def process_tick(self, msg):
data = msg["data"]
tb = tob()
tb.exchange = "emx"
tb.product = data["contract_code"]
tb.best_bid_price = float(data["quote"]["bid"])
tb.best_bid_qty = float(data["quote"]["bid_size"])
tb.best_ask_price = float(data["quote"]["ask"])
tb.best_ask_qty = float(data["quote"]["ask_size"])
tb.timestamp = datetime.datetime.utcnow()
return tb
async def test_maker_rounding_tob_based(cfg_strategy_fixture):
try:
strategy = market_maker(cfg_strategy_fixture, bittest_adapter())
except Exception:
assert False
_tob = tob()
_tob.exchange = "test_exchange"
_tob.product = "test-perp"
_tob.best_bid_price = 99.0
_tob.best_bid_qty = 1
_tob.best_ask_price = 101.0
_tob.best_ask_qty = 1
_tob.timestamp = 0.0
strategy.tob = _tob
orders = strategy.generate_orders()
assert orders[0].price == _tob.best_ask_price
assert orders[1].price == _tob.best_bid_price