def test_addOrder(self):
inst = Instrument()
ob = self._makeEmptyOrderbook(inst)
inst.orderbook = ob
# [6.5, 6.0, 5.5, 5.0, 4.5, 4.0, 3.5, 3.0, 2.5, 2.0]
buyprices = [x * 0.5 for x in xrange(13, 3, -1)]
buyorders = [
Order(inst, buy=True, amount=amt, price=p)
for amt, p in zip(xrange(1, 11), buyprices)
]
buyorders.sort()
#[6.75, 7.0, 7.25, 7.5, 7.75, 8.0, 8.25, 8.5, 8.75, 9.0]
sellprices = [x * 0.25 for x in xrange(27, 37)]
sellorders = [
Order(inst, buy=False, amount=amt, price=p)
for amt, p in zip(xrange(10, 0, -1), sellprices)
]
sellorders.sort()
#Add all buys and sells, should not match any
[ob.addOrder(o) for o in buyorders + sellorders]
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList), 10)
self.assertEqual(len(ob.matchedList), 0)
self.assertEqual(inst.marketPrice, 6.625)
self.assertEqual(inst.lastTradedPrice > 0, False)
#Add a buy order which can match
abuy = Order(inst, buy=True, amount=5, price=7)
ob.addOrder(abuy)
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList), 10)
self.assertEqual(len(ob.matchedList), 1)
self.assertEqual(ob.instrument.marketPrice, 6.75)
self.assertEqual(ob.instrument.lastTradedPrice, 6.75)
self.assertEqual(abuy.matched(), True)
#Add a buy order which can match more than 1 sell orders
abuy1 = Order(inst, buy=True, amount=15, price=7.2)
ob.addOrder(abuy1)
self.assertEqual(len(ob.buyList), 11)
self.assertEqual(len(ob.sellList), 8)
self.assertEqual(len(ob.matchedList), 3)
self.assertEqual(ob.instrument.marketPrice, 7.2)
self.assertEqual(ob.instrument.lastTradedPrice, 7)
self.assertEqual(abuy1.matched(), False)
#Add a sell order which can match
asell = Order(inst, buy=False, amount=5, price=7)
ob.addOrder(asell)
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList), 9)
self.assertEqual(len(ob.matchedList), 4)
self.assertEqual(ob.instrument.marketPrice, 7)
self.assertEqual(ob.instrument.lastTradedPrice, 7)
self.assertEqual(asell.matched(), False)
def test_addOrder(self):
inst = Instrument()
ob = self._makeEmptyOrderbook( inst )
inst.orderbook = ob
# [6.5, 6.0, 5.5, 5.0, 4.5, 4.0, 3.5, 3.0, 2.5, 2.0]
buyprices = [x*0.5 for x in xrange(13,3,-1)]
buyorders = [Order(inst, buy=True, amount=amt, price=p)
for amt, p in zip(xrange(1,11),buyprices)]
buyorders.sort()
#[6.75, 7.0, 7.25, 7.5, 7.75, 8.0, 8.25, 8.5, 8.75, 9.0]
sellprices = [x*0.25 for x in xrange(27,37)]
sellorders = [Order(inst, buy=False, amount=amt, price=p)
for amt, p in zip(xrange(10,0,-1), sellprices)]
sellorders.sort()
#Add all buys and sells, should not match any
[ob.addOrder(o) for o in buyorders+sellorders]
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList),10)
self.assertEqual(len(ob.matchedList), 0)
self.assertEqual(inst.marketPrice, 6.625)
self.assertEqual(inst.lastTradedPrice>0, False)
#Add a buy order which can match
abuy = Order(inst, buy=True, amount=5, price=7)
ob.addOrder(abuy)
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList),10)
self.assertEqual(len(ob.matchedList), 1)
self.assertEqual(ob.instrument.marketPrice, 6.75)
self.assertEqual(ob.instrument.lastTradedPrice, 6.75)
self.assertEqual(abuy.matched(), True)
#Add a buy order which can match more than 1 sell orders
abuy1 = Order(inst, buy=True, amount=15, price=7.2)
ob.addOrder(abuy1)
self.assertEqual(len(ob.buyList), 11)
self.assertEqual(len(ob.sellList),8)
self.assertEqual(len(ob.matchedList), 3)
self.assertEqual(ob.instrument.marketPrice, 7.2)
self.assertEqual(ob.instrument.lastTradedPrice, 7)
self.assertEqual(abuy1.matched(), False)
#Add a sell order which can match
asell = Order(inst, buy=False, amount=5, price=7)
ob.addOrder(asell)
self.assertEqual(len(ob.buyList), 10)
self.assertEqual(len(ob.sellList),9)
self.assertEqual(len(ob.matchedList), 4)
self.assertEqual(ob.instrument.marketPrice, 7)
self.assertEqual(ob.instrument.lastTradedPrice, 7)
self.assertEqual(asell.matched(), False)
def test_create_orderbook(self):
inst = Instrument()
ob = self._makeEmptyOrderbook(inst)
inst.orderbook = ob
self.assertEqual(ob.instrument, inst)
self.assertEqual(inst.orderbook, ob)
def test_create_orderbook(self):
inst = Instrument()
ob = self._makeEmptyOrderbook( inst )
inst.orderbook = ob
self.assertEqual(ob.instrument, inst)
self.assertEqual(inst.orderbook, ob)