def test_order_book_market_order(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(
volume=100.0,
price=0.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
instrument=_INSTRUMENT,
)
ob.add(data)
print(ob)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [0, 0], Side.SELL: [5.5, 1.0]}
print(ob.levels(3))
assert ob.levels(3) == {
Side.BUY: [[0, 0], [0, 0], [0, 0]],
Side.SELL: [[5.5, 1.0], [6.0, 1.0], [6.5, 1.0]],
}
def setup(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_all_or_none_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.ALL_OR_NONE)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.0, 0.5]
}
data = Order(volume=1.5,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [4.0, 0.5]
}
def test_order_book_clearing_order(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(volume=100.0,
price=0.0,
side=Order.Sides.SELL,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [0.0, 0.0], Side.SELL: [0.0, 90.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[0.0, 0.0], [0.0, 0.0], [0.0, 0.0]], Side.SELL: [[0.0, 90.0], [5.5, 1.0], [6.0, 1.0]]}
def test_fill_or_kill_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.FILL_OR_KILL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.0, 0.5]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=1.5,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [4.0, 0.5]
}
def test_immediate_or_cancel_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.IMMEDIATE_OR_CANCEL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
class TestOrderFlagsTaker:
def setup(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_fill_or_kill_market(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=4.5,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.0, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_fill_or_kill_taker_limit(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=4.5,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.0, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_all_or_none_market(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=1.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 0.5],
Side.SELL: [5.5, 1.0]
}
def test_all_or_none_taker_limit(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=1.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 0.5],
Side.SELL: [5.5, 1.0]
}
def test_immediate_or_cancel_market(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_immediate_or_cancel_taker_limit(self):
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(id=1,
timestamp=datetime.now(),
volume=2.0,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_stop_market(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
print(ob)
assert ob.topOfBook() == {Side.BUY: [5.0, 1.0], Side.SELL: [5.5, 1.0]}
data = Order(volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.STOP,
stop_target=Order(volume=0.5,
price=4.5,
side=Order.Sides.SELL,
instrument=_INSTRUMENT,
order_type=Order.Types.LIMIT),
instrument=_INSTRUMENT)
print(ob)
ob.add(data)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [5.0, 1.0], Side.SELL: [5.5, 1.0]}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(ob)
ob.add(data)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [4.5, 1.0], Side.SELL: [5.5, 1.0]}
class TestOrderFlagsMaker:
def test_fill_or_kill_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.FILL_OR_KILL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT,
id="1",
)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.0, 0.5]
}
data = Order(
volume=1.5,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT,
id="1",
)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [4.0, 0.5]
}
def test_all_or_none_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.ALL_OR_NONE)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT,
id="1",
)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.0, 0.5]
}
data = Order(
volume=1.5,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT,
id="1",
)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [4.0, 0.5]
}
def test_immediate_or_cancel_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.IMMEDIATE_OR_CANCEL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT,
id="1",
)
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_order_book_init(self):
ob = OrderBook(_INSTRUMENT)
print(ob.topOfBook())
assert ob.topOfBook()[Side.BUY] == [0, 0]
assert ob.topOfBook()[Side.SELL] == [float('inf'), 0]
def test_order_book_run(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
data = Order(volume=5.0,
price=4.5,
side=Order.Sides.SELL,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
assert ob.topOfBook() == {Side.BUY: [4.0, 1.0], Side.SELL: [4.5, 3.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[4.0, 1.0], [3.5, 1.0], [3.0, 1.0]], Side.SELL: [[4.5, 3.0], [5.5, 1.0], [6.0, 1.0]]}
data = Order(volume=4.0,
price=5.5,
side=Order.Sides.BUY,
instrument=_INSTRUMENT)
ob.add(data)
print(ob)
assert ob.topOfBook() == {Side.BUY: [4.0, 1.0], Side.SELL: [6.0, 1.0]}
print(ob.levels(3))
assert ob.levels(3) == {Side.BUY: [[4.0, 1.0], [3.5, 1.0], [3.0, 1.0]], Side.SELL: [[6.0, 1.0], [6.5, 1.0], [7.0, 1.0]]}
# 0.0))
# print(orderbook)
# start = round(start + increment, 2)
# print(orderbook)
# Event(EventType.OPEN, o)
from datetime import datetime
from aat.config import Side
from aat.core import Instrument, OrderBook, Order
from aat.tests.core.order_book.helpers import _seed
_INSTRUMENT = Instrument('TE.ST')
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
print(ob)
assert ob.topOfBook() == {Side.BUY: [5.0, 1.0], Side.SELL: [5.5, 1.0]}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.STOP,
def test_stop_limit(self):
ob = OrderBook(_INSTRUMENT)
_seed(ob, _INSTRUMENT)
assert ob.topOfBook()[Side.BUY] == [5.0, 1.0]
assert ob.topOfBook()[Side.SELL] == [5.5, 1.0]
print(ob)
assert ob.topOfBook() == {Side.BUY: [5.0, 1.0], Side.SELL: [5.5, 1.0]}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.STOP,
stop_target=Order(id=1,
timestamp=datetime.now(),
volume=1.0,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
instrument=_INSTRUMENT),
instrument=_INSTRUMENT)
print(ob)
ob.add(data)
data = Order(id=1,
timestamp=datetime.now(),
volume=0.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.STOP,
stop_target=Order(id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
instrument=_INSTRUMENT),
instrument=_INSTRUMENT)
print(ob)
ob.add(data)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [5.0, 1.0], Side.SELL: [5.5, 1.0]}
data = Order(id=1,
timestamp=datetime.now(),
volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
print(ob)
ob.add(data)
print(ob.topOfBook())
assert ob.topOfBook() == {Side.BUY: [4.5, 0.5], Side.SELL: [5.0, 0.5]}