def test_better_than():
pl1 = PriceLevel(Price("1.4"), 2, 3, 2)
pl2 = PriceLevel(Price("1.1"), 2, 3, 2)
assert pl1.better_than(pl2, BID_SIDE)
assert pl2.better_than(pl1, BID_SIDE) is False
assert pl1.better_than(pl2, ASK_SIDE) is False
assert pl2.better_than(pl1, ASK_SIDE)
def test_partial_aggressive_fill():
# nothing should change as we only update orderbook for passive partial fills
ob = build_base_order_book()
# get baseline
ask_prices = ob.ask_prices()
bid_prices = ob.bid_prices()
best_ask_price = ob.best_ask_price()
best_bid_price = ob.best_bid_price()
bast_ask_level = ob.best_ask_level()
bast_bid_level = ob.best_bid_level()
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 45)
oec = OrderEventChain(agg_new, LOGGER, SUBCHAIN_ID_GENERATOR)
pf = PartialFillReport(102, 1234002.123, 1008, "user_z", MARKET, agg_new, 35, Price('34.52'),
BID_SIDE, 3333, 10)
oec.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, oec)
# nothing at the order book should have changed
assert ask_prices == ob.ask_prices()
assert bid_prices == ob.bid_prices()
assert best_ask_price == ob.best_ask_price()
assert best_bid_price == ob.best_bid_price()
assert bast_ask_level == ob.best_ask_level()
assert bast_bid_level == ob.best_bid_level()
def test_quote_creation():
q = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
assert q.price() == Price("95.42")
assert q.visible_qty() == 94
assert q.hidden_qty() == 0
assert q._price_level.number_of_orders() == 1
assert q.market().product().name() == "Microsoft"
assert q.market().product().symbol() == "MSFT"
def test_worse_or_same_as():
pl1 = PriceLevel(Price("1.6"), 2, 3, 2)
pl2 = PriceLevel(Price("2.1"), 2, 3, 2)
pl3 = PriceLevel(Price("1.6"), 24, 4, 22)
assert pl1.worse_or_same_as(pl2, BID_SIDE)
assert pl2.worse_or_same_as(pl1, BID_SIDE) is False
assert pl1.worse_or_same_as(pl2, ASK_SIDE) is False
assert pl2.worse_or_same_as(pl1, ASK_SIDE)
assert pl1.worse_or_same_as(pl3, BID_SIDE)
assert pl1.worse_or_same_as(pl3, ASK_SIDE)
def test_better_or_same_as():
pl1 = PriceLevel(Price("1.4"), 2, 3, 2)
pl2 = PriceLevel(Price("1.1"), 2, 3, 2)
pl3 = PriceLevel(Price("1.4"), 24, 4, 22)
assert pl1.better_or_same_as(pl2, BID_SIDE)
assert pl2.better_or_same_as(pl1, BID_SIDE) is False
assert pl1.better_or_same_as(pl2, ASK_SIDE) is False
assert pl2.better_or_same_as(pl1, ASK_SIDE)
assert pl1.better_or_same_as(pl3, BID_SIDE)
assert pl1.better_or_same_as(pl3, ASK_SIDE)
def test_equality():
q1 = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94)
assert q1 == q2
q2 = Quote(
Market(Product("APPL", "Apple"), Endpoint("Nasdaq", "NSDQ"),
PriceFactory("0.01")), BID_SIDE, Price("95.42"), 94)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.43"), 94)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 91)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 2)
assert q1 != q2
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 0)
assert q1 == q2
q1 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 3)
q2 = Quote(MARKET, BID_SIDE, Price("95.42"), 94, 3)
assert q1 == q2
def test_subchain_to_json():
# pretty basic, just testing that it doesn't break
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, None)
oec.apply_acknowledgement_report(ack)
assert oec.most_recent_event() == ack
# now check I can get a to_json of the subchain no problem
oec.most_recent_subchain().to_json()
def test_get_price():
pf = PriceFactory("0.01")
p = pf.get_price(100)
assert p == Price(100)
assert p == Decimal("100.00")
p = pf.get_price("100.01")
assert p == Price("100.01")
assert p == Decimal("100.01")
p = pf.get_price(Decimal("222.22"))
assert p == Price("222.22")
assert p == Decimal("222.22")
def test_worse_or_same_as():
p = Price("91.543")
p_less = Price("84.456")
p_more = Price("92.123")
p_same = Price("91.543")
assert p_less.worse_or_same_as(p, BID_SIDE) is True
assert p_less.worse_or_same_as(p, ASK_SIDE) is False
assert p_more.worse_or_same_as(p, BID_SIDE) is False
assert p_more.worse_or_same_as(p, ASK_SIDE) is True
assert p.worse_or_same_as(p_same, BID_SIDE) is True
assert p.worse_or_same_as(p_same, ASK_SIDE) is True
def test_better_or_same_as():
p = Price("91.543")
p_less = Price("84.456")
p_more = Price("92.123")
p_same = Price("91.543")
assert p_more.better_than(p, BID_SIDE) is True
assert p_more.better_than(p, ASK_SIDE) is False
assert p_less.better_or_same_as(p, BID_SIDE) is False
assert p_less.better_or_same_as(p, ASK_SIDE) is True
assert p.better_or_same_as(p_same, BID_SIDE) is True
assert p.better_or_same_as(p_same, ASK_SIDE) is True
def test_creation():
new_order = NewOrderCommand(12, 324893458.324313, "342adf24441", "user_x",
MARKET, BID_SIDE, FAK, Price("23.01"), 234, 2)
assert new_order.event_type_str() == "New Order Command"
assert new_order.price() == Price("23.01")
assert new_order.market() == MARKET
assert new_order.user_id() == "user_x"
assert new_order.timestamp() == 324893458.324313
assert new_order.event_id() == 12
assert new_order.side() == BID_SIDE
assert new_order.qty() == 234
assert new_order.iceberg_peak_qty() == 2
def test_next_price():
pf = PriceFactory(".5")
starting_price = pf.get_price(100)
new_price = pf.next_price(starting_price, BID_SIDE)
assert new_price == Price("100.5")
new_price = pf.next_price(new_price, BID_SIDE)
assert new_price == Price(101)
new_price = pf.next_price(new_price, ASK_SIDE)
assert new_price == Price("100.5")
new_price = pf.next_price(new_price, ASK_SIDE)
assert new_price == Price(100)
def test_prev_price():
pf = PriceFactory(".5")
starting_price = pf.get_price(100)
new_price = pf.prev_price(starting_price, BID_SIDE)
assert new_price == Price("99.5")
new_price = pf.prev_price(new_price, BID_SIDE)
assert new_price == Price(99)
new_price = pf.prev_price(new_price, ASK_SIDE)
assert new_price == Price("99.5")
new_price = pf.prev_price(new_price, ASK_SIDE)
assert new_price == Price(100)
def test_creation():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.side().is_bid()
assert oec.market() == MARKET
assert oec.time_in_force() == FAR
# no ack yet
assert oec.current_exposure() is None
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234)
# visible qty should be nothing still
assert oec.visible_qty() == 0
def test_pricelevel_creation():
pl = PriceLevel(Price("84.5"), 12)
assert pl.price() == Price("84.5")
assert pl.number_of_orders() is None
assert pl.visible_qty() == 12
assert pl.hidden_qty() == 0
pl = PriceLevel(Price("32.134"), 14, 23)
assert pl.price() == Price("32.134")
assert pl.number_of_orders() is None
assert pl.visible_qty() == 14
assert pl.hidden_qty() == 23
def test_cancel_replace_not_allowed_on_fak_or_fok():
# FAK
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAK, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
cr = CancelReplaceCommand(121235, 1234235.324, 2342, "user_x", MARKET, BID_SIDE, Price("43.01"), 234)
with pytest.raises(AssertionError):
oec.apply_cancel_replace_command(cr)
# FOK
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FOK, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
cr = CancelReplaceCommand(121235, 1234235.324, 2342, "user_x", MARKET, BID_SIDE, Price("43.01"), 234)
with pytest.raises(AssertionError):
oec.apply_cancel_replace_command(cr)
def test_partial_fill_on_unacked_order():
# when an unacked order is filled the requested exposure gets impacted
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 100
assert oec.most_recent_requested_exposure().price() == Price("34.52")
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, n, 10, Price("34.52"),
BID_SIDE, 99999, 90)
oec.apply_partial_fill_report(pf)
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 90
assert oec.most_recent_requested_exposure().price() == Price("34.52")
def test_partial_fill_to_zero_closes_out_order():
# when a partialfill closses out to an order there should be a balking because it is a paritial fill so shouldn't happen, but should allow
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 100)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 100)
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, aggressor, 100, Price("34.52"),
BID_SIDE, 99999, 0)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.is_open() is False
assert oec.visible_qty() == 0
assert oec.current_exposure() == Exposure(None, 0, 1212344)
def test_basic_full_fill_on_unacked_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.visible_qty() == 0
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().price() == Price("34.52")
assert oec.most_recent_requested_exposure().qty() == 1000
assert oec.is_open()
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, n, 1000, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open() is False
def test_full_fill_with_too_much_size_on_unacked_new_order():
# should balk but shouldn't keep it from working
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.visible_qty() == 0
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().price() == Price("34.52")
assert oec.most_recent_requested_exposure().qty() == 1000
assert oec.is_open()
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, n, 17, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert oec.is_open() is False
def __init__(self, market, side, price, visible_qty, hidden_qty=0):
"""
An individual quote expressing a desire to buy or sell a Product for a Price. Visible qty is required and
hidden qty is optional, defaulting to 0 because many markets don't support hidden quantity.
:param market: MarketObjects.Market.Market.
:param side: Side.
:param price: Price.
:param visible_qty: int. Must be greater than 0
:param hidden_qty: int. Must be 0 or more. Optional. Defaults to 0.
"""
assert isinstance(price, Price) or isinstance(price, str)
assert isinstance(side, Side)
assert isinstance(market, Market)
assert isinstance(visible_qty, int)
assert isinstance(hidden_qty, int)
assert visible_qty > 0, "A quote's visible qty must be greater than 0"
assert hidden_qty >= 0, "A quote's hidden qty must be greater than or equal to 0"
use_price = price
if not isinstance(price, Price):
use_price = Price(price)
assert market.is_valid_price(use_price), \
"%s is not a valid price for a product with minimum price increment %s" % \
(str(use_price), str(market.mpi()))
self._side = side
self._market = market
self._price_level = PriceLevel(use_price, visible_qty, hidden_qty, num_orders=1)
def test_comparison():
p = Price("91.543")
p_less = Price('84.456')
p_more = Price('92.123')
p_same = Price('91.543')
assert p_less < p_more
assert p_less <= p_more
assert p_less != p_more
assert (p_less > p_more) is False
assert (p_less >= p_more) is False
assert (p_less == p_more) is False
assert p >= p_same
assert p <= p_same
assert p == p_same
assert (p != p_same) is False
assert p_same >= p
assert p_same <= p
def test_subchain_getters_partial_fill_before_ack():
# pretty basic, just testing that it doesn't break
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now aggressive partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, n, 44, Price("34.52"),
BID_SIDE, 99999, 1000 - 44)
oec.apply_partial_fill_report(pf)
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000-44, None)
oec.apply_acknowledgement_report(ack)
subchain = oec.most_recent_subchain()
assert subchain.open_event() == n
assert subchain.first_execution_report() == pf
assert subchain.fills() == [pf]
assert subchain.last_event() == ack
def test_full_fill_on_unacked_cr_with_acked_new_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open()
cr = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr)
# now should have 2 open exposures
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.56"), 800, 3)
full_fill = FullFillReport(4, 1234237.123, 2342, "user_x", MARKET, cr, 800, Price("34.56"), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 4
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open() is False
def test_basic_full_fill_on_acked_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 1000)
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, aggressor, 1000, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert oec.is_open() is False
def test_basic_partial_fill():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_x", MARKET, ASK_SIDE, FAR, Price("34.52"), 44)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 44, Price("34.52"),
BID_SIDE, 99999, 1000-44)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 1000-44
assert oec.visible_qty() == 1000-44
assert oec.iceberg_peak_qty() == 1000 # should not have changed
assert oec.has_partial_fill()
def test_exposure():
e1 = Exposure(Price("1.1"), 2, 12345)
e2 = Exposure(Price("1.1"), 2, 12345)
assert e1 == e2
assert e1.equivalent_exposure(e2)
assert e1.equivalent_exposure(e1)
assert e2.equivalent_exposure(e1)
e3 = Exposure(Price("1.1"), 2, 6789)
assert e1 != e3
assert e1.price() == e2.price()
print(e1, e2)
assert e1.equivalent_exposure(e3)
assert e3.equivalent_exposure(e1)
e4 = Exposure(Price("1.1"), 3, 6789)
assert e1 != e4
assert e1.equivalent_exposure(e4) is False
e5 = Exposure(Price("1.2"), 2, 6789)
assert e1 != e5
assert e1.equivalent_exposure(e5) is False
def test_price_validation():
p = Price("23.455")
pf = PriceFactory("0.01")
assert pf.is_valid_price(p) is False
p = Price("23.45")
pf = PriceFactory("0.01")
assert pf.is_valid_price(p)
p = Price("23.455")
pf = PriceFactory("0.001")
assert pf.is_valid_price(p)
p = Price("23.45")
pf = PriceFactory("0.1")
assert pf.is_valid_price(p) is False
p = Price("23.45")
pf = PriceFactory(".5")
assert pf.is_valid_price(p) is False
def test_cancel_replace_order_down_in_qty():
# should have no impact
ob = build_base_order_book()
prev_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(prev_order_chains) == 2
# and test correct order
assert prev_order_chains[0].chain_id() == 1001
assert prev_order_chains[1].chain_id() == 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1001
prev_visible_qty_at_tob = ob.visible_qty_at_price(BID_SIDE, Price("34.50"))
prev_hidden_qty_at_tob = ob.hidden_qty_at_price(BID_SIDE, Price("34.50"))
# now cancel replace the first bid down in size
cr = CancelReplaceCommand(77, 1234012.123, prev_order_chains[0].chain_id(), prev_order_chains[0].user_id(), MARKET,
prev_order_chains[0].side(), prev_order_chains[0].current_price(), prev_order_chains[0].current_qty() - 5)
prev_order_chains[0].apply_cancel_replace_command(cr)
cr_ack = AcknowledgementReport(78, 1234012.123, prev_order_chains[0].chain_id(), prev_order_chains[0].user_id(),
MARKET, cr, prev_order_chains[0].current_price(),
prev_order_chains[0].current_qty() - 5, prev_order_chains[0].current_qty() - 5)
prev_order_chains[0].apply_acknowledgement_report(cr_ack)
ob.handle_acknowledgement_report(cr_ack, prev_order_chains[0])
# assert that no ordering has changed
current_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(current_order_chains) == 2
for chain in current_order_chains:
print(chain)
assert prev_order_chains[0].chain_id() == 1001
assert prev_order_chains[1].chain_id() == 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1001
# size is 5 less
assert ob.visible_qty_at_price(BID_SIDE, Price("34.50")) == prev_visible_qty_at_tob - 5
assert ob.hidden_qty_at_price(BID_SIDE, Price("34.50")) == prev_hidden_qty_at_tob
def test_price_math():
p1 = Price('1.15')
p2 = Price('1.35')
assert p1 + p2 == Price('2.5')
assert p2 + p1 == Price('2.5')
assert p2 - p1 == Price('.2')
assert p1 - p2 == Price('-0.2')