Initial commit

spec/workers/matching_spec.rb

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+# encoding: UTF-8
+# frozen_string_literal: true
+
+describe Workers::AMQP::Matching do
+  let(:alice)  { who_is_billionaire }
+  let(:bob)    { who_is_billionaire }
+  let(:market) { Market.find(:btcusd) }
+
+  subject { Workers::AMQP::Matching.new }
+
+  context 'engines' do
+    it 'should get all engines' do
+      expect(subject.engines.keys.sort).to eq Market.pluck(:id).sort
+    end
+
+    it 'should started all engines' do
+      expect(subject.engines.values.map(&:mode)).to eq Array.new(Market.count, :run)
+    end
+  end
+
+  context 'partial match' do
+    let(:existing) { create(:order_ask, :btcusd, price: '4001', volume: '10.0', member: alice) }
+
+    before do
+      subject.process({ action: 'submit', order: existing.to_matching_attributes }, {}, {})
+    end
+
+    it 'should started engine' do
+      expect(subject.engines['btcusd'].mode).to eq :run
+    end
+
+    it 'should match part of existing order' do
+      order = create(:order_bid, :btcusd, price: '4001', volume: '8.0', member: bob)
+
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, maker_order_id: existing.id, taker_order_id: order.id, strike_price: '4001'.to_d, amount: '8.0'.to_d, total: '32008'.to_d } }, anything)
+      subject.process({ action: 'submit', order: order.to_matching_attributes }, {}, {})
+    end
+
+    it 'should match part of new order' do
+      order = create(:order_bid, :btcusd, price: '4001', volume: '12.0', member: bob)
+
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, maker_order_id: existing.id, taker_order_id: order.id, strike_price: '4001'.to_d, amount: '10.0'.to_d, total: '40010'.to_d } }, anything)
+      subject.process({ action: 'submit', order: order.to_matching_attributes }, {}, {})
+    end
+  end
+
+  context 'complex partial match' do
+    # submit  | ask price/volume | bid price/volume |
+    # -----------------------------------------------
+    # ask1    | 4003/3           |                  |
+    # -----------------------------------------------
+    # ask2    | 4002/3, 4003/3   |                  |
+    # -----------------------------------------------
+    # bid3    |                  | 4003/2           |
+    # -----------------------------------------------
+    # ask4    | 4002/3           |                  |
+    # -----------------------------------------------
+    # bid5    |                  |                  |
+    # -----------------------------------------------
+    # bid6    |                  | 4001/5           |
+    # -----------------------------------------------
+    let!(:ask1) { create(:order_ask, :btcusd, price: '4003', volume: '3.0', member: alice) }
+    let!(:ask2) { create(:order_ask, :btcusd, price: '4002', volume: '3.0', member: alice) }
+    let!(:bid3) { create(:order_bid, :btcusd, price: '4003', volume: '8.0', member: bob) }
+    let!(:ask4) { create(:order_ask, :btcusd, price: '4002', volume: '5.0', member: alice) }
+    let!(:bid5) { create(:order_bid, :btcusd, price: '4003', volume: '3.0', member: bob) }
+    let!(:bid6) { create(:order_bid, :btcusd, price: '4001', volume: '5.0', member: bob) }
+
+    let!(:orderbook) { Matching::OrderBookManager.new('btcusd', broadcast: false) }
+    let!(:engine)    { Matching::Engine.new(market, mode: :run) }
+
+    before do
+      engine.stubs(:orderbook).returns(orderbook)
+      ::Matching::Engine.stubs(:new).returns(engine)
+    end
+
+    it 'should create many trades' do
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, maker_order_id: ask1.id, taker_order_id: bid3.id, strike_price: ask1.price, amount: ask1.volume, total: '12009'.to_d } }, anything).once
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, maker_order_id: ask2.id, taker_order_id: bid3.id, strike_price: ask2.price, amount: ask2.volume, total: '12006'.to_d } }, anything).once
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, taker_order_id: ask4.id, maker_order_id: bid3.id, strike_price: bid3.price, amount: '2.0'.to_d, total: '8006'.to_d } }, anything).once
+      AMQP::Queue.expects(:enqueue)
+               .with(:trade_executor, { action: 'execute', trade: { market_id: market.id, maker_order_id: ask4.id, taker_order_id: bid5.id, strike_price: ask4.price, amount: bid5.volume, total: '12006'.to_d } }, anything).once
+
+      subject
+    end
+  end
+
+  context 'cancel order' do
+    let(:existing) { create(:order_ask, :btcusd, price: '4001', volume: '10.0', member: alice) }
+
+    before do
+      subject.process({ action: 'submit', order: existing.to_matching_attributes }, {}, {})
+    end
+
+    it 'should cancel existing order' do
+      subject.process({ action: 'cancel', order: existing.to_matching_attributes }, {}, {})
+      expect(subject.engines[market.id].ask_orders.limit_orders).to be_empty
+    end
+  end
+
+  context 'dryrun' do
+    let!(:bid) { create(:order_bid, :btcusd, price: '4001', volume: '8.0', member: bob) }
+
+    subject { Workers::AMQP::Matching.new(mode: :dryrun) }
+
+    context 'very old orders matched' do
+      let!(:ask) { create(:order_ask, :btcusd, price: '4000', volume: '3.0', member: alice, created_at: 1.day.ago) }
+
+      it 'should not start engine' do
+        expect(subject.engines['btcusd'].mode).to eq :dryrun
+        expect(subject.engines['btcusd'].queue.size).to eq 1
+      end
+    end
+
+    context 'buffered orders matched' do
+      let!(:ask) { create(:order_ask, :btcusd, price: '4000', volume: '3.0', member: alice) }
+
+      it 'should start engine' do
+        expect(subject.engines['btcusd'].mode).to eq :run
+      end
+    end
+  end
+end