Example #1
0
    async def test_basic_init(self, mock_book, mock_connect):
        mock_connect.return_value.__aenter__.return_value.send_json = CoroutineMock()

        mock_book.return_value = _book()

        product_id = 'ETH-USD'
        product_ids = [product_id]
        async with gdax.orderbook.OrderBook(product_ids) as orderbook:
            msg = {'type': 'subscribe', 'product_ids': product_ids}
            mock_connect.return_value.__aenter__.return_value.send_json.assert_called_with(msg)

            mock_book.assert_called_with(level=3)

            assert dict(orderbook._asks[product_id].items()) == asks1_internal
            assert dict(orderbook._bids[product_id].items()) == bids1_internal
            assert orderbook._sequences[product_id] == sequence

            assert orderbook.get_current_book(product_id) == {
                "sequence": 3419033239,
                "bids": bids1,
                "asks": asks1,
            }

            assert orderbook.get_ask(product_id) == Decimal('2596.74')
            assert orderbook.get_bid(product_id) == Decimal('2595.70')

            assert orderbook.get_asks(product_id, Decimal("2620.18")) == [{
                'price': Decimal("2620.18"),
                'side': 'sell',
                'size': Decimal("0.01"),
                'id': id1}, {
                'price': Decimal("2620.18"),
                'side': 'sell',
                'size': Decimal("0.02"),
                'id': id2}]
            assert orderbook.get_bids(product_id, Decimal("2595.52")) == [{
                'price': Decimal('2595.52'),
                'side': 'buy',
                'size': Decimal('100'),
                'id': id2}, {
                'price': Decimal('2595.52'),
                'side': 'buy',
                'size': Decimal('2'),
                'id': id1}]
            assert orderbook.get_asks(product_id, Decimal("123")) is None
            assert orderbook.get_bids(product_id, Decimal("123")) is None

            assert orderbook.get_min_ask_depth(product_id) == Decimal('0.2')
            assert orderbook.get_max_bid_depth(product_id) == Decimal('1.5')
    async def test_orderbook_done(self, mock_book, mock_connect):
        product_id = 'BTC-USD'
        mock_book.return_value = _book()
        mock_connect.return_value.aenter.receive_str = CoroutineMock()
        mock_connect.return_value.aenter.send_json = CoroutineMock()
        messages_expected = [
            {
                "type": "done",
                "side": "sell",
                "order_id": asks1[0][2],
                "reason": "canceled",
                "product_id": product_id,
                "price": "2596.74",
                "remaining_size": "0.00000000",
                "sequence": sequence + 1,
                "time": "2017-06-25T11:23:14.775000Z"
            },
            {
                "type": "done",
                "side": "buy",
                "order_id": bids1[4][2],
                "reason": "canceled",
                "product_id": product_id,
                "price": "2595.70",
                "remaining_size": "0.00000000",
                "sequence": sequence + 2,
                "time": "2017-06-25T11:23:16.937000Z"
            },
            {
                "type": "done",
                "side": "sell",
                "order_id": asks1[1][2],
                "reason": "canceled",
                "product_id": product_id,
                # no price specified
                "remaining_size": "0.20000000",
                "sequence": sequence + 3,
                "time": "2017-06-25T11:23:15.937000Z"
            },
        ]
        mock_connect.return_value.aenter.receive_str.side_effect = [
            json.dumps(message_expected)
            for message_expected in messages_expected
        ]
        async with gdax.orderbook.OrderBook(product_id) as orderbook:
            # done
            current_book = orderbook.get_current_book(product_id)
            price = Decimal('2596.74')
            price2 = Decimal('2596.77')
            assert orderbook.get_asks(product_id, price) == \
                asks1_internal[price]
            assert orderbook.get_ask(product_id) == price

            message = await orderbook.handle_message()
            assert message == messages_expected[0]
            assert orderbook.get_asks(product_id, price) is None
            assert orderbook.get_ask(product_id) == price2
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book

            # done2
            current_book = orderbook.get_current_book(product_id)
            price2 = Decimal('2595.70')
            price3 = Decimal('2595.62')
            assert orderbook.get_bids(product_id, price2) == \
                bids1_internal[price2]
            assert orderbook.get_bid(product_id) == price2

            message = await orderbook.handle_message()
            assert message == messages_expected[1]
            assert orderbook.get_bids(product_id, price2) is None
            assert orderbook.get_bid(product_id) == price3
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book

            # done3, market order ignored
            current_book = orderbook.get_current_book(product_id)
            message = await orderbook.handle_message()
            assert message == messages_expected[2]
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) == current_book
    async def test_orderbook_change(self, mock_book, mock_connect):
        product_id = 'BTC-USD'
        mock_connect.return_value.aenter.receive_str = CoroutineMock()
        mock_connect.return_value.aenter.send_json = CoroutineMock()
        messages_expected = [
            {
                "type": "change",
                "time": "2014-11-07T08:19:27.028459Z",
                "sequence": sequence + 1,
                "order_id": id2,
                "product_id": product_id,
                "new_size": "101",
                "old_size": "100",
                "price": "2595.52",
                "side": "buy"
            },
            {
                "type": "change",
                "time": "2014-11-07T08:19:27.028459Z",
                "sequence": sequence + 2,
                "order_id": asks1[1][2],
                "product_id": product_id,
                "new_size": "0.1",
                "old_size": "0.07670504",
                "price": "2596.77",
                "side": "sell"
            },
        ]
        mock_connect.return_value.aenter.receive_str.side_effect = [
            json.dumps(message_expected)
            for message_expected in messages_expected
        ]
        mock_book.return_value = _book()
        async with gdax.orderbook.OrderBook(product_id) as orderbook:
            # change1
            current_book = orderbook.get_current_book(product_id)
            price = Decimal("2595.52")
            assert orderbook.get_bids(product_id, price) == \
                bids1_internal[price]

            message = await orderbook.handle_message()
            assert message == messages_expected[0]
            bids = copy.deepcopy(bids1_internal[price])
            bids[0]['size'] = Decimal('101')
            assert orderbook.get_bids(product_id, price) == \
                bids
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book

            # change2
            current_book = orderbook.get_current_book(product_id)
            price2 = Decimal("2596.77")
            assert orderbook.get_asks(product_id, price2) == \
                asks1_internal[price2]

            message = await orderbook.handle_message()
            assert message == messages_expected[1]
            asks = copy.deepcopy(asks1_internal[price2])
            asks[0]['size'] = Decimal('0.1')
            assert orderbook.get_asks(product_id, price2) == \
                asks
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book
    async def test_orderbook_advanced(self, mock_book, mock_connect):
        product_id = 'BTC-USD'
        mock_book.return_value = _book()
        mock_connect.return_value.aenter.receive_str = CoroutineMock()
        mock_connect.return_value.aenter.send_json = CoroutineMock()
        messages_expected = [
            {  # ignored
              "type": "received",
              "product_id": product_id,
              "sequence": sequence - 1,
            },
            {  # ignored
              "type": "received",
              "order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
              "order_type": "limit",
              "size": "0.10000000",
              "price": "2602.22000000",
              "side": "sell",
              "product_id": product_id,
              "sequence": sequence + 1,
              "time": "2017-06-25T11:23:14.792000Z"
            },
            {
              "type": "match",
              "trade_id": 17545513,
              "maker_order_id": asks1[1][2],
              "taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
              "side": "sell",
              "size": "0.01",
              "price": "2596.77",
              "product_id": product_id,
              "sequence": sequence + 2,
              "time": "2017-06-29T01:45:36.865000Z"
            },
            {
              "type": "match",
              "trade_id": 17545514,
              "maker_order_id": id2,
              "taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
              "side": "buy",
              "size": "0.41152763",
              "price": "2595.62",
              "product_id": product_id,
              "sequence": sequence + 3,
              "time": "2017-06-29T01:45:36.865000Z"
            },
            {
              "type": "open",
              "side": "sell",
              "price": "2602.22000000",
              "order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
              "remaining_size": "0.10000000",
              "product_id": product_id,
              "sequence": sequence + 4,
              "time": "2017-06-25T11:23:14.792000Z"
            },
        ]
        mock_connect.return_value.aenter.receive_str.side_effect = [
            json.dumps(message_expected)
            for message_expected in messages_expected
        ]
        async with gdax.orderbook.OrderBook(product_id) as orderbook:
            # ignore because of sequence number
            current_book = orderbook.get_current_book(product_id)
            message = await orderbook.handle_message()
            assert message == messages_expected[0]
            assert orderbook.get_current_book(product_id) == current_book

            # ignore because receive
            message = await orderbook.handle_message()
            assert message == messages_expected[1]
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) == current_book

            # match
            price = Decimal('2596.74')
            price2 = Decimal('2596.77')
            current_book = orderbook.get_current_book(product_id)
            assert orderbook.get_min_ask_depth(product_id) == \
                Decimal('0.2')
            assert orderbook.get_ask(product_id) == price
            assert orderbook.get_asks(product_id, price2) == \
                asks1_internal[price2]

            message = await orderbook.handle_message()
            assert message == messages_expected[2]
            assert orderbook.get_min_ask_depth(product_id) == \
                Decimal('0.2')
            assert orderbook.get_ask(product_id) == price
            asks = copy.deepcopy(asks1_internal[price2])
            asks[0]['size'] = Decimal('0.06670504')
            assert orderbook.get_asks(product_id, price2) == \
                asks
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book

            price3 = Decimal('2595.62')
            price4 = Decimal('2595.70')
            # match 2
            current_book = orderbook.get_current_book(product_id)
            assert orderbook.get_bids(product_id, price3) == \
                bids1_internal[price3]
            assert orderbook.get_bids(product_id, price4) == \
                bids1_internal[price4]
            assert orderbook.get_bid(product_id) == price4
            message = await orderbook.handle_message()
            assert message == messages_expected[3]
            bids1_internal[price3][0]['size'] = Decimal('1.0')
            assert orderbook.get_bids(product_id, price3) == \
                bids1_internal[price3]
            assert orderbook.get_bids(product_id, price4) == \
                bids1_internal[price4]
            assert orderbook.get_bid(product_id) == price4
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book

            # open
            current_book = orderbook.get_current_book(product_id)
            message = await orderbook.handle_message()
            assert message == messages_expected[4]
            current_book['sequence'] += 1
            assert orderbook.get_current_book(product_id) != current_book