def test_order_match_1(self): """ Matching orders with same price and same volume cancel out and are removed from the orderbook """ buy_order = get_random_order(price = 10, volume = 10, side = Order.BUY) self.book.process_order(buy_order) self.assertTrue(len(self.book.buy_orders) == 1) sell_order = get_random_order(price = 10, volume = 10, side = Order.SELL) self.book.process_order(sell_order) self.assertTrue(len(self.book.buy_orders) == 0)
def test_order_match_3(self): """ Sell order eats two buy orders completely """ self.book.process_order(get_random_order(price = 10, volume = 5, side = Order.BUY)) self.book.process_order(get_random_order(price = 11, volume = 5, side = Order.BUY)) self.assertTrue(len(self.book.buy_orders) == 2) self.book.process_order(get_random_order(price = 10, volume = 10, side = Order.SELL)) self.assertTrue(len(self.book.buy_orders) == 0) self.assertTrue(len(self.book.sell_orders) == 0)
def test_order_match_2(self): """ Matching orders with same price but different volume result in a remaining order the subtracted volume """ buy_order = get_random_order(price = 10, volume = 5, side = Order.BUY) self.book.process_order(buy_order) self.assertTrue(len(self.book.buy_orders) == 1) sell_order = get_random_order(price = 10, volume = 10, side = Order.SELL) self.book.process_order(sell_order) self.assertTrue(len(self.book.buy_orders) == 0) self.assertTrue(len(self.book.sell_orders) == 1) remaining_order = self.book.sell_orders.pop() self.assertTrue(remaining_order.volume == 5)
def test_order_match_6(self): """ Buy order eats cheapest sell order when cheapest sell order was added first """ self.book.process_order(get_random_order(price = 9, volume = 5, side = Order.SELL)) self.book.process_order(get_random_order(price = 10, volume = 5, side = Order.SELL)) self.assertTrue(len(self.book.sell_orders) == 2) self.book.process_order(get_random_order(price = 10, volume = 9, side = Order.BUY)) self.assertTrue(len(self.book.buy_orders) == 0) self.assertTrue(len(self.book.sell_orders) == 1) remaining_order = self.book.sell_orders.pop() self.assertTrue(remaining_order.volume == 1) self.assertTrue(remaining_order.price == 10)
