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namespace StockSharp.Tests;
using System.Collections.Concurrent;
using Ecng.Collections;
/// <summary>
/// Low-level integration tests for Emulator + Channel without Connector/Strategy.
/// Tests message ordering at the raw message level.
/// </summary>
[TestClass]
public class EmulatorChannelIntegrationTests : BaseTestClass
{
#region Channel + Emulator Integration Tests
/// <summary>
/// Demonstrates the correct flow: history is sent through the channel, then processed.
/// Trading logic (order registration) happens from NewOutMessageAsync in response to history data.
/// Orders are sent BACK TO THE CHANNEL (not directly to emulator).
/// </summary>
[TestMethod]
public async Task HistoryProcessing_OrdersFromHandler_SentToChannel()
{
// Setup: Channel with time-sorted queue -> Emulator
var queue = new MessageByLocalTimeQueue();
using var channel = new InMemoryMessageChannel(queue, "TestChannel", ex => Fail($"Channel error: {ex.Message}"));
var securityId = new SecurityId { SecurityCode = "TEST", BoardCode = "TEST" };
var portfolioName = "TestPortfolio";
// Create emulator
var secProvider = new CollectionSecurityProvider([new Security { Id = "TEST@TEST" }]);
var pfProvider = new CollectionPortfolioProvider([Portfolio.CreateSimulator()]);
var exchangeProvider = new InMemoryExchangeInfoProvider();
var emulator = new MarketEmulator(secProvider, pfProvider, exchangeProvider, new IncrementalIdGenerator());
// Track output message times
var outputTimes = new ConcurrentBag<(DateTime time, string msgType)>();
var timeViolations = new ConcurrentBag<string>();
DateTime lastOutputTime = DateTime.MinValue;
var outputLock = new object();
emulator.NewOutMessageAsync += (msg, ct) =>
{
lock (outputLock)
{
var time = msg.LocalTime;
if (time < lastOutputTime)
{
timeViolations.Add($"Time went backwards: {lastOutputTime:HH:mm:ss.fff} -> {time:HH:mm:ss.fff} ({msg.GetType().Name})");
}
lastOutputTime = time > lastOutputTime ? time : lastOutputTime;
outputTimes.Add((time, msg.GetType().Name));
}
return default;
};
var baseTime = new DateTime(2024, 1, 1, 10, 0, 0, DateTimeKind.Utc);
var transactionId = 1000L;
var ordersRegistered = 0;
var ticksProcessed = 0;
// Setup handler that processes messages and sends orders BACK TO CHANNEL
channel.NewOutMessageAsync += async (msg, ct) =>
{
// First send to emulator
await ((IMessageTransport)emulator).SendInMessageAsync(msg, ct);
// Trading logic: when we see a tick, react by registering an order
if (msg is ExecutionMessage execMsg && execMsg.DataTypeEx == DataType.Ticks)
{
Interlocked.Increment(ref ticksProcessed);
// Every 50 ticks, register an order
if (ticksProcessed % 50 == 0)
{
// Order time = current tick time (always monotonic since channel sorts)
var order = new OrderRegisterMessage
{
SecurityId = securityId,
PortfolioName = portfolioName,
LocalTime = msg.LocalTime,
TransactionId = Interlocked.Increment(ref transactionId),
Side = Sides.Buy,
Price = execMsg.TradePrice ?? 100,
Volume = 1,
OrderType = OrderTypes.Limit,
};
// Send order TO THE CHANNEL, not directly to emulator!
// Channel will sort it and send to emulator at right time
await ((IMessageChannel)channel).SendInMessageAsync(order, ct);
Interlocked.Increment(ref ordersRegistered);
}
}
};
// Open channel to start processing
channel.Open();
// Send reset to initialize emulator
await ((IMessageChannel)channel).SendInMessageAsync(new ResetMessage(), CancellationToken);
// Send ticks through channel (not pre-fill queue — channel constructor closes queue)
for (int i = 0; i < 1000; i++)
{
var tickTime = baseTime.AddSeconds(i);
var tick = new ExecutionMessage
{
SecurityId = securityId,
LocalTime = tickTime,
ServerTime = tickTime,
DataTypeEx = DataType.Ticks,
TradePrice = 100 + i * 0.01m,
TradeVolume = 1,
OriginalTransactionId = 0,
};
await ((IMessageChannel)channel).SendInMessageAsync(tick, CancellationToken);
}
// Wait for processing to complete
var maxWait = DateTime.UtcNow.AddSeconds(10);
while (ticksProcessed < 1000 && DateTime.UtcNow < maxWait)
{
await Task.Delay(50, CancellationToken);
}
// Give time for final orders to process
await Task.Delay(500, CancellationToken);
// Verify results
ticksProcessed.AssertEqual(1000, "Should have processed all ticks");
ordersRegistered.AssertGreater(0, "Should have registered orders from handler");
// With proper flow through channel, there should be no time violations
if (timeViolations.Count > 0)
{
Fail($"Time ordering violations detected ({timeViolations.Count}):\n{string.Join("\n", timeViolations.Take(10))}");
}
}
/// <summary>
/// Tests that sending a message with backward time to the emulator throws an exception.
/// When a strategy processes tick at T+50 and sends order with time T+50,
/// but emulator has already processed ticks up to T+99, the emulator must reject it.
/// </summary>
[TestMethod]
public async Task RaceCondition_OrderWithPastTime_EmulatorRejects()
{
var securityId = new SecurityId { SecurityCode = "TEST", BoardCode = "TEST" };
var secProvider = new CollectionSecurityProvider([new Security { Id = "TEST@TEST" }]);
var pfProvider = new CollectionPortfolioProvider([Portfolio.CreateSimulator()]);
var exchangeProvider = new InMemoryExchangeInfoProvider();
var emulator = new MarketEmulator(secProvider, pfProvider, exchangeProvider, new IncrementalIdGenerator());
emulator.NewOutMessageAsync += (msg, ct) => default;
var baseTime = new DateTime(2024, 1, 1, 10, 0, 0, DateTimeKind.Utc);
// Reset
await ((IMessageTransport)emulator).SendInMessageAsync(new ResetMessage(), CancellationToken);
// Send ticks at T+0 through T+99
for (int i = 0; i < 100; i++)
{
var tickTime = baseTime.AddSeconds(i);
await ((IMessageTransport)emulator).SendInMessageAsync(new ExecutionMessage
{
SecurityId = securityId,
LocalTime = tickTime,
ServerTime = tickTime,
DataTypeEx = DataType.Ticks,
TradePrice = 100 + i * 0.01m,
TradeVolume = 1,
}, CancellationToken);
}
// Emulator is now at T+99. Sending order with time T+50 should throw.
await ThrowsAsync<InvalidOperationException>(async () =>
{
await ((IMessageTransport)emulator).SendInMessageAsync(new OrderRegisterMessage
{
SecurityId = securityId,
PortfolioName = "TestPortfolio",
LocalTime = baseTime.AddSeconds(50),
TransactionId = 1,
Side = Sides.Buy,
Price = 100,
Volume = 1,
OrderType = OrderTypes.Limit,
}, CancellationToken);
});
}
/// <summary>
/// Tests concurrent enqueue during dequeue with large dataset.
/// Verifies all items are eventually processed (ordering is not guaranteed with concurrent operations).
/// </summary>
[TestMethod]
public async Task ConcurrentEnqueueDuringDequeue_LargeDataset_AllItemsProcessed()
{
var queue = new MessageByLocalTimeQueue();
queue.Open();
var baseTime = DateTime.UtcNow;
const int totalMessages = 10000;
const int producerCount = 4;
var messagesPerProducer = totalMessages / producerCount;
var dequeued = new ConcurrentBag<Message>();
var cts = new CancellationTokenSource();
var producersDone = new TaskCompletionSource<bool>();
// Consumer task - continuously dequeue
var consumerTask = Task.Run(async () =>
{
while (!cts.Token.IsCancellationRequested)
{
try
{
var msg = await queue.DequeueAsync(cts.Token);
dequeued.Add(msg);
}
catch (OperationCanceledException)
{
break;
}
}
// Drain remaining after cancellation
while (queue.Count > 0)
{
try
{
using var drainCts = new CancellationTokenSource(100);
var msg = await queue.DequeueAsync(drainCts.Token);
dequeued.Add(msg);
}
catch { break; }
}
}, cts.Token);
// Producer tasks - enqueue messages with random times
var random = new Random(42);
var producerTasks = Enumerable.Range(0, producerCount).Select(producerId => Task.Run(async () =>
{
var localRandom = new Random(42 + producerId);
for (int i = 0; i < messagesPerProducer; i++)
{
// Random time within range to force reordering
var randomOffset = localRandom.Next(0, totalMessages);
var time = baseTime.AddMilliseconds(randomOffset);
var msg = new TimeMessage { LocalTime = time };
await queue.Enqueue(msg, CancellationToken);
// Occasional yield to interleave with consumer
if (i % 100 == 0)
await Task.Yield();
}
})).ToArray();
// Wait for producers
await Task.WhenAll(producerTasks);
// Give consumer time to finish draining
await Task.Delay(2000, CancellationToken);
cts.Cancel();
try { await consumerTask; } catch (OperationCanceledException) { }
// Verify all messages received
dequeued.Count.AssertEqual(totalMessages, $"Expected {totalMessages} messages, got {dequeued.Count}");
}
/// <summary>
/// Tests that new items are inserted in correct position during active dequeue.
/// </summary>
[TestMethod]
public async Task InsertDuringDequeue_NewItemsInCorrectPosition()
{
var queue = new MessageByLocalTimeQueue();
queue.Open();
var baseTime = DateTime.UtcNow;
// Pre-fill queue with messages at t+100, t+200, t+300
await queue.Enqueue(new TimeMessage { LocalTime = baseTime.AddMilliseconds(100) }, CancellationToken);
await queue.Enqueue(new TimeMessage { LocalTime = baseTime.AddMilliseconds(200) }, CancellationToken);
await queue.Enqueue(new TimeMessage { LocalTime = baseTime.AddMilliseconds(300) }, CancellationToken);
// Dequeue first item (t+100)
var first = await queue.DequeueAsync(CancellationToken);
first.LocalTime.AssertEqual(baseTime.AddMilliseconds(100));
// Now insert item at t+150 (between remaining t+200 and t+300)
await queue.Enqueue(new TimeMessage { LocalTime = baseTime.AddMilliseconds(150) }, CancellationToken);
// Also insert at t+50 (earlier than all remaining)
await queue.Enqueue(new TimeMessage { LocalTime = baseTime.AddMilliseconds(50) }, CancellationToken);
// Dequeue should return in sorted order: t+50, t+150, t+200, t+300
var second = await queue.DequeueAsync(CancellationToken);
second.LocalTime.AssertEqual(baseTime.AddMilliseconds(50), "t+50 should come first");
var third = await queue.DequeueAsync(CancellationToken);
third.LocalTime.AssertEqual(baseTime.AddMilliseconds(150), "t+150 should come second");
var fourth = await queue.DequeueAsync(CancellationToken);
fourth.LocalTime.AssertEqual(baseTime.AddMilliseconds(200), "t+200 should come third");
var fifth = await queue.DequeueAsync(CancellationToken);
fifth.LocalTime.AssertEqual(baseTime.AddMilliseconds(300), "t+300 should come fourth");
queue.Count.AssertEqual(0, "Queue should be empty");
}
#endregion
#region High Volume Stress Tests
/// <summary>
/// Stress test with high message volume through channel.
/// Uses 10k messages. With concurrent send/process, strict ordering is not guaranteed
/// because the consumer may dequeue a high-time message before a low-time message is enqueued.
/// Verifies all messages are processed.
/// </summary>
[TestMethod]
public async Task HighVolume_10kMessages_AllProcessed()
{
var queue = new MessageByLocalTimeQueue();
using var channel = new InMemoryMessageChannel(queue, "StressTest", _ => { });
var processedCount = 0;
// Consumer via event handler
channel.NewOutMessageAsync += (msg, ct) =>
{
Interlocked.Increment(ref processedCount);
return default;
};
channel.Open();
// Producer - send 10k messages with shuffled times
var baseTime = DateTime.UtcNow;
const int messageCount = 10_000;
var times = Enumerable.Range(0, messageCount)
.Select(i => baseTime.AddMilliseconds(i))
.OrderBy(_ => Guid.NewGuid()) // Shuffle
.ToList();
foreach (var time in times)
{
await ((IMessageChannel)channel).SendInMessageAsync(new TimeMessage { LocalTime = time }, CancellationToken);
}
// Wait for processing to complete
var maxWait = DateTime.UtcNow.AddSeconds(30);
while (processedCount < messageCount && DateTime.UtcNow < maxWait)
{
await Task.Delay(100, CancellationToken);
}
processedCount.AssertEqual(messageCount, $"Should process all {messageCount} messages");
}
/// <summary>
/// Tests behavior when queue is rapidly filled then drained.
/// </summary>
[TestMethod]
public async Task BurstTraffic_FillThenDrain_MaintainsOrder()
{
var queue = new MessageByLocalTimeQueue();
queue.Open();
var baseTime = DateTime.UtcNow;
const int batchSize = 5000;
const int batchCount = 10;
for (int batch = 0; batch < batchCount; batch++)
{
// Burst fill with random times
var random = new Random(batch);
var tasks = Enumerable.Range(0, batchSize).Select(i =>
{
var time = baseTime.AddMilliseconds(random.Next(0, batchSize * batchCount));
return queue.Enqueue(new TimeMessage { LocalTime = time }, CancellationToken).AsTask();
});
await Task.WhenAll(tasks);
// Drain and verify order
var drained = new List<DateTime>();
while (queue.Count > 0)
{
var msg = await queue.DequeueAsync(CancellationToken);
drained.Add(msg.LocalTime);
}
// Verify sorted
for (int i = 1; i < drained.Count; i++)
{
(drained[i] >= drained[i - 1]).AssertTrue($"Batch {batch}: time ordering violated at {i}");
}
}
}
#endregion
#region Emulator Direct Tests (without Channel)
/// <summary>
/// Direct emulator test — sequential messages produce monotonic output,
/// and a backward-time message is rejected with an exception.
/// </summary>
[TestMethod]
public async Task EmulatorDirect_SequentialMessages_OutputOrdered()
{
var secProvider = new CollectionSecurityProvider([new Security { Id = "TEST@TEST" }]);
var pfProvider = new CollectionPortfolioProvider([Portfolio.CreateSimulator()]);
var exchangeProvider = new InMemoryExchangeInfoProvider();
var emulator = new MarketEmulator(secProvider, pfProvider, exchangeProvider, new IncrementalIdGenerator());
var outputTimes = new List<DateTime>();
emulator.NewOutMessageAsync += (msg, ct) =>
{
outputTimes.Add(msg.LocalTime);
return default;
};
// Reset
await ((IMessageTransport)emulator).SendInMessageAsync(new ResetMessage(), CancellationToken);
var baseTime = new DateTime(2024, 1, 1, 10, 0, 0, DateTimeKind.Utc);
var securityId = new SecurityId { SecurityCode = "TEST", BoardCode = "TEST" };
// Send messages in time order
for (int i = 0; i < 100; i++)
{
var time = baseTime.AddSeconds(i);
var msg = new ExecutionMessage
{
SecurityId = securityId,
LocalTime = time,
ServerTime = time,
DataTypeEx = DataType.Ticks,
TradePrice = 100,
TradeVolume = 1,
};
await ((IMessageTransport)emulator).SendInMessageAsync(msg, CancellationToken);
}
// Now send a message with old time — emulator must reject backward-time messages
var oldTime = baseTime.AddSeconds(50);
var lateMsg = new ExecutionMessage
{
SecurityId = securityId,
LocalTime = oldTime,
ServerTime = oldTime,
DataTypeEx = DataType.Ticks,
TradePrice = 100,
TradeVolume = 1,
};
await ThrowsAsync<InvalidOperationException>(async () =>
{
await ((IMessageTransport)emulator).SendInMessageAsync(lateMsg, CancellationToken);
});
// Output from the 100 sequential messages should have monotonic times
for (int i = 1; i < outputTimes.Count; i++)
{
(outputTimes[i] >= outputTimes[i - 1]).AssertTrue(
$"Output time went backwards at {i}: {outputTimes[i - 1]:HH:mm:ss} -> {outputTimes[i]:HH:mm:ss}");
}
}
/// <summary>
/// Tests that sending an order with time in the past is rejected by the emulator.
/// The emulator must throw InvalidOperationException for backward-time messages.
/// </summary>
[TestMethod]
public async Task EmulatorDirect_OrderWithOldTime_ThrowsException()
{
var security = new Security { Id = "TEST@TEST" };
var portfolio = Portfolio.CreateSimulator();
var secProvider = new CollectionSecurityProvider([security]);
var pfProvider = new CollectionPortfolioProvider([portfolio]);
var exchangeProvider = new InMemoryExchangeInfoProvider();
var emulator = new MarketEmulator(secProvider, pfProvider, exchangeProvider, new IncrementalIdGenerator());
emulator.NewOutMessageAsync += (msg, ct) => default;
// Reset
await ((IMessageTransport)emulator).SendInMessageAsync(new ResetMessage(), CancellationToken);
var baseTime = new DateTime(2024, 1, 1, 10, 0, 0, DateTimeKind.Utc);
var securityId = new SecurityId { SecurityCode = "TEST", BoardCode = "TEST" };
// Send tick at T+100
await ((IMessageTransport)emulator).SendInMessageAsync(new ExecutionMessage
{
SecurityId = securityId,
LocalTime = baseTime.AddSeconds(100),
ServerTime = baseTime.AddSeconds(100),
DataTypeEx = DataType.Ticks,
TradePrice = 100,
TradeVolume = 1,
}, CancellationToken);
// Now send order with time T+50 (in the past!) — should throw
await ThrowsAsync<InvalidOperationException>(async () =>
{
await ((IMessageTransport)emulator).SendInMessageAsync(new OrderRegisterMessage
{
SecurityId = securityId,
PortfolioName = portfolio.Name,
LocalTime = baseTime.AddSeconds(50),
TransactionId = 1,
Side = Sides.Buy,
Price = 100,
Volume = 1,
OrderType = OrderTypes.Limit,
}, CancellationToken);
});
}
#endregion
}