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Testing Continuous Double Auctions with a Constraint-Based Oracle
KTH, School of Information and Communication Technology (ICT), Communication: Services and Infrastucture (Closed 20120101), Software and Computer Systems, SCS (Closed 20120101).ORCID iD: 0000-0002-2806-7333
KTH, School of Information and Communication Technology (ICT), Communication: Services and Infrastucture (Closed 20120101), Software and Computer Systems, SCS (Closed 20120101).ORCID iD: 0000-0002-6283-7004
2010 (English)In: PRINCIPLES AND PRACTICE OF CONSTRAINT PROGRAMMING-CP 2010 / [ed] Cohen D, 2010, Vol. 6308, 613-627 p.Conference paper, Published paper (Refereed)
Abstract [en]

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.

Place, publisher, year, edition, pages
2010. Vol. 6308, 613-627 p.
Series
Lecture Notes in Computer Science, ISSN 0302-9743 ; 6308
Keyword [en]
Constraint model, Constraint programming, Constraint-based, Continuous double auction, Financial market, Financial trading system, Independent systems, Oracle problem, Random testing, Real-world, System under test, Test oracles, Trading systems, Commerce, Constraint theory
National Category
Computer Science
Identifiers
URN: urn:nbn:se:kth:diva-31371DOI: 10.1007/978-3-642-15396-9_48ISI: 000286485800048Scopus ID: 2-s2.0-78149248059ISBN: 978-3-642-15395-2 (print)OAI: oai:DiVA.org:kth-31371DiVA: diva2:404042
Conference
16th Annual International Conference on the Principles and Practice of Constraint Programming, St Andrews, SCOTLAND, SEP 06-10, 2010
Note

QC 20110315

Available from: 2011-03-15 Created: 2011-03-14 Last updated: 2016-05-25Bibliographically approved

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Castañeda Lozano, RobertoSchulte, Christian

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