def test_adding_exchange(self):
exchange = Exchange()
exchange.asks = Orderbook_half('asks', 1)
exchange.bids = Orderbook_half('bids', 100)
order01 = Order('T01', 'Ask', 3, 1, 1, 0, 'LIM')
order03 = Order('T01', 'Ask', 5, 2, 1, 0, 'LIM')
exchange.asks.book_add(order01)
exchange.asks.book_add(order03)
self.assertEqual(exchange.asks.n_orders, 1)
self.assertEqual(
exchange.asks.lob,
collections.OrderedDict([(5, [2, [[1, 2, 'T01', 0]]])]))
order02 = Order('T01', 'Ask', 6, 3, 1, 0, 'LIM')
exchange.asks.book_add(order02)
self.assertEqual(exchange.asks.n_orders, 1)
def test_processOrder_exchange_bid(self):
exchange = Exchange()
exchange.asks = Orderbook_half('Ask', 1)
exchange.bids = Orderbook_half('Bid', 100)
order01 = Order('T01', 'Bid', 13, 1, 1, 0, 'LIM')
order03 = Order('T02', 'Bid', 15, 2, 1, 0, 'LIM')
exchange.add_order(order01, False)
exchange.add_order(order03, False)
order02 = Order('T03', 'Ask', 6, 10, 1, 0, 'LIM')
transac, actual = exchange.process_order2(12, order02, False)
self.assertEqual(exchange.asks.best_qty, 7)
self.assertEqual(exchange.bids.n_orders, 0)
self.assertEqual(transac[0]['party1'], 'T02')
self.assertEqual(transac[1]['party1'], 'T01')
self.assertEqual(actual, 3)
def test_dec_bid(self):
exchange = Exchange()
exchange.asks = Orderbook_half('Ask', 1)
exchange.bids = Orderbook_half('Bid', 100)
order01 = Order('T01', 'Bid', 3, 5, 1, 0, 'LIM')
order03 = Order('T02', 'Bid', 5, 10, 1, 0, 'LIM')
exchange.add_order(order01, False)
exchange.add_order(order03, False)
exchange.bids.decrement_order(5, 'T02', 1)
self.assertEqual(exchange.bids.n_orders, 2)
self.assertEqual(exchange.bids.best_qty, 9)
self.assertEqual(
exchange.bids.lob,
collections.OrderedDict([(5, [9, [[1, 9, 'T02', 1]]]),
(3, [5, [[1, 5, 'T01', 0]]])]))
def test_processOrder_bid_LIM04(self):
exchange = Exchange()
exchange.asks = Orderbook_half('Ask', 1)
exchange.bids = Orderbook_half('Bid', 100)
order01 = Order('T03', 'Ask', 3, 4, 1, 0, 'LIM')
order02 = Order('T01', 'Ask', 4, 3, 1, 0, 'LIM')
order03 = Order('T02', 'Ask', 5, 2, 1, 0, 'LIM')
exchange.add_order(order01, False)
exchange.add_order(order02, False)
exchange.add_order(order03, False)
order02 = Order('T01', 'Bid', 6, 10, 1, 0, 'LIM')
transac, actual = exchange.process_order2(12, order02, False)
self.assertEqual(exchange.bids.best_qty, 4)
self.assertEqual(exchange.bids.best_price, 6)
self.assertEqual(exchange.bids.n_orders, 1)
self.assertEqual(exchange.asks.n_orders, 1)
self.assertEqual(transac[0]['party1'], 'T03')
self.assertEqual(transac[0]['qty'], 4)
self.assertEqual(transac[1]['party1'], 'T02')
self.assertEqual(transac[1]['qty'], 2)
self.assertEqual(actual, 6)
def test_processOrder_bid_wp_mkt(self):
exchange = Exchange()
exchange.asks = Orderbook_half('Ask', 1)
exchange.bids = Orderbook_half('Bid', 100)
order01 = Order('T02', 'Ask', 13, 1, 1, 0, 'LIM')
order02 = Order('T01', 'Ask', 14, 3, 1, 0, 'LIM')
order03 = Order('T03', 'Ask', 15, 2, 1, 0, 'LIM')
exchange.add_order(order01, False)
exchange.add_order(order03, False)
exchange.add_order(order02, False)
order02 = Order('T04', 'Bid', 5, 10, 1, 0, 'MKT')
transac, actual = exchange.process_order2(12, order02, False)
self.assertEqual(exchange.asks.n_orders, 0)
self.assertEqual(exchange.bids.n_orders, 0)
self.assertEqual(transac[0]['party1'], 'T02')
self.assertEqual(transac[0]['qty'], 1)
self.assertEqual(transac[1]['party1'], 'T01')
self.assertEqual(transac[1]['qty'], 3)
self.assertEqual(transac[2]['party1'], 'T03')
self.assertEqual(transac[2]['qty'], 2)
self.assertEqual(actual, 6)