class TestOrderMatching(unittest.TestCase):
def setUp(self):
self.instrument = Instrument(identifier=0,
name='Carrefour',
isin='FR0000120172',
currency_identifier=0)
self.book = OrderBook(self.instrument.identifier)
def validate_one_matching(self, attacking_order, attacked_order):
self.book.on_new_order(attacked_order)
matching_orders = self.book.get_matching_orders(attacking_order)
self.assertEqual(len(matching_orders), 1)
self.assertEqual(matching_orders[0].__dict__, attacked_order.__dict__)
def test_buy_price_greater_than_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
38.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_buy_price_equal_to_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_sell_price_greater_than_buy(self):
attacking_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier, 10,
42.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_sell_price_equal_to_buy(self):
attacking_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_one_full_execution(self):
quantity = 10
price = 42.0
attacking_order = ServerOrder(Sell(), self.instrument.identifier,
quantity, price, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier,
quantity, price, 'Trader2')
self.book.on_new_order(attacked_order)
self.book.on_new_order(attacking_order)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, quantity)
self.assertEqual(attacked_order.executed_quantity, quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_one_partial_execution(self):
attacking_quantity = 20
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
self.book.on_new_order(attacked_order)
self.book.on_new_order(attacking_order)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity,
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.executed_quantity, attacked_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(),
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_multiple_partial_executions(self):
attacking_quantity = 50
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_orders = []
for _ in list(range(5)):
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
attacked_orders.append(attacked_order)
self.book.on_new_order(attacked_order)
self.book.on_new_order(attacking_order)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, attacking_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
for attacked_order in attacked_orders:
self.assertEqual(attacked_order.executed_quantity,
attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
class TestOrderBook(unittest.TestCase):
def setUp(self):
self.instrument = Instrument(identifier=0,
name='Carrefour',
isin='FR0000120172',
currency_identifier=0)
self.book = OrderBook(self.instrument.identifier)
def test_count_bids(self):
buy_order = ServerOrder(Buy(), self.instrument.identifier, 50, 42.0,
'Trader1')
self.assertEqual(self.book.count_bids(), 0)
self.book.on_new_order(buy_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
def test_count_asks(self):
sell_order = ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader1')
self.assertEqual(self.book.count_asks(), 0)
self.book.on_new_order(sell_order, apply_changes=True)
self.assertEqual(self.book.count_asks(), 1)
def test_get_bids(self):
bids = self.book.get_bids()
self.assertEqual(len(bids), 0)
def test_get_asks(self):
asks = self.book.get_asks()
self.assertEqual(len(asks), 0)
def test_self_execution(self):
"""
Ensure you cannot trade against yourself
"""
orders = [
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Sell(), self.instrument.identifier, 50, 40.0,
'Trader1')
]
for order in orders:
self.book.on_new_order(order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 1)
def test_two_orders_no_match(self):
"""
Two orders not matching (different price)
"""
buy_order = ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1')
sell_order = ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2')
self.book.on_new_order(buy_order, apply_changes=True)
self.book.on_new_order(sell_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 1)
def test_four_stacked_orders_no_match(self):
orders = [
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2'),
ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2')
]
for order in orders:
self.book.on_new_order(order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 2)
self.assertEqual(self.book.count_asks(), 2)
def validate_one_matching(self, attacking_order, attacked_order):
self.book.on_new_order(attacked_order, apply_changes=True)
matching_orders = self.book.get_matching_orders(attacking_order)
self.assertEqual(len(matching_orders), 1)
self.assertEqual(matching_orders[0].__dict__, attacked_order.__dict__)
def test_buy_price_greater_than_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
38.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
self.assertEqual(attacking_order.get_remaining_quantity(), 10)
self.assertEqual(attacked_order.get_remaining_quantity(), 10)
def test_buy_price_equal_to_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_sell_price_greater_than_buy(self):
attacking_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier, 10,
42.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_sell_price_equal_to_buy(self):
attacking_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_fifo_matching_orders(self):
"""
Ensure FIFO matching is enforced
"""
orders = [
ServerOrder(Buy(),
self.instrument.identifier,
50,
40.0,
'Trader1',
timestamp=1),
ServerOrder(Buy(),
self.instrument.identifier,
50,
40.0,
'Trader2',
timestamp=2),
ServerOrder(Sell(),
self.instrument.identifier,
50,
40.0,
'Trader3',
timestamp=3)
]
for order in orders:
self.book.on_new_order(order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(self.book.get_bids()[0].timestamp, 2)
self.assertEqual(self.book.get_bids()[0].counterparty, 'Trader2')
def test_one_full_execution(self):
quantity = 10
price = 42.0
attacking_order = ServerOrder(Sell(), self.instrument.identifier,
quantity, price, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier,
quantity, price, 'Trader2')
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, quantity)
self.assertEqual(attacked_order.executed_quantity, quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_one_partial_execution(self):
attacking_quantity = 20
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity,
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.executed_quantity, attacked_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(),
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_multiple_partial_executions(self):
attacking_quantity = 50
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_orders = []
for _ in list(range(5)):
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
attacked_orders.append(attacked_order)
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, attacking_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
for attacked_order in attacked_orders:
self.assertEqual(attacked_order.executed_quantity,
attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)