def test_keeps_book_intact_when_delete_on_empty_book(self):
empty_book = Book()
delete_bid = MBLUpdate.create_delete_bid_level(18.1)
mbl = MBL(5)
updated_book = mbl.update(empty_book, delete_bid)
expected_book = Book()
self.assertEqual(expected_book, updated_book)
def test_adds_bid_to_empty_book_when_update_on_bid(self):
book = Book()
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def test_keeps_book_intact_when_delete_missing_level(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(18.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(13.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_deletes_existing_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(13.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_cut_extra_levels_when_update_on_full_bid(self):
book = Book()
book.add_bid(Level(15.1, 1, 2))
book.add_bid(Level(13.1, 1, 2))
bid_update = MBLUpdate(17.1, 1, 2)
mbl = MBL(length=2)
updated_book = mbl.update(book, bid_update)
expected_book = Book([Level(17.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_buy_market_removes_top_ask(self):
simulation = Simulation()
buy_at_market_price = actions.buy('BTC-USD', 2)
simulation.on_action(buy_at_market_price)
mbl = Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 2, 2)])
events = simulation.on_event({'event_name': 'on_mbl', 'data': mbl})
trade_event = events[0]
mbl_event = events[1]
self.assertEqual({'event_name': 'on_trade', 'data': Trades([(0, 0, 1, 100), (0, 0, 1, 105)])}, trade_event)
self.assertEqual({'event_name': 'on_mbl', 'data': Book(bids=[Level(90, 1, 1)], asks=[Level(105, 1, 1)])}, mbl_event)
def test_new_top_ask_after_buy_market_keeps_it(self):
simulation = Simulation()
buy_at_market_price = actions.buy('BTC-USD', 1)
simulation.on_action(buy_at_market_price)
mbl = Book(bids=[Level(90, 1, 1)], asks=[Level(105, 2, 2)])
simulation.on_event({'event_name': 'on_mbl', 'data': mbl})
mbl_new_top = Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 2, 2)])
events = simulation.on_event({'event_name': 'on_mbl', 'data': mbl_new_top})
mbl_event = events[0]
self.assertEqual(1, len(events))
self.assertEqual({'event_name': 'on_mbl', 'data': Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 1, 1)])}, mbl_event)
def test_updates_existing_bid_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 2, 7))
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def btfxwss():
log = logging.getLogger(__name__)
fh = logging.FileHandler('test.log')
fh.setLevel(logging.DEBUG)
sh = logging.StreamHandler(sys.stdout)
sh.setLevel(logging.DEBUG)
log.addHandler(sh)
log.addHandler(fh)
logging.basicConfig(level=logging.DEBUG, handlers=[fh, sh])
wss = BtfxWss()
wss.start()
while not wss.conn.connected.is_set():
time.sleep(1)
# Subscribe to some channels
wss.subscribe_to_ticker('BTCUSD')
wss.subscribe_to_order_book('BTCUSD')
wss.subscribe_to_order_book('ETHUSD')
# Wait for subscription...
time.sleep(2)
mbl = MBL()
book = Book()
recorder = Recorder(open("output.txt", mode='w'))
# Accessing data stored in BtfxWss:
books_queue = wss.books('ETHUSD') # returns a Queue object for the pair.
while True:
book_update = books_queue.get()[0][0]
if len(book_update) > 3:
print("snapshot")
mbl_snapshot = MBLSnapshot(book_update)
book = mbl.from_snapshot(mbl_snapshot)
recorder.on_mbl(book)
elif len(book_update) == 3:
print("update: " + str(book_update))
update = MBLUpdate(book_update[0], book_update[1], book_update[2])
book = mbl.update(book, update)
recorder.on_mbl(book)
# Unsubscribing from channels:
wss.unsubscribe_from_ticker('BTCUSD')
wss.unsubscribe_from_order_book('BTCUSD')
# Shutting down the client:
wss.stop()
def update(self, book, update_mbl):
updated_book = Book()
if update_mbl.is_add_or_update_level():
if update_mbl.is_add_or_update_bid():
updated_book = self.add_or_update_bid(book, update_mbl)
else:
updated_book = self.add_or_update_ask(book, update_mbl)
else:
if update_mbl.is_delete_bid():
updated_book = self.delete_bid(book, update_mbl.price)
elif update_mbl.is_delete_ask():
updated_book = self.delete_ask(book, update_mbl.price)
return updated_book
def test_on_mbl(self):
os = TestRecorder.TestOutputStream()
book = Book(bids=[Level(10.0, 1, 2.5),
Level(11.5, 1, 2)],
asks=[Level(15.0, 1, 2),
Level(18.2, 1, 6.3)])
recorder = Recorder(os)
recorder.on_mbl(book)
self.assertEqual(
json.dumps({
'event_name': 'on_mbl',
'data': {
'bid': [[10.0, 1, 2.5], [11.5, 1, 2]],
'ask': [[15.0, 1, 2], [18.2, 1, 6.3]]
}
}) + "\n", os.dump)
def test_decode_book(self):
record_entry = json.dumps({
'event_name': 'on_mbl',
'data': {
'bid': [[10.0, 1, 2.5], [11.5, 1, 2]],
'ask': [[15.0, 1, 2], [18.2, 1, 6.3]]
}
})
entry = decode(record_entry)
self.assertEqual(
{
'event_name':
'on_mbl',
'data':
Book(
[Level(10.0, 1, 2.5),
Level(11.5, 1, 2)],
[Level(15.0, 1, 2), Level(18.2, 1, 6.3)])
}, entry)
def test_default_book_is_empty(self):
book = Book()
self.assertTrue(book.is_empty())
def test_displays_nicely_a_MBL(self):
book = Book()
book.add_bid(Level(6.3, 4, 80))
book.add_bid(Level(4, 1, 5))
book.add_ask(Level(7, 1, 1))
book.add_ask(Level(10, 26, 150))
book.add_ask(Level(16, 17, 42))
expected_str = " BID | ASK \n" \
" +6.300000 x 80.000000 @ 4 | +7.000000 x 1.000000 @ 1\n" \
" +4.000000 x 5.000000 @ 1 | +10.000000 x 150.000000 @ 26\n" \
" | +16.000000 x 42.000000 @ 17"
self.assertEqual(expected_str, str(book))
def test_displays_nicely_an_unaligned_book(self):
book = Book()
book.add_bid(Order(6.3, 80))
book.add_bid(Order(4, 5))
book.add_ask(Order(7, 1))
book.add_ask(Order(10, 150))
book.add_ask(Order(16, 42))
expected_str = " BID | ASK \n" \
" +6.300000 x 80.000000 | +7.000000 x 1.000000\n" \
" +4.000000 x 5.000000 | +10.000000 x 150.000000\n" \
" | +16.000000 x 42.000000"
self.assertEqual(expected_str, str(book))
def test_a_book_with_three_ask_lines_has_a_ask_depth_of_three(self):
book = Book()
book.add_ask(Level(4, 10, 2))
book.add_ask(Level(5, 10, 2))
book.add_ask(Level(7, 10, 2))
self.assertEqual(3, book.ask_depth())
def test_best_ask_is_the_smallest_price(self):
book = Book()
book.add_ask(Order(5, 10))
book.add_ask(Order(7, 10))
self.assertEqual(Order(5, 10), book.best_ask())
def test_best_bid_is_the_greatest_price(self):
book = Book()
book.add_bid(Order(7, 10))
book.add_bid(Order(5, 10))
self.assertEqual(Order(7, 10), book.best_bid())
async def home_made_websocket(in_queue):
async with websockets.connect("wss://api.bitfinex.com/ws/2") as ws:
result = await ws.recv()
result = json.loads(result)
print("Connection established to Bitfinex api version %s " %
result['version'])
# Subscribe
await ws.send(
json.dumps({
"event": "subscribe",
"channel": "book",
"symbol": "tBTCUSD",
"prec": "P0",
"freq": "F0",
"len": "25"
}))
# Subscribe
await ws.send(
json.dumps({
"event": "subscribe",
"channel": "trades",
"symbol": "tBTCUSD"
}))
mbl = MBL()
book = Book()
trades = Trades()
channel_ids = {}
try:
while True:
result = await ws.recv()
result = json.loads(result)
fct_to_call = None
decoded_msg = Book()
if 'event' in result and result['event'] == 'subscribed':
print("Subscribed to %s channel for %s" %
(result['channel'], result['pair']))
if result['channel'] == 'book':
channel_ids[result['chanId']] = 'b'
elif result['channel'] == 'trades':
channel_ids[result['chanId']] = 't'
elif result[0] in channel_ids and channel_ids[
result[0]] == 't':
if result[1] == 'tu':
pass
elif result[1] == 'hb':
pass
elif len(result[1]) > 3:
trades = Trades(result[1], length=3)
decoded_msg = trades
fct_to_call = 'on_trade'
elif result[1] == 'te':
trades.add_trade(
Trade(result[2][1], result[2][2], result[2][3]))
decoded_msg = trades
fct_to_call = 'on_trade'
elif result[0] in channel_ids and channel_ids[
result[0]] == 'b':
if len(result[1]) > 3:
mbl_snapshot = MBLSnapshot(result[1])
book = mbl.from_snapshot(mbl_snapshot)
decoded_msg = book
fct_to_call = 'on_mbl'
elif result[1] == 'hb':
pass
elif len(result[1]) == 3:
# print("update: " + str(result[1]))
update = MBLUpdate(result[1][0], result[1][1],
result[1][2])
book = mbl.update(book, update)
decoded_msg = book
fct_to_call = 'on_mbl'
if fct_to_call is not None:
in_queue.put({
'event_name': fct_to_call,
'data': decoded_msg
})
except KeyboardInterrupt:
print("Keyboard interruption in websocket")
finally:
print("Cleaning websocket")
def delete_ask(self, book, up_price):
ask = self.delete(book.ask, up_price)
return Book(book.bid, ask)
def delete_bid(self, book, up_price):
bid = self.delete(book.bid, up_price)
return Book(bid, book.ask)
def add_or_update_ask(self, book, update_mbl):
ask = self.add_or_update(book.ask, update_mbl, bisect_left)
return Book(book.bid, ask)
def add_or_update_bid(self, book, update_mbl):
bid = self.add_or_update(
book.bid, update_mbl,
lambda l, level: max(len(l) - 1 - bisect_left(l[::-1], level), 0))
return Book(bid, book.ask)
def from_snapshot(self, snapshot):
(bid, ask) = snapshot.split()
return Book(bid[:self.length], ask[:self.length])
def test_updates_existing_bid(self):
book = Book()
book.add_bid(Level(11705.0, 1, 0.381988))
book.add_bid(Level(11704.0, 4, 0.955999))
book.add_bid(Level(11703.0, 1, 0.165141))
print(book)
mbl = MBL(3)
bid_update = MBLUpdate(11704.0, 3, 0.94745498)
updated_book = mbl.update(book, bid_update)
print(updated_book)
expected_book = Book()
expected_book.add_bid(Level(11705.0, 1, 0.381988))
expected_book.add_bid(Level(11704.0, 3, 0.94745498))
expected_book.add_bid(Level(11703.0, 1, 0.165141))
self.assertEqual(expected_book, updated_book)
def __init__(self, strategy):
self.book = Book()
self.trades = Trades()
self.daily_info = DailyInfo()
self.living_orders = []
self.strategy = strategy
def test_len_is_zero_for_default_book(self):
book = Book()
self.assertEqual(0, len(book))