class Engine(object):
def __init__(self):
self.order_book = OrderBook()
self.ts = 0
def execute(self, message):
self.ts += 1
try:
order_action = parse_input_message(message, self.ts)
if order_action.action_type == ACTION_TYPE_ADD_ORDER:
trades = self.order_book.add_order(order_action.order)
for trade in trades:
output_trade(trade)
elif order_action.action_type == ACTION_TYPE_CANCEL_ORDER:
self.order_book.cancel_order(order_action.order_id)
except WrongInputFormatException:
sys.stderr.write('Wrong input format: {}\n'.format(message))
except WrongMessageTypeException:
sys.stderr.write('Wrong message type: {}\n'.format(message))
except UnknownOrderException:
sys.stderr.write('Unknown order: {}\n'.format(message))
except DuplicateOrderException:
sys.stderr.write('Duplicate order: {}\n'.format(message))
def test_order_book():
order_book = OrderBook()
assert len(order_book.sell_orders) == 0
assert len(order_book.buy_orders) == 0
trades = order_book.add_order(Order(100000, ORDER_SELL_SIDE, 1, 1075, 1))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 0
assert order_book.sell_orders[0].order_id == 100000
trades = order_book.add_order(Order(100001, ORDER_BUY_SIDE, 9, 1000, 2))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 1
assert order_book.sell_orders[0].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
trades = order_book.add_order(Order(100002, ORDER_BUY_SIDE, 30, 975, 3))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 2
assert order_book.sell_orders[0].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
trades = order_book.add_order(Order(100003, ORDER_SELL_SIDE, 10, 1050, 3))
assert len(trades) == 0
assert len(order_book.sell_orders) == 2
assert len(order_book.buy_orders) == 2
assert order_book.sell_orders[0].order_id == 100003
assert order_book.sell_orders[1].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
trades = order_book.add_order(Order(100004, ORDER_BUY_SIDE, 10, 950, 4))
assert len(trades) == 0
assert len(order_book.sell_orders) == 2
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100003
assert order_book.sell_orders[1].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
assert order_book.buy_orders[2].order_id == 100004
trades = order_book.add_order(Order(100005, ORDER_SELL_SIDE, 2, 1025, 5))
assert len(trades) == 0
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
assert order_book.buy_orders[2].order_id == 100004
trades = order_book.add_order(Order(100006, ORDER_BUY_SIDE, 1, 1000, 6))
assert len(trades) == 0
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 4
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
assert order_book.buy_orders[3].order_id == 100004
order_book.cancel_order(100004)
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
trades = order_book.add_order(Order(100007, ORDER_SELL_SIDE, 5, 1025, 8))
assert len(trades) == 0
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100007
assert order_book.sell_orders[2].order_id == 100003
assert order_book.sell_orders[3].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
trades = order_book.add_order(Order(100008, ORDER_BUY_SIDE, 3, 1050, 9))
assert len(trades) == 2
assert trades[0].quantity == 2
assert trades[0].price == 1025
assert trades[0].aggressive_fill == FILL_TYPE_PARTIAL
assert trades[0].aggressive_quantity == 1
assert trades[0].aggressive_id == 100008
assert trades[0].resting_fill == FILL_TYPE_FULL
assert trades[0].resting_id == 100005
assert trades[1].quantity == 1
assert trades[1].price == 1025
assert trades[1].aggressive_fill == FILL_TYPE_FULL
assert trades[1].aggressive_id == 100008
assert trades[1].resting_fill == FILL_TYPE_PARTIAL
assert trades[1].resting_id == 100007
assert trades[1].resting_quantity == 4
assert order_book.sell_orders[0].order_id == 100007
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
with pytest.raises(UnknownOrderException):
order_book.cancel_order(1000004)
with pytest.raises(DuplicateOrderException):
order_book.add_order(Order(100007, ORDER_SELL_SIDE, 5, 1025, 11))