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MATP-1221 Handle duplicate root order ids better
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dare/src/test/java/org/marketcetera/trade/RootOrderIdTest.java
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| package org.marketcetera.trade; | ||
|
|
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| import static org.junit.jupiter.api.Assertions.assertEquals; | ||
| import static org.junit.jupiter.api.Assertions.assertNotNull; | ||
|
|
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| import java.math.BigDecimal; | ||
|
|
||
| import org.junit.Test; | ||
| import org.marketcetera.core.instruments.InstrumentToMessage; | ||
| import org.marketcetera.fix.FixSession; | ||
| import org.marketcetera.quickfix.FIXMessageFactory; | ||
| import org.marketcetera.quickfix.FIXMessageUtil; | ||
| import org.marketcetera.quickfix.FIXVersion; | ||
| import org.marketcetera.test.DareTestBase; | ||
| import org.marketcetera.trade.dao.PersistentExecutionReport; | ||
| import org.marketcetera.trade.dao.QPersistentExecutionReport; | ||
| import org.springframework.beans.factory.annotation.Autowired; | ||
| import org.springframework.boot.autoconfigure.EnableAutoConfiguration; | ||
| import org.springframework.orm.jpa.JpaTransactionManager; | ||
| import org.springframework.transaction.TransactionDefinition; | ||
| import org.springframework.transaction.TransactionStatus; | ||
| import org.springframework.transaction.support.DefaultTransactionDefinition; | ||
|
|
||
| import com.google.common.collect.Sets; | ||
| import com.querydsl.core.BooleanBuilder; | ||
|
|
||
| import quickfix.Session; | ||
| import quickfix.SessionID; | ||
|
|
||
| /* $License$ */ | ||
|
|
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| /** | ||
| * Tests root order id functionality. | ||
| * | ||
| * @author <a href="mailto:[email protected]">Colin DuPlantis</a> | ||
| * @version $Id$ | ||
| * @since $Release$ | ||
| */ | ||
| @EnableAutoConfiguration | ||
| public class RootOrderIdTest | ||
| extends DareTestBase | ||
| { | ||
| /** | ||
| * Tests handling of an order chain that incorrectly has two root order id values. | ||
| * | ||
| * @throws Exception if an unexpected error occurs | ||
| */ | ||
| @Test | ||
| public void testDuplicateRootOrderIdValues() | ||
| throws Exception | ||
| { | ||
| // create two unrelated orders | ||
| // modify the exec_report record of one of them to share the same root order id | ||
| Instrument inInstrument = new Equity("METC"); | ||
| verifyNoOpenOrders(); | ||
| int sessionIndex = counter.incrementAndGet(); | ||
| SessionID sender1 = createInitiatorSession(sessionIndex); | ||
| SessionID target1 = FIXMessageUtil.getReversedSessionId(sender1); | ||
| FIXMessageFactory messageFactory = FIXVersion.getFIXVersion(sender1).getMessageFactory(); | ||
| FixSession session1 = brokerService.getActiveFixSession(sender1).getFixSession(); | ||
| BrokerID brokerId1 = new BrokerID(session1.getBrokerId()); | ||
| String order1OrderId = generateId(); | ||
| OrderSingle order1 = Factory.getInstance().createOrderSingle(); | ||
| BigDecimal order1Price = new BigDecimal(100); | ||
| BigDecimal order1Qty = new BigDecimal(1000); | ||
| order1.setBrokerID(brokerId1); | ||
| order1.setInstrument(inInstrument); | ||
| order1.setOrderType(OrderType.Limit); | ||
| order1.setPrice(order1Price); | ||
| order1.setQuantity(order1Qty); | ||
| order1.setSide(Side.Buy); | ||
| tradeClient.sendOrder(order1); | ||
| quickfix.Message receivedOrder1 = waitForAndVerifySenderMessage(sender1, | ||
| quickfix.field.MsgType.ORDER_SINGLE); | ||
| // send a pending new | ||
| quickfix.Message order1PendingNew = buildMessage("35=8", | ||
| "58=pending new,6=0,11="+order1.getOrderID()+",14=0,15=USD,17="+generateId()+",20=0,21=3,22=1,31=0,32=0,37="+order1OrderId+",38="+order1Qty.toPlainString()+",39="+OrderStatus.PendingNew.getFIXValue()+",40="+OrderType.Limit.getFIXValue()+",44="+order1Price.toPlainString()+",54="+Side.Buy.getFIXValue()+",59="+TimeInForce.GoodTillCancel.getFIXValue()+",60=20141210-15:04:55.098,150="+ExecutionType.PendingNew.getFIXValue()+",151="+order1Qty.toPlainString(), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| messageFactory); | ||
| InstrumentToMessage.SELECTOR.forInstrument(inInstrument).set(inInstrument, | ||
| FIXMessageUtil.getDataDictionary(receivedOrder1), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| order1PendingNew); | ||
| Session.sendToTarget(order1PendingNew, | ||
| target1); | ||
| verifyOrderStatus(order1.getOrderID(), | ||
| order1.getOrderID(), | ||
| OrderStatus.PendingNew); | ||
| verifyOpenOrders(Sets.newHashSet(order1.getOrderID())); | ||
| reports.clear(); | ||
| // send new | ||
| quickfix.Message order1New = buildMessage("35=8", | ||
| "58=new,6=0,11="+order1.getOrderID()+",14=0,15=USD,17="+generateId()+",20=0,21=3,22=1,31=0,32=0,37="+order1OrderId+",38="+order1Qty.toPlainString()+",39="+OrderStatus.New.getFIXValue()+",40="+OrderType.Limit.getFIXValue()+",44="+order1Price.toPlainString()+",54="+Side.Buy.getFIXValue()+",59="+TimeInForce.GoodTillCancel.getFIXValue()+",60=20141210-15:04:55.098,150="+ExecutionType.New.getFIXValue()+",151="+order1Qty.toPlainString(), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| messageFactory); | ||
| InstrumentToMessage.SELECTOR.forInstrument(inInstrument).set(inInstrument, | ||
| FIXMessageUtil.getDataDictionary(receivedOrder1), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| order1New); | ||
| Session.sendToTarget(order1New, | ||
| target1); | ||
| verifyOrderStatus(order1.getOrderID(), | ||
| order1.getOrderID(), | ||
| OrderStatus.New); | ||
| ExecutionReport report1 = (ExecutionReport)reports.getFirst(); | ||
| reports.clear(); | ||
| // send a second order | ||
| String order2OrderId = generateId(); | ||
| OrderSingle order2 = Factory.getInstance().createOrderSingle(); | ||
| BigDecimal order2Price = new BigDecimal(100); | ||
| BigDecimal order2Qty = new BigDecimal(1000); | ||
| order2.setBrokerID(brokerId1); | ||
| order2.setInstrument(inInstrument); | ||
| order2.setOrderType(OrderType.Limit); | ||
| order2.setPrice(order2Price); | ||
| order2.setQuantity(order2Qty); | ||
| order2.setSide(Side.Buy); | ||
| tradeClient.sendOrder(order2); | ||
| quickfix.Message receivedorder2 = waitForAndVerifySenderMessage(sender1, | ||
| quickfix.field.MsgType.ORDER_SINGLE); | ||
| // send a pending new | ||
| quickfix.Message order2PendingNew = buildMessage("35=8", | ||
| "58=pending new,6=0,11="+order2.getOrderID()+",14=0,15=USD,17="+generateId()+",20=0,21=3,22=1,31=0,32=0,37="+order2OrderId+",38="+order2Qty.toPlainString()+",39="+OrderStatus.PendingNew.getFIXValue()+",40="+OrderType.Limit.getFIXValue()+",44="+order2Price.toPlainString()+",54="+Side.Buy.getFIXValue()+",59="+TimeInForce.GoodTillCancel.getFIXValue()+",60=20141210-15:04:55.098,150="+ExecutionType.PendingNew.getFIXValue()+",151="+order2Qty.toPlainString(), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| messageFactory); | ||
| InstrumentToMessage.SELECTOR.forInstrument(inInstrument).set(inInstrument, | ||
| FIXMessageUtil.getDataDictionary(receivedorder2), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| order2PendingNew); | ||
| Session.sendToTarget(order2PendingNew, | ||
| target1); | ||
| verifyOrderStatus(order2.getOrderID(), | ||
| order2.getOrderID(), | ||
| OrderStatus.PendingNew); | ||
| verifyOpenOrders(Sets.newHashSet(order1.getOrderID(),order2.getOrderID())); | ||
| reports.clear(); | ||
| // send new | ||
| quickfix.Message order2New = buildMessage("35=8", | ||
| "58=new,6=0,11="+order2.getOrderID()+",14=0,15=USD,17="+generateId()+",20=0,21=3,22=1,31=0,32=0,37="+order2OrderId+",38="+order2Qty.toPlainString()+",39="+OrderStatus.New.getFIXValue()+",40="+OrderType.Limit.getFIXValue()+",44="+order2Price.toPlainString()+",54="+Side.Buy.getFIXValue()+",59="+TimeInForce.GoodTillCancel.getFIXValue()+",60=20141210-15:04:55.098,150="+ExecutionType.New.getFIXValue()+",151="+order2Qty.toPlainString(), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| messageFactory); | ||
| InstrumentToMessage.SELECTOR.forInstrument(inInstrument).set(inInstrument, | ||
| FIXMessageUtil.getDataDictionary(receivedorder2), | ||
| quickfix.field.MsgType.EXECUTION_REPORT, | ||
| order2New); | ||
| Session.sendToTarget(order2New, | ||
| target1); | ||
| verifyOrderStatus(order2.getOrderID(), | ||
| order2.getOrderID(), | ||
| OrderStatus.New); | ||
| ExecutionReport report2 = (ExecutionReport)reports.getFirst(); | ||
| reports.clear(); | ||
| // check root order ids of both orders | ||
| OrderID rootOrderId1_1 = rootOrderIdFactory.getRootOrderId(report1); | ||
| OrderID rootOrderId2_1 = rootOrderIdFactory.getRootOrderId(report2); | ||
| OrderID rootOrderId1_2 = rootOrderIdFactory.getRootOrderId(order1New); | ||
| OrderID rootOrderId2_2 = rootOrderIdFactory.getRootOrderId(order2New); | ||
| assertNotNull(rootOrderId1_1); | ||
| assertNotNull(rootOrderId2_1); | ||
| assertNotNull(rootOrderId1_2); | ||
| assertNotNull(rootOrderId2_2); | ||
| assertEquals(rootOrderId1_1, | ||
| rootOrderId1_2); | ||
| assertEquals(rootOrderId2_1, | ||
| rootOrderId2_2); | ||
| // this is all right and correct, now, cause the problem we're trying to fix by forcing an overlap in the root order ids | ||
| // this should not happen under normal circumstances, but, when it does happen, it needs to be able to be fixable or recoverable | ||
| DefaultTransactionDefinition def = new DefaultTransactionDefinition(); | ||
| def.setName("transactionModuleTransaction"); | ||
| def.setPropagationBehavior(TransactionDefinition.PROPAGATION_REQUIRED); | ||
| def.setReadOnly(false); | ||
| TransactionStatus status = txManager.getTransaction(def); | ||
| try { | ||
| BooleanBuilder where = new BooleanBuilder(); | ||
| where = where.and(QPersistentExecutionReport.persistentExecutionReport.executionId.eq(report1.getExecutionID())); | ||
| PersistentExecutionReport pExecutionReport1 = executionReportDao.findOne(where).get(); | ||
| where = new BooleanBuilder(); | ||
| where = where.and(QPersistentExecutionReport.persistentExecutionReport.executionId.eq(report2.getExecutionID())); | ||
| PersistentExecutionReport pExecutionReport2 = executionReportDao.findOne(where).get(); | ||
| assertNotNull(pExecutionReport1, | ||
| "No report for " + report1.getExecutionID()); | ||
| assertNotNull(pExecutionReport2, | ||
| "No report for " + report2.getExecutionID()); | ||
| // take the report2 and set the root order id to report1 | ||
| pExecutionReport2.setRootOrderID(pExecutionReport1.getRootOrderID()); | ||
| pExecutionReport2 = executionReportDao.save(pExecutionReport2); | ||
| // now, look for the root order id of report2 (if this succeeds at all, we're in good shape) | ||
| rootOrderIdFactory.getRootOrderId(report2); | ||
| rootOrderIdFactory.getRootOrderId(order2New); | ||
| } finally { | ||
| txManager.commit(status); | ||
| } | ||
| } | ||
| /** | ||
| * transaction manager value | ||
| */ | ||
| @Autowired | ||
| private JpaTransactionManager txManager; | ||
| /** | ||
| * provides access to root order id value | ||
| */ | ||
| @Autowired | ||
| private RootOrderIdFactory rootOrderIdFactory; | ||
| } |
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