Testing Continuous Double Auctions with a Constraint-Based Oracle

Roberto Castañeda Lozano; Christian Schulte; Lars Wahlberg

doi:10.1007/978-3-642-15396-9_48

Testing Continuous Double Auctions with a Constraint-Based Oracle

Roberto Castañeda Lozano, Christian Schulte, Lars Wahlberg

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

Abstract

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 language	English
Title of host publication	Principles and Practice of Constraint Programming -- CP 2010
Editors	David Cohen
Place of Publication	Berlin, Heidelberg
Publisher	Springer
Pages	613-627
Number of pages	15
ISBN (Electronic)	978-3-642-15396-9
ISBN (Print)	978-3-642-15395-2
DOIs	https://doi.org/10.1007/978-3-642-15396-9_48
Publication status	Published - 30 Sept 2010
Event	16th International Conference on Principles and Practice of Constraint Programming - St Andrews, United Kingdom Duration: 6 Sept 2010 → 10 Sept 2010 Conference number: 16 https://cp2010.cs.st-andrews.ac.uk/

Publication series

Name	Lecture Notes in Computer Science (LNCS)
Publisher	Springer, Berlin, Heidelberg
Volume	6308
ISSN (Print)	0302-9743
ISSN (Electronic)	1611-3349

Conference

Conference	16th International Conference on Principles and Practice of Constraint Programming
Abbreviated title	CP 2010
Country/Territory	United Kingdom
City	St Andrews
Period	6/09/10 → 10/09/10
Internet address	https://cp2010.cs.st-andrews.ac.uk/

Keywords / Materials (for Non-textual outputs)

Equilibrium Price
Constraint Programming
Trading System
Order Book
Limit Price

Access to Document

10.1007/978-3-642-15396-9_48Licence: All Rights Reserved

https://link.springer.com/chapter/10.1007/978-3-642-15396-9_48Licence: All Rights Reserved

Cite this

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title = "Testing Continuous Double Auctions with a Constraint-Based Oracle",

abstract = "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.",

keywords = "Equilibrium Price, Constraint Programming, Trading System, Order Book, Limit Price",

author = "\{Casta{\~n}eda Lozano\}, Roberto and Christian Schulte and Lars Wahlberg",

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pages = "613--627",

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booktitle = "Principles and Practice of Constraint Programming -- CP 2010",

address = "United Kingdom",

note = "16th International Conference on Principles and Practice of Constraint Programming, CP 2010 ; Conference date: 06-09-2010 Through 10-09-2010",

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Castañeda Lozano, R, Schulte, C & Wahlberg, L 2010, Testing Continuous Double Auctions with a Constraint-Based Oracle. in D Cohen (ed.), Principles and Practice of Constraint Programming -- CP 2010. Lecture Notes in Computer Science (LNCS), vol. 6308, Springer, Berlin, Heidelberg, pp. 613-627, 16th International Conference on Principles and Practice of Constraint Programming, St Andrews, United Kingdom, 6/09/10. https://doi.org/10.1007/978-3-642-15396-9_48

Testing Continuous Double Auctions with a Constraint-Based Oracle. / Castañeda Lozano, Roberto; Schulte, Christian; Wahlberg, Lars.
Principles and Practice of Constraint Programming -- CP 2010. ed. / David Cohen. Berlin, Heidelberg: Springer, 2010. p. 613-627 (Lecture Notes in Computer Science (LNCS); Vol. 6308).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution

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N2 - 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.

AB - 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.

KW - Equilibrium Price

KW - Constraint Programming

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KW - Order Book

KW - Limit Price

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Testing Continuous Double Auctions with a Constraint-Based Oracle

Abstract

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Conference

Keywords / Materials (for Non-textual outputs)

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Cite this