class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(MessageId(TraderId('0'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask2 = Ask(MessageId(TraderId('1'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask3 = Ask(MessageId(TraderId('3'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(3)),
Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask4 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask5 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'A'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask6 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100),
Timestamp.now())
self.bid = Bid(MessageId(TraderId('5'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(5)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid2 = Bid(MessageId(TraderId('6'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(6)),
Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid3 = Bid(MessageId(TraderId('7'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(7)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.bid4 = Bid(MessageId(TraderId('8'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(8)),
Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
Price(10, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
Price(100, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook(MemoryMessageRepository('0'))
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.cancel_all_pending_tasks()
yield super(PriceTimeStrategyTestSuite,
self).tearDown(annotate=annotate)
def test_empty_match_order(self):
# Test for match order with an empty order book
self.assertEquals([],
self.price_time_strategy.match_order(self.bid_order))
self.assertEquals([],
self.price_time_strategy.match_order(self.ask_order))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match_order(self.bid_order))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask6)
self.assertEqual([],
self.price_time_strategy.match_order(self.bid_order))
def test_match_order_ask(self):
# Test for match order
self.order_book.insert_bid(self.bid)
proposed_trades = self.price_time_strategy.match_order(self.ask_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_match_order_bid(self):
# Test for match order
self.order_book.insert_ask(self.ask)
proposed_trades = self.price_time_strategy.match_order(self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_match_order_divided(self):
# Test for match order divided over two ticks
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
proposed_trades = self.price_time_strategy.match_order(self.bid_order2)
self.assertEquals(2, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
self.assertEquals(Price(100, 'BTC'), proposed_trades[1].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[1].quantity)
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask._quantity = Quantity(20, 'MC')
self.order_book.insert_ask(self.ask)
proposed_trades = self.price_time_strategy.match_order(self.bid_order2)
self.assertEquals(1, len(proposed_trades))
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid._quantity = Quantity(20, 'MC')
self.order_book.insert_bid(self.bid)
proposed_trades = self.price_time_strategy.match_order(self.ask_order2)
self.assertEquals(1, len(proposed_trades))
def test_match_order_different_price_level(self):
# Test for match order given an ask order and bid in different price levels
self.order_book.insert_bid(self.bid2)
proposed_trades = self.price_time_strategy.match_order(self.ask_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(200, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_search_for_quantity_in_order_book_partial_ask_low(self):
# Test for protected search for quantity in order book partial ask when price is too low
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.ask_order2)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_ask(self):
# Test for protected search for quantity in order book partial ask
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.ask_order)
self.assertEquals(0, len(proposed_trades))
self.assertEquals(Quantity(30, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_bid_high(self):
# Test for protected search for quantity in order book partial bid when price is too high
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.bid_order)
self.assertEquals(0, len(proposed_trades))
self.assertEquals(Quantity(30, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_bid(self):
# Test for protected search for quantity in order book partial bid
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
Price(50, 'BTC'), Quantity(30, 'MC'), [], self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_price_level(self):
"""
Test searching within a price level
"""
self.bid_order._order_id = self.ask.order_id
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
None, Quantity(10, 'MC'), self.bid_order)
self.assertFalse(trades)
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
self.order_book.get_tick(self.bid_order.order_id),
Quantity(10, 'MC'), self.bid_order)
self.assertFalse(trades)
self.bid_order2.reserve_quantity_for_tick(self.ask2.order_id,
Quantity(60, 'MC'))
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
self.order_book.get_tick(self.ask2.order_id), Quantity(10, 'MC'),
self.bid_order2)
self.assertFalse(trades)
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask3 = Ask(OrderId(TraderId('0'), OrderNumber(3)),
Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask4 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask5 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'A'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask6 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('0'), OrderNumber(5)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid2 = Bid(OrderId(TraderId('0'), OrderNumber(6)),
Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid3 = Bid(OrderId(TraderId('0'), OrderNumber(7)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.bid4 = Bid(OrderId(TraderId('0'), OrderNumber(8)),
Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
Price(10, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
Price(100, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(PriceTimeStrategyTestSuite,
self).tearDown(annotate=annotate)
def test_generate_match_id(self):
"""
Test generation of a match id
"""
def mocked_get_random_match_id():
if not mocked_get_random_match_id.called:
mocked_get_random_match_id.called = True
return 'a' * 20
else:
return 'b' * 20
mocked_get_random_match_id.called = False
rand_id = self.price_time_strategy.get_unique_match_id()
self.assertEqual(len(rand_id), 20)
self.assertEqual(len(self.price_time_strategy.used_match_ids), 1)
self.price_time_strategy.get_random_match_id = mocked_get_random_match_id
self.price_time_strategy.used_match_ids.add('a' * 20)
self.assertEqual(self.price_time_strategy.get_unique_match_id(),
'b' * 20)
def test_empty_match_order(self):
"""
Test for match order with an empty order book
"""
self.assertEquals([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
self.assertEquals([],
self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask6)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_ask(self):
"""
Test for match ask order
"""
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.bid.order_id),
matching_ticks[0][1])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_bid(self):
"""
Test for match bid order
"""
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.ask.order_id),
matching_ticks[0][1])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[1][2])
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask._quantity = Quantity(20, 'MC')
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(20, 'MC'), matching_ticks[0][2])
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid._quantity = Quantity(20, 'MC')
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order2.order_id, self.ask_order2.price,
self.ask_order2.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(20, 'MC'), matching_ticks[0][2])
def test_match_order_different_price_level(self):
"""
Test for match order given an ask order and bid in different price levels
"""
self.order_book.insert_bid(self.bid2)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Price(200, 'BTC'), self.bid2.price)
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_order_book_partial_ask_low(self):
"""
Test for protected search for quantity in order book partial ask when price is too low
"""
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
self.ask_order2.order_id, Price(100, 'BTC'), Quantity(30, 'MC'),
[], self.ask_order2.price, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_order_book_partial_ask(self):
"""
Test for protected search for quantity in order book partial ask
"""
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
self.ask_order.order_id, Price(100, 'BTC'), Quantity(30, 'MC'), [],
self.ask_order.price, True)
self.assertEquals(0, len(matching_ticks))
def test_search_for_quantity_in_order_book_partial_bid_high(self):
"""
Test for protected search for quantity in order book partial bid when price is too high
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
self.bid_order.order_id, Price(100, 'BTC'), Quantity(30, 'MC'), [],
self.bid_order.price, False)
self.assertEquals(0, len(matching_ticks))
def test_search_for_quantity_in_order_book_partial_bid(self):
"""
Test for protected search for quantity in order book partial bid
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
self.bid_order.order_id, Price(50, 'BTC'), Quantity(30, 'MC'), [],
self.bid_order.price, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_price_level(self):
"""
Test searching within a price level
"""
self.bid_order._order_id = self.ask.order_id
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy._search_for_quantity_in_price_level(
self.bid_order.order_id, None, Quantity(10, 'MC'),
self.bid_order.price, False)
self.assertFalse(matching_ticks)
def test_bid_blocked_for_matching(self):
"""
Test whether a bid tick is not matched when blocked for matching
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).block_for_matching(
self.ask_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
def test_ask_blocked_for_matching(self):
"""
Test whether an ask tick is not matched when blocked for matching
"""
self.order_book.insert_ask(self.ask)
self.order_book.get_tick(self.ask.order_id).block_for_matching(
self.bid_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
