def test_find_profitable_arbitrage_orders(self):
self.market_2_data.order_book.apply_diffs(
[OrderBookRow(1.1, 30, 2)], [], 2)
"""
market_1 Ask
price amount update_id
0 1.005 10.0 1.0
1 1.015 20.0 1.0
2 1.025 30.0 1.0
3 1.035 40.0 1.0
4 1.045 50.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(Decimal("0"),
self.market_trading_pair_tuple_1,
self.market_trading_pair_tuple_2,
Decimal("1"),
Decimal("0.95"))
self.assertEqual(profitable_orders, [
(Decimal("1.045"), Decimal("1.005"), Decimal("1.1"), Decimal("1.005"), Decimal("10.0")),
(Decimal("1.045"), Decimal("1.015"), Decimal("1.1"), Decimal("1.015"), Decimal("20.0"))
])
"""
price amount update_id
0 0.900 5.0 2.0
1 0.950 15.0 2.0
2 1.005 10.0 1.0
3 1.015 20.0 1.0
4 1.025 30.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
self.market_1_data.order_book.apply_diffs(
[],
[OrderBookRow(0.9, 5, 2), OrderBookRow(0.95, 15, 2)],
2
)
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(Decimal("0"),
self.market_trading_pair_tuple_1,
self.market_trading_pair_tuple_2,
Decimal("1"),
Decimal("0.95"))
self.assertEqual(profitable_orders, [
(Decimal("1.045"), Decimal("0.9"), Decimal("1.1"), Decimal("0.9"), Decimal("5.0")),
(Decimal("1.045"), Decimal("0.95"), Decimal("1.1"), Decimal("0.95"), Decimal("15.0")),
(Decimal("1.045"), Decimal("1.005"), Decimal("1.1"), Decimal("1.005"), Decimal("10.0"))
])
def test_find_profitable_arbitrage_orders(self):
self.market_2_data.order_book.apply_diffs([OrderBookRow(1.1, 30, 2)],
[], 2)
"""
market_1 Ask
price amount update_id
0 1.005 10.0 1.0
1 1.015 20.0 1.0
2 1.025 30.0 1.0
3 1.035 40.0 1.0
4 1.045 50.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(
0.0, self.market_1_data.order_book, self.market_2_data.order_book,
self.market_1_symbols[2], self.market_2_symbols[2])
self.assertEqual(profitable_orders, [(1.045, 1.005, 1.1, 1.005, 10.0),
(1.045, 1.015, 1.1, 1.015, 20.0)])
"""
price amount update_id
0 0.900 5.0 2.0
1 0.950 15.0 2.0
2 1.005 10.0 1.0
3 1.015 20.0 1.0
4 1.025 30.0 1.0
market_2 Bid
price amount update_id
0 1.1000 30.0 2.0
1 0.9975 5.0 1.0
2 0.9925 10.0 1.0
3 0.9875 15.0 1.0
4 0.9825 20.0 1.0
"""
self.market_1_data.order_book.apply_diffs(
[], [OrderBookRow(0.9, 5, 2),
OrderBookRow(0.95, 15, 2)], 2)
profitable_orders = ArbitrageStrategy.find_profitable_arbitrage_orders(
0.0, self.market_1_data.order_book, self.market_2_data.order_book,
self.market_1_symbols[2], self.market_2_symbols[2])
self.assertEqual(profitable_orders, [(1.045, 0.9, 1.1, 0.9, 5.0),
(1.045, 0.95, 1.1, 0.95, 15.0),
(1.045, 1.005, 1.1, 1.005, 10.0)])
