Python OrderBook Examples

Example #1

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aItEq = self.assertItemsEqual
		self.aRaise = self.assertRaises
		self.debug = False
		#self.ob = OrderBook(debug=True)	
		self.ob = OrderBook(self.debug)	

Example #2

File: unit-tests.py Project: sigmamonster/backtest

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aItEq = self.assertItemsEqual
		self.aRaise = self.assertRaises
		self.debug = False
		#self.ob = OrderBook(debug=True)	
		self.ob = OrderBook(self.debug)	

Example #3

File: unit-tests.py Project: sigmamonster/backtest

class TestOrderBookObject(unittest.TestCase):

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aItEq = self.assertItemsEqual
		self.aRaise = self.assertRaises
		self.debug = False
		#self.ob = OrderBook(debug=True)	
		self.ob = OrderBook(self.debug)	

	def tearDown(self):
		#self.ob = OrderBook(self.debug)	
		pass

	def testAddSingle(self):

		o1 = Order()
		self.ob.add(o1)

		#adding an order should add it to the active queue of the book
		self.aEq(len(self.ob.active), 1)
		self.aIn(o1.id, self.ob.active)
		#and set its state to active
		self.aEq(o1.state, Order.ACTIVE)	

		#test single dup
		self.aRaise(InvalidOrderException, self.ob.add, o1)

	def testAddIter(self):

		tl = (Order(), Order(), Order())
		self.ob.add(tl)
		self.aItEq([x.id for x in tl], self.ob.active)
		for o in tl:
			self.aEq(o.state, Order.ACTIVE)

		#test dupes are detected
		self.aRaise(InvalidOrderException, self.ob.add, tl[0])
		self.aRaise(InvalidOrderException, self.ob.add, tl)

	def testAddMult(self):
		o1 = Order()
		o2 = Order()
		o3 = Order()
		self.ob.add(o1, o2, o3)

		self.aItEq([o1.id, o2.id, o3.id], self.ob.active)
		for o in (o1, o2, o3):
			self.aEq(o.state, Order.ACTIVE)

		self.aRaise(InvalidOrderException, self.ob.add, o1, o2, o3)

	def testAddPending(self):

		o1 = Order()
		o2 = Order()
		#must still add o2
		o1.trigger(o2)

		#triggered orders should be set to pending an added to pending queue
		self.ob.add(o1, o2)
		self.aEq(o1.state, Order.ACTIVE)
		self.aEq(o2.state, Order.PENDING)
		self.aIn(o2.id, self.ob.pending)
	
	def testCancel(self):

		o1 = Order()
		o2 = Order()

		self.ob.add(o1, o2)
		
		self.ob.cancel(o1)
		#cancel by id
		self.ob.cancel(o2.id)

		self.aEq(o1.state, Order.CANCELLED)
		self.aEq(o2.state, Order.CANCELLED)
		self.aItEq([o1.id, o2.id], self.ob.cancelled)
		
		#cancel a non existent order returns false
		self.aEq(self.ob.cancel(None), False)
		self.aEq(self.ob.cancel(-1), False)

	def testCancelTriggers(self):
		o1 = Order()
		o2 = Order()
		o3 = Order()

		o1.trigger(o2)
		o2.trigger(o3)
		self.ob.add(o1, o2, o3)

		#cancel o1 should cancel o2 as well and add both to the cancelled queue
		self.aEq(self.ob.cancel(o1), True)
		self.aEq(o1.state, Order.CANCELLED)
		self.aEq(o2.state, Order.CANCELLED)
		self.aEq(o3.state, Order.CANCELLED)
		self.aItEq([o1.id, o2.id, o3.id], self.ob.cancelled)
		
	def testCancelAll(self):

		o1 = Order()
		o2 = Order()
		o3 = Order()
		o4 = Order()

		o1.trigger(o2)		
		o1.trigger(o3)

		self.ob.add(o1, o2, o3, o4)
		
		self.ob.cancel_all()

		self.aItEq([o1.id, o2.id, o3.id, o4.id], self.ob.cancelled)

	def testFill(self):
		
		o1 = Order()
		self.ob.add(o1)

		self.aEq(self.ob.fill(o1), True)
		self.aEq(o1.state, Order.FILLED)
		self.aEq([o1.id], self.ob.filled)
		
		self.aEq(self.ob.fill(None), False)
		self.aEq(self.ob.fill(o1), False)

	def testFillTrigger(self):

		o1 = Order()
		o2 = Order()
		
		o1.trigger(o2)
		self.ob.add(o1, o2)

		self.aEq(o2.state, Order.PENDING)
		self.aEq(self.ob.fill(o1), True)	
		self.aEq(o2.state, Order.ACTIVE)
		self.aEq([o2.id], self.ob.active)

	def testFillCancel(self):

		o1 = Order()
		o2 = Order()
		
		o1.cancel(o2)
		self.ob.add(o1, o2)

		self.aEq(self.ob.fill(o1), True)	
		self.aEq(o2.state, Order.CANCELLED)
		self.aEq([o2.id], self.ob.cancelled)

	def testGetFills(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.LIMIT, level=0.9551, size=1) 
		o2 = Order(symbol="NOPE", dir=Order.BUY, type=Order.LIMIT, level=0.9551, size=1) 
		b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
		b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9560,0.9505,0.9506")

		self.ob.add(o1)
		self.ob.add(o2)
		self.aEq([], self.ob.get_fills(b1))
		self.aEq([o1], self.ob.get_fills(b2))

		#market orders always get filled the next bar
		#the "fill price" is really just the level set on the order ... 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9551, size=1) 
		self.ob.add(o3)
		self.aEq([o3], self.ob.get_fills(b1))

Example #4

class TestOrderBookObject(unittest.TestCase):

	def setUp(self):
		self.sym = "EURUSD"
		self.aEq = self.assertEqual
		self.aIn = self.assertIn
		self.aItEq = self.assertItemsEqual
		self.aRaise = self.assertRaises
		self.debug = False
		#self.ob = OrderBook(debug=True)	
		self.ob = OrderBook(self.debug)	

	def tearDown(self):
		#self.ob = OrderBook(self.debug)	
		pass

	def testAddSingle(self):

		o1 = Order()
		self.ob.add(o1)

		#adding an order should add it to the active queue of the book
		self.aEq(len(self.ob.active), 1)
		self.aIn(o1.id, self.ob.active)
		#and set its state to active
		self.aEq(o1.state, Order.ACTIVE)	

		#test single dup
		self.aRaise(InvalidOrderException, self.ob.add, o1)

	def testAddIter(self):

		tl = (Order(), Order(), Order())
		self.ob.add(tl)
		self.aItEq([x.id for x in tl], self.ob.active)
		for o in tl:
			self.aEq(o.state, Order.ACTIVE)

		#test dupes are detected
		self.aRaise(InvalidOrderException, self.ob.add, tl[0])
		self.aRaise(InvalidOrderException, self.ob.add, tl)

	def testAddMult(self):
		o1 = Order()
		o2 = Order()
		o3 = Order()
		self.ob.add(o1, o2, o3)

		self.aItEq([o1.id, o2.id, o3.id], self.ob.active)
		for o in (o1, o2, o3):
			self.aEq(o.state, Order.ACTIVE)

		self.aRaise(InvalidOrderException, self.ob.add, o1, o2, o3)

	def testAddPending(self):

		o1 = Order()
		o2 = Order()
		#must still add o2
		o1.trigger(o2)

		#triggered orders should be set to pending an added to pending queue
		self.ob.add(o1, o2)
		self.aEq(o1.state, Order.ACTIVE)
		self.aEq(o2.state, Order.PENDING)
		self.aIn(o2.id, self.ob.pending)
	
	def testCancel(self):

		o1 = Order()
		o2 = Order()

		self.ob.add(o1, o2)
		
		self.ob.cancel(o1)
		#cancel by id
		self.ob.cancel(o2.id)

		self.aEq(o1.state, Order.CANCELLED)
		self.aEq(o2.state, Order.CANCELLED)
		self.aItEq([o1.id, o2.id], self.ob.cancelled)
		
		#cancel a non existent order returns false
		self.aEq(self.ob.cancel(None), False)
		self.aEq(self.ob.cancel(-1), False)

	def testCancelTriggers(self):
		o1 = Order()
		o2 = Order()
		o3 = Order()

		o1.trigger(o2)
		o2.trigger(o3)
		self.ob.add(o1, o2, o3)

		#cancel o1 should cancel o2 as well and add both to the cancelled queue
		self.aEq(self.ob.cancel(o1), True)
		self.aEq(o1.state, Order.CANCELLED)
		self.aEq(o2.state, Order.CANCELLED)
		self.aEq(o3.state, Order.CANCELLED)
		self.aItEq([o1.id, o2.id, o3.id], self.ob.cancelled)
		
	def testCancelAll(self):

		o1 = Order()
		o2 = Order()
		o3 = Order()
		o4 = Order()

		o1.trigger(o2)		
		o1.trigger(o3)

		self.ob.add(o1, o2, o3, o4)
		
		self.ob.cancel_all()

		self.aItEq([o1.id, o2.id, o3.id, o4.id], self.ob.cancelled)

	def testFill(self):
		
		o1 = Order()
		self.ob.add(o1)

		self.aEq(self.ob.fill(o1), True)
		self.aEq(o1.state, Order.FILLED)
		self.aEq([o1.id], self.ob.filled)
		
		self.aEq(self.ob.fill(None), False)
		self.aEq(self.ob.fill(o1), False)

	def testFillTrigger(self):

		o1 = Order()
		o2 = Order()
		
		o1.trigger(o2)
		self.ob.add(o1, o2)

		self.aEq(o2.state, Order.PENDING)
		self.aEq(self.ob.fill(o1), True)	
		self.aEq(o2.state, Order.ACTIVE)
		self.aEq([o2.id], self.ob.active)

	def testFillCancel(self):

		o1 = Order()
		o2 = Order()
		
		o1.cancel(o2)
		self.ob.add(o1, o2)

		self.aEq(self.ob.fill(o1), True)	
		self.aEq(o2.state, Order.CANCELLED)
		self.aEq([o2.id], self.ob.cancelled)

	def testGetFills(self):

		o1 = Order(self.sym, dir=Order.BUY, type=Order.LIMIT, level=0.9551, size=1) 
		o2 = Order(symbol="NOPE", dir=Order.BUY, type=Order.LIMIT, level=0.9551, size=1) 
		b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
		b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9560,0.9505,0.9506")

		self.ob.add(o1)
		self.ob.add(o2)
		self.aEq([], self.ob.get_fills(b1))
		self.aEq([o1], self.ob.get_fills(b2))

		#market orders always get filled the next bar
		#the "fill price" is really just the level set on the order ... 
		o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9551, size=1) 
		self.ob.add(o3)
		self.aEq([o3], self.ob.get_fills(b1))