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prystupa/OrderBook.Peg.feature

Created January 12, 2013 22:13
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Core test cases for pegged orders
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OrderBook.Peg.feature
Scenario Outline: Price and time priority of pegged orders over market and limit orders
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| A | 100 | <Top Limit> |
| B | 100 | <Non-top Limit> |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <Top Limit> |
| B | 100 | <Non-top Limit> |
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| C | 100 | Peg |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <Top Limit> |
| C | 100 | Peg(<Top Limit>) |
| B | 100 | <Non-top Limit> |
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| D | 100 | Peg |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <Top Limit> |
| C | 100 | Peg(<Top Limit>) |
| D | 100 | Peg(<Top Limit>) |
| B | 100 | <Non-top Limit> |
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| E | 100 | <Top Limit> |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <Top Limit> |
| C | 100 | Peg(<Top Limit>) |
| D | 100 | Peg(<Top Limit>) |
| E | 100 | <Top Limit> |
| B | 100 | <Non-top Limit> |
Examples:
| Side | Top Limit | Non-top Limit |
| Buy | 10.5 | 10.4 |
| Sell | 10.5 | 10.6 |
Scenario Outline: Pegged order starts pegging more aggressive limit order when it enters the book
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| A | 100 | <First Limit> |
| B | 100 | Peg |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <First Limit> |
| B | 100 | Peg(<First Limit>) |
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| C | 100 | <New Best Limit> |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| C | 100 | <New Best Limit> |
| B | 100 | Peg(<New Best Limit>) |
| A | 100 | <First Limit> |
Examples:
| Side | First Limit | New Best Limit |
| Buy | 10.5 | 10.6 |
| Sell | 10.5 | 10.4 |
Scenario Outline: Pegged order starts pegging less aggressive limit order when more aggressive leaves the book
When the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| A | 100 | <More Aggressive Limit> |
| B | 100 | <Less Aggressive Limit> |
| C | 100 | Peg |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | <More Aggressive Limit> |
| C | 100 | Peg(<More Aggressive Limit>) |
| B | 100 | <Less Aggressive Limit> |
When the top order goes away from the "<Side>" book
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| B | 100 | <Less Aggressive Limit> |
| C | 100 | Peg(<Less Aggressive Limit>) |
Examples:
| Side | More Aggressive Limit | Less Aggressive Limit |
| Buy | 10.6 | 10.5 |
| Sell | 10.4 | 10.5 |
Scenario Outline: Pegged order is automatically canceled if the best limit of the order book disappears
Given the following orders are added to the "<Side>" book:
| Broker | Qty | Price |
| A | 100 | 10.5 |
| B | 100 | Peg |
Then the "<Side>" order book looks like:
| Broker | Qty | Price |
| A | 100 | 10.5 |
| B | 100 | Peg(10.5) |
When the top order goes away from the "<Side>" book
Then the following "<Side>" orders are cancelled:
| Broker | Qty | Price |
| B | 100 | Peg |
And the "<Side>" order book looks like:
| Broker | Qty | Price |
Examples:
| Side |
| Buy |
| Sell |
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