tests for lob + update cmake to automatically fetch tests

Author: LonelyGuy-SE1

CMakeLists.txt

@@ -1,5 +1,6 @@
 cmake_minimum_required(VERSION 3.14)
-project(Raijin-LOB CXX)
+
+project(RaijinLOB CXX)
 
 set(CMAKE_CXX_STANDARD 20)
 set(CMAKE_CXX_STANDARD_REQUIRED ON)
@@ -8,21 +9,27 @@ set(CMAKE_CXX_EXTENSIONS OFF)
 set(CMAKE_CXX_FLAGS "${CMAKE_CXX_FLAGS} -Wall -Wextra -Werror")
 set(CMAKE_CXX_FLAGS_RELEASE "-O3 -march=native -DNDEBUG")
 
-include_directories(include
-third_party/json/include)
+include_directories(
+    include
+    third_party/json/include
+)
 
-add_library(core_objects OBJECT
-    src/core/order_pool.cpp
+add_library(core_objects OBJECT 
+    src/core/config.cpp
+    src/core/order_pool.cpp 
     src/core/limit_order_book.cpp
-    src/core/config.cpp)
+)
 
 add_executable(raijin_engine src/main.cpp)
 target_link_libraries(raijin_engine PRIVATE core_objects)
 
 add_subdirectory(third_party/googletest)
 
-add_executable(test_order_pool tests/test_order_pool.cpp)
-target_link_libraries(test_order_pool PRIVATE core_objects GTest::gtest_main)
-
 include(CTest)
-add_test(NAME OrderPoolTests COMMAND test_order_pool)
+
+file(GLOB TEST_SOURCES CONFIGURE_DEPENDS "tests/*.cpp")
+add_executable(raijin_tests ${TEST_SOURCES})
+target_link_libraries(raijin_tests PRIVATE core_objects GTest::gtest_main)
+
+include(GoogleTest)
+gtest_discover_tests(raijin_tests)

tests/test_limit_order_book.cpp

@@ -0,0 +1,95 @@
+#include <gtest/gtest.h>
+#include "../include/core/limit_order_book.hpp"
+
+using namespace raijin;
+
+class LimitOrderBookTest : public ::testing::Test
+{
+protected:
+    BookConfig config{
+        .order_pool_capacity = 1000,
+        .price_level_count = 100000,
+        .level_queue_capacity = 256,
+        .max_order_id = 1000};
+
+    std::unique_ptr<LimitOrderBook> book;
+
+    void SetUp() override
+    {
+        book = std::make_unique<LimitOrderBook>(config);
+    }
+};
+
+TEST_F(LimitOrderBookTest, AddSingleBuyOrder)
+{
+    bool success = book->add_order(1, 5000, 100, true);
+    EXPECT_TRUE(success);
+    EXPECT_EQ(book->best_bid_tick(), 5000);
+    EXPECT_EQ(book->bid_volume(5000), 100);
+
+    EXPECT_EQ(book->best_ask_tick(), UINT32_MAX);
+}
+
+TEST_F(LimitOrderBookTest, AddSingleSellOrder)
+{
+    bool success = book->add_order(2, 5010, 50, false);
+    EXPECT_TRUE(success);
+    EXPECT_EQ(book->best_ask_tick(), 5010);
+    EXPECT_EQ(book->ask_volume(5010), 50);
+    EXPECT_EQ(book->best_bid_tick(), UINT32_MAX);
+}
+
+TEST_F(LimitOrderBookTest, MatchFullFill)
+{
+    book->add_order(1, 5000, 100, false);
+    EXPECT_EQ(book->ask_volume(5000), 100);
+
+    book->add_order(2, 5000, 100, true);
+    EXPECT_EQ(book->ask_volume(5000), 0);
+    EXPECT_EQ(book->bid_volume(5000), 0);
+    EXPECT_EQ(book->best_ask_tick(), UINT32_MAX);
+}
+
+TEST_F(LimitOrderBookTest, MatchPartialFillIncomingSmaller)
+{
+    book->add_order(1, 5000, 100, false);
+    book->add_order(2, 5000, 40, true);
+    EXPECT_EQ(book->ask_volume(5000), 60);
+    EXPECT_EQ(book->bid_volume(5000), 0);
+    EXPECT_EQ(book->best_ask_tick(), 5000);
+}
+
+TEST_F(LimitOrderBookTest, CancelOrder)
+{
+    book->add_order(1, 5000, 100, true);
+    EXPECT_EQ(book->bid_volume(5000), 100);
+    bool success = book->cancel_order(1);
+    EXPECT_TRUE(success);
+    EXPECT_EQ(book->bid_volume(5000), 0);
+    EXPECT_EQ(book->best_bid_tick(), UINT32_MAX);
+}
+
+TEST_F(LimitOrderBookTest, MatchPartialFIllIncomingLarger)
+{
+    book->add_order(1, 5000, 100, false);
+    book->add_order(2, 5000, 150, true);
+    EXPECT_EQ(book->ask_volume(5000), 0);
+    EXPECT_EQ(book->bid_volume(5000), 50);
+    EXPECT_EQ(book->best_ask_tick(), UINT32_MAX);
+}
+
+// spoofing test
+TEST_F(LimitOrderBookTest, ToxicFlowCompaction)
+{
+    for (uint64_t i = 1; i <= 256; i++)
+    {
+        book->add_order(i, 5000, 10, true);
+    }
+    for (uint64_t i = 1; i <= 100; i++)
+    {
+        book->cancel_order(i);
+    }
+    bool success = book->add_order(257, 5000, 100, true);
+    EXPECT_TRUE(success);
+    EXPECT_EQ(book->bid_volume(5000), 1570);
+}