def test__process_runner_removal_sp_place_inplay(self):
order_type = MarketOnCloseOrder(liability=200)
mock_order = mock.Mock(
selection_id=1234,
handicap=0,
order_type=order_type,
info={},
side="LAY",
current_order=mock.Mock(size_matched=0),
average_price_matched=10.0,
)
mock_market_book = mock.Mock()
mock_market_book.runners = [
mock.Mock(selection_id=1234, handicap=0, adjustment_factor=20)
]
mock_market = mock.Mock(market_type="PLACE",
blotter=[mock_order],
market_book=mock_market_book)
self.middleware._process_runner_removal(mock_market, 12345, 0, 50)
# The liability of £200 is reduced by the non runner's adjustment factor of 50%
self.assertEqual(mock_order.order_type.liability, 100)
# Size matched should be 100 / (10.0-1.0) \approx 11.11
self.assertEqual(11.11, mock_order.current_order.size_matched)
def test__process_runner_removal_sp_win_inplay(self):
order_type = MarketOnCloseOrder(liability=200)
mock_order = mock.Mock(
selection_id=1234,
handicap=0,
order_type=order_type,
info={},
side="LAY",
current_order=mock.Mock(size_matched=0),
average_price_matched=10,
)
mock_market_book = mock.Mock()
mock_market_book.runners = [
mock.Mock(selection_id=1234, handicap=0, adjustment_factor=20)
]
mock_market = mock.Mock(market_type="WIN",
blotter=[mock_order],
market_book=mock_market_book)
self.middleware._process_runner_removal(mock_market, 12345, 0, 50)
# The liability of £200 is adjusted by the multiplier of 37.5%, which s
# defined in the example here: https://github.com/betcode-org/flumine/issues/454
self.assertEqual(mock_order.order_type.liability, 75)
# Size matched should be 75 / (10.0-1.0) \approx 8.33
self.assertEqual(8.33, mock_order.current_order.size_matched)
def test_selection_exposure_from_market_on_close_lay(self):
mock_strategy = mock.Mock()
mock_trade = mock.Mock(strategy=mock_strategy)
mock_order = mock.Mock(
trade=mock_trade,
lookup=(self.blotter.market_id, 123, 0),
side="LAY",
order_type=MarketOnCloseOrder(liability=10.0),
)
self.blotter["12345"] = mock_order
self.assertEqual(
self.blotter.selection_exposure(mock_strategy, mock_order.lookup),
10.0,
)
def process_market_book(self, market, market_book):
for runner in market_book.runners:
runner_context = self.get_runner_context(
market.market_id, runner.selection_id
)
if runner_context.trade_count == 0:
trade = Trade(
market_book.market_id,
runner.selection_id,
runner.handicap,
self,
)
order = trade.create_order(
side="LAY", order_type=MarketOnCloseOrder(100.00),
)
self.place_order(market, order)
class MarketOnCloseOrderTest(unittest.TestCase):
def setUp(self) -> None:
self.order_type = MarketOnCloseOrder(128)
def test_init(self):
self.assertEqual(self.order_type.EXCHANGE, ExchangeType.BETFAIR)
self.assertEqual(self.order_type.ORDER_TYPE,
OrderTypes.MARKET_ON_CLOSE)
self.assertEqual(self.order_type.liability, 128)
def test_place_instruction(self):
self.assertEqual(self.order_type.place_instruction(),
{"liability": 128})
def test_info(self):
self.assertEqual(self.order_type.info, {
"liability": 128,
"order_type": "Market on close"
})
def test_get_exposures_from_market_on_close_lay(self):
mock_strategy = mock.Mock()
mock_trade = mock.Mock(strategy=mock_strategy)
mock_order = mock.Mock(
trade=mock_trade,
lookup=(self.blotter.market_id, 123, 0),
side="LAY",
order_type=MarketOnCloseOrder(liability=10.0),
)
self.blotter["12345"] = mock_order
self.assertEqual(
self.blotter.get_exposures(mock_strategy, mock_order.lookup),
{
"matched_profit_if_lose": 0.0,
"matched_profit_if_win": 0.0,
"worst_possible_profit_on_lose": 0.0,
"worst_possible_profit_on_win": -10.0,
"worst_potential_unmatched_profit_if_lose": 0.0,
"worst_potential_unmatched_profit_if_win": 0.0,
},
)
def setUp(self) -> None:
self.order_type = MarketOnCloseOrder(128)
