def inner():
if isinstance(data, OrderBookDeltas):
yield from [_parse_delta(delta=delta) for delta in data.deltas]
elif isinstance(data, OrderBookDelta):
yield _parse_delta(delta=data)
elif isinstance(data, OrderBookSnapshot):
# For a snapshot, we store the individual deltas required to rebuild, namely a CLEAR, followed by ADDs
yield _parse_delta(
OrderBookDelta(
instrument_id=data.instrument_id,
level=data.level,
order=None,
delta_type=DeltaType.CLEAR,
ts_event_ns=data.ts_event_ns,
ts_recv_ns=data.ts_recv_ns,
),
)
orders = list(zip(repeat(OrderSide.BUY), data.bids)) + list(
zip(repeat(OrderSide.SELL), data.asks)
)
yield from [
_parse_delta(
OrderBookDelta(
instrument_id=data.instrument_id,
level=data.level,
ts_event_ns=data.ts_event_ns,
ts_recv_ns=data.ts_recv_ns,
order=Order(price=price, size=volume, side=side),
delta_type=DeltaType.ADD,
),
)
for side, (price, volume) in orders
]
def test_from_dict_returns_expected_tick(self):
# Arrange
order1 = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta1 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order1,
ts_event_ns=0,
ts_recv_ns=0,
)
order2 = Order(price=10, size=15, side=OrderSide.BUY, id="2")
delta2 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order2,
ts_event_ns=0,
ts_recv_ns=0,
)
deltas = OrderBookDeltas(
instrument_id=AUDUSD,
level=BookLevel.L2,
deltas=[delta1, delta2],
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDeltas.from_dict(OrderBookDeltas.to_dict(deltas))
# Assert
assert result == deltas
def test_to_dict_returns_expected_dict(self):
# Arrange
order = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order,
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDelta.to_dict(delta)
# Assert
assert result == {
"type": "OrderBookDelta",
"instrument_id": "AUD/USD.SIM",
"level": "L2",
"delta_type": "ADD",
"order_id": "1",
"order_price": 10.0,
"order_side": "BUY",
"order_size": 5.0,
"ts_event_ns": 0,
"ts_recv_ns": 0,
}
def _handle_book_updates(runner, instrument, timestamp_ns):
deltas = []
for side in B_SIDE_KINDS:
for upd in runner.get(side, []):
# TODO - Fix this crap
if len(upd) == 3:
_, price, volume = upd
else:
price, volume = upd
deltas.append(
OrderBookDelta(
delta_type=OrderBookDeltaType.DELETE
if volume == 0 else OrderBookDeltaType.UPDATE,
order=Order(
price=price_to_probability(
price, side=B2N_MARKET_STREAM_SIDE[side]),
volume=volume,
side=B2N_MARKET_STREAM_SIDE[side],
),
instrument_id=instrument.id,
timestamp_ns=timestamp_ns,
))
if deltas:
ob_update = OrderBookDeltas(
level=OrderBookLevel.L2,
instrument_id=instrument.id,
deltas=deltas,
timestamp_ns=timestamp_ns,
)
return [ob_update]
else:
return []
def test_from_dict_returns_expected_clear(self):
# Arrange
delta = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.CLEAR,
order=None,
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta))
# Assert
assert result == delta
def test_apply(empty_l2_book, clock):
snapshot = OrderBookSnapshot(
instrument_id=empty_l2_book.instrument_id,
level=OrderBookLevel.L2,
bids=[[150.0, 0.51]],
asks=[[160.0, 1.51]],
timestamp_origin_ns=0,
timestamp_ns=0,
)
empty_l2_book.apply_snapshot(snapshot)
assert empty_l2_book.best_ask_price() == 160
delta = OrderBookDelta(
instrument_id=TestStubs.audusd_id(),
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
155.0,
672.45,
OrderSide.SELL,
"4a25c3f6-76e7-7584-c5a3-4ec84808e240",
),
timestamp_origin_ns=clock.timestamp(),
timestamp_ns=clock.timestamp(),
)
empty_l2_book.apply(delta)
assert empty_l2_book.best_ask_price() == 155
def _handle_book_updates(runner, instrument, ts_event_ns, ts_recv_ns):
deltas = []
for side in B_SIDE_KINDS:
for upd in runner.get(side, []):
# TODO(bm): Clean this up
if len(upd) == 3:
_, price, volume = upd
else:
price, volume = upd
deltas.append(
OrderBookDelta(
instrument_id=instrument.id,
level=BookLevel.L2,
delta_type=DeltaType.DELETE
if volume == 0 else DeltaType.UPDATE,
order=Order(
price=price_to_probability(
price, side=B2N_MARKET_STREAM_SIDE[side]),
size=Quantity(volume, precision=8),
side=B2N_MARKET_STREAM_SIDE[side],
),
ts_event_ns=ts_event_ns,
ts_recv_ns=ts_recv_ns,
))
if deltas:
ob_update = OrderBookDeltas(
level=BookLevel.L2,
instrument_id=instrument.id,
deltas=deltas,
ts_event_ns=ts_event_ns,
ts_recv_ns=ts_recv_ns,
)
return [ob_update]
else:
return []
def test_from_dict_returns_expected_delta(self):
# Arrange
order = Order(price=10, size=5, side=OrderSide.BUY)
delta = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order,
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta))
# Assert
assert result == delta
def _build_order_book_deltas(values):
return OrderBookDeltas(
instrument_id=InstrumentId.from_str(values[0]["instrument_id"]),
level=BookLevelParser.from_str_py(values[0]["level"]),
deltas=[OrderBookDelta.from_dict(v) for v in values],
ts_event_ns=data[0]["ts_event_ns"],
ts_recv_ns=data[0]["ts_recv_ns"],
)
def test_to_dict_returns_expected_dict(self):
# Arrange
order1 = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta1 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order1,
ts_event_ns=0,
ts_recv_ns=0,
)
order2 = Order(price=10, size=15, side=OrderSide.BUY, id="2")
delta2 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order2,
ts_event_ns=0,
ts_recv_ns=0,
)
deltas = OrderBookDeltas(
instrument_id=AUDUSD,
level=BookLevel.L2,
deltas=[delta1, delta2],
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDeltas.to_dict(deltas)
# Assert
assert result == {
"type": "OrderBookDeltas",
"instrument_id": "AUD/USD.SIM",
"level": "L2",
"deltas":
'[{"type": "OrderBookDelta", "instrument_id": "AUD/USD.SIM", "level": "L2", "delta_type": "ADD", "order_price": 10.0, "order_size": 5.0, "order_side": "BUY", "order_id": "1", "ts_event_ns": 0, "ts_recv_ns": 0}, {"type": "OrderBookDelta", "instrument_id": "AUD/USD.SIM", "level": "L2", "delta_type": "ADD", "order_price": 10.0, "order_size": 15.0, "order_side": "BUY", "order_id": "2", "ts_event_ns": 0, "ts_recv_ns": 0}]', # noqa
"ts_event_ns": 0,
"ts_recv_ns": 0,
}
def test_orderbook_operation(empty_book):
clock = TestClock()
op = OrderBookDelta(
delta_type=OrderBookDeltaType.UPDATE,
order=Order(
0.5814, 672.45, OrderSide.SELL, "4a25c3f6-76e7-7584-c5a3-4ec84808e240"
),
instrument_id=TestStubs.audusd_id(),
timestamp_ns=clock.timestamp(),
)
empty_book.apply_delta(op)
assert empty_book.best_ask_price() == 0.5814
def test_hash_str_and_repr(self):
# Arrange
order1 = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta1 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order1,
ts_event_ns=0,
ts_recv_ns=0,
)
order2 = Order(price=10, size=15, side=OrderSide.BUY, id="2")
delta2 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order2,
ts_event_ns=0,
ts_recv_ns=0,
)
deltas = OrderBookDeltas(
instrument_id=AUDUSD,
level=BookLevel.L2,
deltas=[delta1, delta2],
ts_event_ns=0,
ts_recv_ns=0,
)
# Act, Assert
assert isinstance(hash(deltas), int)
assert (
str(deltas) ==
"OrderBookDeltas('AUD/USD.SIM', level=L2, [OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 5.0, BUY, 1), ts_recv_ns=0), OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 15.0, BUY, 2), ts_recv_ns=0)], ts_recv_ns=0)" # noqa
)
assert (
repr(deltas) ==
"OrderBookDeltas('AUD/USD.SIM', level=L2, [OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 5.0, BUY, 1), ts_recv_ns=0), OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 15.0, BUY, 2), ts_recv_ns=0)], ts_recv_ns=0)" # noqa
)
def test_serialize_and_deserialize_order_book_deltas(self):
kw = {
"instrument_id": "AUD/USD.SIM",
"ts_event_ns": 0,
"ts_recv_ns": 0,
"level": "L2",
}
deltas = OrderBookDeltas(
instrument_id=TestStubs.audusd_id(),
level=BookLevel.L2,
deltas=[
OrderBookDelta.from_dict({
"delta_type": "ADD",
"order_side": "BUY",
"order_price": 8.0,
"order_size": 30.0,
"order_id": "e0364f94-8fcb-0262-cbb3-075c51ee4917",
**kw,
}),
OrderBookDelta.from_dict({
"delta_type": "ADD",
"order_side": "SELL",
"order_price": 15.0,
"order_size": 10.0,
"order_id": "cabec174-acc6-9204-9ebf-809da3896daf",
**kw,
}),
],
ts_event_ns=0,
ts_recv_ns=0,
)
serialized = to_parquet(buff=self.buffer, objects=[deltas])
deserialized = from_parquet(serialized)
# Assert
assert deserialized == [deltas]
def test_orderbook_operation_update(empty_l2_book, clock):
delta = OrderBookDelta(
instrument_id=TestStubs.audusd_id(),
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.UPDATE,
order=Order(
0.5814,
672.45,
OrderSide.SELL,
"4a25c3f6-76e7-7584-c5a3-4ec84808e240",
),
timestamp_ns=clock.timestamp(),
)
empty_l2_book.apply_delta(delta)
assert empty_l2_book.best_ask_price() == 0.5814
def test_timestamp_ns(empty_l2_book, clock):
delta = OrderBookDelta(
instrument_id=TestStubs.audusd_id(),
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
0.5900,
672.45,
OrderSide.SELL,
"4a25c3f6-76e7-7584-c5a3-4ec84808e240",
),
timestamp_ns=clock.timestamp(),
)
empty_l2_book.apply_delta(delta)
assert empty_l2_book.timestamp_ns == delta.timestamp_ns
def test_serialize_and_deserialize_order_book_delta(self):
delta = OrderBookDelta(
instrument_id=TestStubs.audusd_id(),
level=BookLevel.L2,
delta_type=DeltaType.CLEAR,
order=None,
ts_event_ns=0,
ts_recv_ns=0,
)
serialized = to_parquet(buff=self.buffer, objects=[delta])
deserialized = from_parquet(serialized)
# Assert
assert deserialized == [delta]
def test_orderbook_operations(empty_book):
delta = OrderBookDelta(
delta_type=OrderBookDeltaType.UPDATE,
order=Order(
0.5814, 672.45, OrderSide.SELL, "4a25c3f6-76e7-7584-c5a3-4ec84808e240"
),
instrument_id=TestStubs.audusd_id(),
timestamp_ns=pd.Timestamp.utcnow().timestamp() * 1e9,
)
deltas = OrderBookDeltas(
instrument_id=TestStubs.audusd_id(),
level=OrderBookLevel.L2,
deltas=[delta],
timestamp_ns=pd.Timestamp.utcnow().timestamp() * 1e9,
)
empty_book.apply_deltas(deltas)
assert empty_book.best_ask_price() == 0.5814
def test_repr(self):
# Arrange
order = Order(price=10, volume=5, side=OrderSide.BUY)
op = OrderBookDelta(
delta_type=OrderBookDeltaType.ADD,
order=order,
instrument_id=AUDUSD,
timestamp_ns=0,
)
print(repr(op))
# Act
# Assert
assert (
repr(op)
== f"OrderBookDelta(op_type=ADD, order=Order(10.0, 5.0, BUY, {order.id}), timestamp_ns=0)"
)
def test_repr(self):
# Arrange
order = Order(price=10, volume=5, side=OrderSide.BUY)
op = OrderBookDelta(
instrument_id=AUDUSD,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=order,
timestamp_origin_ns=0,
timestamp_ns=0,
)
print(repr(op))
# Act
# Assert
assert (
repr(op) ==
f"OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 5.0, BUY, {order.id}), timestamp_ns=0)"
)
def test_hash_str_and_repr(self):
# Arrange
order = Order(price=10, size=5, side=OrderSide.BUY)
delta = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order,
ts_event_ns=0,
ts_recv_ns=0,
)
# Act, Assert
assert isinstance(hash(delta), int)
assert (
str(delta) ==
f"OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 5.0, BUY, {order.id}), ts_recv_ns=0)"
)
assert (
repr(delta) ==
f"OrderBookDelta('AUD/USD.SIM', level=L2, delta_type=ADD, order=Order(10.0, 5.0, BUY, {order.id}), ts_recv_ns=0)"
)
def test_add_order_book_operations_adds_to_container(self):
# Arrange
data = BacktestDataContainer()
deltas = [
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(13.0, 40, OrderSide.SELL),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(12.0, 30, OrderSide.SELL),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(11.0, 20, OrderSide.SELL),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(10.0, 20, OrderSide.BUY),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(9.0, 30, OrderSide.BUY),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
OrderBookDelta(
OrderBookDeltaType.ADD,
Order(0.0, 40, OrderSide.BUY),
instrument_id=AUDUSD_SIM.id,
timestamp_ns=0,
),
]
operations1 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_ns=0,
)
operations2 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_ns=1000,
)
# Act
data.add_order_book_data([operations2, operations1]) # <-- not sorted
# Assert
assert ClientId("BINANCE") in data.clients
assert ETHUSDT_BINANCE.id in data.books
assert data.order_book_data == [operations1, operations2] # <-- sorted
def test_add_order_book_operations_adds_to_container(self):
# Arrange
data = BacktestDataContainer()
deltas = [
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("13.0"),
volume=Quantity("40"),
side=OrderSide.SELL),
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("12.0"),
volume=Quantity("30"),
side=OrderSide.SELL),
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("11.0"),
volume=Quantity("20"),
side=OrderSide.SELL),
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("10.0"),
volume=Quantity("20"),
side=OrderSide.BUY),
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("9.0"),
volume=Quantity("30"),
side=OrderSide.BUY),
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(price=Price("0.0"),
volume=Quantity("40"),
side=OrderSide.BUY),
timestamp_ns=0,
),
]
operations1 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_ns=0,
)
operations2 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_ns=1000,
)
# Act
data.add_order_book_data([operations2, operations1]) # <-- not sorted
# Assert
assert ClientId("BINANCE") in data.clients
assert ETHUSDT_BINANCE.id in data.books
assert data.order_book_data == [operations1, operations2] # <-- sorted
def _build_order_book_delta(values):
return OrderBookDelta.from_dict(values[0])
def _parse_delta(delta: OrderBookDelta):
return OrderBookDelta.to_dict(delta)
def test_add_order_book_operations_adds_to_container(self):
# Arrange
engine = BacktestEngine()
engine.add_instrument(AUDUSD_SIM)
engine.add_instrument(ETHUSDT_BINANCE)
deltas = [
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("13.0"),
volume=Quantity.from_str("40"),
side=OrderSide.SELL,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("12.0"),
volume=Quantity.from_str("30"),
side=OrderSide.SELL,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("11.0"),
volume=Quantity.from_str("20"),
side=OrderSide.SELL,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("10.0"),
volume=Quantity.from_str("20"),
side=OrderSide.BUY,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("9.0"),
volume=Quantity.from_str("30"),
side=OrderSide.BUY,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
OrderBookDelta(
instrument_id=AUDUSD_SIM.id,
level=OrderBookLevel.L2,
delta_type=OrderBookDeltaType.ADD,
order=Order(
price=Price.from_str("0.0"),
volume=Quantity.from_str("40"),
side=OrderSide.BUY,
),
timestamp_origin_ns=0,
timestamp_ns=0,
),
]
operations1 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_origin_ns=0,
timestamp_ns=0,
)
operations2 = OrderBookDeltas(
instrument_id=ETHUSDT_BINANCE.id,
level=OrderBookLevel.L2,
deltas=deltas,
timestamp_origin_ns=1000,
timestamp_ns=1000,
)
# Act
engine.add_order_book_data([operations2, operations1]) # <-- not sorted
