def test_get_bid_and_ask_for_missing_ticker():
book = OrderBook()
order_stream1 = '1568390201|abbb11|a|AAPL|S|209.00000|100'
order_stream2 = '1568390202|abbb13|a|AAPL|S|220.00000|1000'
book.process_order(order_stream1)
book.process_order(order_stream2)
assert book.best_bid_and_ask('ZZZZ') == (0, 0)
def test_get_best_bid_price_with_no_ask():
book = OrderBook()
order_stream1 = '1568390201|abbb11|a|AAPL|S|209.00000|100'
order_stream2 = '1568390202|abbb13|a|AAPL|S|220.00000|1000'
book.process_order(order_stream1)
book.process_order(order_stream2)
assert book.best_bid_and_ask('AAPL') == (0, 220)
def test_add_order_missing_details():
order_stream = '1568390243|abbb11|a|AAPL|B|209.00000'
book = OrderBook()
book.process_order(order_stream)
assert book.exception_queue == [[
'Invalid order string', '1568390243', 'abbb11', 'a', 'AAPL', 'B',
'209.00000'
]]
with pytest.raises(KeyError):
book.orders['abbb11']
def test_get_best_bid_and_ask_prices():
book = OrderBook()
order_stream1 = '1568390201|abbb11|a|AAPL|B|209.00000|100'
order_stream2 = '1568390202|abbb12|a|AAPL|S|210.00000|10'
order_stream3 = '1568390202|abbb13|a|AAPL|B|220.00000|1000'
order_stream4 = '1568390202|abbb14|a|AAPL|S|230.00000|500'
book.process_order(order_stream1)
book.process_order(order_stream2)
book.process_order(order_stream3)
book.process_order(order_stream4)
assert book.best_bid_and_ask('AAPL') == (209, 230)
def test_add_order():
order_stream = '1568390243|abbb11|a|AAPL|B|209.00000|100'
book = OrderBook()
book.process_order(order_stream)
assert book.orders['abbb11'] == {
'timestamp': 1568390243,
'id': 'abbb11',
'action': 'a',
'ticker': 'AAPL',
'side': 'B',
'price': 209,
'size': 100
}
def test_update_order():
order_stream1 = '1568390243|abbb11|a|AAPL|B|209.00000|100'
order_stream2 = '1568390244|abbb11|u|101'
book = OrderBook()
book.process_order(order_stream1)
book.process_order(order_stream2)
assert book.orders['abbb11'] == {
'timestamp': 1568390244,
'id': 'abbb11',
'action': 'u',
'ticker': 'AAPL',
'side': 'B',
'price': 209,
'size': 101
}
def test_cancel_for_invalid_order():
order_stream1 = '1568390243|abbb11|a|AAPL|B|209.00000|100'
order_stream2 = '1568390244|ZZZZZZ|c'
book = OrderBook()
book.process_order(order_stream1)
book.process_order(order_stream2)
assert book.orders['abbb11'] == {
'timestamp': 1568390243,
'id': 'abbb11',
'action': 'a',
'ticker': 'AAPL',
'side': 'B',
'price': 209,
'size': 100
}
assert book.exception_queue == [[
'Cancel for non existent order', '1568390244', 'ZZZZZZ', 'c'
]]