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prystupa/LimitOrdersMatching.feature

Created December 25, 2012 18:10
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Partial matches for limit orders
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LimitOrdersMatching.feature
Feature: Core matching logic for limit orders
Background: Submit initial non-crossing orders to work with
Given the following orders are submitted in this order:
| Broker | Side | Qty | Price |
| A | Buy | 100 | 10.4 |
| B | Buy | 200 | 10.3 |
| C | Sell | 100 | 10.7 |
| D | Sell | 200 | 10.8 |
Then no trades are generated
And market order book looks like:
| Broker | Qty | Price | Price | Qty | Broker |
| A | 100 | 10.4 | 10.7 | 100 | C |
| B | 200 | 10.3 | 10.8 | 200 | D |
# Omitted tests for exact order size match
# ...
Scenario: Matching a Buy order large enough to clear the Sell book
When the following orders are submitted in this order:
| Broker | Side | Qty | Price |
| E | Buy | 350 | 10.8 |
Then the following trades are generated:
| Buying broker | Selling broker | Qty | Price |
| E | C | 100 | 10.7 |
| E | D | 200 | 10.8 |
And market order book looks like:
| Broker | Qty | Price | Price | Qty | Broker |
| E | 50 | 10.8 | | | |
| A | 100 | 10.4 | | | |
| B | 200 | 10.3 | | | |
Scenario: Matching a Sell order large enough to clear the Buy book
When the following orders are submitted in this order:
| Broker | Side | Qty | Price |
| E | Sell | 350 | 10.3 |
Then the following trades are generated:
| Buying broker | Selling broker | Qty | Price |
| A | E | 100 | 10.4 |
| B | E | 200 | 10.3 |
And market order book looks like:
| Broker | Qty | Price | Price | Qty | Broker |
| | | | 10.3 | 50 | E |
| | | | 10.7 | 100 | C |
| | | | 10.8 | 200 | D |
Scenario: Matching a large Buy order partially
When the following orders are submitted in this order:
| Broker | Side | Qty | Price |
| E | Buy | 350 | 10.7 |
Then the following trades are generated:
| Buying broker | Selling broker | Qty | Price |
| E | C | 100 | 10.7 |
And market order book looks like:
| Broker | Qty | Price | Price | Qty | Broker |
| E | 250 | 10.7 | 10.8 | 200 | D |
| A | 100 | 10.4 | | | |
| B | 200 | 10.3 | | | |
Scenario: Matching a large Sell order partially
When the following orders are submitted in this order:
| Broker | Side | Qty | Price |
| E | Sell | 350 | 10.4 |
Then the following trades are generated:
| Buying broker | Selling broker | Qty | Price |
| A | E | 100 | 10.4 |
And market order book looks like:
| Broker | Qty | Price | Price | Qty | Broker |
| B | 200 | 10.3 | 10.4 | 250 | E |
| | | | 10.7 | 100 | C |
| | | | 10.8 | 200 | D |
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