class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(
OrderId(TraderId('2'), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, amount1, amount2):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(
OrderId(TraderId('2'), OrderNumber(self.bid_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(3000)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(50, 350))
self.order_book.insert_ask(self.create_ask(18, 72))
self.order_book.insert_ask(self.create_ask(100, 700))
my_bid = self.create_bid(200, 2000)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(50, 200))
self.order_book.insert_bid(self.create_bid(18, 72))
self.order_book.insert_bid(self.create_bid(100, 400))
my_ask = self.create_ask(200, 200)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_price_time_priority_asks(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_ask(self.create_ask(20, 100))
self.order_book.insert_ask(self.create_ask(25, 125))
self.order_book.insert_ask(self.create_ask(10, 50))
my_bid = self.create_bid(50, 250)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_price_time_priority_bids(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_bid(self.create_bid(20, 100))
self.order_book.insert_bid(self.create_bid(25, 125))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(50, 250)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_matching_multiple_levels(self):
"""
Test a matching with multiple price levels
"""
self.order_book.insert_bid(self.create_bid(10, 60))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(30, 180)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 1)
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@inlineCallbacks
def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(OrderId(TraderId('2'), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, amount1, amount2):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(OrderId(TraderId('3'), OrderNumber(self.bid_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@inlineCallbacks
def tearDown(self):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown()
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([], self.matching_engine.match(self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([], self.matching_engine.match(self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(3000)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(50, 350))
self.order_book.insert_ask(self.create_ask(18, 72))
self.order_book.insert_ask(self.create_ask(100, 700))
my_bid = self.create_bid(200, 2000)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(50, 200))
self.order_book.insert_bid(self.create_bid(18, 72))
self.order_book.insert_bid(self.create_bid(100, 400))
my_ask = self.create_ask(200, 200)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_price_time_priority_asks(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_ask(self.create_ask(20, 100))
self.order_book.insert_ask(self.create_ask(25, 125))
self.order_book.insert_ask(self.create_ask(10, 50))
my_bid = self.create_bid(50, 250)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_price_time_priority_bids(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_bid(self.create_bid(20, 100))
self.order_book.insert_bid(self.create_bid(25, 125))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(50, 250)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_matching_multiple_levels(self):
"""
Test a matching with multiple price levels
"""
self.order_book.insert_bid(self.create_bid(10, 60))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(30, 180)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 1)
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, price, quantity):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(OrderId(TraderId('2'), OrderNumber(self.ask_count)),
Price(price, 'BTC'), Quantity(quantity, 'MC'),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, price, quantity):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(OrderId(TraderId('2'), OrderNumber(self.bid_count)),
Price(price, 'BTC'), Quantity(quantity, 'MC'),
Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(
Quantity(30, 'MC'))
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(7, 50))
self.order_book.insert_ask(self.create_ask(4, 18))
self.order_book.insert_ask(self.create_ask(7, 100))
my_bid = self.create_bid(10, 100)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum(
[float(quantity) for _, _, quantity in matching_ticks])
self.assertEqual(Quantity(total_matched, 'MC'), Quantity(100, 'MC'))
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(4, 50))
self.order_book.insert_bid(self.create_bid(7, 18))
self.order_book.insert_bid(self.create_bid(4, 100))
my_ask = self.create_ask(1, 100)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum(
[float(quantity) for _, _, quantity in matching_ticks])
self.assertEqual(Quantity(total_matched, 'MC'), Quantity(100, 'MC'))
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.cancel_all_pending_tasks()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(
Quantity(30, 'MC'))
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)