class MsgPackEventSerializerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.account_id = TestStubs.account_id()
self.serializer = MsgPackEventSerializer()
def test_serialize_and_deserialize_account_state_events(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "000"),
balances=[Money(1525000, USD)],
balances_free=[Money(1425000, USD)],
balances_locked=[Money(0, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
event_timestamp=UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_initialized_events(self):
# Arrange
options = {'Price': '1.0005'}
event = OrderInitialized(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.symbol,
OrderSide.SELL,
OrderType.STOP_MARKET,
Quantity(100000),
TimeInForce.DAY,
uuid4(),
UNIX_EPOCH,
options=options,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
self.assertEqual(options, event.options)
def test_serialize_and_deserialize_order_submitted_events(self):
# Arrange
event = OrderSubmitted(
self.account_id,
ClientOrderId("O-123456"),
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_invalid_events(self):
# Arrange
event = OrderInvalid(
ClientOrderId("O-123456"),
"OrderId already exists",
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_denied_events(self):
# Arrange
event = OrderDenied(
ClientOrderId("O-123456"),
"Exceeds risk for FX",
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_accepted_events(self):
# Arrange
event = OrderAccepted(
self.account_id,
ClientOrderId("O-123456"),
OrderId("B-123456"),
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_rejected_events(self):
# Arrange
event = OrderRejected(
self.account_id,
ClientOrderId("O-123456"),
UNIX_EPOCH,
"ORDER_ID_INVALID",
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_working_events(self):
# Arrange
event = OrderWorking(
self.account_id,
ClientOrderId("O-123456"),
OrderId("B-123456"),
AUDUSD_SIM.symbol,
OrderSide.SELL,
OrderType.STOP_MARKET,
Quantity(100000),
Price("1.50000"),
TimeInForce.DAY,
None,
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_working_events_with_expire_time(
self):
# Arrange
event = OrderWorking(
self.account_id,
ClientOrderId("O-123456"),
OrderId("B-123456"),
AUDUSD_SIM.symbol,
OrderSide.SELL,
OrderType.STOP_MARKET,
Quantity(100000),
Price("1.50000"),
TimeInForce.DAY,
UNIX_EPOCH,
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_cancelled_events(self):
# Arrange
event = OrderCancelled(
self.account_id,
ClientOrderId("O-123456"),
OrderId("1"),
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_cancel_reject_events(self):
# Arrange
event = OrderCancelReject(
self.account_id,
ClientOrderId("O-123456"),
UNIX_EPOCH,
"RESPONSE",
"ORDER_DOES_NOT_EXIST",
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_modified_events(self):
# Arrange
event = OrderModified(
self.account_id,
ClientOrderId("O-123456"),
OrderId("1"),
Quantity(100000),
Price("0.80010"),
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_expired_events(self):
# Arrange
event = OrderExpired(
self.account_id,
ClientOrderId("O-123456"),
OrderId("1"),
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_partially_filled_events(self):
# Arrange
event = OrderFilled(
self.account_id,
ClientOrderId("O-123456"),
OrderId("1"),
ExecutionId("E123456"),
PositionId("T123456"),
StrategyId("S", "001"),
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(50000),
Quantity(50000),
Quantity(50000),
Price("1.00000"),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.MAKER,
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
def test_serialize_and_deserialize_order_filled_events(self):
# Arrange
event = OrderFilled(
self.account_id,
ClientOrderId("O-123456"),
OrderId("1"),
ExecutionId("E123456"),
PositionId("T123456"),
StrategyId("S", "001"),
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Quantity(100000),
Quantity(),
Price("1.00000"),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.TAKER,
UNIX_EPOCH,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(deserialized, event)
class TestMsgPackEventSerializer:
def setup(self):
# Fixture Setup
self.account_id = TestStubs.account_id()
self.serializer = MsgPackEventSerializer()
def test_serialize_and_deserialize_account_state_events(self):
# Arrange
event = AccountState(
account_id=AccountId("SIM", "000"),
balances=[Money(1525000, USD)],
balances_free=[Money(1425000, USD)],
balances_locked=[Money(0, USD)],
info={"default_currency": "USD"},
event_id=uuid4(),
timestamp_ns=0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_market_order_initialized_events(self):
# Arrange
event = OrderInitialized(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
OrderType.MARKET,
Quantity(100000),
TimeInForce.FOK,
uuid4(),
0,
options={},
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_limit_order_initialized_events(self):
# Arrange
options = {
"ExpireTime": None,
"Price": "1.0010",
"PostOnly": True,
"ReduceOnly": True,
"Hidden": False,
}
event = OrderInitialized(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
OrderType.LIMIT,
Quantity(100000),
TimeInForce.DAY,
uuid4(),
0,
options=options,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options
def test_serialize_and_deserialize_stop_market_order_initialized_events(
self):
# Arrange
options = {
"ExpireTime": None,
"Price": "1.0005",
"ReduceOnly": False,
}
event = OrderInitialized(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
OrderType.STOP_MARKET,
Quantity(100000),
TimeInForce.DAY,
uuid4(),
0,
options=options,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options
def test_serialize_and_deserialize_stop_limit_order_initialized_events(
self):
# Arrange
options = {
"ExpireTime": None,
"Price": "1.0005",
"Trigger": "1.0010",
"PostOnly": True,
"ReduceOnly": False,
"Hidden": False,
}
event = OrderInitialized(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
OrderType.STOP_LIMIT,
Quantity(100000),
TimeInForce.DAY,
uuid4(),
0,
options=options,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options
def test_serialize_and_deserialize_order_submitted_events(self):
# Arrange
event = OrderSubmitted(
self.account_id,
ClientOrderId("O-123456"),
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_invalid_events(self):
# Arrange
event = OrderInvalid(
ClientOrderId("O-123456"),
"VenueOrderId already exists",
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_denied_events(self):
# Arrange
event = OrderDenied(
ClientOrderId("O-123456"),
"Exceeds risk for FX",
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_accepted_events(self):
# Arrange
event = OrderAccepted(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("B-123456"),
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_rejected_events(self):
# Arrange
event = OrderRejected(
self.account_id,
ClientOrderId("O-123456"),
0,
"ORDER_ID_INVALID",
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_cancelled_events(self):
# Arrange
event = OrderCancelled(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_update_reject_events(self):
# Arrange
event = OrderUpdateRejected(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
0,
"RESPONSE",
"ORDER_DOES_NOT_EXIST",
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_cancel_reject_events(self):
# Arrange
event = OrderCancelRejected(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
0,
"RESPONSE",
"ORDER_DOES_NOT_EXIST",
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_amended_events(self):
# Arrange
event = OrderUpdated(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
Quantity(100000),
Price("0.80010"),
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_expired_events(self):
# Arrange
event = OrderExpired(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_partially_filled_events(self):
# Arrange
event = OrderFilled(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
ExecutionId("E123456"),
PositionId("T123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(50000),
Price("1.00000"),
Quantity(50000),
Quantity(50000),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.MAKER,
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_serialize_and_deserialize_order_filled_events(self):
# Arrange
event = OrderFilled(
self.account_id,
ClientOrderId("O-123456"),
VenueOrderId("1"),
ExecutionId("E123456"),
PositionId("T123456"),
StrategyId("S", "001"),
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
Quantity(100000),
Quantity(),
AUDUSD_SIM.quote_currency,
AUDUSD_SIM.is_inverse,
Money(0, USD),
LiquiditySide.TAKER,
0,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event