def test_insert(self):
print("Test Insert")
bid_levels = orderbook.Levels(orderbook.BUY)
bid_levels.insert(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
self.assertEqual(bid_levels.prices, [10])
self.assertEqual(len(bid_levels.levels), 1)
print(bid_levels)
bid_levels.insert(orderbook.Order("trader1", 1, orderbook.BUY, 10, 7))
self.assertEqual(bid_levels.prices, [10])
self.assertEqual(len(bid_levels.levels), 1)
print(bid_levels)
ask_levels = orderbook.Levels(orderbook.SELL)
ask_levels.insert(orderbook.Order("trader1", 0, orderbook.SELL, 10, 5))
self.assertEqual(ask_levels.prices, [10])
self.assertEqual(len(ask_levels.levels), 1)
print(ask_levels)
ask_levels.insert(orderbook.Order("trader1", 1, orderbook.SELL, 10, 7))
self.assertEqual(ask_levels.prices, [10])
self.assertEqual(len(ask_levels.levels), 1)
print(ask_levels)
def test_insert(self):
print("Test Insert")
level = orderbook.Level(10, orderbook.BUY)
order = orderbook.Order("trader1", 0, orderbook.BUY, 10, 5)
level.insert(order)
self.assertEqual(level.volume, 5)
self.assertEqual(len(level.level), 1)
print(level)
order = orderbook.Order("trader1", 3, orderbook.BUY, 10, 10)
level.insert(order)
self.assertEqual(level.volume, 15)
self.assertEqual(len(level.level), 2)
print(level)
bad_order = orderbook.Order("trader1", 3, orderbook.SELL, 10, 10)
self.assertRaises(AssertionError, lambda: level.insert(bad_order))
bad_order = orderbook.Order("trader1", 3, orderbook.BUY, 9, 10)
self.assertRaises(AssertionError, lambda: level.insert(bad_order))
def test_cancel(self):
print("Test Cancel")
bid_levels = orderbook.Levels(orderbook.BUY)
self.assertEqual(bid_levels.cancel(4), False)
bid_levels.insert(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
self.assertEqual(bid_levels.prices, [10])
self.assertEqual(len(bid_levels.levels), 1)
print(bid_levels)
self.assertEqual(bid_levels.cancel(0), True)
self.assertEqual(bid_levels.prices, [])
self.assertEqual(bid_levels.levels, {})
self.assertEqual(len(bid_levels.levels), 0)
print(bid_levels)
bid_levels.insert(orderbook.Order("trader1", 1, orderbook.BUY, 10, 5))
bid_levels.insert(orderbook.Order("trader1", 2, orderbook.BUY, 12, 7))
bid_levels.insert(orderbook.Order("trader1", 3, orderbook.BUY, 13, 10))
self.assertEqual(bid_levels.prices, [13, 12, 10])
self.assertEqual(len(bid_levels.levels), 3)
print(bid_levels)
self.assertEqual(bid_levels.cancel(2), True)
self.assertEqual(bid_levels.prices, [13, 10])
self.assertEqual(len(bid_levels.levels), 2)
print(bid_levels)
def test_insert_order(self):
"Test Orderbook Insert Order"
saved_trades = []
def trade_handler(trades, order_id):
saved_trades.extend(trades)
ob = orderbook.OrderBook(trade_handler)
ob.insert_order(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
ob.insert_order(orderbook.Order("trader1", 1, orderbook.BUY, 10, 3))
self.assertEqual(ob.bid_levels.prices, [10])
self.assertEqual(saved_trades, [])
ob.insert_order(orderbook.Order("trader1", 2, orderbook.SELL, 11, 7))
ob.insert_order(orderbook.Order("trader1", 3, orderbook.SELL, 12, 4))
self.assertEqual(ob.ask_levels.prices, [11, 12])
self.assertEqual(saved_trades, [])
print(ob)
ob.insert_order(orderbook.Order("trader2", 4, orderbook.SELL, 10, 10))
self.assertEqual(ob.bid_levels.prices, [])
self.assertEqual(len(saved_trades), 2)
print(ob)
def test_match(self):
level = self.set_level()
self.assertEqual(level.volume, 27)
self.assertEqual(len(level.level), 3)
print("Test Match")
print(level)
order = orderbook.Order("trader2", 4, orderbook.SELL, 10, 2)
trades, matched = level.match(order)
print(",".join(map(str, trades)))
print(level)
self.assertEqual(matched, 2)
self.assertEqual(len(trades), 1)
self.assertEqual(level.volume, 25)
self.assertEqual(len(level.level), 3)
order = orderbook.Order("trader2", 5, orderbook.SELL, 10, 3)
trades, matched = level.match(order)
print(",".join(map(str, trades)))
print(level)
self.assertEqual(matched, 3)
self.assertEqual(len(trades), 1)
self.assertEqual(level.volume, 22)
self.assertEqual(len(level.level), 2)
order = orderbook.Order("trader2", 5, orderbook.SELL, 10, 12)
trades, matched = level.match(order)
print(",".join(map(str, trades)))
print(level)
self.assertEqual(matched, 12)
self.assertEqual(len(trades), 2)
self.assertEqual(level.volume, 10)
self.assertEqual(len(level.level), 1)
# TODO: Orders that take out the whole level should be left in
order = orderbook.Order("trader2", 5, orderbook.SELL, 10, 15)
trades, matched = level.match(order)
print(",".join(map(str, trades)))
print(level)
def test_cancel_order(self):
"Test Orderbook Insert Order"
ob = orderbook.OrderBook()
ob.insert_order(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
ob.insert_order(orderbook.Order("trader1", 1, orderbook.BUY, 10, 3))
self.assertEqual(ob.bid_levels.prices, [10])
ob.insert_order(orderbook.Order("trader1", 2, orderbook.SELL, 11, 7))
ob.insert_order(orderbook.Order("trader1", 3, orderbook.SELL, 12, 4))
self.assertEqual(ob.ask_levels.prices, [11, 12])
print(ob)
self.assertEqual(ob.cancel_order(2), True)
self.assertEqual(ob.bid_levels.prices, [10])
self.assertEqual(ob.ask_levels.prices, [12])
print(ob)
def test_insert_order(self):
"Test Orderbook Insert Order Hit Through"
saved_trades = []
def trade_handler(trades, order_id):
saved_trades.extend(trades)
ob = orderbook.OrderBook(trade_handler)
ob.insert_order(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
ob.insert_order(orderbook.Order("trader1", 1, orderbook.BUY, 11, 5))
ob.insert_order(orderbook.Order("trader1", 2, orderbook.BUY, 12, 5))
self.assertEqual(ob.bid_levels.prices, [12, 11, 10])
ob.insert_order(orderbook.Order("trader1", 3, orderbook.SELL, 10, 8))
self.assertEqual(len(saved_trades), 2)
self.assertEqual(saved_trades[0].volume, 5)
self.assertEqual(saved_trades[0].price, 12)
self.assertEqual(saved_trades[1].volume, 3)
self.assertEqual(saved_trades[1].price, 11)
def test_match(self):
print("Test Match")
bid_levels = orderbook.Levels(orderbook.BUY)
bid_levels.insert(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
bid_levels.insert(orderbook.Order("trader1", 1, orderbook.BUY, 10, 3))
bid_levels.insert(orderbook.Order("trader1", 2, orderbook.BUY, 12, 7))
bid_levels.insert(orderbook.Order("trader1", 3, orderbook.BUY, 13, 10))
self.assertEqual(bid_levels.prices, [13, 12, 10])
self.assertEqual(len(bid_levels.levels), 3)
print(bid_levels)
aggressing_order = orderbook.Order("trader2", 5, orderbook.SELL, 14, 1)
trades = bid_levels.match(aggressing_order)
self.assertEqual(trades, [])
aggressing_order = orderbook.Order("trader2", 5, orderbook.SELL, 13, 1)
trades = bid_levels.match(aggressing_order)
self.assertEqual(len(trades), 1)
self.assertEqual(bid_levels.prices, [13, 12, 10])
self.assertEqual(len(bid_levels.levels), 3)
print(", ".join(map(str, trades)))
aggressing_order = orderbook.Order("trader2", 5, orderbook.SELL, 12, 1)
trades = bid_levels.match(aggressing_order)
self.assertEqual(trades[0].price, 13)
print(", ".join(map(str, trades)))
aggressing_order = orderbook.Order("trader2", 5, orderbook.SELL, 12,
10)
trades = bid_levels.match(aggressing_order)
self.assertEqual(len(trades), 2)
self.assertEqual(bid_levels.prices, [12, 10])
self.assertEqual(trades[0].price, 13)
self.assertEqual(trades[1].price, 12)
print(bid_levels)
print(", ".join(map(str, trades)))
def set_level(self):
level = orderbook.Level(10, orderbook.BUY)
level.insert(orderbook.Order("trader1", 0, orderbook.BUY, 10, 5))
level.insert(orderbook.Order("trader1", 1, orderbook.BUY, 10, 10))
level.insert(orderbook.Order("trader1", 2, orderbook.BUY, 10, 12))
return level