def __init__(self, market, side, price, visible_qty, hidden_qty=0):
"""
An individual quote expressing a desire to buy or sell a Product for a Price. Visible qty is required and
hidden qty is optional, defaulting to 0 because many markets don't support hidden quantity.
:param market: MarketObjects.Market.Market.
:param side: Side.
:param price: Price.
:param visible_qty: int. Must be greater than 0
:param hidden_qty: int. Must be 0 or more. Optional. Defaults to 0.
"""
assert isinstance(price, Price) or isinstance(price, str)
assert isinstance(side, Side)
assert isinstance(market, Market)
assert isinstance(visible_qty, int)
assert isinstance(hidden_qty, int)
assert visible_qty > 0, "A quote's visible qty must be greater than 0"
assert hidden_qty >= 0, "A quote's hidden qty must be greater than or equal to 0"
use_price = price
if not isinstance(price, Price):
use_price = Price(price)
assert market.is_valid_price(use_price), \
"%s is not a valid price for a product with minimum price increment %s" % \
(str(use_price), str(market.mpi()))
self._side = side
self._market = market
self._price_level = PriceLevel(use_price, visible_qty, hidden_qty, num_orders=1)
def test_worse_or_same_as():
pl1 = PriceLevel(Price("1.6"), 2, 3, 2)
pl2 = PriceLevel(Price("2.1"), 2, 3, 2)
pl3 = PriceLevel(Price("1.6"), 24, 4, 22)
assert pl1.worse_or_same_as(pl2, BID_SIDE)
assert pl2.worse_or_same_as(pl1, BID_SIDE) is False
assert pl1.worse_or_same_as(pl2, ASK_SIDE) is False
assert pl2.worse_or_same_as(pl1, ASK_SIDE)
assert pl1.worse_or_same_as(pl3, BID_SIDE)
assert pl1.worse_or_same_as(pl3, ASK_SIDE)
def test_better_or_same_as():
pl1 = PriceLevel(Price("1.4"), 2, 3, 2)
pl2 = PriceLevel(Price("1.1"), 2, 3, 2)
pl3 = PriceLevel(Price("1.4"), 24, 4, 22)
assert pl1.better_or_same_as(pl2, BID_SIDE)
assert pl2.better_or_same_as(pl1, BID_SIDE) is False
assert pl1.better_or_same_as(pl2, ASK_SIDE) is False
assert pl2.better_or_same_as(pl1, ASK_SIDE)
assert pl1.better_or_same_as(pl3, BID_SIDE)
assert pl1.better_or_same_as(pl3, ASK_SIDE)
def test_worse_than():
pl1 = PriceLevel(Price("1.6"), 2, 3, 2)
pl2 = PriceLevel(Price("2.1"), 2, 3, 2)
assert pl1.worse_than(pl2, BID_SIDE)
assert pl2.worse_than(pl1, BID_SIDE) is False
assert pl1.worse_than(pl2, ASK_SIDE) is False
assert pl2.worse_than(pl1, ASK_SIDE)
def test_better_than():
pl1 = PriceLevel(Price("1.4"), 2, 3, 2)
pl2 = PriceLevel(Price("1.1"), 2, 3, 2)
assert pl1.better_than(pl2, BID_SIDE)
assert pl2.better_than(pl1, BID_SIDE) is False
assert pl1.better_than(pl2, ASK_SIDE) is False
assert pl2.better_than(pl1, ASK_SIDE)
def test_parital_passive_fill():
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 5)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 5, Price('34.52'),
ASK_SIDE, 3333, 30)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible should be 5 less
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty - 5
# ask hidden should stay the same
assert hidden_qty == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# num orders should stay the same
assert num_orders == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be the same
assert ob.best_priority_chain(ASK_SIDE).chain_id() == chain_aggressed_into.chain_id() == 1002
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def build_base_order_book():
ob = OrderLevelBook(MARKET, LOGGER)
b1 = NewOrderCommand(1, 1234000.123, 1001, "user_a", MARKET, BID_SIDE, FAR,
Price("34.50"), 50)
bid_oec1 = OrderEventChain(b1, LOGGER, SUBCHAIN_ID_GENERATOR)
b1_ack = AcknowledgementReport(2, 1234000.123, 1001, "user_a", MARKET, b1, Price("34.50"), 50, 50)
bid_oec1.apply_acknowledgement_report(b1_ack)
ob.handle_acknowledgement_report(b1_ack, bid_oec1)
a1 = NewOrderCommand(3, 1234000.888, 1002, "user_b", MARKET, ASK_SIDE, FAR,
Price("34.52"), 35, 10)
ask_oec1 = OrderEventChain(a1, LOGGER, SUBCHAIN_ID_GENERATOR)
a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
ask_oec1.apply_acknowledgement_report(a1_ack)
ob.handle_acknowledgement_report(a1_ack, ask_oec1)
a2 = NewOrderCommand(5, 1234001.888, 1003, "user_c", MARKET, ASK_SIDE, FAR,
Price("34.52"), 20, 20)
ask_oec2 = OrderEventChain(a2, LOGGER, SUBCHAIN_ID_GENERATOR)
a2_ack = AcknowledgementReport(6, 1234001.888, 1003, "user_b", MARKET, a2, Price("34.52"), 20, 20)
ask_oec2.apply_acknowledgement_report(a2_ack)
ob.handle_acknowledgement_report(a2_ack, ask_oec2)
b2 = NewOrderCommand(9, 1234000.123, 1004, "user_z", MARKET, BID_SIDE, FAR,
Price("34.50"), 70)
bid_oec2 = OrderEventChain(b2, LOGGER, SUBCHAIN_ID_GENERATOR)
b2_ack = AcknowledgementReport(10, 1234000.123, 1004, "user_z", MARKET, b2, Price("34.50"), 70, 70)
bid_oec2.apply_acknowledgement_report(b2_ack)
ob.handle_acknowledgement_report(b2_ack, bid_oec2)
# do some asserts to ensure we built book as expected
bid_prices = ob.prices(BID_SIDE)
print(ob.best_bid_price())
print(bid_prices)
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
assert ob.best_priority_chain(BID_SIDE) == bid_oec1
ask_prices = ob.ask_prices()
assert len(ask_prices) == 1
assert ask_prices[0] == Price("34.52")
assert ob.best_ask_price() == Price("34.52")
assert ob.best_ask_level() == PriceLevel(Price("34.52"), 30, 25, 2)
assert ob.best_priority_chain(ASK_SIDE) == ask_oec1
return ob
def test_acking_fak():
# should not allow -- so no changes to order book
ob = build_base_order_book()
a = NewOrderCommand(56, 1234002.123, 1008, "user_z", MARKET, ASK_SIDE, FAK,
Price("34.51"), 35)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1008, "user_z", MARKET, a, Price("34.51"), 35, 35)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# NOTHING SHOULD HAVE CHANGED
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
ask_prices = ob.ask_prices()
assert len(ask_prices) == 1
assert ask_prices[0] == Price("34.52")
assert ob.best_ask_price() == Price("34.52")
assert ob.best_ask_level() == PriceLevel(Price("34.52"), 30, 25, 2)
def test_establish_new_ask_tob():
ob = build_base_order_book()
a = NewOrderCommand(56, 1234002.123, 1008, "user_z", MARKET, ASK_SIDE, FAR,
Price("34.51"), 35)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1008, "user_z", MARKET, a, Price("34.51"), 35, 35)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# ask should have changed
ask_prices = ob.ask_prices()
assert len(ask_prices) == 2 # now 2 prices
assert ob.best_priority_chain(ASK_SIDE) == ask_oec # the bid order chain above should now be best
assert ask_prices[0] == Price("34.51") # should be new best price
assert ob.best_ask_price() == Price("34.51") # should be new best price
assert ob.best_ask_level() == PriceLevel(Price("34.51"), 35, 0,
1) # should have new best price level with only 1 order
# bid should not have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_equality():
pl1 = PriceLevel(Price("1.1"), 2, 3, 2)
pl2 = PriceLevel(Price("1.1"), 2, 3, 2)
pl_price_different = PriceLevel(Price("1.2"), 2, 3, 2)
pl_visible_qty_different = PriceLevel(Price("1.1"), 3, 3, 2)
pl_hidden_qty_different = PriceLevel(Price("1.1"), 2, 332, 2)
pl_num_orders_different = PriceLevel(Price("1.1"), 2, 3, 3)
pl_num_orders_none = PriceLevel(Price("1.1"), 2, 3, None)
assert pl1 == pl2
assert pl1 != pl_price_different
assert pl1 != pl_visible_qty_different
assert pl1 != pl_hidden_qty_different
assert pl1 != pl_num_orders_different
assert pl1 != pl_num_orders_none
pl1_num_orders_none = PriceLevel(Price("1.1"), 2, 3)
pl2_num_orders_none = PriceLevel(Price("1.1"), 2, 3)
assert pl1_num_orders_none == pl2_num_orders_none
assert pl1 != pl2_num_orders_none
assert pl2 != pl1_num_orders_none
def level_at_price(self, side, price):
"""
Gets the PriceLevel at a price for a given side. Returns None if the
price does not exist on that Side.
:param side: MarketObjects.Side.Side
:param price: MarketObjects.Price.Price
:return: MarketObjects.PriceLevel.PriceLevel. Can be None
"""
level = (self._bid_price_to_level
if side.is_bid() else self._ask_price_to_level).get(price)
if level is None:
return None
return PriceLevel(price, self.visible_qty_at_price(side, price),
self.hidden_qty_at_price(side, price),
self.num_orders_at_price(side, price))
def test_partial_passive_fill_for_all_qty():
# a partial fill for eveything should balk with some logs but should still be successful.
# NOTE: this scenario is crazy and shouldn't actually happen (hidden getting filled before visible)
# but what the hell, let's cut corners on a test
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
second_ask_back = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[1]
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 35)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 35, Price('34.52'),
ASK_SIDE, 3333, 25)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible qty should be 10 less (the rest came from hidden)
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty - 10
# ask hidden should be 25 (35-10 visible) less
assert hidden_qty - 25 == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# should be 1 less order
assert num_orders - 1 == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be what was the second back
assert ob.best_priority_chain(ASK_SIDE).chain_id() == second_ask_back.chain_id()
# chain should no longer exist in book
chains = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))
found = False
for chain in chains:
if chain.chain_id() == chain_aggressed_into.chain_id():
found = True
assert not found
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_cancel_confirm_second_order():
ob = build_base_order_book()
first_order_chain = ob.best_priority_chain(ASK_SIDE)
second_ask_back = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[1]
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
cancel_command = CancelCommand(101, 1234002.123, second_ask_back.chain_id(), second_ask_back.user_id(), MARKET,
USER_CANCEL)
second_ask_back.apply_cancel_command(cancel_command)
cancel_report = CancelReport(102, 1234002.123, second_ask_back.chain_id(), second_ask_back.user_id(), MARKET,
cancel_command, USER_CANCEL)
second_ask_back.apply_cancel_report(cancel_report)
ob.handle_cancel_report(cancel_report, second_ask_back)
# the 20 visible are now gone
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty - 20
# hidden should stay the same
assert hidden_qty == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# should be 1 less order
assert num_orders - 1 == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be the original first
assert ob.best_priority_chain(ASK_SIDE).chain_id() == first_order_chain.chain_id()
# chain should no longer exist in book
chains = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))
found = False
for chain in chains:
if chain.chain_id() == second_ask_back.chain_id():
found = True
assert not found
# bids shouldn't change
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_partial_passive_fill_resets_visible_qty():
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
second_ask_back = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[1]
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 10)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 10, Price('34.52'),
ASK_SIDE, 3333, 25)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible qty should stay the same because the 10 was filled and then replenished due to iceberg activity
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty
# ask hidden should be 10 less becaue of replenishment of iceberg peak
assert hidden_qty - 10 == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# num orders should stay the same
assert num_orders == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be what was the second back
assert ob.best_priority_chain(ASK_SIDE).chain_id() == second_ask_back.chain_id()
# worst chain on the ask should be what was the first
assert ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[-1].chain_id() == chain_aggressed_into.chain_id()
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_cancel_confirm_entire_price_level():
ob = build_base_order_book()
# first add an order at a second price (34.53)
a = NewOrderCommand(56, 1234002.123, 1009, "user_x", MARKET, ASK_SIDE, FAR,
Price("34.53"), 20)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1009, "user_z", MARKET, a, Price("34.53"), 20, 20)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# cancel the orderchains at best price
id_generator = MonotonicIntID()
for i, chain in enumerate(ob.order_chains_at_price(ASK_SIDE, ob.best_price(ASK_SIDE))):
cancel_command = CancelCommand(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
USER_CANCEL)
chain.apply_cancel_command(cancel_command)
cancel_report = CancelReport(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
cancel_command, USER_CANCEL)
chain.apply_cancel_report(cancel_report)
ob.handle_cancel_report(cancel_report, chain)
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec.chain_id()
# best price should now be 34.53
assert ob.best_ask_price() == Price('34.53')
# visible qty is 20
assert ob.visible_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 20
# hidden qty is 0
assert ob.hidden_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 0
# num orders is 1
assert ob.num_orders_at_price(ASK_SIDE, ob.best_ask_price()) == 1
# bids shouldn't change
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_negative_hidden_qty_failes():
with pytest.raises(AssertionError):
PriceLevel(Price("23.33"), 3, -3)
def test_cannot_have_more_orders_than_qty():
with pytest.raises(AssertionError):
PriceLevel(Price("1.1"), 3, 2, 8)
def test_pricelevel_creation():
pl = PriceLevel(Price("84.5"), 12)
assert pl.price() == Price("84.5")
assert pl.number_of_orders() is None
assert pl.visible_qty() == 12
assert pl.hidden_qty() == 0
pl = PriceLevel(Price("32.134"), 14, 23)
assert pl.price() == Price("32.134")
assert pl.number_of_orders() is None
assert pl.visible_qty() == 14
assert pl.hidden_qty() == 23
def test_negative_num_orders_fails():
with pytest.raises(AssertionError):
PriceLevel(Price("1.1"), 3, 4, -2)
def test_zero_num_orders_fails():
with pytest.raises(AssertionError):
PriceLevel(Price("1.1"), 3, 4, 0)
def test_hidden_qty_must_be_int():
with pytest.raises(AssertionError):
PriceLevel(Price("1.1"), 3, 4.0)
def test_visible_qty_must_be_int():
with pytest.raises(AssertionError):
PriceLevel(Price("1.1"), 3.0)
def test_zero_visible_qty_fails():
with pytest.raises(AssertionError):
PriceLevel(Price("23.33"), 0)
class Quote(object):
def __init__(self, market, side, price, visible_qty, hidden_qty=0):
"""
An individual quote expressing a desire to buy or sell a Product for a Price. Visible qty is required and
hidden qty is optional, defaulting to 0 because many markets don't support hidden quantity.
:param market: MarketObjects.Market.Market.
:param side: Side.
:param price: Price.
:param visible_qty: int. Must be greater than 0
:param hidden_qty: int. Must be 0 or more. Optional. Defaults to 0.
"""
assert isinstance(price, Price) or isinstance(price, str)
assert isinstance(side, Side)
assert isinstance(market, Market)
assert isinstance(visible_qty, int)
assert isinstance(hidden_qty, int)
assert visible_qty > 0, "A quote's visible qty must be greater than 0"
assert hidden_qty >= 0, "A quote's hidden qty must be greater than or equal to 0"
use_price = price
if not isinstance(price, Price):
use_price = Price(price)
assert market.is_valid_price(use_price), \
"%s is not a valid price for a product with minimum price increment %s" % \
(str(use_price), str(market.mpi()))
self._side = side
self._market = market
self._price_level = PriceLevel(use_price, visible_qty, hidden_qty, num_orders=1)
def side(self):
"""
Get the side of the market the quote is for
:return: Side
"""
return self._side
def market(self):
"""
Get the market the quote is for
:return: MarketObjects.Market.Market
"""
return self._market
def price(self):
"""
Get the price of the quote
:return: Price.
"""
return self._price_level.price()
def visible_qty(self):
"""
Get the visible qty of the quote
:return: int
"""
return self._price_level.visible_qty()
def hidden_qty(self):
"""
Get the hidden qty of the quote
:return: int
"""
return self._price_level.hidden_qty()
def total_qty(self):
"""
Get the total qty of the quote.
:return: int.
"""
return self._price_level.hidden_qty() + self._price_level.visible_qty()
def is_buy(self):
"""
Tells if you the Quote is a buy or not
:return: bool
"""
return self._side.is_bid()
def is_sell(self):
"""
Tells if you the Quote is a sell or not
:return: bool
"""
return self._side.is_ask()
def __eq__(self, other):
if not isinstance(other, Quote):
return False
return self._price_level == other._price_level and \
self.side() == other.side() and \
self.market() == other.market()
def __str__(self):
return "%s Quote: %s %d (%d visible, %d hidden) at %s" % \
(str(self.market()),
"Buy" if self.is_buy() else "Sell",
self.total_qty(),
self.visible_qty(),
self.hidden_qty(),
str(self.price()))
def test_zero_hidden_qty_works():
pl = PriceLevel(Price("23.33"), 3, 0)
assert pl.hidden_qty() == 0
def test_negative_visible_qty_fails():
with pytest.raises(AssertionError):
PriceLevel(Price("23.33"), -2)
def test_pricelevel_must_have_price():
with pytest.raises(AssertionError):
PriceLevel(None, -2)
