def test_LOB_cancel_ask(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
LOB.update('insert', 'sell', 500, 'strategy', LOB.askBook.nearPrice)
LOB.update('insert', 'sell', 500, 'ZIagent', LOB.askBook.nearPrice)
# [['ZIagent', 1000], ['strategy', 500], ['ZIagent', 500]]
LOB.update('cancel', 'sell', 100, 'strategy', LOB.askBook.nearPrice)
assert LOB.askBook.Book_public[0].qty == 1900
assert LOB.askBook.Book_private[0][1].qty == 400
assert LOB.askBook.Book_private[0][0].qty == 1000
assert LOB.askBook.Book_private[0][2].qty == 500
# LOB.askBook.Book_public
# deque([prc_qty(price=10.5, qty=1900),
# prc_qty(price=10.6, qty=1000),
# prc_qty(price=10.7, qty=1000),
# prc_qty(price=10.8, qty=1000),
# prc_qty(price=10.9, qty=1000)])
# LOB.askBook.Book_private
# deque([[ID_qty(ID='ZIagent', qty=1000),ID_qty(ID='strategy', qty=400),ID_qty(ID='ZIagent', qty=500)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)]])
LOB.update('cancel', 'sell', 700, 'ZIagent', LOB.askBook.nearPrice)
assert LOB.askBook.Book_public[0].qty == 1200
assert LOB.askBook.Book_private[0][1].qty == 400
assert LOB.askBook.Book_private[0][0].qty == 800
assert len(LOB.askBook.Book_private[0]) == 2
def test_LOB_cross_market_sell(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
bid_former = LOB.bidBook.nearPrice
LOB.update('cross', 'sell', 1000)
assert LOB.bidBook.nearPrice == round(bid_former - 1 * tick, 4)
assert LOB.bidBook.Book_public[-1].qty == 0
assert LOB.bidBook.Book_public[-1].price == LOB.bidBook.nearPrice - (
orderLevel - 1) * tick
def test_LOB_cross_market_buy(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
ask_former = LOB.askBook.nearPrice
LOB.update('cross', 'buy', 1000)
assert LOB.askBook.nearPrice == round(ask_former + 1 * tick, 4)
assert LOB.askBook.Book_public[-1].qty == 0
assert LOB.askBook.Book_public[-1].price == LOB.askBook.nearPrice + (
orderLevel - 1) * tick
def test_LOB_insert_new_bid1(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
##
LOB.update('insert', 'buy', 500, 'ZIagent',
LOB.bidBook.nearPrice + 1 * tick)
assert LOB.bidBook.Book_public[0].qty == 500
assert len(LOB.bidBook.Book_private[0]) == 1
assert LOB.bidBook.Book_private[0][-1].ID == 'ZIagent'
assert LOB.bidBook.Book_private[0][-1].qty == 500
##
LOB.update('insert', 'buy', 500, 'strategy', LOB.bidBook.nearPrice)
assert LOB.bidBook.Book_public[0].qty == 1000
assert len(LOB.bidBook.Book_private[0]) == 2
assert LOB.bidBook.Book_private[0][-1].ID == 'strategy'
assert LOB.bidBook.Book_private[0][-1].qty == 500
##
LOB.update('insert', 'buy', 500, 'ZIagent', LOB.bidBook.nearPrice)
assert LOB.bidBook.Book_public[0].qty == 1500
assert len(LOB.bidBook.Book_private[0]) == 3
assert LOB.bidBook.Book_private[0][-1].ID == 'ZIagent'
assert LOB.bidBook.Book_private[0][-1].qty == 500
def test_LOB_insert_at_ask2(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
##
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice + 1 * tick)
assert LOB.askBook.Book_public[1].qty == 1500
assert len(LOB.askBook.Book_private[1]) == 1
assert LOB.askBook.Book_private[1][-1].ID == 'ZIagent'
assert LOB.askBook.Book_private[1][-1].qty == 1500
##
LOB.update('insert', 'sell', 500, 'strategy',
LOB.askBook.nearPrice + 1 * tick)
assert LOB.askBook.Book_public[1].qty == 2000
assert len(LOB.askBook.Book_private[1]) == 2
assert LOB.askBook.Book_private[1][-1].ID == 'strategy'
assert LOB.askBook.Book_private[1][-1].qty == 500
##
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice + 1 * tick)
assert LOB.askBook.Book_public[1].qty == 2500
assert len(LOB.askBook.Book_private[1]) == 3
assert LOB.askBook.Book_private[1][-1].ID == 'ZIagent'
assert LOB.askBook.Book_private[1][-1].qty == 500
def test_LOB_insert_beyond_ask(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
##
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice + (orderLevel + 1) * tick)
assert LOB.askBook.Book_public[-1].price == round(
LOB.askBook.nearPrice + (orderLevel + 1) * tick, 4)
assert LOB.askBook.Book_public[-1].qty == 500
assert len(LOB.askBook.Book_private[-1]) == 1
assert LOB.askBook.Book_private[-1][-1].ID == 'ZIagent'
assert LOB.askBook.Book_private[-1][-1].qty == 500
assert len(LOB.askBook.Book_private[-2]) == 0
assert LOB.askBook.Book_private[-2] == []
def test_LOB_insert_new_ask1_leq2tick(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
##
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice - 2 * tick)
assert LOB.askBook.Book_public[0].price == LOB.askBook.nearPrice
assert LOB.askBook.Book_public[0].qty == 500
assert len(LOB.askBook.Book_private[0]) == 1
assert LOB.askBook.Book_private[0][-1].ID == 'ZIagent'
assert LOB.askBook.Book_private[0][-1].qty == 500
assert LOB.askBook.Book_public[1].price == round(
LOB.askBook.nearPrice + 1 * tick, 4)
assert LOB.askBook.Book_public[1].qty == 0
assert LOB.askBook.Book_private[1] == []
def test_LOB_cross_market_sell_bid2eq0(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
LOB.update('insert', 'buy', 500, 'strategy',
LOB.bidBook.nearPrice + 2 * tick)
# LOB.bidBook.Book_public
# deque([prc_qty(price=9.7, qty=500),
# prc_qty(price=9.6, qty=0),
# prc_qty(price=9.5, qty=1000),
# prc_qty(price=9.4, qty=1000),
# prc_qty(price=9.3, qty=1000),
# prc_qty(price=9.2, qty=1000),
# prc_qty(price=9.1, qty=1000)])
# LOB.bidBook.Book_private
# deque([[ID_qty(ID='strategy', qty=500)],
# [],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)]])
bid_former = LOB.bidBook.nearPrice
LOB.update('cross', 'sell', 500)
assert LOB.bidBook.nearPrice == round(bid_former - 2 * tick, 4)
def test_LOB_cross_market_buy_ask2eq0(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
LOB.update('insert', 'sell', 500, 'strategy',
LOB.askBook.nearPrice - 2 * tick)
# LOB.askBook.Book_public
# deque([prc_qty(price=10.3, qty=500),
# prc_qty(price=10.4, qty=0),
# prc_qty(price=10.5, qty=1000),
# prc_qty(price=10.6, qty=1000),
# prc_qty(price=10.7, qty=1000),
# prc_qty(price=10.8, qty=1000),
# prc_qty(price=10.9, qty=1000)])
# LOB.askBook.Book_private
# deque([[ID_qty(ID='strategy', qty=500)],
# [],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)],
# [ID_qty(ID='ZIagent', qty=1000)]])
ask_former = LOB.askBook.nearPrice
LOB.update('cross', 'buy', 500)
assert LOB.askBook.nearPrice == round(ask_former + 2 * tick, 4)
def test_LOB_cancel_ask_0(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
##
former_ask = LOB.askBook.nearPrice
LOB.update('cancel', 'sell', 1000, 'ZIagent',
LOB.askBook.nearPrice + tick)
LOB.update('cancel', 'sell', 1000, 'ZIagent', LOB.askBook.nearPrice)
assert LOB.askBook.nearPrice == former_ask + 2 * tick
assert LOB.askBook.Book_public[-1].qty == 0
assert LOB.askBook.Book_public[-2].qty == 0
assert LOB.askBook.Book_private[-1] == []
assert LOB.askBook.Book_private[-2] == []
def test_LOB_insert_ask_at_empty(self):
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice - 2 * tick)
##
LOB.update('insert', 'sell', 500, 'ZIagent',
LOB.askBook.nearPrice + 1 * tick)
assert LOB.askBook.Book_public[1].price == round(
LOB.askBook.nearPrice + 1 * tick, 4)
assert LOB.askBook.Book_public[1].qty == 500
assert len(LOB.askBook.Book_private[1]) == 1
assert LOB.askBook.Book_private[1][-1].ID == 'ZIagent'
assert LOB.askBook.Book_private[1][-1].qty == 500
from LOB import AskBook, BidBook, LimitOrderBook
import pytest
ask = 10.5
bid = 9.5
tick = 0.1
orderLevel = 5
LOB = LimitOrderBook(ask, bid, tick, orderLevel)
class TestClass:
'''Test: Insert orders'''
# Insert limit buy orders
def test_LOB_insert_at_bid1(self):
##
LOB.update('insert', 'buy', 500, 'ZIagent', LOB.bidBook.bid)
assert LOB.bidBook.bidBook_public[0][1] == 1500
assert LOB.bidBook.bidBook_private[0] == [['ZIagent', 1500]]
##
LOB.update('insert', 'buy', 500, 'strategy', LOB.bidBook.bid)
assert LOB.bidBook.bidBook_public[0][1] == 2000
assert LOB.bidBook.bidBook_private[0] == [['ZIagent', 1500],
['strategy', 500]]
##
LOB.update('insert', 'buy', 500, 'ZIagent', LOB.bidBook.bid)
assert LOB.bidBook.bidBook_public[0][1] == 2500
assert LOB.bidBook.bidBook_private[0] == [['ZIagent', 1500],
