def test_bid_side_depth(self):
# Test for bid side depth
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.assertEqual(300, self.order_book.bid_side_depth(Price(1, 10, 'MB', 'BTC')))
self.assertEqual([(Price(1, 10, 'MB', 'BTC'), 300), (Price(15, 100, 'MB', 'BTC'), 200)],
self.order_book.get_bid_side_depth_profile('MB', 'BTC'))
def test_ask_side_depth(ask, ask2, order_book):
# Test for ask side depth
order_book.insert_ask(ask)
order_book.insert_ask(ask2)
assert order_book.ask_side_depth(Price(3, 10, 'MB', 'BTC')) == 100
assert order_book.get_ask_side_depth_profile('MB', 'BTC') == \
[(Price(75, 1000, 'MB', 'BTC'), 400), (Price(3, 10, 'MB', 'BTC'), 100)]
def test_bid_side_depth(bid, bid2, order_book):
# Test for bid side depth
order_book.insert_bid(bid)
order_book.insert_bid(bid2)
assert order_book.bid_side_depth(Price(1, 10, 'MB', 'BTC')) == 300
assert order_book.get_bid_side_depth_profile('MB', 'BTC') == \
[(Price(1, 10, 'MB', 'BTC'), 300), (Price(15, 100, 'MB', 'BTC'), 200)]
def test_ask_side_depth(self):
# Test for ask side depth
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.assertEqual(100, self.order_book.ask_side_depth(Price(3, 10, 'MB', 'BTC')))
self.assertEqual([(Price(75, 1000, 'MB', 'BTC'), 400), (Price(3, 10, 'MB', 'BTC'), 100)],
self.order_book.get_ask_side_depth_profile('MB', 'BTC'))
def get_bid_ask_spread(self, price_wallet_id, quantity_wallet_id):
"""
Return the spread between the bid and the ask price
:rtype: Price
"""
spread = self.get_ask_price(price_wallet_id, quantity_wallet_id).frac - \
self.get_bid_price(price_wallet_id, quantity_wallet_id).frac
return Price(spread.numerator, spread.denominator, price_wallet_id, quantity_wallet_id)
def test_min_price(self):
# Test min price (list)
self.assertEqual(None, self.side.get_min_price_list('MB', 'BTC'))
self.assertEqual(None, self.side.get_min_price('MB', 'BTC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEqual(Price(1, 4, 'MB', 'BTC'), self.side.get_min_price('MB', 'BTC'))
def setUp(self):
# Object creation
self.price_level_list = PriceLevelList()
self.price_level_list2 = PriceLevelList()
self.price = Price(1, 1, 'BTC', 'MB')
self.price2 = Price(2, 1, 'BTC', 'MB')
self.price3 = Price(3, 1, 'BTC', 'MB')
self.price4 = Price(4, 1, 'BTC', 'MB')
self.price_level = PriceLevel(self.price)
self.price_level2 = PriceLevel(self.price2)
self.price_level3 = PriceLevel(self.price3)
self.price_level4 = PriceLevel(self.price4)
# Fill price level list
self.price_level_list.insert(self.price_level)
self.price_level_list.insert(self.price_level2)
self.price_level_list.insert(self.price_level3)
self.price_level_list.insert(self.price_level4)
def test_max_price(self):
# Test max price (list)
self.assertEquals(None, self.side.get_max_price('MB', 'BTC'))
self.assertEquals(None, self.side.get_max_price_list('MB', 'BTC'))
self.side.insert_tick(self.tick)
self.side.insert_tick(self.tick2)
self.assertEquals(Price(1, 2, 'MB', 'BTC'),
self.side.get_max_price('MB', 'BTC'))
def setUp(self):
yield super(TickEntryTestSuite, self).setUp()
# Object creation
tick = Tick(OrderId(TraderId(b'0' * 20), OrderNumber(1)), AssetPair(AssetAmount(60, 'BTC'),
AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0), True)
tick2 = Tick(OrderId(TraderId(b'0' * 20), OrderNumber(2)),
AssetPair(AssetAmount(63400, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now(), True)
self.price_level = PriceLevel(Price(100, 1, 'MB', 'BTC'))
self.tick_entry = TickEntry(tick, self.price_level)
self.tick_entry2 = TickEntry(tick2, self.price_level)
def setUp(self):
# Object creation
tick = Tick(OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(60, 'BTC'), AssetAmount(30, 'MC')),
Timeout(100), Timestamp.now(), True)
tick2 = Tick(OrderId(TraderId(b'0' * 20), OrderNumber(2)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MC')),
Timeout(100), Timestamp.now(), True)
self.price_level = PriceLevel(Price(50, 5, 'MC', 'BTC'))
self.tick_entry1 = TickEntry(tick, self.price_level)
self.tick_entry2 = TickEntry(tick, self.price_level)
self.tick_entry3 = TickEntry(tick, self.price_level)
self.tick_entry4 = TickEntry(tick, self.price_level)
self.tick_entry5 = TickEntry(tick2, self.price_level)
def setUp(self):
self.price1 = Price(4, 2, 'MB', 'BTC')
self.price2 = Price(3, 1, 'MB', 'BTC')
self.price3 = Price(8, 4, 'MB', 'BTC')
def test_priority(bid_order, queue):
"""
Test the priority mechanism of the queue
"""
order_id = OrderId(TraderId(b'1' * 20), OrderNumber(1))
other_order_id = OrderId(TraderId(b'2' * 20), OrderNumber(1))
queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(0, Price(1, 1, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(2, Price(1, 1, 'DUM1', 'DUM2'), order_id, other_order_id)
item1 = queue.delete()
item2 = queue.delete()
item3 = queue.delete()
assert item1[0] == 0
assert item2[0] == 1
assert item3[0] == 2
# Same retries, different prices
queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(1, Price(1, 2, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(1, Price(1, 3, 'DUM1', 'DUM2'), order_id, other_order_id)
item1 = queue.delete()
item2 = queue.delete()
item3 = queue.delete()
assert item1[1] == Price(1, 1, 'DUM1', 'DUM2')
assert item2[1] == Price(1, 2, 'DUM1', 'DUM2')
assert item3[1] == Price(1, 3, 'DUM1', 'DUM2')
# Test with bid order
queue = MatchPriorityQueue(bid_order)
queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(1, Price(1, 2, 'DUM1', 'DUM2'), order_id, other_order_id)
queue.insert(1, Price(1, 3, 'DUM1', 'DUM2'), order_id, other_order_id)
item1 = queue.delete()
item2 = queue.delete()
item3 = queue.delete()
assert item1[1] == Price(1, 3, 'DUM1', 'DUM2')
assert item2[1] == Price(1, 2, 'DUM1', 'DUM2')
assert item3[1] == Price(1, 1, 'DUM1', 'DUM2')
def test_priority(self):
"""
Test the priority mechanism of the queue
"""
order_id = OrderId(TraderId(b'1' * 20), OrderNumber(1))
self.queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id)
self.queue.insert(0, Price(1, 1, 'DUM1', 'DUM2'), order_id)
self.queue.insert(2, Price(1, 1, 'DUM1', 'DUM2'), order_id)
item1 = self.queue.delete()
item2 = self.queue.delete()
item3 = self.queue.delete()
self.assertEqual(item1[0], 0)
self.assertEqual(item2[0], 1)
self.assertEqual(item3[0], 2)
# Same retries, different prices
self.queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id)
self.queue.insert(1, Price(1, 2, 'DUM1', 'DUM2'), order_id)
self.queue.insert(1, Price(1, 3, 'DUM1', 'DUM2'), order_id)
item1 = self.queue.delete()
item2 = self.queue.delete()
item3 = self.queue.delete()
self.assertEqual(item1[1], Price(1, 1, 'DUM1', 'DUM2'))
self.assertEqual(item2[1], Price(1, 2, 'DUM1', 'DUM2'))
self.assertEqual(item3[1], Price(1, 3, 'DUM1', 'DUM2'))
# Test with bid order
self.queue = MatchPriorityQueue(self.bid_order)
self.queue.insert(1, Price(1, 1, 'DUM1', 'DUM2'), order_id)
self.queue.insert(1, Price(1, 2, 'DUM1', 'DUM2'), order_id)
self.queue.insert(1, Price(1, 3, 'DUM1', 'DUM2'), order_id)
item1 = self.queue.delete()
item2 = self.queue.delete()
item3 = self.queue.delete()
self.assertEqual(item1[1], Price(1, 3, 'DUM1', 'DUM2'))
self.assertEqual(item2[1], Price(1, 2, 'DUM1', 'DUM2'))
self.assertEqual(item3[1], Price(1, 1, 'DUM1', 'DUM2'))
def test_properties(ask2, bid2, order_book):
# Test for properties
order_book.insert_ask(ask2)
order_book.insert_bid(bid2)
assert order_book.get_bid_ask_spread('MB', 'BTC') == Price(
-25, 1000, 'MB', 'BTC')
def price(self) -> Price:
"""
Return a Price object of this asset pair, which expresses the second asset into the first asset.
"""
return Price(self.second.amount, self.first.amount,
self.second.asset_id, self.first.asset_id)
def price_level():
return PriceLevel(Price(100, 1, 'MB', 'BTC'))
def test_properties(self):
# Test for properties
self.order_book.insert_ask(self.ask2)
self.order_book.insert_bid(self.bid2)
self.assertEqual(Price(-25, 1000, 'MB', 'BTC'),
self.order_book.get_bid_ask_spread('MB', 'BTC'))