def test_create_asks():
o = {
'account': '123',
'side': 'ask',
'product': 'A-B',
'price': 100.0,
'size': 5,
}
m = {}
market.add_account(m, '123')
market.add_funds(m, '123', 'A', 10000)
prices = [99.0, 100.0, 101.0]
for price in prices:
o = deepcopy(o)
o['price'] = price
market.create_order(m, **o)
asks = m['products']['A-B']['asks']
assert (asks[0][0] == 99.0)
assert (asks[1][0] == 100.0)
assert (asks[2][0] == 101.0)
assert (m['accounts']['123']['balances']['A'] == 10000 - sum(prices) * 5)
def test_add_funds():
m = {}
market.add_account(m, 'acct0')
market.add_account(m, 'acct1')
market.add_currency(m, 'cur0', '0.001')
market.add_funds(m, 'acct0', 'cur0', 101.0)
market.add_funds(m, 'acct1', 'cur0', 105.0)
assert (m['accounts']['acct0']['balances']['cur0'] == 101.0)
assert (m['accounts']['acct1']['balances']['cur0'] == 105.0)
def test_cancel_order():
o = {
'account': '123',
'side': 'ask',
'product': 'A-B',
'price': 100.0,
'size': 5,
}
m = {}
market.add_account(m, '123')
market.add_funds(m, '123', 'A', 10000)
order, _ = market.create_order(m, **o)
# pudb.set_trace()
market.cancel_order(m, order['id'])
x = 0
def test_fill_orders():
bid = {
'account': '123',
'side': 'bid',
'product': 'A-B',
'price': 100.0,
'size': 5,
}
ask = {
'account': '456',
'side': 'ask',
'product': 'A-B',
'price': 100.0,
'size': 5,
}
m = {}
market.add_account(m, '123')
market.add_account(m, '456')
market.add_currency(m, 'A', '0.001')
market.add_currency(m, 'B', '0.001')
market.add_product(m, 'A-B', '0.001', '100', '0.001')
pudb.set_trace()
market.add_funds(m, '123', 'B', 10000)
market.add_funds(m, '456', 'A', 10000)
assert (m['accounts']['123']['balances']['B'] == 10000)
assert (m['accounts']['456']['balances']['A'] == 10000)
market.create_order(m, **bid)
assert (m['accounts']['123']['balances']['B'] == 10000 - 500.0)
market.create_order(m, **ask)
assert (m['accounts']['123']['balances']['A'] == 500)
assert (m['accounts']['456']['balances']['B'] == 500)
import json
import market
from random import choice, random
import itertools as it
exchange = {}
accounts = ['user%d' % i for i in range(5)]
currencies = ['A', 'B', 'C']
products = ['%s-%s' % p for p in it.permutations(currencies, 2)]
side = ['ask', 'bid']
for account, currency in it.product(accounts, currencies):
market.add_funds(exchange, account, currency, 10000)
fill_count = 0
for i in range(10000):
params = {
'account': choice(accounts),
'product': choice(products),
'side': choice(side),
'price': random() * 10,
'size': random() * 10,
}
order, fills = market.create_order(exchange, **params)
for fill in fills:
fill_count += 1
if fill['size'] <= 0:
raise Exception('invalid size!!!')
print(json.dumps(fill))
print('%d orders filled' % fill_count)