def test_failed_set_sell_quote_locked_market():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
ask_quote2 = Quote(MARKET, BID_SIDE, "25.23", 3)
tsq = TwoSidedQuote(bid_quote, ask_quote)
with pytest.raises(Exception):
tsq.set_sell_quote(ask_quote2)
def test_failed_set_buy_quote_wrong_side():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
buy_quote2 = Quote(MARKET, ASK_SIDE, "25.98", 3)
tsq = TwoSidedQuote(bid_quote, ask_quote)
with pytest.raises(AssertionError):
tsq.set_buy_quote(buy_quote2)
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_successful_instantiation_no_cross():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
tsq = TwoSidedQuote(bid_quote, ask_quote)
assert tsq.buy_quote() == bid_quote
assert tsq.sell_quote() == ask_quote
TwoSidedQuote(bid_quote, ask_quote, False)
TwoSidedQuote(bid_quote, None)
TwoSidedQuote(None, ask_quote)
TwoSidedQuote(None, None)
def test_successful_set_sell_quote():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
ask_quote2 = Quote(MARKET, ASK_SIDE, "25.98", 3)
tsq = TwoSidedQuote(bid_quote, ask_quote)
assert tsq.buy_quote() == bid_quote
assert tsq.sell_quote() == ask_quote
tsq.set_sell_quote(ask_quote2)
assert tsq.buy_quote() == bid_quote
assert tsq.sell_quote() == ask_quote2
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_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_quote_creation():
q = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
assert q.price() == Price("95.42")
assert q.visible_qty() == 94
assert q.hidden_qty() == 0
assert q._price_level.number_of_orders() == 1
assert q.market().product().name() == "Microsoft"
assert q.market().product().symbol() == "MSFT"
def test_spread():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
tsq = TwoSidedQuote(bid_quote, ask_quote, True)
assert tsq.spread() == 97
# now lock the market
ask_quote2 = Quote(MARKET, ASK_SIDE, "25.23", 2334)
tsq.set_sell_quote(ask_quote2)
assert tsq.spread() == 0
# now cross the market
ask_quote3 = Quote(MARKET, ASK_SIDE, "24.23", 2334)
tsq.set_sell_quote(ask_quote3)
assert tsq.spread() == -100
# now test ask None
tsq.set_sell_quote(None)
assert tsq.spread() is None
# now test both None
tsq.set_buy_quote(None)
assert tsq.spread() is None
def test_hidden_qty_not_negative():
with pytest.raises(AssertionError):
Quote(MARKET, BID_SIDE, Price("94.34"), 23, -23)
def test_visible_qty_not_zero():
with pytest.raises(AssertionError):
Quote(MARKET, BID_SIDE, Price("94.34"), 0)
def test_price_does_not_work_for_product():
# price has to pass the test of being divisible evenly by the product's minimum price increment
with pytest.raises(AssertionError):
Quote(MARKET, BID_SIDE, Price("94.342"), 94)
def test_successful_instantiation_locked_market_allowed():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "25.23", 233)
TwoSidedQuote(bid_quote, ask_quote, True)
def test_failed_instantiation_crossed_market():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "25.20", 233)
with pytest.raises(Exception):
TwoSidedQuote(bid_quote, ask_quote)
def test_failed_instantiation_sell_quote_not_an_ask():
with pytest.raises(AssertionError):
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, BID_SIDE, "26.20", 233)
TwoSidedQuote(bid_quote, ask_quote)
def test_successful_set_sell_quote_locked_market():
bid_quote = Quote(MARKET, BID_SIDE, "25.23", 18)
ask_quote = Quote(MARKET, ASK_SIDE, "26.20", 233)
ask_quote2 = Quote(MARKET, ASK_SIDE, "25.23", 3)
tsq = TwoSidedQuote(bid_quote, ask_quote, True)
tsq.set_sell_quote(ask_quote2)
