def test_to_detailed_json():
# this is only testing that it isn't broken / bad code
prod = Product("AAA", "Some Product named AAA")
prod.set_identifier("CUSIP", "12345")
prod.set_identifier("internal_id", "8u98792")
mrkt = Market(prod, ENDPOINT, PRICE_FACTORY)
json.dumps(mrkt.to_detailed_json())
def test_failed_instantiation_products_not_the_same():
market1 = Market(Product("MSFT", "Microsoft"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory(".01"))
market2 = Market(Product("APPL", "Apple"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory(".01"))
bid_quote = Quote(market1, BID_SIDE, "25.23", 18)
ask_quote = Quote(market2, ASK_SIDE, "26.20", 233)
with pytest.raises(Exception):
TwoSidedQuote(bid_quote, ask_quote)
def test_failed_set_sell_quote_wrong_product():
market1 = Market(Product("MSFT", "Microsoft"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory("0.01"))
market2 = Market(Product("APPL", "Apple"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory("0.01"))
bid_quote = Quote(market1, BID_SIDE, "25.23", 18)
ask_quote = Quote(market1, ASK_SIDE, "26.20", 233)
ask_quote2 = Quote(market2, ASK_SIDE, "25.98", 3)
tsq = TwoSidedQuote(bid_quote, ask_quote)
with pytest.raises(Exception):
tsq.set_sell_quote(ask_quote2)
def test_default_market_creation():
mrkt = Market(PRODUCT, ENDPOINT, PRICE_FACTORY)
assert PRODUCT == mrkt.product()
assert ENDPOINT == mrkt.endpoint()
assert mrkt.min_price_increment() == mrkt.mpi() == Decimal("0.01")
assert mrkt.min_qty() == 1
assert mrkt.qty_increment() == 1
assert mrkt.max_qty() == sys.maxsize
def test_market_creation():
mrkt = Market(PRODUCT, ENDPOINT, PRICE_FACTORY, min_qty=2, qty_increment=4)
assert PRODUCT == mrkt.product()
assert ENDPOINT == mrkt.endpoint()
assert mrkt.min_price_increment() == mrkt.mpi() == Decimal("0.01")
assert mrkt.min_qty() == 2
assert mrkt.qty_increment() == 4
def test_equality():
q1 = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
assert q1 == q2
q2 = Quote(
Market(Product("APPL", "Apple"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory("0.01")), BID_SIDE, Price("95.42"), 94)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.43"), 94)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 91)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 2)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 0)
assert q1 == q2
q1 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 3)
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 3)
assert q1 == q2
def test_is_valid_qty_defaaults():
mrkt = Market(PRODUCT, ENDPOINT, PRICE_FACTORY)
assert not mrkt.is_valid_qty(0)
assert mrkt.is_valid_qty(1)
assert mrkt.is_valid_qty(3)
assert mrkt.is_valid_qty(234566346)
assert mrkt.is_valid_qty(sys.maxsize)
assert not mrkt.is_valid_qty(sys.maxsize + 1)
def test_basic_equality():
mrkt1 = Market(PRODUCT, ENDPOINT, PRICE_FACTORY)
mrkt2 = Market(PRODUCT, ENDPOINT, PRICE_FACTORY)
assert mrkt1 == mrkt2
mrkt2 = Market(Product("AAA", "Some Product named AAA"), ENDPOINT,
PRICE_FACTORY)
assert mrkt1 == mrkt2
mrkt2 = Market(PRODUCT, Endpoint("GenMatch", "Generic matching venue"),
PRICE_FACTORY)
assert mrkt1 == mrkt2
mrkt2 = Market(Product("BBB", "blah"), ENDPOINT, PRICE_FACTORY)
assert mrkt1 != mrkt2
mrkt2 = Market(PRODUCT, Endpoint("xxx", "another endpoint"), PRICE_FACTORY)
assert mrkt1 != mrkt2
def test_is_valid_qty():
mrkt = Market(PRODUCT,
ENDPOINT,
PRICE_FACTORY,
min_qty=2,
qty_increment=4,
max_qty=1000)
assert not mrkt.is_valid_qty(0)
assert not mrkt.is_valid_qty(1)
assert mrkt.is_valid_qty(2)
assert not mrkt.is_valid_qty(3)
assert not mrkt.is_valid_qty(4)
assert not mrkt.is_valid_qty(5)
assert mrkt.is_valid_qty(6)
assert not mrkt.is_valid_qty(7)
assert not mrkt.is_valid_qty(8)
assert not mrkt.is_valid_qty(9)
assert mrkt.is_valid_qty(10)
assert mrkt.is_valid_qty(14)
assert not mrkt.is_valid_qty(1001)
def test_to_json():
# this is only testing that it isn't broken / bad code
mrkt = Market(PRODUCT, ENDPOINT, PRICE_FACTORY)
json.dumps(mrkt.to_json())
SOFTWARE.
"""
import pytest
from buttonwood.MarketObjects.Events.OrderEventConstants import *
from buttonwood.MarketObjects.Events.OrderEvents import NewOrderCommand
from buttonwood.MarketObjects.Endpoint import Endpoint
from buttonwood.MarketObjects.Market import Market
from buttonwood.MarketObjects.Price import Price
from buttonwood.MarketObjects.Price import PriceFactory
from buttonwood.MarketObjects.Product import Product
from buttonwood.MarketObjects.Side import BID_SIDE
from buttonwood.MarketObjects.Events.OrderEventConstants import MARKET as MARKET_ORDER
from buttonwood.MarketObjects.Events.OrderEventConstants import LIMIT as LIMIT_ORDER
MARKET = Market(Product("MSFT", "Microsoft"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory("0.01"))
def test_creation():
new_order = NewOrderCommand(12, 324893458.324313, "342adf24441", "user_x",
MARKET, BID_SIDE, FAK, Price("23.01"), 234, 2)
assert new_order.event_type_str() == "New Order Command"
assert new_order.price() == Price("23.01")
assert new_order.market() == MARKET
assert new_order.user_id() == "user_x"
assert new_order.timestamp() == 324893458.324313
assert new_order.event_id() == 12
assert new_order.side() == BID_SIDE
assert new_order.qty() == 234
assert new_order.iceberg_peak_qty() == 2
def get_events():
# set up a Market for the events. For that you need at least:
# 1) the Product
# 2) the Endpoint
# 3) the PriceFactory
prod = Product("AAAA", "Test Product")
ep = Endpoint("Exchange 1", "EXC1")
pf = PriceFactory(
"0.01"
) # pricefactory needs the minimum price increment, which is 0.01 for this example
market = Market(prod, ep, pf)
# now create a mapping of what we'll parse out of the file to the Market.
# This comes in even more handy when there are multiple markets
mrkt_dict = {("AAAA", "EXC1"): market}
# set up the time stamp parser
time_stamp_frmt = "%Y-%m-%d %H:%M:%S.%f"
# we are going to keep a dictionary of event_id to Command so that we can properly create Execution Reports
id_to_cmd = {}
created_events = []
# first we need to parse each line
for line in EXAMPLE_DATA:
parts = line[:-1].split(',')
# skip header
if parts[0] == "Order ID":
continue
# Order Id is the unique identifier of the order chain
chain_id = parts[0]
# Index is the unique identifier of the event
event_id = int(parts[1])
# Need an identifier of the user that placed the order
user = parts[7]
# get the event time
event_time = datetime.strptime(parts[3], time_stamp_frmt)
# Event objects what the time stamp as a float (seconds.microseconds) so convert to time since epoch
time_stamp = datetime_to_epoch(event_time)
# now get the market
prod_name = parts[4]
ep_name = parts[5]
mrkt = mrkt_dict[(prod_name, ep_name)]
# get the side: not all events contain side so default is None.
# Buttonwood provides a helper that converts the most common str representations of Buy & Sell to Side objects
side = Side.get_side(parts[8])
# get the time in force. Not all events need time in force so the default is None.
# Note: could have used OrderEventContants.TIME_IN_FORCE_STR_TO_INT here but wanted to show a more extensive use
# of the constants
if parts[6] == "FAR":
tif = OrderEventConstants.FAR
elif parts[6] == "FAK":
tif = OrderEventConstants.FAK
elif parts[6] == "FOK":
tif = OrderEventConstants.FOK
elif parts[6] == "":
tif = None
else:
raise Exception("Could not convert %s to a known TimeInForce" %
parts[6])
# get event type so we can create the right events
event_type = parts[2]
if event_type == "New": # for event type "New" create a new event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = NewOrderCommand(event_id, time_stamp, chain_id, user,
market, side, tif, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Mod": # for event type "Mod" create a cancel replace event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = CancelReplaceCommand(event_id, time_stamp, chain_id, user,
market, side, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Cancel": # for event type "Cancel" create a Cancel command event
# there can be different types of cancels, but in this case we are assuming it is a user requested cancel
cancel_type = CancelReasons.USER_CANCEL
event = CancelCommand(event_id, time_stamp, chain_id, user, market,
cancel_type)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Ack": # for event type "Ack" create an Acknowledgement
# this example file has no concept of iceberg orders so iceberg_peak is None (which will cause buttonwood to
# to treat the entire order qty as an iceberg
iceberg_peak = None
# get price, using Market's get_price function that gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
# response to command is the command it is acknowledging, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = AcknowledgementReport(event_id, time_stamp, chain_id, user,
market, response_to_cmd, price, qty,
iceberg_peak)
elif event_type == "Cancel Conf": # for event type "Cancel Conf" create a Cancel report event
# get the cancel reason
if parts[15] == "FOK Miss":
reason = CancelReasons.FOK_CANCEL
elif parts[15] == "Requested":
reason = CancelReasons.USER_REQUESTED
else:
raise Exception("Could not convert %s to a cancel reason." %
parts[15])
# cancel command is the command that caused the cancel, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = CancelReport(event_id, time_stamp, chain_id, user, market,
response_to_cmd, reason)
elif event_type == "Part Fill": # if event type "Part Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# get leaves qty from the file
leaves_qty = int(parts[11])
# get the match_id from the file
match_id = parts[14]
event = PartialFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id, leaves_qty)
elif event_type == "Full Fill": # if event type "Full Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# full fills don't need/have a leaves qty because nothing is left.
# get the match_id from the file
match_id = parts[14]
event = FullFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id)
else:
raise Exception("Could not convert %s to an Event" % event_type)
created_events.append(event)
return created_events