def test_reserve_quantity(self):
# Test for reserve quantity
self.assertEquals(Quantity(0, 'MC'), self.order.reserved_quantity)
self.order.reserve_quantity_for_tick(self.tick.order_id, self.tick.quantity)
self.assertEquals(Quantity(5, 'MC'), self.order.reserved_quantity)
self.order.reserve_quantity_for_tick(self.tick.order_id, self.tick.quantity)
self.assertEquals(Quantity(10, 'MC'), self.order.reserved_quantity)
def test_update_ticks(self):
"""
Test updating ticks in an orderbook
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
ask_dict = {
"trader_id": str(self.ask.order_id.trader_id),
"order_number": int(self.ask.order_id.order_number),
"quantity": 3,
"quantity_type": self.ask.quantity.wallet_id,
"traded_quantity": 3
}
bid_dict = {
"trader_id": str(self.bid.order_id.trader_id),
"order_number": int(self.bid.order_id.order_number),
"quantity": 3,
"quantity_type": self.bid.quantity.wallet_id,
"traded_quantity": 3
}
self.order_book.get_tick(self.ask.order_id).reserve_for_matching(
Quantity(3, self.ask.quantity.wallet_id))
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(
Quantity(3, self.bid.quantity.wallet_id))
self.order_book.update_ticks(ask_dict,
bid_dict,
Quantity(3, self.ask.quantity.wallet_id),
unreserve=True)
self.assertEqual(len(self.order_book.asks), 0)
self.assertEqual(len(self.order_book.bids), 0)
def setUp(self, annotate=True):
yield super(TestDatabase, self).setUp(annotate=annotate)
path = os.path.join(self.getStateDir(), 'sqlite')
if not os.path.exists(path):
os.makedirs(path)
self.database = MarketDB(self.getStateDir())
self.order_id1 = OrderId(TraderId('3'), OrderNumber(4))
self.order_id2 = OrderId(TraderId('4'), OrderNumber(5))
self.order1 = Order(self.order_id1, Price(5,
'EUR'), Quantity(6, 'BTC'),
Timeout(3600), Timestamp.now(), True)
self.order2 = Order(self.order_id2, Price(5,
'EUR'), Quantity(6, 'BTC'),
Timeout(3600), Timestamp.now(), False)
self.transaction_id1 = TransactionId(TraderId("0"),
TransactionNumber(4))
self.transaction1 = Transaction(self.transaction_id1,
Price(100, 'BTC'), Quantity(30, 'MC'),
OrderId(TraderId("0"), OrderNumber(1)),
OrderId(TraderId("1"), OrderNumber(2)),
Timestamp(20.0))
self.payment1 = Payment(MessageId(TraderId("0"), MessageNumber("4")),
self.transaction_id1, Quantity(5, 'MC'),
Price(6, 'BTC'), WalletAddress('abc'),
WalletAddress('def'), PaymentId("abc"),
Timestamp(20.0), False)
self.transaction1.add_payment(self.payment1)
def test_from_network(self):
# Test for from network
now = Timestamp.now()
data = Bid.from_network(
type(
'Data', (object, ), {
"trader_id": TraderId('0'),
"order_number": OrderNumber(2),
"message_number": MessageNumber('message_number'),
"price": Price(63400, 'BTC'),
"quantity": Quantity(40, 'MC'),
"timeout": Timeout(30),
"timestamp": now,
"public_key": 'a',
"signature": 'b'
}))
self.assertEquals(
MessageId(TraderId('0'), MessageNumber('message_number')),
data.message_id)
self.assertEquals(Price(63400, 'BTC'), data.price)
self.assertEquals(Quantity(40, 'MC'), data.quantity)
self.assertEquals(float(Timeout(30)), float(data.timeout))
self.assertEquals(now, data.timestamp)
self.assertEquals('a', data._public_key)
self.assertEquals('b', data._signature)
def test_proposed_trade_cache_timeout(self):
"""
Test the timeout method of a proposed trade request in the cache
"""
ask = Ask(
OrderId(TraderId(self.market_community.mid), OrderNumber(24)),
Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600),
Timestamp.now())
order = Order(OrderId(TraderId("0"), OrderNumber(23)),
Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0),
Timestamp.now(), False)
self.market_community.order_book.insert_ask(ask)
self.assertEqual(len(self.market_community.order_book.asks), 1)
self.market_community.order_manager.order_repository.add(order)
order.reserve_quantity_for_tick(self.proposed_trade.recipient_order_id,
Quantity(30, 'DUM2'))
self.market_community.order_manager.order_repository.update(order)
mocked_match_message = MockObject()
mocked_match_message.payload = MockObject()
mocked_match_message.payload.matchmaker_trader_id = 'a'
self.market_community.incoming_match_messages[
'a'] = mocked_match_message
def mocked_send_decline(*_):
mocked_send_decline.called = True
mocked_send_decline.called = False
self.market_community.send_decline_match_message = mocked_send_decline
cache = ProposedTradeRequestCache(self.market_community,
self.proposed_trade, 'a')
cache.on_timeout()
self.assertTrue(mocked_send_decline.called)
def test_from_network(self):
# Test for from network
data = ProposedTrade.from_network(
type(
'Data', (object, ), {
"trader_id": TraderId('0'),
"message_id": MessageId(TraderId('0'), MessageNumber(1)),
"order_number": OrderNumber(1),
"recipient_order_id": OrderId(TraderId('1'),
OrderNumber(2)),
"proposal_id": 1234,
"timestamp": Timestamp(1462224447.117),
"price": Price(63400, 'BTC'),
"quantity": Quantity(30, 'MC')
}))
self.assertEquals(MessageId(TraderId('0'), MessageNumber(1)),
data.message_id)
self.assertEquals(OrderId(TraderId('0'), OrderNumber(1)),
data.order_id)
self.assertEquals(OrderId(TraderId('1'), OrderNumber(2)),
data.recipient_order_id)
self.assertEquals(1234, data.proposal_id)
self.assertEquals(Price(63400, 'BTC'), data.price)
self.assertEquals(Quantity(30, 'MC'), data.quantity)
self.assertEquals(Timestamp(1462224447.117), data.timestamp)
def on_received_half_block(_):
on_received_half_block.num_called += 1
if on_received_half_block.num_called == 2: # We received a block in both sessions
self.assertEqual(ask_community.wallets['DUM1'].balance, 1100)
self.assertEqual(bid_community.wallets['DUM1'].balance, 900)
balance_ask = yield ask_community.wallets['MC'].get_balance()
balance_bid = yield bid_community.wallets['MC'].get_balance()
self.assertEqual(balance_ask['available'], -10)
self.assertEqual(balance_bid['available'], 10)
# Verify whether everything is cleaned up correctly
order_ask = ask_community.order_manager.order_repository.find_all(
)[0]
order_bid = ask_community.order_manager.order_repository.find_all(
)[0]
self.assertEqual(order_ask.reserved_quantity,
Quantity(0, 'MC'))
self.assertEqual(order_ask.traded_quantity, Quantity(10, 'MC'))
self.assertEqual(order_bid.reserved_quantity,
Quantity(0, 'MC'))
self.assertEqual(order_bid.traded_quantity, Quantity(10, 'MC'))
self.assertEqual(len(order_ask.reserved_ticks.keys()), 0)
self.assertEqual(len(order_bid.reserved_ticks.keys()), 0)
self.assertEqual(
len(ask_community.order_book.asks) +
len(ask_community.order_book.bids), 0)
self.assertEqual(
len(bid_community.order_book.asks) +
len(bid_community.order_book.bids), 0)
test_deferred.callback(None)
def test_bid_side_depth(self):
# Test for bid side depth
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.assertEquals(Quantity(30, 'MC'), self.order_book.bid_side_depth(Price(300, 'BTC')))
self.assertEquals([(Price(200, 'BTC'), Quantity(30, 'MC')), (Price(300, 'BTC'), Quantity(30, 'MC'))],
self.order_book.get_bid_side_depth_profile('BTC', 'MC'))
def release_quantity_for_tick(self, order_id, quantity):
"""
Release all quantity for a specific tick.
:param order_id: The order id from another peer that the quantity needs to be released for
:type order_id: OrderId
:raises TickWasNotReserved: Thrown when the tick was not reserved first
"""
if order_id not in self._reserved_ticks:
raise TickWasNotReserved()
if self._reserved_quantity >= quantity:
self._reserved_quantity -= quantity
self._reserved_ticks[order_id] -= quantity
assert self.available_quantity >= Quantity(
0, self._quantity.wallet_id), str(self.available_quantity)
if self._reserved_ticks[order_id] <= Quantity(
0, quantity.wallet_id): # Remove the quantity if it's zero
del self._reserved_ticks[order_id]
else:
raise ValueError("Not enough reserved quantity for order id %s" %
order_id)
self._logger.debug(
"Released quantity for order id %s (own order id: %s),"
"total quantity: %s, traded quantity: %s, reserved quantity: %s",
str(order_id), str(self.order_id), self.total_quantity,
self.traded_quantity, self.reserved_quantity)
def test_ask_side_depth(self):
# Test for ask side depth
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.assertEquals(Quantity(30, 'MC'), self.order_book.ask_side_depth(Price(100, 'BTC')))
self.assertEquals([(Price(100, 'BTC'), Quantity(30, 'MC')), (Price(400, 'BTC'), Quantity(30, 'MC'))],
self.order_book.get_ask_side_depth_profile('BTC', 'MC'))
def test_encode_match(self):
"""
Test encoding and decoding of a match message
"""
message = MockObject()
meta_msg = self.market_community.get_meta_message(u"match")
match_payload = MatchPayload.Implementation(meta_msg, TraderId('abc'),
MessageNumber('3'),
OrderNumber(4),
Price(1, 'BTC'),
Quantity(2, 'MC'),
Timeout(3600),
Timestamp.now(),
'192.168.1.1', 1234,
OrderNumber(3),
Quantity(2, 'MC'),
TraderId('abc'),
TraderId('def'),
'match_id')
message.payload = match_payload
packet, = self.conversion._encode_match(message)
self.assertTrue(packet)
_, decoded = self.conversion._decode_match(
self.get_placeholder_msg(u"match"), 0, packet)
self.assertTrue(decoded)
self.assertEqual(decoded.match_id, 'match_id')
def from_database(cls, data, payments):
"""
Create a Transaction object based on information in the database.
"""
trader_id, transaction_number, order_trader_id, order_number, partner_trader_id, partner_order_number, price,\
price_type, transferred_price, quantity, quantity_type, transferred_quantity, transaction_timestamp,\
sent_wallet_info, received_wallet_info, incoming_address, outgoing_address, partner_incoming_address,\
partner_outgoing_address, match_id = data
transaction_id = TransactionId(TraderId(str(trader_id)),
TransactionNumber(transaction_number))
transaction = cls(
transaction_id, Price(price, str(price_type)),
Quantity(quantity, str(quantity_type)),
OrderId(TraderId(str(order_trader_id)), OrderNumber(order_number)),
OrderId(TraderId(str(partner_trader_id)),
OrderNumber(partner_order_number)),
Timestamp(float(transaction_timestamp)))
transaction._transferred_price = Price(transferred_price,
str(price_type))
transaction._transferred_quantity = Quantity(transferred_quantity,
str(quantity_type))
transaction.sent_wallet_info = sent_wallet_info
transaction.received_wallet_info = received_wallet_info
transaction.incoming_address = WalletAddress(str(incoming_address))
transaction.outgoing_address = WalletAddress(str(outgoing_address))
transaction.partner_incoming_address = WalletAddress(
str(partner_incoming_address))
transaction.partner_outgoing_address = WalletAddress(
str(partner_outgoing_address))
transaction.match_id = str(match_id)
transaction._payments = payments
return transaction
def test_from_network(self):
# Test for from network
data = Payment.from_network(
type(
'Data', (object, ), {
"message_id":
MessageId(TraderId("0"), MessageNumber(1)),
"transaction_id":
TransactionId(TraderId('2'), TransactionNumber(2)),
"transferee_quantity":
Quantity(3, 'MC'),
"transferee_price":
Price(2, 'BTC'),
"address_from":
WalletAddress('a'),
"address_to":
WalletAddress('b'),
"payment_id":
PaymentId('aaa'),
"timestamp":
Timestamp(4.0),
"success":
True
}))
self.assertEquals(MessageId(TraderId("0"), MessageNumber(1)),
data.message_id)
self.assertEquals(TransactionId(TraderId('2'), TransactionNumber(2)),
data.transaction_id)
self.assertEquals(Quantity(3, 'MC'), data.transferee_quantity)
self.assertEquals(Price(2, 'BTC'), data.transferee_price)
self.assertEquals(Timestamp(4.0), data.timestamp)
self.assertTrue(data.success)
def from_unpack_list(cls, trader_id, message_number, timestamp, order_number, price, price_type, quantity,
quantity_type, timeout, ip, port, recipient_order_number, match_quantity, match_quantity_type,
match_trader_id, matchmaker_trader_id, match_id):
return MatchPayload(MessageId(TraderId(trader_id), MessageNumber(message_number)), Timestamp(timestamp),
OrderNumber(order_number), Price(price, price_type), Quantity(quantity, quantity_type),
Timeout(timeout), SocketAddress(ip, port), OrderNumber(recipient_order_number),
Quantity(match_quantity, match_quantity_type), TraderId(match_trader_id),
TraderId(matchmaker_trader_id), match_id)
def test_init(self):
"""
Test the initialization of a quantity
"""
with self.assertRaises(ValueError):
Quantity('1', 'MC')
with self.assertRaises(ValueError):
Quantity(1, 2)
def setUp(self):
# Object creation
self.match_payload = MatchPayload.Implementation(
MetaObject(), TraderId('0'), MessageNumber('message_number'),
OrderNumber(1), Price(63400, 'BTC'), Quantity(30, 'MC'),
Timeout(1470004447.117), Timestamp(1462224447.117), "1.1.1.1", 1,
OrderNumber(2), Quantity(20, 'MC'), TraderId('1'), TraderId('2'),
'a')
def test_pagerank_2(self):
"""
Test isolated nodes during a Temporal Pagerank computation
"""
self.insert_transaction('a', 'b', Quantity(1, 'BTC'), Price(1, 'MC'))
self.insert_transaction('c', 'd', Quantity(1, 'BTC'), Price(1, 'MC'))
rep_dict = self.compute_reputations()
self.assertTrue('c' in rep_dict)
self.assertTrue('d' in rep_dict)
def setUp(self):
# Object creation
self.proposed_trade = Trade.propose(MessageId(TraderId('0'), MessageNumber('message_number')),
OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('1'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'),
Timestamp(1462224447.117))
self.counter_trade = Trade.counter(MessageId(TraderId('0'), MessageNumber('message_number')),
Quantity(15, 'MC'), Timestamp(1462224447.117), self.proposed_trade)
def test_search_for_quantity_in_order_book_partial_ask_low(self):
# Test for protected search for quantity in order book partial ask when price is too low
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.ask_order2)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_release_quantity(self):
# Test for release quantity
self.order.reserve_quantity_for_tick(self.tick.order_id, self.tick.quantity)
self.assertEquals(Quantity(5, 'MC'), self.order.reserved_quantity)
self.order.release_quantity_for_tick(self.tick.order_id, Quantity(5, 'MC'))
self.assertEquals(Quantity(0, 'MC'), self.order.reserved_quantity)
self.order.reserve_quantity_for_tick(self.tick.order_id, self.tick.quantity)
quantity = self.tick.quantity + Quantity(1, self.tick.quantity.wallet_id)
self.assertRaises(ValueError, self.order.release_quantity_for_tick, self.tick.order_id, quantity)
def setUp(self):
# Object creation
self.memory_order_repository = MemoryOrderRepository("0")
self.order_id = OrderId(TraderId("0"), OrderNumber(1))
self.order = Order(self.order_id, Price(100,
'BTC'), Quantity(30, 'MC'),
Timeout(0.0), Timestamp(10.0), False)
self.order2 = Order(self.order_id, Price(1000, 'BTC'),
Quantity(30, 'MC'), Timeout(0.0), Timestamp(10.0),
False)
def setUp(self):
# Object creation
self.tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(400, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.tick2 = Tick(OrderId(TraderId('1'), OrderNumber(2)),
Price(800, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.side = Side()
def test_add_trade(self):
"""
Test the add trade method of an order
"""
self.order.reserve_quantity_for_tick(
OrderId(TraderId('5'), OrderNumber(1)), Quantity(10, 'MC'))
self.assertEquals(self.order.traded_quantity, Quantity(0, 'MC'))
self.order.add_trade(OrderId(TraderId('5'), OrderNumber(1)),
Quantity(10, 'MC'))
self.assertEquals(self.order.traded_quantity, Quantity(10, 'MC'))
def test_match_order_divided(self):
# Test for match order divided over two ticks
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
proposed_trades = self.price_time_strategy.match_order(self.bid_order2)
self.assertEquals(2, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
self.assertEquals(Price(100, 'BTC'), proposed_trades[1].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[1].quantity)
def test_search_for_quantity_in_order_book_partial_bid(self):
# Test for protected search for quantity in order book partial bid
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
Price(50, 'BTC'), Quantity(30, 'MC'), [], self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_create_bid_order(self):
# Test for create bid order
bid_order = self.order_manager.create_bid_order(
Price(100, 'BTC'), Quantity(10, 'MC'), Timeout(0.0))
self.assertFalse(bid_order.is_ask())
self.assertEquals(OrderId(TraderId("0"), OrderNumber(1)),
bid_order.order_id)
self.assertEquals(Price(100, 'BTC'), bid_order.price)
self.assertEquals(Quantity(10, 'MC'), bid_order.total_quantity)
self.assertEquals(0.0, float(bid_order.timeout))
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid._quantity = Quantity(20, 'MC')
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order2.order_id, self.ask_order2.price,
self.ask_order2.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(20, 'MC'), matching_ticks[0][2])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[1][2])
def test_search_for_quantity_in_order_book_partial_ask_low(self):
"""
Test for protected search for quantity in order book partial ask when price is too low
"""
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
self.ask_order2.order_id, Price(100, 'BTC'), Quantity(30, 'MC'),
[], self.ask_order2.price, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_order_book_partial_bid(self):
"""
Test for protected search for quantity in order book partial bid
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
self.bid_order.order_id, Price(50, 'BTC'), Quantity(30, 'MC'), [],
self.bid_order.price, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])