async def process_message(websocket, path):
global messages, i, since_update
msg = await websocket.recv()
since_update += 1
message_type = msg.split('|', maxsplit=1)[0]
if message_type == 'o':
await websocket.send("ACK")
o = Order.deserialize(msg)
if o.size != 0:
trades = book.submit_order(o)
"""
if len(trades) > 0:
print('\n'.join(map(str, trades)))
"""
elif message_type == 'bb':
await websocket.send(f"bb|{book.best_bid():.4f}")
elif message_type == 'bo':
await websocket.send(f"bo|{book.best_offer():.4f}")
elif message_type == 'bbbo':
await websocket.send(
f"bbbo|{book.best_bid():.4f}|{book.best_offer():.4f}|{time.time_ns()}"
)
def test_deserialize_order(self):
o_serialized = "o|ABC|10.0000|10|BUY|123"
o = Order.deserialize(o_serialized)
self.assertEqual(o.instrument, "ABC")
self.assertEqual(o.price, 10.00)
self.assertEqual(o.size, 10)
self.assertEqual(o.side, Side.BUY)
self.assertEqual(o.client_id, 123)
o_serialized = "o|CBA|12.3330|432|SELL|4242"
o = Order.deserialize(o_serialized)
self.assertEqual(o.instrument, "CBA")
self.assertEqual(o.price, 12.333)
self.assertEqual(o.size, 432)
self.assertEqual(o.side, Side.SELL)
self.assertEqual(o.client_id, 4242)