import unittest
from action import Action
from orderbook import Orderbook
from order import Order
from order_type import OrderType
from order_side import OrderSide
orderbook = Orderbook(extraFeatures=False)
orderbook.loadFromFile('test_orderbook_10s.tsv')
class MatchEngineMock():
def matchOrder(self, order, seconds=None):
trades = []
qtyRemain = 0
index = 1
return trades, qtyRemain, index
class ActionMock(Action):
def __init__(self, a, runtime):
Action.__init__(self, a, runtime)
def getMatchEngine(self, orderbook):
return MatchEngineMock()
class ActionTest(unittest.TestCase):
def testRun(self):
a = 1
i = 1.0
from orderbook import Orderbook
import numpy as np
import pandas as pd
import os
book = 'query_result_test.tsv'
tmp = 'feature.tsv'
orderbook = Orderbook()
orderbook.loadFromFile(book)
states = orderbook.getStates()
def stateDiff(start, end):
"""Calculate time difference between two states."""
consumed = (end.getTimestamp() - start.getTimestamp()).total_seconds()
return consumed
def getPastState(i, t):
"""Find state at index i - time t."""
endState = states[i]
state = endState
while (stateDiff(state, endState) < t):
i = i - 1
if i < 0:
raise Exception("Not enough states available for diff.")
state = states[i]
return i
def traverse(f, g, default=0.0, t=60):