This source file includes following definitions.
- BOOST_AUTO_TEST_SUITE
- BOOST_AUTO_TEST_CASE_TEMPLATE
- BOOST_AUTO_TEST_CASE_TEMPLATE
- BOOST_AUTO_TEST_CASE_TEMPLATE
- BOOST_AUTO_TEST_SUITE_END
- BOOST_AUTO_TEST_SUITE_END
- BOOST_AUTO_TEST_CASE_TEMPLATE
- BOOST_AUTO_TEST_CASE_TEMPLATE
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21 #include "stdafx.h"
22
23 #define BOOST_TEST_MODULE libjmmcg_tests
24 #include <boost/test/included/unit_test.hpp>
25
26 #include <boost/test/test_case_template.hpp>
27 #include <boost/mpl/list.hpp>
28
29 #include "../exchanges/conversions/fix_to_batsboe_eu_conversions.hpp"
30
31 const uint32_t sequenceNumber(1);
32
33 typedef boost::mpl::list<
34 isimud::exchanges::BATSBOE::EU::v1::MsgTypes
35
36 > msg_types;
37
38 BOOST_AUTO_TEST_SUITE(exchanges)
39
40 BOOST_AUTO_TEST_SUITE(admin)
41
42 BOOST_AUTO_TEST_CASE_TEMPLATE(LogonRequest, msg, msg_types) {
43 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
44 "8=FIX.5.0\0019=099\00135=A\00149=SENDER\00156=TARGET\00134=1\00152=20000426-12:05:06\00198=0\001108=30\001553=USER\001554=PASSWORD\001925=NEWPASSWD\00110=255\001"
45 };
46 isimud::exchanges::FIX::v5_0sp2::MsgTypes::LogonRequest const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::LogonRequest const &>(*fix_buffer.begin());
47 typename msg::LogonRequest exchg_msg(fix_msg, sequenceNumber, isimud::exchanges::BATSBOE::common::SessionSubID_t(), false);
48 BOOST_CHECK_EQUAL(exchg_msg.start_of_message, isimud::exchanges::BATSBOE::common::msg_start_code);
49 BOOST_CHECK_EQUAL(std::string(exchg_msg.userName.begin(), exchg_msg.userName.size()), "USER");
50 BOOST_CHECK_EQUAL(std::string(exchg_msg.password.begin()), "PASSWORD");
51 }
52
53 BOOST_AUTO_TEST_CASE_TEMPLATE(LogoutRequest, msg, msg_types) {
54 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
55 "8=FIX.5.0\0019=005\00135=5\00110=092\001"
56 };
57 isimud::exchanges::FIX::v5_0sp2::MsgTypes::LogoutRequest const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::LogoutRequest const &>(*fix_buffer.begin());
58 typename msg::LogoutRequest exchg_msg(fix_msg, sequenceNumber);
59 BOOST_CHECK_EQUAL(exchg_msg.start_of_message, isimud::exchanges::BATSBOE::common::msg_start_code);
60 }
61
62 BOOST_AUTO_TEST_CASE_TEMPLATE(ClientHeartbeat, msg, msg_types) {
63 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
64 "8=FIX.5.0\0019=005\00135=0\00110=092\001"
65 };
66 isimud::exchanges::FIX::v5_0sp2::MsgTypes::ClientHeartbeat const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::ClientHeartbeat const &>(*fix_buffer.begin());
67 typename msg::ClientHeartbeat exchg_msg(fix_msg, sequenceNumber);
68 BOOST_CHECK_EQUAL(exchg_msg.start_of_message, isimud::exchanges::BATSBOE::common::msg_start_code);
69 }
70
71 BOOST_AUTO_TEST_CASE_TEMPLATE(ServerHeartbeat, msg, msg_types) {
72 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
73 "8=FIX.5.0\0019=005\00135=0\00110=092\001"
74 };
75 isimud::exchanges::FIX::v5_0sp2::MsgTypes::ServerHeartbeat const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::ServerHeartbeat const &>(*fix_buffer.begin());
76 typename msg::ServerHeartbeat exchg_msg(fix_msg, sequenceNumber);
77 BOOST_CHECK_EQUAL(exchg_msg.start_of_message, isimud::exchanges::BATSBOE::common::msg_start_code);
78 }
79
80 BOOST_AUTO_TEST_SUITE_END()
81
82 BOOST_AUTO_TEST_SUITE(conversions)
83
84 BOOST_AUTO_TEST_CASE_TEMPLATE(NewOrderSingle, msg, msg_types) {
85 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
86 "8=FIX.5.0\0019=151\00135=D\00134=10\00143=N\00149=VENDOR\00150=CUSTOME\00156=BROKER\00160=19980930-09:25:58\0011=XQCCFUND\00111=10\00121=1\00155=69\00148=GB0000595859\00122=4\00154=1\00138=10000\00140=2\00144=76.750000\00159=0\00110=147\001"
87 };
88 isimud::exchanges::FIX::v5_0sp2::MsgTypes::NewOrderSingle const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::NewOrderSingle const &>(*fix_buffer.begin());
89 BOOST_CHECK_EQUAL(isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::OrdType>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::OrdType>()), isimud::exchanges::BATSBOE::common::OrdType::Limit);
90 BOOST_CHECK_EQUAL(isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::TIF>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::TimeInForce>()), isimud::exchanges::BATSBOE::common::TIF::Day);
91 BOOST_CHECK_EQUAL(isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Side>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Side>()), isimud::exchanges::BATSBOE::common::Side::Buy);
92 BOOST_CHECK_EQUAL(std::string(isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::SecurityID_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Symbol>()).data()), "69");
93 BOOST_CHECK_EQUAL(isimud::exchanges::BATSBOE::common::convert<uint32_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::OrderQty>()), 10000);
94 BOOST_CHECK_CLOSE(isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Price_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Price>()), isimud::exchanges::BATSBOE::common::implied_decimal_places*76.75, 0.01);
95 }
96
97 BOOST_AUTO_TEST_SUITE_END()
98
99 BOOST_AUTO_TEST_SUITE(trade)
100
101 BOOST_AUTO_TEST_CASE_TEMPLATE(NewOrderSingle, msg, msg_types) {
102 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
103 "8=FIX.5.0\0019=151\00135=D\00134=10\00143=N\00149=VENDOR\00150=CUSTOME\00156=BROKER\00160=19980930-09:25:58\0011=XQCCFUND\00111=10\00121=1\00155=69\00148=GB0000595859\00122=4\00154=1\00138=10000\00140=2\00144=76.750000\00159=0\00110=147\001"
104 };
105 isimud::exchanges::FIX::v5_0sp2::MsgTypes::NewOrderSingle const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::NewOrderSingle const &>(*fix_buffer.begin());
106 typename msg::NewOrder exchg_msg(fix_msg, sequenceNumber);
107 BOOST_CHECK_EQUAL(std::string(exchg_msg.clientOrderID().begin()), "10");
108 BOOST_CHECK_EQUAL(exchg_msg.orderQty(), isimud::exchanges::BATSBOE::common::convert<uint32_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::OrderQty>()));
109 BOOST_CHECK_EQUAL(exchg_msg.orderType(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::OrdType>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::OrdType>()));
110 BOOST_CHECK_EQUAL(exchg_msg.side(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Side>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Side>()));
111 BOOST_CHECK_EQUAL(exchg_msg.instrumentID(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::SecurityID_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::SecurityID>()));
112 BOOST_CHECK_EQUAL(exchg_msg.limitPrice(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Price_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Price>()));
113 BOOST_CHECK_EQUAL(exchg_msg.tif(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::TIF>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::TimeInForce>()));
114 }
115
116 BOOST_AUTO_TEST_CASE_TEMPLATE(OrderCancelRequest, msg, msg_types) {
117 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
118 "8=FIX.5.0\0019=141\00135=F\00111=10\00141=10\00148=GB00BH4HKS39\00149=VENDOR\00156=BROKER\00134=10\00152=20000426-12:05:06\00155=EK\00154=1\00160=19980930-09:25:58\00138=99\00140=2\00144=43.000000\00159=0\00110=102\001"
119 };
120 isimud::exchanges::FIX::v5_0sp2::MsgTypes::OrderCancelRequest const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::OrderCancelRequest const &>(*fix_buffer.begin());
121 BOOST_CHECK(fix_msg.is_valid());
122 typename msg::CancelOrder exchg_msg(fix_msg, sequenceNumber);
123 BOOST_CHECK_EQUAL(std::string(exchg_msg.originalClientOrderID().begin()), "10");
124 }
125
126 BOOST_AUTO_TEST_CASE_TEMPLATE(OrderCancelReplace, msg, msg_types) {
127 const isimud::exchanges::FIX::common::underlying_fix_data_buffer fix_buffer={
128 "8=FIX.5.0\0019=141\00135=G\00111=10\00141=10\00148=GB00BH4HKS39\00149=VENDOR\00156=BROKER\00134=10\00152=20000426-12:05:06\00155=EK\00154=1\00160=19980930-09:25:58\00138=99\00140=1\00144=43.000000\00159=0\00110=102\001"
129 };
130 isimud::exchanges::FIX::v5_0sp2::MsgTypes::OrderCancelReplace const &fix_msg=reinterpret_cast<isimud::exchanges::FIX::v5_0sp2::MsgTypes::OrderCancelReplace const &>(*fix_buffer.begin());
131 BOOST_CHECK(fix_msg.is_valid());
132 typename msg::OrderCancelReplaceRequest exchg_msg(fix_msg, sequenceNumber);
133 BOOST_CHECK_EQUAL(std::string(exchg_msg.originalClientOrderID().begin()), "10");
134 BOOST_CHECK_EQUAL(exchg_msg.orderQty(), isimud::exchanges::BATSBOE::common::convert<uint32_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::OrderQty>()));
135 BOOST_CHECK_EQUAL(exchg_msg.side(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Side>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Side>()));
136 BOOST_CHECK_EQUAL(exchg_msg.limitPrice(), isimud::exchanges::BATSBOE::common::convert<isimud::exchanges::BATSBOE::common::Price_t>(fix_msg.find<isimud::exchanges::FIX::common::FieldsFast::Price>()));
137 }
138
139 BOOST_AUTO_TEST_SUITE_END()
140
141 BOOST_AUTO_TEST_SUITE_END()