def test_order_book_add_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 100}], "sellOrders": []}'
)
def test_order_book_cancel_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def create_order_book_from_orders_list(orders: list[Order],
print_output: bool = False
) -> OrderBook:
"""
:param orders: list of orders
:param print_output: shows single transactions and order book states
:return: order book object with realized transactions according to given orders
Creates an order book object from a list of order objects
and performs transactions for the orders if possible.
"""
order_book = OrderBook(store_transactions=print_output)
for order in orders:
order_book.add(order)
if print_output:
print(">> " + order.__str__(simple=False))
print(order_book)
return order_book
def test_order_book_limit_transactions(self):
order_book = OrderBook(store_transactions=True)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 80, 50, 0)))
self.assertEqual(order_book.last_transactions, [
'{"buyOrderId": 1, "sellOrderId": 2, "price": 100, "quantity": 50}'
])
order_book.add(Order((3, "Limit", "Sell", 120, 40, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 50}],'
' "sellOrders": [{"id": 3, "price": 120, "quantity": 40}]}')
def test_order_book_not_storing_transactions(self):
order_book = OrderBook(store_transactions=False)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def test_order_book_iceberg_transactions(self):
order_book = OrderBook(store_transactions=True)
orders = [
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 1, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 2, "price": 100, "quantity": 300, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 3, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Buy", "id": 4, "price": 100, "quantity": 500, "peak": 100}}'
]
expected_states = [
'{"buyOrders": [], "sellOrders": [{"id": 1, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100},'
' {"id": 3, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 3, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}'
]
expected_transactions = [
[], [], [],
[
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 3, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}'
]
]
for i in range(4):
order_book.add(Order(orders[i]))
self.assertEqual(order_book.get_state(), expected_states[i])
self.assertEqual(order_book.last_transactions,
expected_transactions[i])
delta_time = timer()
print("Loaded {0} in {1} seconds.".format(input_file, delta_time))
number_of_transactions = len(orders)
order_book = create_order_book_from_orders_list(orders,
print_output=show_details)
delta_time = timer()
print("\nFinal order book state:\n" + order_book.get_state())
print("\nElapsed time: {0} seconds.".format(delta_time))
print("{:.2f} orders per second.".format(number_of_transactions /
delta_time))
sys.exit(0)
# run the main program if no special branch has been activated
order_book = OrderBook(store_transactions=True)
print(program_description + """
To add an order to the order book, insert a JSON line.
Type 'exit' to quit the program.\n""")
try:
for line in sys.stdin:
if bool(line and not line.isspace()):
if "exit" in line:
break
order = Order(line)
# we assume that id cannot be negative
if order.id >= 0:
order_book.add(order)
def test_order_book_cancel_not_present_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertRaises(ValueError, order_book.cancel, order)