Testing Continuous Double Auctions with a Constraint-Based Oracle

Roberto Castañeda Lozano, Christian Schulte, Lars Wahlberg

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract / Description of output

Computer trading systems are essential for today's financial markets where the trading systems' correctness is of paramount economical significance. Automated random testing is a useful technique to find bugs in these systems, but it requires an independent system to decide the correctness of the system under test (known as oracle problem). This paper introduces a constraint-based oracle for random testing of a real-world trading system. The oracle provides the expected results by generating and solving constraint models of the trading system's continuous double auction. Constraint programming is essential for the correctness of the test oracle as the logic for calculating trades can be mapped directly to constraint models. The paper shows that the generated constraint models can be solved efficiently. Most importantly, the approach is shown to be successful by finding errors in a deployed financial trading system and in its specification.
Original languageEnglish
Title of host publicationPrinciples and Practice of Constraint Programming -- CP 2010
EditorsDavid Cohen
Place of PublicationBerlin, Heidelberg
PublisherSpringer Berlin Heidelberg
Pages613-627
Number of pages15
ISBN (Electronic)978-3-642-15396-9
ISBN (Print)978-3-642-15395-2
DOIs
Publication statusPublished - 30 Sept 2010
Event16th International Conference on Principles and Practice of Constraint Programming - St Andrews, United Kingdom
Duration: 6 Sept 201010 Sept 2010
Conference number: 16
https://cp2010.cs.st-andrews.ac.uk/

Publication series

NameLecture Notes in Computer Science (LNCS)
PublisherSpringer, Berlin, Heidelberg
Volume6308
ISSN (Print)0302-9743
ISSN (Electronic)1611-3349

Conference

Conference16th International Conference on Principles and Practice of Constraint Programming
Abbreviated titleCP 2010
Country/TerritoryUnited Kingdom
CitySt Andrews
Period6/09/1010/09/10
Internet address

Keywords / Materials (for Non-textual outputs)

  • Equilibrium Price
  • Constraint Programming
  • Trading System
  • Order Book
  • Limit Price

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