def test_orderbook_reject():
order = Order("HYG", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook = Orderbook("TEST")
assert orderbook.new_order(
order) == "[Internal] incorrect orderbook assignment"
def test_orderbook_duplicate_order_id():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.59, 120, "S", 2, "TESTSESSION_2_NEWORDER_2",
"TESTSESSION_2")
orderbook.new_order(order)
order = Order("TEST", 23.49, 130, "B", 2, "TESTSESSION_2_NEWORDER_2",
"TESTSESSION_2")
assert orderbook.new_order(order) == "[Internal] duplicate order ID sent"
def test_orderbook_insertion():
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook = Orderbook("TEST")
orderbook.new_order(order)
inserted_order = orderbook.bids[23.54][0]
assert inserted_order.symbol == "TEST"
assert inserted_order.price == 23.54
assert inserted_order.quantity == 100
assert inserted_order.side == "b"
assert inserted_order.order_id == "NEWORDER_1"
def test_orderbook_market_order_no_match():
orderbook = Orderbook("TEST")
order = Order("TEST", 8, 1, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 8, 1, "B", 2, "NEWORDER_3", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 6, 1, "S", 2, "NEWORDER_2", "TESTSESSION")
orderbook.new_order(order)
assert orderbook.trades.qsize() == 0
assert orderbook.bids[23.54][0].quantity == 100
assert orderbook.bbo() == (23.54, float("inf"))
def test_orderbook_replace_size():
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook = Orderbook("TEST")
orderbook.new_order(order)
print(orderbook._show_orderbook())
order = Order("TEST", 23.54, 120, "B", 2, "NEWORDER_2", "TESTSESSION")
orderbook.replace_order("NEWORDER_1", order)
print(orderbook._show_orderbook())
assert orderbook.bids[23.54][0].quantity == 120
def test_orderbook_bbo():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 150, "B", 2, "TESTSESSION_1_NEWORDER_1",
"TESTSESSION_1")
orderbook.new_order(order)
order = Order("TEST", 23.55, 130, "S", 2, "TESTSESSION_2_NEWORDER_1",
"TESTSESSION_2")
orderbook.new_order(order)
assert orderbook.bbo() == (23.54, 23.55)
def test_orderbook_deletion():
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook = Orderbook("TEST")
orderbook.new_order(order)
orderbook.delete_order("NEWORDER_1")
assert len(orderbook.bids[23.54]) == 0
def test_orderbook_replace_price_and_size():
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook = Orderbook("TEST")
orderbook.new_order(order)
order = Order("TEST", 23.55, 120, "B", 2, "NEWORDER_2", "TESTSESSION")
orderbook.replace_order("NEWORDER_1", order)
assert orderbook.bids[23.55][0].quantity == 120
assert orderbook.bids[23.55][0].price == 23.55
def test_orderbook_replace_execution():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 150, "B", 2, "TESTSESSION_1_NEWORDER_1",
"TESTSESSION_1")
orderbook.new_order(order)
order = Order("TEST", 23.55, 130, "S", 2, "TESTSESSION_2_NEWORDER_1",
"TESTSESSION_2")
orderbook.new_order(order)
order = Order("TEST", 23.55, 140, "B", 2, "TESTSESSION_1_NEWORDER_2",
"TESTSESSION_1")
orderbook.replace_order("TESTSESSION_1_NEWORDER_1", order)
assert orderbook.trades.qsize() == 2
while not orderbook.trades.empty():
trade = orderbook.trades.get()
assert trade.price == 23.55
assert trade.quantity == 130
assert orderbook.bbo() == (23.55, float("inf"))
def test_orderbook_full_execution():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.54, 100, "S", 2, "NEWORDER_2", "TESTSESSION")
orderbook.new_order(order)
while not orderbook.trades.empty():
trade = orderbook.trades.get()
assert trade.price == 23.54
assert trade.quantity == 100
assert trade.exec_id == "TEST_TEST000001"
def test_orderbook_partial_aggressive_execution():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 50, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.54, 100, "S", 2, "NEWORDER_2", "TESTSESSION")
orderbook.new_order(order)
while not orderbook.trades.empty():
trade = orderbook.trades.get()
assert trade.price == 23.54
assert trade.quantity == 50
assert trade.exec_id == "TEST_TEST000001"
assert orderbook.asks[23.54][0].quantity == 50
assert orderbook.asks[23.54][0].order_id == "NEWORDER_2"
assert len(orderbook.bids[23.54]) == 0
def test_orderbook_market_order_execution():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 100, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.59, 50, "S", 1, "NEWORDER_2", "TESTSESSION")
orderbook.new_order(order)
assert orderbook.trades.qsize() == 2
while not orderbook.trades.empty():
trade = orderbook.trades.get()
assert trade.price == 23.54
assert trade.quantity == 50
assert trade.exec_id == "TEST_TEST000001"
assert orderbook.bids[23.54][0].quantity == 50
def run(size: int, prob: float) -> None:
with Timer() as timer:
orders = generate(size)
click.secho(f"Generated {size} orders in {timer.time * 1e6:.3f} µs",
fg="cyan")
print()
# for order in orders:
# print(order)
orderbook = Orderbook("TEST")
order_add_stats = []
order_delete_stats = []
live_orders = []
while orders:
if random.uniform(0, 1) < prob:
order = random.choice(orders)
with Timer() as timer:
orderbook.new_order(order)
order_add_stats.append(timer.time)
live_orders.append(order.order_id)
orders.remove(order)
else:
if live_orders:
order_id = random.choice(live_orders)
with Timer() as timer:
orderbook.delete_order(order_id)
order_delete_stats.append(timer.time)
live_orders.remove(order_id)
if order_add_stats:
click.secho("Order add stats:-", fg="green")
stats(order_add_stats)
if order_delete_stats:
click.secho("Order delete stats:-", fg="green")
stats(order_delete_stats)
def test_orderbook_deletion_bbo():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 150, "B", 2, "TESTSESSION_1_NEWORDER_1",
"TESTSESSION_1")
orderbook.new_order(order)
order = Order("TEST", 23.55, 130, "S", 2, "TESTSESSION_2_NEWORDER_1",
"TESTSESSION_2")
orderbook.new_order(order)
order = Order("TEST", 23.56, 120, "S", 2, "TESTSESSION_2_NEWORDER_2",
"TESTSESSION_2")
orderbook.new_order(order)
assert orderbook.bbo() == (23.54, 23.55)
assert len(orderbook.asks[23.55]) == 1
orderbook.delete_order("TESTSESSION_2_NEWORDER_1")
assert len(orderbook.asks[23.55]) == 0
assert orderbook.bbo() == (23.54, 23.56)
def test_orderbook_replace_execution_deletion():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 150, "B", 2, "TESTSESSION_1_NEWORDER_1",
"TESTSESSION_1")
orderbook.new_order(order)
order = Order("TEST", 23.54, 250, "B", 2, "TESTSESSION_3_NEWORDER_1",
"TESTSESSION_3")
orderbook.new_order(order)
order = Order("TEST", 23.57, 130, "S", 2, "TESTSESSION_2_NEWORDER_1",
"TESTSESSION_2")
orderbook.new_order(order)
order = Order("TEST", 23.59, 120, "S", 2, "TESTSESSION_2_NEWORDER_2",
"TESTSESSION_2")
orderbook.new_order(order)
assert orderbook.bbo() == (23.54, 23.57)
order = Order("TEST", 23.56, 350, "B", 2, "TESTSESSION_3_NEWORDER_2",
"TESTSESSION_3")
orderbook.replace_order("TESTSESSION_3_NEWORDER_1", order)
assert orderbook.bbo() == (23.56, 23.57)
# orderbook.delete_order("TESTSESSION_2_NEWORDER_1")
order = Order("TEST", 23.56, 351, "S", 2, "TESTSESSION_2_NEWORDER_3",
"TESTSESSION_2")
orderbook.replace_order("TESTSESSION_2_NEWORDER_2", order)
assert orderbook.trades.qsize() == 2
assert orderbook.bbo() == (23.54, 23.56)
while not orderbook.trades.empty():
trade = orderbook.trades.get()
assert trade.price == 23.56
assert trade.quantity == 350
orderbook.delete_order("TESTSESSION_2_NEWORDER_3")
assert orderbook.bbo() == (23.54, 23.57)
def test_orderbook_multiple_execution():
orderbook = Orderbook("TEST")
order = Order("TEST", 23.54, 50, "B", 2, "NEWORDER_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.54, 30, "B", 2, "NEWORDER_2", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.53, 10, "B", 2, "NEWORDER_3", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.53, 20, "B", 2, "NEWORDER_3_1", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.51, 10, "B", 2, "NEWORDER_4", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.55, 100, "S", 2, "NEWORDER_5", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.56, 30, "S", 2, "NEWORDER_6", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.58, 80, "S", 2, "NEWORDER_7", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.60, 90, "S", 2, "NEWORDER_8", "TESTSESSION")
orderbook.new_order(order)
order = Order("TEST", 23.53, 150, "S", 2, "NEWORDER_9", "TESTSESSION")
orderbook.new_order(order)
assert orderbook.trades.qsize() == 8
while not orderbook.trades.empty():
trade = orderbook.trades.get()
if trade.price == 23.54:
assert trade.quantity in [50, 30]
if trade.quantity == 50 and trade.side == "b":
assert trade.order_id == "NEWORDER_1"
elif trade.quantity == 30 and trade.side == "b":
assert trade.order_id == "NEWORDER_2"
elif trade.side == "s":
assert trade.order_id == "NEWORDER_9"
if trade.price == 23.53:
assert trade.quantity in [10, 20]
assert orderbook.best_ask == 23.53
assert orderbook.best_bid == 23.51
assert orderbook.asks[23.53][0].order_id == "NEWORDER_9"
def test_orderbook_symbol():
orderbook = Orderbook("TEST")
assert orderbook.symbol == "TEST"
