def test_order_book_run(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(volume=5.0,
price=4.5,
side=Order.Sides.SELL,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
assert ob.topOfBook() == {Side.BUY: [4.0, 1.0], Side.SELL: [4.5, 3.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[4.0, 1.0], [3.5, 1.0], [3.0, 1.0]], Side.SELL: [[4.5, 3.0], [5.5, 1.0], [6.0, 1.0]]}
data = Order(volume=4.0,
price=5.5,
side=Order.Sides.BUY,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
assert ob.topOfBook() == {Side.BUY: [4.0, 1.0], Side.SELL: [6.0, 1.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[4.0, 1.0], [3.5, 1.0], [3.0, 1.0]], Side.SELL: [[6.0, 1.0], [6.5, 1.0], [7.0, 1.0]]}
def test_order_book_market_order(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(
volume=100.0,
price=0.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
instrument=_INSTRUMENT,
)
ob.add(data)
print(ob)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [0, 0], Side.SELL: [5.5, 1.0]}
print(ob.levels(3))
assert ob.levels(3) == {
Side.BUY: [[0, 0], [0, 0], [0, 0]],
Side.SELL: [[5.5, 1.0], [6.0, 1.0], [6.5, 1.0]],
}
def test_order_book_clearing_order(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(volume=100.0,
price=0.0,
side=Order.Sides.SELL,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [0.0, 0.0], Side.SELL: [0.0, 90.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[0.0, 0.0], [0.0, 0.0], [0.0, 0.0]], Side.SELL: [[0.0, 90.0], [5.5, 1.0], [6.0, 1.0]]}
