def test_bid_ordering_1(self):
contract = 'AAPL'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['bid_ordering_1']):
ba_table.handle_order(order, order.creation_time)
# Asserts
self.assertEquals([order.m_orderId for order in heapq.nsmallest(5, ba_table.bid)], [13, 14, 15])
self.assertEquals([order.m_orderId for order in heapq.nsmallest(5, ba_table.ask)], [16, 17, 18])
def test_expiration_before_match(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
order1 = self.orders['expiration_before_match'][0]
ba_table.handle_order(order1, order1.creation_time)
order2 = self.orders['expiration_before_match'][1]
notification_order2 = ba_table.handle_order(order2, order2.creation_time)
self.assertEquals(len(notification_order2.accepted), 1)
self.assertEquals(len(notification_order2.expired), 1)
def test_market_vs_limit_order(self):
ba_table = LOBTable(contract='IBM')
order1 = self.orders['market_vs_limit'][0]
notification1 = ba_table.handle_order(order1, order1.creation_time)
self.assertEquals(len(notification1.accepted), 1)
self.assertEquals(ba_table.queue_observer.market_bid_size(), 1)
order2 = self.orders['market_vs_limit'][1]
notification2 = ba_table.handle_order(order2, order2.creation_time)
self.assertEquals(len(notification2.completed), 2)
def test_completed_order(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
buy_order_1 = self.orders['basic_2'][0]
notification_buy_1 = ba_table.handle_order(buy_order_1, buy_order_1.creation_time)
self.assertEquals(len(notification_buy_1.accepted), 1)
sell_order = self.orders['basic_2'][1]
notfication_sell = ba_table.handle_order(sell_order, sell_order.creation_time)
self.assertEquals(len(notfication_sell.completed), 2)
self.assertTrue(ba_table.queue_observer.bid_empty(), True)
self.assertTrue(ba_table.queue_observer.ask_empty(), True)
def test_partial_direct_buy(self):
current_time = 90
contract = 'IBM'
ba_table = LOBTable(contract=contract)
buy_order_1 = self.orders['partial_buy'][0]
notification_buy_1 = ba_table.handle_order(buy_order_1, buy_order_1.creation_time)
self.assertEquals(len(notification_buy_1.accepted), 1)
sell_order = self.orders['partial_buy'][1]
notification_sell = ba_table.handle_order(sell_order, sell_order.creation_time)
self.assertEquals(len(notification_sell.partial_completed), 1)
self.assertEquals(len(notification_sell.completed), 1)
def test_rejected_new_order_expired(self):
current_time = 100
contract = 'IBM'
ba_table = LOBTable(contract=contract)
buy_order_1 = self.orders['with_expiration'][0]
notification_buy_1 = ba_table.handle_order(buy_order_1, buy_order_1.creation_time)
self.assertEquals(len(notification_buy_1.accepted), 1)
sell_order = self.orders['with_expiration'][1]
notification_sell = ba_table.handle_order(sell_order, current_time)
self.assertEquals(len(notification_sell.rejected), 1)
self.assertEquals(ba_table.queue_observer.bid_size(), 1)
self.assertEquals(ba_table.queue_observer.ask_size(), 0)
def test_price_execution_two_limit_orders(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
ba_table.handle_order(self.orders['limit'][0],
self.orders['limit'][0].creation_time)
sell_notification = ba_table.handle_order(
self.orders['limit'][1], self.orders['limit'][1].creation_time)
self.assertEqual(len(sell_notification.completed), 2)
for order in sell_notification.completed:
self.assertEqual(len(order.trades), 1)
self.assertEqual(order.trades[0][0], 0.233423432)
self.assertEqual(order.trades[0][1], 15)
def test_three_market_orders(self):
ba_table = LOBTable(contract='IBM')
order1 = self.orders['three_market'][0]
notification1 = ba_table.handle_order(order1, order1.creation_time)
self.assertEquals(len(notification1.accepted), 1)
order2 = self.orders['three_market'][1]
notification2 = ba_table.handle_order(order2, order2.creation_time)
self.assertEquals(len(notification2.accepted), 1)
order3 = self.orders['three_market'][2]
ba_table.handle_order(order3, order3.creation_time)
# Final state of bid ask tables
self.assertEqual(ba_table.queue_observer.market_bid_size(), 2)
self.assertEqual(ba_table.queue_observer.market_ask_size(), 1)
def test_partial_direct_sell(self):
current_time = 90
contract = 'IBM'
ba_table = LOBTable(contract=contract)
sell_order = self.orders['partial_sell'][0]
notification_sell = ba_table.handle_order(sell_order, sell_order.creation_time)
self.assertEquals(len(notification_sell.accepted), 1)
buy_order = self.orders['partial_sell'][1]
notification_buy = ba_table.handle_order(buy_order, buy_order.creation_time)
self.assertEquals(len(notification_buy.partial_completed), 1)
self.assertEquals(len(notification_buy.completed), 1)
self.assertEquals(notification_buy.completed[0].direction, Direction.Buy)
self.assertEquals(notification_buy.partial_completed[0].direction, Direction.Sell)
def test_expired_order(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
order = self.orders['basic'][0]
notification = ba_table.handle_order(order, order.expiration_time + 1)
self.assertEquals(len(notification.rejected), 1)
self.assertEquals(notification.rejected[0].m_orderId, order.m_orderId)
self.assertEquals(notification.rejected[0].get_status(), OrderStatus.Rejected)
def test_market_order_cancelled(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['market_cancellation_accepted']):
notification = ba_table.handle_order(order, order.creation_time)
# First order is canceled
self.assertEquals(len(notification.canceled), 1)
self.assertEquals(len(notification.completed), 1)
def test_handle_order_expired_raises_exception(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
ls = self.data_with_errors['single_canceled_rejected'][0]
d = {self.colnames[j]: ls[j] for j, _ in enumerate(ls)}
d['creator_id'] = 'false_agent'
order1 = OrderCreator.create_order_from_dict(d)
ba_table.handle_order(order1, order1.creation_time)
# Second
ls2 = self.data_with_errors['single_canceled_rejected'][1]
d2 = {self.colnames[j]: ls2[j] for j, _ in enumerate(ls2)}
d2['creation_time'] = ba_table.current_time - 1
d2['creator_id'] = 'false_agent'
order2 = OrderCreator.create_order_from_dict(d2)
self.assertRaises(Exception, ba_table.handle_order, order2,
order2.creation_time)
def test_limit_vs_market_multiple_order(self):
ba_table = LOBTable(contract='IBM')
for i, order in enumerate(self.orders['market_vs_limit_multiple']):
notification = ba_table.handle_order(order, order.creation_time)
if i == 2:
self.assertEquals(len(notification.completed), 2)
if i == 3:
self.assertEquals(len(notification.completed), 2)
def test_stop_to_market(self):
ba_table = LOBTable(contract='IBM')
for i, order in enumerate(self.orders['stop_mutates_to_market']):
notification = ba_table.handle_order(order, order.creation_time)
if i == 2:
self.assertEqual(len(notification.completed), 2)
self.assertEqual(len(ba_table.stop), 0)
self.assertEqual(len(ba_table.market_bid), 1)
def test_accepted_and_canceled(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['single_canceled_accepted']):
notification = ba_table.handle_order(order, order.creation_time)
# First order is canceled
self.assertEquals(len(notification.canceled), 1)
self.assertEquals(len(notification.completed), 1)
self.assertEquals(ba_table.queue_observer.bid_size(), 0)
self.assertEquals(ba_table.queue_observer.ask_size(), 0)
def test_multiple_expiration_before_match(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['multiple_expiration_before_match']):
notification = ba_table.handle_order(order, order.creation_time)
if i <= 2:
self.assertEqual(len(notification.accepted), 1)
elif i == 3:
self.assertEqual(len(notification.expired), 3)
self.assertEqual(len(notification.accepted), 1)
def test_bat_reject_unordered_expired_order(self):
contract = 'IBM'
b = LOBTable(contract=contract)
notification1 = b.handle_order(
self.orders['unordered'][0],
self.orders['unordered'][0].creation_time)
self.assertEquals(len(notification1.accepted), 1)
self.assertRaises(Exception, b.handle_order,
self.orders['unordered'][1],
self.orders['unordered'][1].creation_time)
def test_expired_vs_cancelled(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['expired_vs_cancelled']):
notification = ba_table.handle_order(order, order.creation_time)
if i == 1:
self.assertEqual(len(notification.canceled), 1)
self.assertEqual(len(notification.completed), 1)
if i == 3:
self.assertEquals(len(notification.expired), 1)
self.assertEqual(len(notification.rejected), 1)
def test_bid_ordering_4(self):
contract = 'AAPL'
b = LOBTable(contract=contract)
notification1 = b.handle_order(self.orders['bid_ordering_4'][0], self.orders['bid_ordering_4'][0].creation_time)
notification2 = b.handle_order(self.orders['bid_ordering_4'][1], self.orders['bid_ordering_4'][1].creation_time)
notification3 = b.handle_order(self.orders['bid_ordering_4'][2], self.orders['bid_ordering_4'][2].creation_time)
notification4 = b.handle_order(self.orders['bid_ordering_4'][3], self.orders['bid_ordering_4'][3].creation_time)
notification5 = b.handle_order(self.orders['bid_ordering_4'][4], self.orders['bid_ordering_4'][4].creation_time)
notification6 = b.handle_order(self.orders['bid_ordering_4'][5], self.orders['bid_ordering_4'][5].creation_time)
# Checks
self.assertEquals(len(notification1.accepted), 1)
self.assertEquals(len(notification2.accepted), 1)
self.assertEquals(len(notification3.accepted), 1)
self.assertEquals(len(notification4.partial_completed), 0)
self.assertEquals(len(notification4.completed), 2)
self.assertEquals(len(notification5.partial_completed), 0)
self.assertEquals(len(notification5.completed), 2)
self.assertEquals(len(notification6.completed), 2)
def test_accepted_and_canceled_with_noise(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(
self.orders['single_canceled_accepted_with_noise']):
notification = ba_table.handle_order(order, order.creation_time)
# First order is canceled
self.assertEquals(len(notification.canceled), 1)
self.assertEquals(len(notification.completed), 1)
self.assertEquals(ba_table.queue_observer.bid_size(), 3)
# Check that the queue keeps in order
self.assertEquals(ba_table.queue_observer.best_bid().price, 50)
self.assertEquals(
[order.price for order in heapq.nsmallest(3, ba_table.bid)],
[50, 10, 1])
def test_price_execution_multiple(self):
contract = 'IBM'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['limit_multiple']):
notification = ba_table.handle_order(order, order.creation_time)
if i == 0:
self.assertEqual(len(notification.accepted), 1)
elif i == 1:
self.assertEqual(len(notification.accepted), 1)
elif i == 2:
self.assertEqual(len(notification.completed), 2)
elif i == 3:
self.assertEqual(len(notification.accepted), 1)
self.assertEqual(len(notification.partial_completed), 0)
self.assertEqual(len(notification.completed), 0)
def test_bid_ordering_3(self):
contract = 'AAPL'
ba_table = LOBTable(contract=contract)
for i, order in enumerate(self.orders['bid_ordering_3']):
ba_table.handle_order(order, order.creation_time)
self.assertEquals([order.m_orderId for order in heapq.nsmallest(6, ba_table.bid)], [10, 11, 12, 13, 14, 15])
def test_stop_accepted(self):
ba_table = LOBTable(contract='IBM')
order1 = self.orders['single_stop_market'][0]
notification = ba_table.handle_order(order1, order1.creation_time)
self.assertEquals(len(notification.accepted), 1)
class OrderbookStrategy(Debug):
def __init__(self, agent, identifier, contract, delay_order,
delay_notification, output_ports_map):
self.agent = agent
self.identifier = identifier + '_strategy'
self.last_message_id = 0
self.output_ports_map = output_ports_map
self.contract = contract
self.bid_ask_table = LOBTable(contract=contract)
# Priority queue of orders to process
self.delay_order = delay_order
self.delay_notification = delay_notification
self.ready = []
self.next_order_status_delivery = {contract: []}
self.next_notification_delivery = {contract: []}
def get_identifier(self):
return self.identifier
def get_next_message_id(self):
self.last_message_id += 1
return self.last_message_id
def set_initial_orders(self, initial_orders):
return self.bid_ask_table.set_initial_orders(initial_orders)
def set_tick_size(self, tick_size):
self.bid_ask_table.set_tick_size(tick_size)
return 0
def output_function(self, current_time, elapsed):
output = {}
for out_port in ['out_journal']:
# Look for a notification for each LOB table
messages = self.next_notification_delivery[self.contract]
if len(messages) > 0:
next_message = heapq.heappop(messages)
assert (current_time + elapsed <= next_message.wakeup_time)
self.debug('Check notification: %f %f %f' %
(current_time, elapsed, next_message.wakeup_time))
self.debug(str(next_message))
if eq_rounded(current_time + elapsed,
next_message.wakeup_time):
self.debug("Notification ready")
bat_notification = next_message.notification
ob_information = OBInformation(
contract=self.contract,
best_ask=self.bid_ask_table.queue_observer.best_ask(),
best_bid=self.bid_ask_table.queue_observer.best_bid())
ob_notification = OBNotificationCreator.create_from_batable_notification(
bat_notification, ob_information)
output[out_port] = MessageForJournal(
current_time + elapsed, ob_notification)
else:
self.debug(
"Notification not ready: %f %f %f" %
(current_time, elapsed, next_message.wakeup_time))
heapq.heappush(
self.next_notification_delivery[self.contract],
next_message)
self.debug("Emit output = %s" % str(output))
return output
def get_smallest_wakeup_time_orders_and_notifications(self):
smallest_wakeup_time = float('inf')
messages = self.next_notification_delivery[self.contract]
if len(messages) > 0:
wakeup_time = heapq.nsmallest(1, messages)[0].wakeup_time
if wakeup_time < smallest_wakeup_time:
smallest_wakeup_time = wakeup_time
# 2.
messages = self.next_order_status_delivery[self.contract]
if len(messages) > 0:
wakeup_time = heapq.nsmallest(1, messages)[0].wakeup_time
if wakeup_time < smallest_wakeup_time:
smallest_wakeup_time = wakeup_time
return smallest_wakeup_time
def process_internal(self, current_time, elapsed):
self.debug("process_internal")
if len(self.next_order_status_delivery[self.contract]) == 0:
self.debug("No orders missing processing")
next_wakeup_time = self.get_smallest_wakeup_time_orders_and_notifications(
)
self.debug("Next wakeup time = %f" % next_wakeup_time)
self.debug("Next waiting time = %f" %
(next_wakeup_time - current_time - elapsed))
return next_wakeup_time - current_time - elapsed
else:
self.debug("Processing orders")
top_order = heapq.heappop(
self.next_order_status_delivery[self.contract])
assert (current_time + elapsed <= top_order.wakeup_time)
if lt_rounded(current_time + elapsed, top_order.wakeup_time):
# Re-enqueue in order queue
heapq.heappush(self.next_order_status_delivery[self.contract],
top_order)
else:
# Process and enqueue in notifications queue
notification = self.bid_ask_table.handle_order(
top_order.order, current_time + elapsed)
notification_wake_up = current_time + elapsed + self.delay_notification
heapq.heappush(
self.next_notification_delivery[self.contract],
PendingNotification(self.get_next_message_id(),
notification, notification_wake_up))
next_wakeup_time = self.get_smallest_wakeup_time_orders_and_notifications(
)
self.debug("Next wakeup time = %f" % next_wakeup_time)
self.debug("Next waiting time = %f" %
(next_wakeup_time - current_time - elapsed))
return next_wakeup_time - current_time - elapsed
def process_in_order(self, current_time, elapsed, message):
self.debug("process_in_order")
wakeup_time = current_time + elapsed + self.delay_order
self.debug("execution_time=%f, current_time=%f, elapsed=%f, delay=%f" %
(wakeup_time, current_time, elapsed, self.delay_order))
heapq.heappush(
self.next_order_status_delivery[message.value.contract],
PendingOrder(self.get_next_message_id(), message.value,
wakeup_time))
next_wakeup_time = self.get_smallest_wakeup_time_orders_and_notifications(
)
self.debug("Next wakeup time = %f" % next_wakeup_time)
self.debug("Next waiting time = %f" %
(next_wakeup_time - current_time - elapsed))
return next_wakeup_time - current_time - elapsed