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_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_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_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_delta(values):
return OrderBookDelta.from_dict(values[0])