def test_new_pricelevel(self):
""" Add new bid and ask orders and checks price-time priority
"""
market = Market()
bidprice = np.random.uniform(0.0001, 100000)
o1 = namedtuple('Order', 'is_buy, qty, price')
o1 = o1(is_buy=True, qty=10, price=bidprice)
o2 = namedtuple('Order', 'is_buy, qty, price')
o2 = o2(is_buy=True, qty=5, price=bidprice)
o3 = namedtuple('Order', 'is_buy, qty, price')
o3 = o3(is_buy=True, qty=7, price=bidprice)
# Check price level creation, heads and tails, uid & order active
o1uid = market.send(*o1)
self.assertIn(o1.price, market._bids.book.keys())
self.assertEqual(market._bids.best.price, o1.price)
self.assertEqual(market._bids.best.head.uid, o1uid)
self.assertEqual(market._bids.best.tail.uid, o1uid)
self.assertEqual(market._orders[o1uid].uid, o1uid)
self.assertEqual(market.get(o1uid)['active'], True)
o2uid = market.send(*o2)
self.assertEqual(market._bids.best.price, bidprice)
# Check time priority inside PriceLevel
self.assertEqual(market._bids.best.head.uid, o1uid)
o3uid = market.send(*o3)
self.assertEqual(market._bids.best.head.uid, o1uid)
self.assertEqual(market._bids.best.head.next.uid, o2uid)
self.assertEqual(market._bids.best.tail.uid, o3uid)
# Check list of orders
### SAME FOR ASKS
askprice = bidprice + 0.0001
o4 = namedtuple('Order', 'is_buy, qty, price')
o4 = o4(is_buy=False, qty=10, price=askprice)
o5 = namedtuple('Order', 'is_buy, qty, price')
o5 = o5(is_buy=False, qty=5, price=askprice)
o6 = namedtuple('Order', 'is_buy, qty, price')
o6 = o6(is_buy=False, qty=7, price=askprice)
# Check price level creation, heads and tails
o4uid = market.send(*o4)
self.assertIn(askprice, market._asks.book.keys())
self.assertEqual(market._asks.best.price, o4.price)
self.assertEqual(market._asks.best.head.uid, o4uid)
self.assertEqual(market._asks.best.tail.uid, o4uid)
self.assertEqual(market._orders[o4uid].uid, o4uid)
o5uid = market.send(*o5)
# Check time priority inside PriceLevel
self.assertIs(market._asks.best.head.uid, o4uid)
o6uid = market.send(*o6)
self.assertEqual(market._asks.best.head.uid, o4uid)
self.assertEqual(market._asks.best.head.next.uid, o5uid)
self.assertEqual(market._asks.best.tail.uid, o6uid)
def test_aggressive_orders(self):
market = Market()
# alternate oders in PriceLevels
o1 = namedtuple('Order', 'is_buy, qty, price')
o1 = o1(is_buy=True, qty=100, price=10.001)
o2 = namedtuple('Order', 'is_buy, qty, price')
o2 = o2(is_buy=True, qty=100, price=10.002)
o3 = namedtuple('Order', 'is_buy, qty, price')
o3 = o3(is_buy=True, qty=100, price=10.001)
o4 = namedtuple('Order', 'is_buy, qty, price')
o4 = o4(is_buy=True, qty=100, price=10.002)
o5 = namedtuple('Order', 'is_buy, qty, price')
o5 = o5(is_buy=True, qty=100, price=10.003)
o1uid = market.send(*o1)
o2uid = market.send(*o2)
o3uid = market.send(*o3)
o4uid = market.send(*o4)
o5uid = market.send(*o5)
# aggressive order to sweep all positions and place rest
o6 = namedtuple('Order', 'is_buy, qty, price')
o6 = o6(is_buy=False, qty=100, price=9.999)
o6uid = market.send(*o6)
# check new top of book
self.assertIs(market.bbid[0], o2.price)
# check best price
self.assertIs(market.trades[0][0], 10.003)
# send copy of o6 order
o7uid = market.send(*o6)
self.assertIs(market._bids.best.head.uid, o4uid)
self.assertIs(market.get(o5uid)['leavesqty'], 0)
self.assertIs(market.trades[1][0], 10.002)
# send order and sweep 4 positions and leave rest in book as ask
o8 = namedtuple('Order', 'is_buy, qty, price')
o8 = o8(is_buy=False, qty=500, price=9.999)
market.send(*o8)
# check worst price
self.assertIs(len(market.trades), 5)
self.assertIs(market.trades[4][0], 10.001)
# check empty bids book
self.assertIs(len(market._bids.book), 0)
# check new pricelevel at o8 price
self.assertIs(market._asks.best.price, o8.price)
def test_cancel_order(self):
""" Cancels active orders and checks PriceLevel deletion,
price-time priority of left resting orders, and doubly linked
list of orders inside Price Level
"""
market = Market()
o1 = namedtuple('Order', 'is_buy, qty, price')
o1 = o1(is_buy=True, qty=1000, price=0.2)
o2 = namedtuple('Order', 'is_buy, qty, price')
o2 = o2(is_buy=True, qty=500, price=0.2)
o3 = namedtuple('Order', 'is_buy, qty, price')
o3 = o3(is_buy=True, qty=600, price=0.2)
o4 = namedtuple('Order', 'is_buy, qty, price')
o4 = o4(is_buy=True, qty=200, price=0.2)
o5 = namedtuple('Order', 'is_buy, qty, price')
o5 = o5(is_buy=True, qty=77, price=0.19)
o1uid = market.send(*o1)
o2uid = market.send(*o2)
o3uid = market.send(*o3)
o4uid = market.send(*o4)
o5uid = market.send(*o5)
# CANCEL MIDDLE ORDER IN QUEUE
market.cancel(o2uid)
# Check order is not active & leavesqty is 0
self.assertEqual(market.get(o2uid)['active'], False)
self.assertEqual(market.get(o2uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIs(market._orders[o1uid].next.uid, o3uid)
self.assertIs(market._orders[o3uid].prev.uid, o1uid)
self.assertIs(market._orders[o3uid].next.uid, o4uid)
self.assertIs(market._orders[o4uid].prev.uid, o3uid)
self.assertIs(market.bbid[0], o1.price)
self.assertIs(market._bids.best.tail.uid, o4uid)
# CANCEL TAIL
market.cancel(o4uid)
# Check order is removed
self.assertEqual(market.get(o4uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIs(market._orders[o1uid].next.uid, o3uid)
self.assertIs(market._orders[o3uid].prev.uid, o1uid)
self.assertIsNone(market._orders[o3uid].next)
self.assertIs(market._bids.best.head.uid, o1uid)
self.assertIs(market._bids.best.tail.uid, o3uid)
# CANCEL HEAD
# alternate oders in PriceLevels
market.cancel(o1uid)
# Check order is removed
self.assertEqual(market.get(o1uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIsNone(market._orders[o3uid].prev)
self.assertIsNone(market._orders[o3uid].next)
self.assertIs(market._bids.best.head.uid, o3uid)
self.assertIs(market._bids.best.tail.uid, o3uid)
# CANCEL HEAD&TAIL ORDER => REMOVE PRICE_LEVEL
market.cancel(o3uid)
# Check order is removed
self.assertEqual(market.get(o3uid)['leavesqty'], 0)
# Check PriceLevel removed
self.assertNotIn(0.2, market._bids.book)
# Check new best bid
self.assertIs(market._bids.best.head.uid, o5uid)
market.cancel(o5uid)
self.assertIs(len(market._bids.book), 0)
########################
#### SAME FOR ASKS #####
########################
market = Market()
o1 = namedtuple('Order', 'is_buy, qty, price')
o1 = o1(is_buy=False, qty=1000, price=0.2)
o2 = namedtuple('Order', 'is_buy, qty, price')
o2 = o2(is_buy=False, qty=500, price=0.2)
o3 = namedtuple('Order', 'is_buy, qty, price')
o3 = o3(is_buy=False, qty=600, price=0.2)
o4 = namedtuple('Order', 'is_buy, qty, price')
o4 = o4(is_buy=False, qty=200, price=0.2)
o5 = namedtuple('Order', 'is_buy, qty, price')
o5 = o5(is_buy=False, qty=77, price=0.21)
o1uid = market.send(*o1)
o2uid = market.send(*o2)
o3uid = market.send(*o3)
o4uid = market.send(*o4)
o5uid = market.send(*o5)
# CANCEL MIDDLE ORDER IN QUEUE
market.cancel(o2uid)
# Check order is not active & leavesqty is 0
self.assertEqual(market.get(o2uid)['active'], False)
self.assertEqual(market.get(o2uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIs(market._orders[o1uid].next.uid, o3uid)
self.assertIs(market._orders[o3uid].prev.uid, o1uid)
self.assertIs(market._orders[o3uid].next.uid, o4uid)
self.assertIs(market._orders[o4uid].prev.uid, o3uid)
self.assertIs(market.bask[0], o1.price)
self.assertIs(market._asks.best.tail.uid, o4uid)
# CANCEL TAIL ORDER
market.cancel(o4uid)
# Check order is removed
self.assertEqual(market.get(o4uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIs(market._orders[o1uid].next.uid, o3uid)
self.assertIs(market._orders[o3uid].prev.uid, o1uid)
self.assertIsNone(market._orders[o3uid].next)
self.assertIs(market._asks.best.head.uid, o1uid)
self.assertIs(market._asks.best.tail.uid, o3uid)
# CANCEL HEAD
# alternate oders in PriceLevels
market.cancel(o1uid)
# Check order is removed
self.assertEqual(market.get(o1uid)['leavesqty'], 0)
# Check Doubly Linked List
self.assertIsNone(market._orders[o3uid].prev)
self.assertIsNone(market._orders[o3uid].next)
self.assertIs(market._asks.best.head.uid, o3uid)
self.assertIs(market._asks.best.tail.uid, o3uid)
# CANCEL HEAD&TAIL ORDER => REMOVE PRICE_LEVEL
market.cancel(o3uid)
# Check order is removed
self.assertEqual(market.get(o3uid)['leavesqty'], 0)
# Check PriceLevel removed
self.assertNotIn(0.2, market._asks.book)
# Check new best ask
self.assertIs(market._asks.best.head.uid, o5uid)
market.cancel(o5uid)
self.assertIs(len(market._asks.book), 0)
