Writing human readable tests using Scala

Transcript

1. Cryptocurrency algo-trading testing in Scala by Bruno Bonanno
2. A set of green tests doesn’t necessarily means that the software does what is supposed to.
3. Hello! I’m Bruno Bonanno Passionate developer, open source contributor, TDD evangelist and creator of mockito-scala.
4. Agenda Market book Introduction to an order book & OMS Our demouse case Challenges Live coding Q&A
5. Market book BIDS ASKS
6. Introduction to an OMS Order Management System Exchange 1 WS API Exchange n REST API Exchange 1 REST API Exchange n FIX API . . . . . . Orders Orders Market Reports Market Data
7. OMS-123: Making money with arbitrage ASK: 1 BTC = 7900 USD Get 1.27 BTC ASK: 1 ETH = 0.03 BTC Get 42.33 ETH BID: 1 ETH = 250 USD Get 10582.5 USD Start with 10000 USD
8. Challenges • Integration: Different APIs • Exchange reference data: min quantity, price rounding… • Trading logic: Do not buy 100000 BTC, Fills / Partial fills / Rejection… • External problems: Network failures, Market shutting down...
9. Glossary • Ask: Price at which we buy • Bid: Price at which we sell • Order: What we want to execute in the market (bid/ask, quantity, currency pair, etc) • Market Report: What the market actually executed out of our Order (execution confirmation, rejection, etc)
11. Q&A
12. https://github.com/bbonanno/crypto-algo-trading-demo-test Thank you!