def test_order_book_can_cancel_sell_other_than_best_ask():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if i % 2 else -i)) for i in range(10)
]
for i, l in enumerate(limit_orders):
l.order_id = i
limit_orders[i] = l
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=2,
order_direction=OrderDirection.sell)
order_book.add_order(cancel_order)
assert len(order_book.bids) > len(
order_book.asks), "Test Failed: should be more buys than sells"
assert cancel_order.cancel_success, "Test Failed: cancel should succeed"
pass
def test_cancel_order_init_():
instrument_id = "AAPL"
order_id = 1
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=order_id,
order_direction=OrderDirection.buy)
assert not cancel_order.cancel_success, "Test Failed: cancel_success should be false unless an order can be cancelled"
pass
def test_order_book_cannot_cancel_nothing():
instrument_id = "AAPL"
order_book = OrderBook()
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=2,
order_direction=OrderDirection.sell)
order_book.add_order(cancel_order)
assert not cancel_order.cancel_success, "Test Failed: cancel should fail"
pass
def test_cannot_cancel_filled_order():
instrument_id = "AAPL"
order_direction = OrderDirection.buy
quantity = 100
price = 10
limit_order = LimitOrder(instrument_id=instrument_id,
order_direction=order_direction,
quantity=quantity,
price=price)
limit_order.order_id = 1
limit_order.status = OrderStatus.filled
instrument_id = "AAPL"
order_id = 1
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=order_id,
order_direction=order_direction)
cancel_order.cancel_order(order=limit_order)
assert limit_order.status == OrderStatus.filled, "Test failed: order cancelled"
assert not cancel_order.cancel_success, "Test Failed: order cancelled"
pass
def add_cancel(self, order: CancelOrder) -> None:
""" Cancelling an existing order
Check all orders to find the first matching order_id and cancel it if possible.
"""
if order.order_direction == OrderDirection.buy and self.best_bid is not None:
best_bid = self.best_bid
bids = self.bids
if order.order_id == best_bid.order_id:
order.cancel_order(best_bid)
self.complete_orders.append(best_bid)
if bids:
self.best_bid = bids.pop(0)
self.attempt_match = True
else:
self.best_bid = None
elif bids:
matched_order = self.find_in_list(bids, order.order_id)
if matched_order:
bids.remove(matched_order)
self.complete_orders.append(matched_order)
order.cancel_order(matched_order)
elif order.order_direction == OrderDirection.sell and self.best_ask is not None:
best_ask = self.best_ask
asks = self.asks
if order.order_id == best_ask.order_id:
order.cancel_order(best_ask)
self.complete_orders.append(best_ask)
if self.asks:
self.best_ask = self.asks.pop(0)
self.attempt_match = True
else:
self.best_ask = None
elif asks:
matched_order = self.find_in_list(asks, order.order_id)
if matched_order:
asks.remove(matched_order)
self.complete_orders.append(matched_order)
order.cancel_order(matched_order)
return None
def test_order_book_can_cancel_sell():
""" Here there are more asks than bids, so the bids will fill"""
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if i % 2 else -i)) for i in range(10)
]
for i, l in enumerate(limit_orders):
l.order_id = i
limit_orders[i] = l
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=0,
order_direction=OrderDirection.sell)
order_book.match()
order_book.add_order(cancel_order)
assert not order_book.asks, "Test Failed: There should be no asks after this matching"
assert order_book.best_ask is None, "Test Failed: best_ask should be empty"
assert not order_book.bids, "Test Failed: There should be no bids after this matching"
assert order_book.best_bid is None, "Test Failed: best_bid should be empty"
assert len(
order_book.trades) > 5, "Test Failed: trades should more than 5 trades"
assert len(order_book.complete_orders
) == 10, "Test Failed: complete_orders should have 10 orders"
assert cancel_order.cancel_success, "Test Failed: cancel should succeed"
pass
# matching_engine.match()
# profile
cProfile.run("matching_engine.match()", "prof_file")
p = pstats.Stats("prof_file")
p.strip_dirs().sort_stats(-1).print_stats(10)
matches = sum(
len(o.complete_orders) for o in matching_engine.order_books.values())
matches / num_orders
# Test cancels
orders = get_data(num_orders)
cancels = [
CancelOrder(instrument_id=o.instrument_id,
order_id=o.order_id,
order_direction=o.order_direction) for o in orders
]
orders = orders + cancels
random.shuffle(orders)
matching_engine = MatchingEngine()
for order in orders:
matching_engine.add_order(order)
# matching_engine.match()
# Profile
cProfile.run("matching_engine.match()", "prof_file")
p = pstats.Stats("prof_file")
p.strip_dirs().sort_stats(-1).print_stats(10)