def test_l3_feed():
book = L3OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
# Updates that cause the book to fail integrity checks will be deleted
# immediately, but we may get also delete later.
skip_deletes = []
i = 0
for i, m in enumerate(TestDataProvider.l3_feed()): # noqa (B007)
if m["op"] == "update":
book.update(order=m["order"])
try:
book.check_integrity()
except AssertionError:
book.delete(order=m["order"])
skip_deletes.append(m["order"].id)
elif m["op"] == "delete" and m["order"].id not in skip_deletes:
book.delete(order=m["order"])
book.check_integrity()
assert i == 100_047
assert book.best_ask_level().price == 61405.27923706
assert book.best_ask_level().volume() == 0.12227
assert book.best_bid_level().price == Price.from_int(61391)
assert book.best_bid_level().volume() == 1
def sample_book():
ob = L3OrderBook(TestStubs.audusd_id())
orders = [
Order(price=0.900, volume=20, side=OrderSide.SELL),
Order(price=0.887, volume=10, side=OrderSide.SELL),
Order(price=0.886, volume=5, side=OrderSide.SELL),
Order(price=0.830, volume=4, side=OrderSide.BUY),
Order(price=0.820, volume=1, side=OrderSide.BUY),
]
for order in orders:
ob.add(order)
return ob
def test_orderbook_updates(benchmark):
# We only care about the actual updates here, so instantiate orderbook and
# load updates outside of benchmark
ob = L3OrderBook(TestStubs.audusd_id())
feed = TestDataProvider.l3_feed()
assert len(feed) == 100048 # 100k updates
# benchmark something
ob = benchmark(run_l3_test, ob=ob, feed=feed)
# Assertions from integration test
assert ob.best_ask_level().price() == 61405.27923706
assert ob.best_ask_level().volume() == 0.12227
assert ob.best_bid_level().price() == 61391
assert ob.best_bid_level().volume() == 1
def sample_book():
ob = L3OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
orders = [
Order(price=0.90000, size=20.0, side=OrderSide.SELL),
Order(price=0.88700, size=10.0, side=OrderSide.SELL),
Order(price=0.88600, size=5.0, side=OrderSide.SELL),
Order(price=0.83000, size=4.0, side=OrderSide.BUY),
Order(price=0.82000, size=1.0, side=OrderSide.BUY),
]
for order in orders:
ob.add(order)
return ob
def test_orderbook_updates(benchmark):
# We only care about the actual updates here, so instantiate orderbook and
# load updates outside of benchmark
book = L3OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
feed = TestStubs.l3_feed()
assert len(feed) == 100048 # 100k updates
# benchmark something
# book = benchmark(run_l3_test, book=book, feed=feed)
benchmark.pedantic(run_l3_test,
args=(book, feed),
rounds=10,
iterations=10,
warmup_rounds=5)
def test_orderbook_updates(benchmark):
# We only care about the actual updates here, so instantiate orderbook and
# load updates outside of benchmark
book = L3OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
feed = TestDataProvider.l3_feed()
assert len(feed) == 100048 # 100k updates
# benchmark something
# book = benchmark(run_l3_test, book=book, feed=feed)
run_l3_test(book, feed)
# Assertions from integration test
assert book.best_ask_level().price == 61405.27923706
assert book.best_ask_level().volume() == 0.12227
assert book.best_bid_level().price == 61391.0
assert book.best_bid_level().volume() == 1.0
def test_l3_feed():
ob = L3OrderBook(TestStubs.audusd_id())
# Updates that cause the book to fail integrity checks will be deleted
# immediately, but we may get also delete later.
skip_deletes = []
i = 0
for i, m in enumerate(TestDataProvider.l3_feed()):
if m["op"] == "update":
ob.update(order=m["order"])
try:
ob.check_integrity()
except AssertionError:
ob.delete(order=m["order"])
skip_deletes.append(m["order"].id)
elif m["op"] == "delete" and m["order"].id not in skip_deletes:
ob.delete(order=m["order"])
ob.check_integrity()
assert i == 100_047
assert ob.best_ask_level().price() == 61405.27923706
assert ob.best_ask_level().volume() == 0.12227
assert ob.best_bid_level().price() == 61391
assert ob.best_bid_level().volume() == 1
