def setUp(self):
# Fixture Setup
self.serializer = MsgPackOrderSerializer()
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
class MsgPackOrderSerializerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.serializer = MsgPackOrderSerializer()
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def test_serialize_and_deserialize_market_orders(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(order, deserialized)
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_limit_orders(self):
# Arrange
order = self.order_factory.limit(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
TimeInForce.DAY,
expire_time=None,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(order, deserialized)
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_limit_orders_with_expire_time(self):
# Arrange
order = LimitOrder(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
price=Price("1.00000"),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=uuid4(),
timestamp=UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(order, deserialized)
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_stop_orders_with_expire_time(self):
# Arrange
order = StopMarketOrder(
ClientOrderId("O-123456"),
StrategyId("S", "001"),
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
price=Price("1.00000"),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=uuid4(),
timestamp=UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(order, deserialized)
print(b64encode(serialized))
print(order)
class TestMsgPackOrderSerializer:
def setup(self):
# Fixture Setup
self.serializer = MsgPackOrderSerializer()
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER-000"),
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
def test_serialize_and_deserialize_market_orders(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_limit_orders(self):
# Arrange
order = self.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
Price(1.00000, precision=5),
TimeInForce.DAY,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_limit_orders_with_expire_time(self):
# Arrange
order = LimitOrder(
ClientOrderId("O-123456"),
StrategyId("S-001"),
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=uuid4(),
timestamp_ns=0,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_stop_market_orders_with_expire_time(
self):
# Arrange
order = StopMarketOrder(
ClientOrderId("O-123456"),
StrategyId("S-001"),
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=uuid4(),
timestamp_ns=0,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_stop_limit_orders(self):
# Arrange
order = StopLimitOrder(
ClientOrderId("O-123456"),
StrategyId("S-001"),
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
trigger=Price(1.00010, precision=5),
time_in_force=TimeInForce.GTC,
expire_time=None,
init_id=uuid4(),
timestamp_ns=0,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
def test_serialize_and_deserialize_stop_limit_orders_with_expire_time(
self):
# Arrange
order = StopLimitOrder(
ClientOrderId("O-123456"),
StrategyId("S-001"),
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
trigger=Price(1.00010, precision=5),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=uuid4(),
timestamp_ns=0,
)
# Act
serialized = self.serializer.serialize(order)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == order
print(b64encode(serialized))
print(order)
