def test_FOK():
DEF_TRIGGER = sob.TRIGGER_FILL_FULL
def check_aot(aot, cond, trigger, tag):
check_val(aot.condition, cond, "FOK - " + tag + " - .condition")
check_val(aot.trigger, trigger, "FOK - " + tag + " - .trigger")
aot1 = sob.AdvancedOrderTicketFOK.build()
check_aot(aot1, sob.CONDITION_FOK, DEF_TRIGGER, 'fill-full aot')
aot2 = sob.AdvancedOrderTicketFOK.build(sob.TRIGGER_FILL_PARTIAL)
check_aot(aot2, sob.CONDITION_FOK, sob.TRIGGER_FILL_PARTIAL,
'fill-partial aot')
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
book.sell_limit(BOOK_MID, SZ)
book.buy_limit(BOOK_MID, SZ * 2, advanced=aot1)
md = book.market_depth()
if book.volume(
) or md[BOOK_MID][0] != SZ or md[BOOK_MID][1] != sob.SIDE_ASK:
raise Exception("*** ERROR fill-full FOK failed ***")
o1 = book.buy_limit(BOOK_MID, SZ * 2, advanced=aot2)
if book.volume() != SZ:
raise Exception("*** ERROR vol(%i) != %i ***" % (book.volume(), SZ))
md = book.market_depth()
if not md[BOOK_MID]:
raise Exception("*** ERROR invalid market_depth elem @ %f ***" %
BOOK_MID)
if md[BOOK_MID][0] != SZ:
raise Exception("*** ERROR reaming size @ %f (%i) != %i ***" %
(BOOK_MID, md[BOOK_MID][0], SZ))
if md[BOOK_MID][1] != sob.SIDE_BID:
raise Exception(
"*** ERROR remaing limit not on correct side of market")
def test_OCO():
DEF_TRIGGER = sob.TRIGGER_FILL_PARTIAL
def check_aot(aot, cond, trigger, is_buy, sz, limit, stop, tag):
check_val(aot.condition, cond, "OCO - " + tag + " - .condition")
check_val(aot.trigger, trigger, "OCO - " + tag + " - .trigger")
check_val(aot.is_buy, is_buy, "OCO - " + tag + " - .is_buy")
check_val(aot.size, sz, "OCO - " + tag + " - .size")
check_val(aot.limit, limit, "OCO - " + tag + " - .limit")
check_val(aot.stop, stop, "OCO - " + tag + " - .stop")
aot_limit = sob.AdvancedOrderTicketOCO.build_limit(True, BOOK_MID, SZ)
check_aot(aot_limit, sob.CONDITION_OCO, DEF_TRIGGER, True, SZ, BOOK_MID, 0,
'lmit AOT')
aot_stop = sob.AdvancedOrderTicketOCO.build_stop(False, BOOK_MIN, SZ * 2)
check_aot(aot_stop, sob.CONDITION_OCO, DEF_TRIGGER, False, SZ * 2, 0,
BOOK_MIN, 'stop AOT')
aot_stop_limit = sob.AdvancedOrderTicketOCO.build_stop_limit(
True, BOOK_MID, BOOK_MAX, 1)
check_aot(aot_stop_limit, sob.CONDITION_OCO, DEF_TRIGGER, True, 1,
BOOK_MAX, BOOK_MID, 'stop_limit AOT')
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
o1 = book.sell_limit(BOOK_MID + BOOK_INCR, SZ2, advanced=aot_limit)
o2 = book.sell_stop_limit(BOOK_MID - BOOK_INCR,
BOOK_MIN,
SZ2,
advanced=aot_stop_limit)
# (L,o1.a,SZ2)
# (L,o1.b,SZ) (S,o2.b,1) (SL,o2.a,SZ2)
o3 = book.buy_market(SZ)
# (L,o1.a,SZ2-SZ)
if book.volume() != SZ + 1:
raise Exception("*** ERROR vol(%i) != %i ***" %
(book.volume(), SZ + 1))
md = book.market_depth()
if len(md) != 1:
raise Exception("*** ERROR length of market_depth dict != %i ***" % 1)
x = md[BOOK_MID + BOOK_INCR]
if not x:
raise Exception("*** ERROR invalid market_depth elem @ %f ***" %
BOOK_MID + BOOK_INCR)
if x[0] != SZ2 - SZ - 1:
raise Exception("*** ERROR reaming size(%i) != %i ***" %
(x[0], SZ2 - SZ - 1))
def test_TrailingStop():
def check_aot(aot, cond, trigger, nticks, tag):
check_val(aot.condition, cond,
"TrailingStop - " + tag + " - .condition")
check_val(aot.trigger, trigger,
"TrailingStop - " + tag + " - .trigger")
check_val(aot.nticks, nticks, "TrailingStop - " + tag + " - .nticks")
aot1 = sob.AdvancedOrderTicketTrailingStop.build(NTICKS,
sob.TRIGGER_FILL_FULL)
check_aot(aot1, sob.CONDITION_TRAILING_STOP, sob.TRIGGER_FILL_FULL, NTICKS,
'')
o1 = 0
def stop_cb(msg, id1, id2, price, size):
nonlocal o1
if msg == sob.MSG_TRIGGER_TRAILING_STOP_OPEN:
o1 = id2
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
o1 = book.buy_limit(BOOK_MID, SZ, callback=stop_cb, advanced=aot1)
oi = book.get_order_info(o1)
if oi.limit != BOOK_MID or oi.order_type != sob.ORDER_TYPE_LIMIT:
raise Exception("*** ERROR (!) invalid OrderInfo")
if not oi.advanced or oi.advanced.nticks != NTICKS \
or oi.advanced.condition != sob.CONDITION_TRAILING_STOP:
raise Exception("*** ERROR (1) invalid OrderInfo.advanced")
book.sell_market(SZ)
oi = book.get_order_info(o1)
if oi.limit != 0 or oi.stop != (BOOK_MID - (NTICKS*BOOK_INCR)) \
or oi.order_type != sob.ORDER_TYPE_STOP:
raise Exception("*** ERROR (2) invalid OrderInfo")
if not oi.advanced or oi.advanced.condition != sob.CONDITION_TRAILING_STOP_ACTIVE:
raise Exception("*** ERROR (2) invalid OrderInfo.advanced")
book.sell_limit(BOOK_MID + 10 * BOOK_INCR, SZ)
book.buy_market(SZ)
oi = book.get_order_info(o1)
if oi.stop != BOOK_MID or oi.order_type != sob.ORDER_TYPE_STOP:
raise Exception("*** ERROR (3) invalid OrderInfo")
if not oi.advanced or oi.advanced.condition != sob.CONDITION_TRAILING_STOP_ACTIVE:
raise Exception("*** ERROR (3) invalid OrderInfo.advanced")
def test_TrailingBracket():
def check_aot(aot, cond, trigger, stop_nticks, target_nticks, tag):
check_val(aot.condition, cond,
"TrailingBracket - " + tag + " - .condition")
check_val(aot.trigger, trigger,
"TrailingBracket - " + tag + " - .trigger")
check_val(aot.stop_nticks, stop_nticks,
"TrailingBracket - " + tag + " - .stop_nticks")
check_val(aot.target_nticks, target_nticks,
"TrailingBracket - " + tag + " - .target_nticks")
aot2 = sob.AdvancedOrderTicketTrailingBracket.build(
NTICKS, NTICKS, sob.TRIGGER_FILL_FULL)
check_aot(aot2, sob.CONDITION_TRAILING_BRACKET, sob.TRIGGER_FILL_FULL,
NTICKS, NTICKS, '')
o1 = 0
def stop_cb(msg, id1, id2, price, size):
nonlocal o1
if msg == sob.MSG_TRIGGER_BRACKET_OPEN or msg == sob.MSG_TRIGGER_BRACKET_CLOSE:
o1 = id2
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
o1 = book.buy_limit(BOOK_MID, SZ, callback=stop_cb, advanced=aot2)
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_TRAILING_BRACKET:
raise Exception("*** ERROR (1a) invalid OrderInfo.advanced")
book.sell_limit(BOOK_MID, SZ)
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_TRAILING_BRACKET_ACTIVE:
raise Exception("*** ERROR (1b) invalid OrderInfo.advanced")
book.sell_limit(BOOK_MID + BOOK_INCR, SZ)
book.buy_market(SZ)
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.stop != (BOOK_MID -
(NTICKS - 1) * BOOK_INCR):
raise Exception("*** ERROR (1c) invalid OrderInfo.advanced")
book.buy_market(SZ)
if book.market_depth():
raise Exception("*** ERROR orders still exists in book ***")
def test_AON():
aot = sob.AdvancedOrderTicketAON.build()
check_val(aot.condition, sob.CONDITION_AON, "AON.condition")
check_val(aot.trigger, sob.TRIGGER_NONE, "AON.trigger")
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
def cb(msg, id1, id2, price, size):
pass #print("AON callback: ", msg, id1, id2, price, size)
o1 = book.sell_limit(BOOK_MID + BOOK_INCR, SZ, cb)
o2 = book.buy_limit(BOOK_MID + BOOK_INCR, SZ, cb)
o3 = book.sell_limit(BOOK_MID + BOOK_INCR, SZ, cb)
o4 = book.sell_limit(BOOK_MID + BOOK_INCR * 2, SZ, cb)
o5 = book.buy_limit(BOOK_MID + BOOK_INCR * 2, SZ * 2, cb, advanced=aot)
if book.bid_size() != 0:
raise Exception("*** ERROR bid size(%i) != %i ***" %
(book.bid_size(), 0))
if book.ask_size() != 0:
raise Exception("*** ERROR ask size(%i) != %i ***" %
(book.ask_size(), 0))
if book.volume() != SZ * 3:
raise Exception("*** ERROR volume(%i) != %i ***" %
(book.volume(), SZ * 3))
#book.dump_buy_limits()
#book.dump_sell_limits()
#book.dump_aon_buy_limits()
#book.dump_aon_sell_limits()
o6 = book.sell_limit(BOOK_MID + BOOK_INCR, SZ, cb)
o7 = book.sell_limit(BOOK_MID + BOOK_INCR * 2, SZ, cb)
o8 = book.buy_limit(BOOK_MID + BOOK_INCR * 2,
int(SZ * 1.5),
cb,
advanced=aot)
#book.dump_limits()
#book.dump_stops()
#book.dump_aon_limits()
if book.volume() != SZ * 4.5:
raise Exception("*** ERROR volume(%i) != %i ***" %
(book.volume(), SZ * 4.5))
oi = book.get_order_info(o7)
if oi.limit != BOOK_MID + BOOK_INCR * 2:
raise Exception("*** ERROR order_info.limit(%f) != %f ***" %
(oi.limit, BOOK_MID + BOOK_INCR * 2))
if oi.size != SZ * .5:
raise Exception("*** ERROR order_info.size(%i) != %i ***" %
(oi.size, SZ * .5))
if not book.pull_order(o7):
raise Exception("*** ERROR failed to remove order 'o7', id: %i" % o7)
oi = book.get_order_info(o8)
if oi:
raise Exception("*** ERROR order_info should be None ***")
if book.pull_order(o8):
raise Exception(
"*** ERROR successfully to removed order 'o8', id: %i" % o8)
#book.dump_aon_buy_limits()
#book.dump_aon_sell_limits()
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
book.sell_limit(BOOK_MID + BOOK_INCR, SZ, cb, aot)
book.sell_limit(BOOK_MID + BOOK_INCR * 2, SZ, cb, aot)
tabs = book.total_aon_bid_size()
taas = book.total_aon_ask_size()
tas = book.total_aon_size()
if tabs != 0:
raise Exception("*** ERROR total_aon_bid_size(%i) != %i ***" %
(tabs, 0))
if taas != 2 * SZ:
raise Exception("*** ERROR total_aon_ask_size(%i) != %i ***" %
(taas, 2 * SZ))
if tas != 2 * SZ:
raise Exception("*** ERROR total_aon_size(%i) != %i ***" %
(tas, 2 * SZ))
#book.dump_aon_buy_limits()
#book.dump_aon_sell_limits()
#book.dump_aon_limits()
o9 = book.buy_limit(BOOK_MIN, 1, advanced=aot)
md = book.aon_market_depth()
if len(md) != 3:
raise Exception("*** ERROR len(aon_market_depth)(%i) != %i ***" %
(len(md), 3))
if BOOK_MIN not in md:
raise Exception("*** ERROR level(%f) not in aon_market_depth) ***" %
BOOK_MIN)
buysz = md[BOOK_MIN][0]
if buysz != 1:
raise Exception("*** ERROR aon buy size @ %f(%i) != %i ***" %
(BOOK_MIN, buysz, 1))
o10 = book.replace_with_buy_limit(o9, BOOK_MIN + BOOK_INCR, SZ, cb)
if not o10:
raise Exception("*** ERROR failed to replace order %i ***" % o9)
if not book.pull_order(o10):
raise Exception("*** ERROR failed to pull order %i ***" % o10)
md = book.aon_market_depth()
if len(md) != 2:
raise Exception("*** ERROR len(aon_market_depth)(%i) != %i ***" %
(len(md), 2))
if BOOK_MID + BOOK_INCR not in md:
raise Exception("*** ERROR level(%f) not in aon_market_depth) ***" %
BOOK_MID + BOOK_INCR)
if BOOK_MID + BOOK_INCR * 2 not in md:
raise Exception("*** ERROR level(%f) not in aon_market_depth) ***" %
BOOK_MID + BOOK_INCR * 2)
book.buy_limit(BOOK_MID + BOOK_INCR * 2, int(SZ * 2.5), cb)
bs = book.bid_size()
tbs = book.total_bid_size()
ts = book.total_size()
if bs != SZ / 2:
raise Exception("*** ERROR bid_size(%i) != %i ***" % (bs, SZ / 2))
if tbs != SZ / 2:
raise Exception("*** ERROR tota_bid_size(%i) != %i ***" %
(tbs, SZ / 2))
if ts != SZ / 2:
raise Exception("*** ERROR total_size(%i) != %i ***" % (ts, SZ / 2))
tabs = book.total_aon_bid_size()
tas = book.total_aon_size()
if tabs != 0:
raise Exception("*** ERROR total_aon_bid_size(%i) != %i ***" %
(tabs, 0))
if tas != 0:
raise Exception("*** ERROR total_aon_size(%i) != %i ***" % (tas, 0))
md = book.aon_market_depth()
if len(md) != 0:
raise Exception("*** ERROR len(aon_market_depth)(%i) != %i ***" %
(len(md), 0))
def test_BRACKET():
DEF_TRIGGER = sob.TRIGGER_FILL_PARTIAL
AOT = sob.AdvancedOrderTicketBRACKET
def check_aot(aot, cond, trigger, is_buy, loss_stop, loss_limit,
target_limit, tag):
check_val(aot.condition, cond, "BRACKET - " + tag + " - .condition")
check_val(aot.trigger, trigger, "BRACKET - " + tag + " - .trigger")
check_val(aot.is_buy, is_buy, "BRACKET - " + tag + " - .is_buy")
check_val(aot.loss_stop, loss_stop,
"BRACKET - " + tag + " - .loss_stop")
check_val(aot.loss_limit, loss_limit,
"BRACKET - " + tag + " - .loss_limit")
check_val(aot.target_limit, target_limit,
"BRACKET - " + tag + " - .target_limit")
aot_ssl = AOT.build_sell_stop_limit(BOOK_MID, BOOK_MIN, BOOK_MAX,
sob.TRIGGER_FILL_FULL)
check_aot(aot_ssl, sob.CONDITION_BRACKET, sob.TRIGGER_FILL_FULL, False,
BOOK_MID, BOOK_MIN, BOOK_MAX, 'sell_stop_limit fill-partial AOT')
aot_bsl = AOT.build_buy_stop_limit(BOOK_MID, BOOK_MAX, BOOK_MIN,
sob.TRIGGER_FILL_FULL)
check_aot(aot_bsl, sob.CONDITION_BRACKET, sob.TRIGGER_FILL_FULL, True,
BOOK_MID, BOOK_MAX, BOOK_MIN, 'buy_stop_limit fill-full AOT')
aot_ss = AOT.build_sell_stop(BOOK_MID, BOOK_MAX, sob.TRIGGER_FILL_FULL)
check_aot(aot_ss, sob.CONDITION_BRACKET, sob.TRIGGER_FILL_FULL, False,
BOOK_MID, 0, BOOK_MAX, 'sell_stop fill-full AOT')
aot_bs = AOT.build_buy_stop(BOOK_MID, BOOK_MIN, sob.TRIGGER_FILL_FULL)
check_aot(aot_bs, sob.CONDITION_BRACKET, sob.TRIGGER_FILL_FULL, True,
BOOK_MID, 0, BOOK_MIN, 'buy_stop fill-partial AOT')
o1 = 0
def stop_cb(msg, id1, id2, price, size):
nonlocal o1
if msg == sob.MSG_TRIGGER_BRACKET_OPEN:
o1 = id2
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
o1 = book.buy_limit(BOOK_MID, SZ, callback=stop_cb, advanced=aot_ssl)
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_BRACKET:
raise Exception("*** ERROR (1a) invalid OrderInfo.advanced")
book.sell_limit(BOOK_MID, SZ)
# (L, o1.b.1, SZ)
# (SL,o1.b.2,SZ)
md = book.market_depth()
if not md[BOOK_MAX]:
raise Exception("*** ERROR invalid limit @ %f ***" % BOOK_MAX)
if md[BOOK_MAX][0] != SZ:
raise Exception("*** ERROR reaming size @ %f (%i) != %i ***" %
(BOOK_MAX, md[BOOK_MAX][0], SZ))
if md[BOOK_MAX][1] != sob.SIDE_ASK:
raise Exception(
"*** ERROR bracket target not on correct side of market")
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_BRACKET_ACTIVE:
raise Exception("*** ERROR (1b) invalid OrderInfo.advanced")
book.buy_limit(BOOK_MAX, SZ)
md = book.market_depth()
if md:
raise Exception("*** ERROR orders still exists in book ***")
o1 = book.sell_limit(BOOK_MID, SZ, callback=stop_cb, advanced=aot_bs)
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_BRACKET:
raise Exception("*** ERROR (2a) invalid OrderInfo.advanced")
book.buy_limit(BOOK_MID, SZ)
md = book.market_depth()
if not md[BOOK_MIN]:
raise Exception("*** ERROR invalid limit @ %f ***" % BOOK_MIN)
#if md[BOOK_MIN][0] != 100*SZ:
# raise Exception("*** ERROR reaming size @ %f (%i) != %i ***" %
# (BOOK_MIN, md[BOOK_MIN][0],100*SZ))
if md[BOOK_MIN][1] != sob.SIDE_BID:
raise Exception(
"*** ERROR bracket target not on correct side of market")
oi = book.get_order_info(o1)
if not oi.advanced or oi.advanced.condition != sob.CONDITION_BRACKET_ACTIVE:
raise Exception("*** ERROR (2b) invalid OrderInfo.advanced")
book.sell_limit(BOOK_MIN, SZ)
md = book.market_depth()
#if md[BOOK_MIN][0] != 99*SZ:
# raise Exception("*** ERROR orders still exists in book ***")
null_fd = os.open(os.devnull, os.O_RDWR)
err_fd = os.dup(2)
os.dup2(null_fd, 2)
try:
book.buy_market(1) # check nothing above
except:
return
finally:
os.dup2(err_fd, 2)
os.close(null_fd)
raise Exception("*** ERROR sell orders were still active ***")
def test_OTO():
DEF_TRIGGER = sob.TRIGGER_FILL_PARTIAL
def check_aot(aot, cond, trigger, is_buy, sz, limit, stop, tag):
check_val(aot.condition, cond, "OTO - " + tag + " - .condition")
check_val(aot.trigger, trigger, "OTO - " + tag + " - .trigger")
check_val(aot.is_buy, is_buy, "OTO - " + tag + " - .is_buy")
check_val(aot.size, sz, "OTO - " + tag + " - .size")
check_val(aot.limit, limit, "OTO - " + tag + " - .limit")
check_val(aot.stop, stop, "OTO - " + tag + " - .stop")
aot_limit = sob.AdvancedOrderTicketOTO.build_limit(True, BOOK_MID, SZ)
check_aot(aot_limit, sob.CONDITION_OTO, DEF_TRIGGER, True, SZ, BOOK_MID, 0,
'limit AOT')
aot_stop = sob.AdvancedOrderTicketOTO.build_stop(False, BOOK_MIN, SZ * 2)
check_aot(aot_stop, sob.CONDITION_OTO, DEF_TRIGGER, False, SZ * 2, 0,
BOOK_MIN, 'stop AOT')
aot_stop_limit = sob.AdvancedOrderTicketOTO.build_stop_limit(
True, BOOK_MID, BOOK_MAX, 1)
check_aot(aot_stop_limit, sob.CONDITION_OTO, DEF_TRIGGER, True, 1,
BOOK_MAX, BOOK_MID, 'stop_limit AOT')
aot_market = sob.AdvancedOrderTicketOTO.build_market(False, SZ * 100)
check_aot(aot_market, sob.CONDITION_OTO, DEF_TRIGGER, False, SZ * 100, 0,
0, 'market AOT')
book = sob.SimpleOrderbook(TICK_TYPE, BOOK_MIN, BOOK_MAX)
o2 = 0
def stop_cb(msg, id1, id2, price, size):
nonlocal o2
if msg == sob.MSG_TRIGGER_OTO:
o2 = id2
o1 = book.sell_limit(BOOK_MID + BOOK_INCR, SZ2, advanced=aot_limit)
o2 = book.buy_stop_limit(BOOK_MID + BOOK_INCR,
BOOK_MAX,
SZ,
callback=stop_cb,
advanced=aot_stop)
# (L,o1.a,SZ2)
# (SL,o2.a,SZ)
o3 = book.buy_market(SZ)
# (L,o1.a,SZ2-SZ-SZ)
# (L,o1.b,SZ)
# (SL,o2.b,SZ*2)
if book.volume() != SZ + SZ:
raise Exception("*** ERROR vol(%i) != %i ***" %
(book.volume(), SZ + SZ))
md = book.market_depth()
if len(md) != 2:
raise Exception("*** ERROR length of market_depth dict != %i ***" % 2)
xl = md[BOOK_MID]
if not xl:
raise Exception("*** ERROR invalid market_depth elem @ %f ***" %
BOOK_MID)
if xl[0] != SZ:
raise Exception("*** ERROR reaming size @ %f (%i) != %i ***" %
(BOOK_MID, xl[0], SZ))
xs = md[BOOK_MID + BOOK_INCR]
if not xs:
raise Exception("*** ERROR invalid market_depth elem @ %f ***" %
BOOK_MID + BOOK_INCR)
if xs[0] != SZ2 - SZ - SZ:
raise Exception("*** ERROR reaming size @ %f (%i) != %i ***" %
(BOOK_MID + BOOK_INCR, xs[0], SZ2 - SZ - SZ))
if not book.pull_order(o2):
raise Exception("*** ERROR failed to remove OTO'd stop, id: %i" % o2)
