def test_orders_of_the_same_id(self):
order1 = Order((1, "Limit", "Buy", 100, 100, 0))
order2 = Order((1, "Limit", "Buy", 200, 300, 0))
self.assertRaises(ValueError, order1.__eq__, order2)
order2 = Order((1, "Limit", "Buy", 100, 100, 0))
self.assertEqual(order1, order2)
def test_order_book_not_storing_transactions(self):
order_book = OrderBook(store_transactions=False)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def test_sell_order_comparison(self):
order1 = Order((1, "Limit", "Sell", 20, 100, 0))
order2 = Order((2, "Limit", "Sell", 30, 100, 0))
self.assertLess(order1, order2)
order2 = Order((2, "Limit", "Sell", 10, 100, 0))
self.assertLess(order2, order1)
order2 = Order((2, "Limit", "Sell", 20, 100, 0))
self.assertLess(order1, order2)
def test_order_simple_dictionary(self):
order = Order((1, "Iceberg", "Sell", 30, 100, 10))
order_dictionary = order.__dict__()
self.assertEqual(order_dictionary.get('id'), 1)
self.assertEqual(order_dictionary.get('price'), 30)
self.assertEqual(order_dictionary.get('quantity'), 10)
self.assertEqual(order_dictionary.get('peak'), None)
self.assertEqual(order_dictionary.get('direction'), None)
self.assertEqual(order_dictionary.get('type'), None)
def test_order_detailed_dictionary(self):
order = Order((1, "Iceberg", "Sell", 30, 100, 10))
order_dictionary = order.__dict__(simple=False)
order_info_dictionary = order_dictionary.get('order')
self.assertEqual(order_info_dictionary.get('id'), 1)
self.assertEqual(order_info_dictionary.get('price'), 30)
self.assertEqual(order_info_dictionary.get('quantity'), 10)
self.assertEqual(order_info_dictionary.get('peak'), 10)
self.assertEqual(order_info_dictionary.get('direction'), "Sell")
self.assertEqual(order_dictionary.get('type'), "Iceberg")
def test_order_book_cancel_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def test_correct_limit_tuple(self):
order = Order((1, "Limit", "Buy", 100, 100, 0))
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Limit")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 100)
self.assertEqual(order.hidden_quantity, 0)
self.assertEqual(order.price, 100)
def test_order_book_add_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 100}], "sellOrders": []}'
)
def test_order_book_limit_transactions(self):
order_book = OrderBook(store_transactions=True)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 80, 50, 0)))
self.assertEqual(order_book.last_transactions, [
'{"buyOrderId": 1, "sellOrderId": 2, "price": 100, "quantity": 50}'
])
order_book.add(Order((3, "Limit", "Sell", 120, 40, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 50}],'
' "sellOrders": [{"id": 3, "price": 120, "quantity": 40}]}')
def checkout(self, *items, user=None):
if user is None:
user = User()
order = Order.createOrderFromItems(items)
promotion = Promotion()
activity = promotion.getApplicableActivity(user, order)
order.applyPromotion(activity)
return order
def test_correct_iceberg_tuple(self):
order = Order((1, "Iceberg", "Buy", 100, 100, 10))
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Iceberg")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 10)
self.assertEqual(order.hidden_quantity, 90)
self.assertEqual(order.price, 100)
self.assertEqual(order.peak, 10)
def test_correct_limit_json(self):
order = Order(
'{"type": "Limit", "order":'
'{"direction": "Buy", "id": 1, "price": 100, "quantity": 100}}')
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Limit")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 100)
self.assertEqual(order.hidden_quantity, 0)
self.assertEqual(order.price, 100)
def test_correct_iceberg_json(self):
order = Order(
'{"type": "Iceberg", "order":'
'{"direction": "Buy", "id": 1, "price": 100, "quantity": 100, "peak": 10}}'
)
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Iceberg")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 10)
self.assertEqual(order.hidden_quantity, 90)
self.assertEqual(order.price, 100)
self.assertEqual(order.peak, 10)
def generate_random_orders(
number_of_orders: int,
iceberg_probability: float = default_iceberg_probability,
price_mean: int = default_price_mean,
price_deviation: int = default_price_deviation,
quantity_mean: int = default_quantity_mean,
quantity_deviation: int = default_quantity_deviation,
peak_min: int = default_peak_min,
peak_max: int = default_peak_max,
output_file: str = default_data_file):
"""
:param number_of_orders: the total number of orders
:param iceberg_probability: the expected relative amount of iceberg type orders
:param price_mean: normal distribution mean for 'price' field
:param price_deviation: standard deviation for 'price' field
:param quantity_mean: normal distribution mean for 'quantity' field
:param quantity_deviation: standard deviation for 'quantity' field
:param peak_min: minimum value of 'peak' field
:param peak_max: maximum value of 'peak' field
:param output_file: output file name
Generates a series of random transactions to a JSON file.
"""
orders = []
print("Generating data...")
for i in range(number_of_orders):
order_type = "Limit"
direction = "Buy" if random.random() < 0.5 else "Sell"
peak = 0
quantity = _generate(quantity_mean, quantity_deviation,
random.normalvariate)
if random.random() < iceberg_probability:
order_type = "Iceberg"
peak = min(_generate(peak_min, peak_max, random.uniform),
quantity // 2)
price = _generate(price_mean, price_deviation, random.normalvariate)
orders.append(
Order((i + 1, order_type, direction, price, quantity,
peak)).__dict__(simple=False))
print("Generated data. Saving to " + output_file + " file...")
with open(output_file, 'w') as file:
json.dump(orders, file, indent=4)
def __refresh_order(self, order: Order):
"""
:param order: order to refresh
Refreshes the order if its visible quantity is exhausted.
If the real quantity is exhausted, removes from the list.
"""
if order.quantity == 0:
orders_list = self.__get_orders_list(order)
orders_list.remove(order)
if order.hidden_quantity > 0:
order.timestamp = self.__get_timestamp()
difference = min(order.peak, order.hidden_quantity)
order.quantity += difference
order.hidden_quantity -= difference
orders_list.add(order)
def create_order_list(output_file: str = default_data_file) -> list[Order]:
"""
:param output_file: JSON file containing serialized orders
:return: list of order objects
Creates a list of orders from a given file.
"""
orders = []
try:
with open(output_file) as json_file:
orders_data = json.load(json_file)
for order_data in orders_data:
order = Order(json.dumps(order_data))
orders.append(order)
except json.JSONDecodeError as error:
print("JSON decoder error: " + str(error))
return orders
def add(self, order: Order):
"""
:param order: order being added to the order book
Adds an order to the order book.
Executes all possible transactions if possible
and then returns the order book state.
"""
order.timestamp = self.__get_timestamp()
self.__get_orders_list(order).add(order)
self.last_transactions.clear()
while order.quantity > 0:
matched_order = self.__match_order(order)
if matched_order:
self.__make_transaction(order, matched_order)
self.__refresh_order(order)
else:
break
def test_order_book_iceberg_transactions(self):
order_book = OrderBook(store_transactions=True)
orders = [
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 1, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 2, "price": 100, "quantity": 300, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 3, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Buy", "id": 4, "price": 100, "quantity": 500, "peak": 100}}'
]
expected_states = [
'{"buyOrders": [], "sellOrders": [{"id": 1, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100},'
' {"id": 3, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 3, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}'
]
expected_transactions = [
[], [], [],
[
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 3, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}'
]
]
for i in range(4):
order_book.add(Order(orders[i]))
self.assertEqual(order_book.get_state(), expected_states[i])
self.assertEqual(order_book.last_transactions,
expected_transactions[i])
def test_order_book_cancel_not_present_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertRaises(ValueError, order_book.cancel, order)
delta_time = timer()
print("\nFinal order book state:\n" + order_book.get_state())
print("\nElapsed time: {0} seconds.".format(delta_time))
print("{:.2f} orders per second.".format(number_of_transactions /
delta_time))
sys.exit(0)
# run the main program if no special branch has been activated
order_book = OrderBook(store_transactions=True)
print(program_description + """
To add an order to the order book, insert a JSON line.
Type 'exit' to quit the program.\n""")
try:
for line in sys.stdin:
if bool(line and not line.isspace()):
if "exit" in line:
break
order = Order(line)
# we assume that id cannot be negative
if order.id >= 0:
order_book.add(order)
print(order_book)
except KeyboardInterrupt:
pass
print("\nSession ended.")
def test_limit_positive_peak_json(self):
order = Order(
'{"type": "Limit", "order":'
'{"direction": "Buy", "id": 1, "price": 100, "quantity": 100, "peak": 10}}'
)
self.assertEqual(order.peak, 0)
