def __init__(self, logger, handle_market_orders=False):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_to_order_book = {}
self._market_to_event_to_priority = NDeepDict(depth=2)
self._market_to_event_to_priority_before = NDeepDict(depth=2)
self._handle_market_orders = handle_market_orders
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_to_subchain_id_to_time = NDeepDict(
depth=2, default_factory=list
) # this a list of tuples (start_time, end_time)
self._market_to_side_to_prev_tob_subchain_ids = NDeepDict(
depth=2, default_factory=set)
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_to_side_prev_price = NDeepDict(depth=2)
self._market_side_price_time = NDeepDict(depth=3) # market to side to price to last time it was top of book
self._market_side_best_price = NDeepDict(depth=2)
self._event_id_to_last_time_crossed = {}
self._event_id_to_last_time_tob = {}
def test_1_deep_with_default_list_access():
d = NDeepDict(1, int)
assert len(d) == 0
# setting something should work
d[['a']] = 1
assert len(d) == 1
# getting 'a' should work
assert d[['a']] == 1
assert d.get(['a']) == 1
# getting 'b' should return the default of 0
assert d[['b']] == 0
assert d.get(['b']) == 0
# length should now be two because b was created on the get
assert len(d) == 2
assert 'b' in d
assert 'a' in d
# modifying an unknown int should work too
assert not 'c' in d
d[['c']] += 1
assert d[['c']] == 1
def test_none_default_1_deep():
d = NDeepDict(1)
d[['a']] = 16
assert d.get(['a']) == 16
assert d.get(['c']) is None
with pytest.raises(KeyError):
x = d[['c']]
def test_one_level_contains_none_default():
d = NDeepDict(1)
d[['a']] = 1
assert ['a'] in d
assert 'a' in d
assert ['b'] not in d
assert 'b' not in d
def test_4_deep_create_at_once_standard_access():
d = NDeepDict(4)
assert len(d) == 0, "Starts completely empty"
d["level1"]["level2"]["level3"]["level4"] = 5
assert "level1" in d
assert "level2" in d["level1"]
assert "level3" in d["level1"]["level2"]
assert "level4" in d["level1"]["level2"]["level3"]
assert d["level1"]["level2"]["level3"]["level4"] == 5
def test_4_deep_create_at_once_list_access():
d = NDeepDict(4)
assert len(d) == 0, "Starts completely empty"
d[["level1", "level2", "level3", "level4"]] = 5
assert len(d) == 1
assert "level1" in d
assert "level2" in d[["level1"]]
assert "level3" in d[["level1", "level2"]]
assert "level4" in d[["level1", "level2", "level3"]]
assert len(d) == 1
assert d[["level1", "level2", "level3", "level4"]] == 5
def test_1_deep_del_standard_access():
d = NDeepDict(4)
d[['a1','a1b1','a1b1c1']] = "test value"
d[['a2','a2b1','a2b1c1']] = "test value 2"
d[['a1','a1b2','a1b2c1']] = "test value 3"
d[['a1','a1b1','a1b1c2']] = "test value 4"
d[['a1','a1b1','a1b1c3']] = "test value 5"
assert 'a1b1c2' in d['a1']['a1b1']
del d[['a1', 'a1b1', 'a1b1c2']]
assert 'a1b1c2' not in d['a1']['a1b1'], "was deleted so should be gone"
assert 'a1b1c1' in d['a1']['a1b1'], "was not deleted so should be there"
assert 'a1b1c3' in d['a1']['a1b1'], "was not deleted so should be there"
assert 'a2b1c1' in d['a2']['a2b1'], "was not deleted so should be there"
assert 'a1b2c1' in d['a1']['a1b2'], "was not deleted so should be there"
def test_2_deep_with_default_list_access():
d = NDeepDict(2, int)
assert len(d) == 0, "Nothing is in new dict so length is 0"
assert len(d[['a']]) == 0, "Nothing is in the second level dict so should be 0"
assert len(d) == 1, "Looking for length of 'a' above should have added it to the first level dict, so now first level length is 0"
assert d['b'] == {}
assert 'b' in d
assert len(d[['b']]) == 0
d[['b','level2-a']], "Getting a key for first time in second level dict, so should create an item in b"
assert len(d[['b']]) == 1
assert d[['b','level2-a']] == 0
d[['b', 'level2-b']] += 50
assert d[['b','level2-b']] == 50
assert d.get(['b',"level2-b"]) == 50
def test_1_deep_with_no_default_list_access():
d = NDeepDict(1, None)
assert len(d) == 0
# setting something should work
d[['a']] = 1
assert len(d) == 1
# getting 'a' should work
assert d[['a']] == 1
assert d.get(['a']) == 1
# getting 'b' should return the default of None
with pytest.raises(KeyError):
d[['b']]
d.get(['b'])
# length should still be 1 because getting 'b' shouldn't have added anything
assert len(d) == 1
assert 'b' not in d
assert 'a' in d
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_to_subchain_id_to_time = NDeepDict(depth=2,
default_factory=list)
self._market_to_side_to_prev_tob_subchain_id = NDeepDict(depth=2)
def test_first_none_default_2_deep():
d = NDeepDict(2)
d[['a', 'b']] = 16
assert d.get(['d', 'e']) is None
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
self._market_chain_id_ticks = NDeepDict(2)
self._market_side_tob = {}
self._market_side_tob[BID_SIDE] = defaultdict()
self._market_side_tob[ASK_SIDE] = defaultdict()
def __init__(self, logger):
OrderEventListener.__init__(self, logger)
# storing this market -> user -> count type -> count
self._event_counts = NDeepDict(3, int)
def __init__(self, logger):
OrderLevelBookListener.__init__(self, logger)
OrderEventListener.__init__(self, logger)
self._market_event_id_aggressive_act = NDeepDict(depth=2)
self._market_to_orderbook = defaultdict(lambda: None)
self._market_to_agg_acts_to_close = defaultdict(set)