_places;
const exchanges::BATSBOE::common::SecurityID_t instID{"GB00BH4HKS39"};
const exchanges::BATSBOE::common::Side s=exchanges::BATSBOE::common::Side::Buy;
 
typedef boost::mpl::list<
   exchanges::BATSBOE::US::v1::MsgTypes//,
// TODO  exchanges::BATSBOE::US::v2::MsgTypes
> msg_types;
 
BOOST_AUTO_TEST_SUITE(exchange_gateways)
 
BOOST_AUTO_TEST_CASE_TEMPLATE(OrderExecution, msg, msg_types) {
   typename msg::OrderExecution exchg_msg(seqNum, clientOrderId1, price, instID, s);
   exchg_msg.executedQty(0);
   exchg_msg.leavesQty(0);
   exchanges::FIX::v5_0sp2::MsgTypes::ExecutionReport fix_msg(exchg_msg);
   BOOST_CHECK(fix_msg.is_valid());
   auto const client_order_id=fix_msg.find<exchanges::FIX::common::FieldsFast::ClOrdID>();
   BOOST_CHECK_EQUAL(std::string(client_order_id.first, client_order_id.second), clientOrderId1.begin());
   auto const fix_price=fix_msg.find<exchanges::FIX::common::FieldsFast::Price>();
   BOOST_CHECK_EQUAL(static_cast<exchanges::BATSBOE::common::Price_t>(fromstring<double>(fix_price.first, fix_price.second-fix_price.first)), price/exchanges::BATSBOE::common::implied_decimal_places);
   auto const sec_id_type=fix_msg.find<exchanges::FIX::common::FieldsFast::SecurityIDSource>();
   BOOST_CHECK_EQUAL(std::string(sec_id_type.first, sec_id_type.second), "4");
   auto const symbol=fix_msg.find<exchanges::FIX::common::FieldsFast::SecurityID>();
   BOOST_CHECK_EQUAL(std::string(symbol.first), instID.begin());
   auto const orderQty=fix_msg.find<exchanges::FIX::common::FieldsFast::OrderQty>();
   BOOST_CHECK_EQUAL(std::string(orderQty.first, orderQty.second), "0");
   auto const leavesQty=fix_msg.find<exchanges::FIX::common::FieldsFast::LeavesQty>();
   BOOST_CHECK_EQUAL(std::string(leavesQty.first, leavesQty.second), "0");
   auto const side=fix_msg.find<exchanges::FIX::common::FieldsFast::Side>();
   BOOST_CHECK_EQUAL(std::string(side.first, side.second), "1");
}
 
BOOST_AUTO_TEST_CASE_TEMPLATE(OrderRejected, msg, msg_types) {
   typename msg::OrderRejected exchg_msg(seqNum, clientOrderId1, exchanges::BATSBOE::common::OrderRejectReason::Admin);
   exchanges::FIX::v5_0sp2::MsgTypes::OrderRejected fix_msg(exchg_msg);
   BOOST_CHECK(fix_msg.is_valid());
   auto const client_order_id=fix_msg.find<exchanges::FIX::common::FieldsFast::ClOrdID>();
   BOOST_CHECK_EQUAL(std::string(client_order_id.first, client_order_id.second), clientOrderId1.begin());
}
 
BOOST_AUTO_TEST_CASE_TEMPLATE(CancelRejected, msg, msg_types) {
   typename msg::CancelRejected exchg_msg(seqNum, clientOrderId1, exchanges::BATSBOE::common::OrderRejectReason::Admin);
   exchanges::FIX::v5_0sp2::MsgTypes::CancelRejected fix_msg(exchg_msg);
   BOOST_CHECK(fix_msg.is_valid());
   auto const client_order_id=fix_msg.find<exchanges::FIX::common::FieldsFast::ClOrdID>();
   BOOST_CHECK_EQUAL(std::string(client_order_id.first, client_order_id.second), clientOrderId1.begin());
}
 
BOOST_AUTO_TEST_CASE_TEMPLATE(UserModifyRejected, msg, msg_types) {
   typename msg::UserModifyRejected exchg_msg(seqNum, clientOrderId1, exchanges::BATSBOE::common::OrderRejectReason::Admin);
   const exchanges::FIX::v5_0sp2::MsgTypes::BusinessMessageReject fix_msg(exchg_msg);
   BOOST_CHECK(fix_msg.is_valid());
   auto const ref_seq_num=fix_msg.find<exchanges::FIX::common::FieldsFast::RefSeqNum>();
   BOOST_CHECK_EQUAL(std::string(ref_seq_num.first, ref_seq_num.second), "1");
}
 
BOOST_AUTO_TEST_CASE_TEMPLATE(OrderCancelled, msg, msg_types) {
   typename msg::OrderCancelled exchg_msg(seqNum, clientOrderId1, exchanges::BATSBOE::common::OrderRejectReason::Admin, price, s, 0, 0);
   exchanges::FIX::v5_0sp2::MsgTypes::ExecutionReport fix_msg(exchg_msg);
   BOOST_CHECK(fix_msg.is_valid());
   auto const client_order_id=fix_msg.find<exchanges::FIX::common::FieldsFast::ClOrdID>();
   BOOST_CHECK_EQUAL(std::string(client_order_id.first, client_order_id.second), clientOrderId1.begin());
   auto const fix_price=fix_msg.find<exchanges::FIX::common::FieldsFast::Price>();
   BOOST_CHECK_EQUAL(static_cast<exchanges::BATSBOE::common::Price_t>(fromstring<double>(fix_price.first, fix_price.second-fix_price.first)), price/exchanges::BATSBOE::common::implied_decimal_places);
   auto const orderQty=fix_msg.find<exchanges::FIX::common::FieldsFast::OrderQty>();
   BOOST_CHECK_EQUAL(std::string(orderQty.first, orderQty.second), "0");
   auto const leavesQty=fix_msg.find<exchanges::FIX::common::FieldsFast::LeavesQty>();
   BOOST_CHECK_EQUAL(std::string(leavesQty.first, leavesQty.second), "0");
   auto const side=fix_msg.find<exchanges::FIX::common::FieldsFast::Side>();
   BOOST_CHECK_EQUAL(std::string(side.first, side.second), "1");
}
 
BOOST_AUTO_TEST_SUITE_END()