class test_order_book(unittest.TestCase):
def setUp(self):
self.completed_trades = []
self.completed_orders = []
self.orders = []
self.order_book = OrderBook("KEQ")
for i in range(1, 10):
quote = test_quotes[str(i)]
if "price" in quote:
quote["price"] = Decimal(quote["price"])
order = json.loads(self.order_book.process_order(quote))
self.orders.append(order)
for trades in self.order_book.completed_trades:
self.completed_trades.append(trades)
for orders in self.order_book.completed_orders:
self.completed_orders.append(orders)
def test_get_min_ask(self):
self.assertEqual(self.order_book.get_min_ask(), 99.5)
def test_get_max_bid(self):
self.assertEqual(self.order_book.get_max_bid(), 99)
def test_process_order(self):
self.assertEqual(len(self.order_book.bids.keys()), 1)
self.assertEqual(len(self.order_book.asks.keys()), 2)
self.assertEqual(len(self.completed_trades), 6)
self.assertEqual(len(self.order_book.ongoing_orders), 3)
self.assertEqual(len(self.completed_orders), 6)
def test_modify_order(self):
quote = test_quotes[str(10)]
if "price" in quote:
quote["price"] = Decimal(quote["price"])
new_order = json.loads(
self.order_book.modify_order(self.orders[8]["order_id"], quote))
self.assertEqual(new_order["price"], '75')
def test_cancel_order(self):
quote = test_quotes[str(10)]
if "price" in quote:
quote["price"] = Decimal(quote["price"])
new_order = json.loads(self.order_book.process_order(quote))
self.order_book.cancel_order(new_order["order_id"])
self.assertEqual(len(self.order_book.bids.keys()), 1)
line['order_id'])
elif line['type'] == 'cancel_all':
if line['side'] == "bid":
q = order_book.bids
elif line['size'] == 'ask':
q = order_book.asks
else:
sys.exit('not given bid or ask')
for order in q.price_tree.get(Decimal(line['price']),
[]):
if order.trade_id == line['trade_id']:
order_book.cancel_order(line['side'],
order.order_id)
elif line['type'] == 'modify':
order_book.modify_order(line['order_id'], {
'side': line['side'],
'price': line['price'],
'quantity': line['quantity']})
else:
(trade, order) = order_book.process_order(line,
False,
False)
myalgo.process_trade(trade, mode)
if len(algo_orders) > 0:
printme("\n")
printme("After algo")
print_orderbook(order_book, old_orderbook)
stats=myalgo.stats()
printme ("total volume=", stats[0])
printme ("my volume=", stats[1])
printme ("participation=", stats[3])
else:
printme ("participation=", stats[3])
if myalgo != None:
(algo_orders, mode) = myalgo.process_order(line,
trade, order)
printme('')
printme("RUNNING ALGO WITH MODE=", mode)
old_orderbook = copy.deepcopy(order_book)
for line in algo_orders:
printme(pprint.pformat(line))
if line['type'] == 'cancel':
order_book.cancel_order(line['side'],
line['order_id'])
elif line['type'] == 'modify':
order_book.modify_order(line['order_id'], {
'side': line['side'],
'price': line['price'],
'quantity': line['quantity']})
else:
(trade, order) = order_book.process_order(line,
False,
False)
myalgo.process_trade(trade, mode)
if len(algo_orders) > 0:
printme("\n")
printme("After algo")
print_orderbook(order_book, old_orderbook)
stats=myalgo.stats()
printme ("total volume=", stats[0])
printme ("my volume=", stats[1])
printme ("participation=", stats[3])
else:
