def setUp(self, annotate=True): yield super(AbstractTestOrderBook, self).setUp(annotate=annotate) # Object creation self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(1462224447.117), Timestamp(1462224447.117)) self.invalid_ask = Ask(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(0), Timestamp(0.0)) self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(1)), Price(400, 'BTC'), Quantity(30, 'MC'), Timeout(1462224447.117), Timestamp(1462224447.117)) self.bid = Bid(OrderId(TraderId('2'), OrderNumber(1)), Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(1462224447.117), Timestamp(1462224447.117)) self.invalid_bid = Bid(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(0), Timestamp(0.0)) self.bid2 = Bid(OrderId(TraderId('3'), OrderNumber(1)), Price(300, 'BTC'), Quantity(30, 'MC'), Timeout(1462224447.117), Timestamp(1462224447.117)) self.trade = Trade.propose(MessageId(TraderId('0'), MessageNumber(1)), OrderId(TraderId('0'), OrderNumber(1)), OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timestamp(1462224447.117)) self.order_book = OrderBook()
def setUp(self): yield super(PriceTimeStrategyTestSuite, self).setUp() # Object creation self.ask = Ask(OrderId(TraderId(b'0'), OrderNumber(1)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.ask2 = Ask(OrderId(TraderId(b'1'), OrderNumber(2)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.ask3 = Ask(OrderId(TraderId(b'0'), OrderNumber(3)), AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')), Timeout(100), Timestamp.now()) self.ask4 = Ask(OrderId(TraderId(b'1'), OrderNumber(4)), AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')), Timeout(100), Timestamp.now()) self.ask5 = Ask(OrderId(TraderId(b'1'), OrderNumber(4)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')), Timeout(100), Timestamp.now()) self.bid = Bid(OrderId(TraderId(b'0'), OrderNumber(5)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.bid2 = Bid(OrderId(TraderId(b'0'), OrderNumber(6)), AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.ask_order = Order(OrderId(TraderId(b'9'), OrderNumber(11)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now(), True) self.ask_order2 = Order(OrderId(TraderId(b'9'), OrderNumber(12)), AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')), Timeout(100), Timestamp.now(), True) self.bid_order = Order(OrderId(TraderId(b'9'), OrderNumber(13)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now(), False) self.bid_order2 = Order(OrderId(TraderId(b'9'), OrderNumber(14)), AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')), Timeout(100), Timestamp.now(), False) self.order_book = OrderBook() self.price_time_strategy = PriceTimeStrategy(self.order_book)
def setUp(self, annotate=True): yield super(AbstractTestOrderBook, self).setUp(annotate=annotate) # Object creation self.ask = Ask( OrderId(TraderId('0'), OrderNumber(1)), AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.invalid_ask = Ask( OrderId(TraderId('0'), OrderNumber(1)), AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0)) self.ask2 = Ask( OrderId(TraderId('1'), OrderNumber(1)), AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.bid = Bid( OrderId(TraderId('2'), OrderNumber(1)), AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.invalid_bid = Bid( OrderId(TraderId('0'), OrderNumber(1)), AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0)) self.bid2 = Bid( OrderId(TraderId('3'), OrderNumber(1)), AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now()) self.trade = Trade.propose( TraderId('0'), OrderId(TraderId('0'), OrderNumber(1)), OrderId(TraderId('0'), OrderNumber(1)), AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timestamp(1462224447.117)) self.order_book = OrderBook()
def setUp(self, annotate=True): yield super(TestMarketBlock, self).setUp(annotate=annotate) self.ask = Ask( OrderId(TraderId('0' * 40), OrderNumber(1)), AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp(0.0), True) self.bid = Ask( OrderId(TraderId('1' * 40), OrderNumber(1)), AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp(0.0), False) self.transaction = Transaction( TransactionId(TraderId('0' * 40), TransactionNumber(1)), AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')), OrderId(TraderId('0' * 40), OrderNumber(1)), OrderId(TraderId('1' * 40), OrderNumber(1)), Timestamp(0.0)) ask_tx = self.ask.to_block_dict() ask_tx["address"], ask_tx["port"] = "127.0.0.1", 1337 bid_tx = self.bid.to_block_dict() bid_tx["address"], bid_tx["port"] = "127.0.0.1", 1337 self.tick_block = MarketBlock() self.tick_block.type = 'tick' self.tick_block.transaction = {'tick': ask_tx} self.cancel_block = MarketBlock() self.cancel_block.type = 'cancel_order' self.cancel_block.transaction = { 'trader_id': 'a' * 40, 'order_number': 1 } self.tx_block = MarketBlock() self.tx_block.type = 'tx_init' self.tx_block.transaction = { 'ask': ask_tx, 'bid': bid_tx, 'tx': self.transaction.to_dictionary() } payment = { 'trader_id': 'a' * 40, 'transaction_number': 3, 'transferred': { 'amount': 3, 'type': 'BTC' }, 'payment_id': 'a', 'address_from': 'a', 'address_to': 'b', 'timestamp': 1234.3, 'success': True } self.payment_block = MarketBlock() self.payment_block.type = 'tx_payment' self.payment_block.transaction = {'payment': payment}
def test_proposed_trade_cache_timeout(self): """ Test the timeout method of a proposed trade request in the cache """ ask = Ask( OrderId(TraderId(self.market_community.mid), OrderNumber(24)), Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600), Timestamp.now()) order = Order(OrderId(TraderId("0"), OrderNumber(23)), Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0), Timestamp.now(), False) self.market_community.order_book.insert_ask(ask) self.assertEqual(len(self.market_community.order_book.asks), 1) self.market_community.order_manager.order_repository.add(order) order.reserve_quantity_for_tick(self.proposed_trade.recipient_order_id, Quantity(30, 'DUM2')) self.market_community.order_manager.order_repository.update(order) mocked_match_message = MockObject() mocked_match_message.payload = MockObject() mocked_match_message.payload.matchmaker_trader_id = 'a' self.market_community.incoming_match_messages[ 'a'] = mocked_match_message def mocked_send_decline(*_): mocked_send_decline.called = True mocked_send_decline.called = False self.market_community.send_decline_match_message = mocked_send_decline cache = ProposedTradeRequestCache(self.market_community, self.proposed_trade, 'a') cache.on_timeout() self.assertTrue(mocked_send_decline.called)
def setUp(self, annotate=True): yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate) # Object creation self.ask = Ask( OrderId(TraderId('2'), OrderNumber(1)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now()) self.bid = Bid( OrderId(TraderId('4'), OrderNumber(2)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now()) self.ask_order = Order( OrderId(TraderId('5'), OrderNumber(3)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now(), True) self.bid_order = Order( OrderId(TraderId('6'), OrderNumber(4)), AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now(), False) self.order_book = OrderBook() self.matching_engine = MatchingEngine( PriceTimeStrategy(self.order_book)) self.ask_count = 2 self.bid_count = 2
def create_ask(self, amount1, amount2): """ Create an ask with a specific price and quantity """ new_ask = Ask(OrderId(TraderId(b'2'), OrderNumber(self.ask_count)), AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now()) self.ask_count += 1 return new_ask
def create_ask(self, price, quantity): """ Create an ask with a specific price and quantity """ new_ask = Ask(OrderId(TraderId('2'), OrderNumber(self.ask_count)), Price(price, 'BTC'), Quantity(quantity, 'MC'), Timeout(30), Timestamp.now()) self.ask_count += 1 return new_ask
def setUp(self, annotate=True): yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate) # Object creation self.ask = Ask(MessageId(TraderId('0'), MessageNumber('1')), OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now()) self.ask2 = Ask(MessageId(TraderId('1'), MessageNumber('1')), OrderId(TraderId('1'), OrderNumber(2)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now()) self.ask3 = Ask(MessageId(TraderId('3'), MessageNumber('1')), OrderId(TraderId('0'), OrderNumber(3)), Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100), Timestamp.now()) self.ask4 = Ask(MessageId(TraderId('4'), MessageNumber('1')), OrderId(TraderId('1'), OrderNumber(4)), Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100), Timestamp.now()) self.ask5 = Ask(MessageId(TraderId('4'), MessageNumber('1')), OrderId(TraderId('1'), OrderNumber(4)), Price(100, 'A'), Quantity(30, 'MC'), Timeout(100), Timestamp.now()) self.ask6 = Ask(MessageId(TraderId('4'), MessageNumber('1')), OrderId(TraderId('1'), OrderNumber(4)), Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100), Timestamp.now()) self.bid = Bid(MessageId(TraderId('5'), MessageNumber('2')), OrderId(TraderId('0'), OrderNumber(5)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now()) self.bid2 = Bid(MessageId(TraderId('6'), MessageNumber('2')), OrderId(TraderId('0'), OrderNumber(6)), Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now()) self.bid3 = Bid(MessageId(TraderId('7'), MessageNumber('2')), OrderId(TraderId('0'), OrderNumber(7)), Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100), Timestamp.now()) self.bid4 = Bid(MessageId(TraderId('8'), MessageNumber('2')), OrderId(TraderId('0'), OrderNumber(8)), Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100), Timestamp.now()) self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now(), True) self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)), Price(10, 'BTC'), Quantity(60, 'MC'), Timeout(100), Timestamp.now(), True) self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100), Timestamp.now(), False) self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)), Price(100, 'BTC'), Quantity(60, 'MC'), Timeout(100), Timestamp.now(), False) self.order_book = OrderBook(MemoryMessageRepository('0')) self.price_time_strategy = PriceTimeStrategy(self.order_book)
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity, unreserve=True): """ Update ticks according to a TradeChain block containing the status of the ask/bid orders. :type ask_order_dict: dict :type bid_order_dict: dict :type traded_quantity: Quantity :type unreserve: bool """ assert isinstance(ask_order_dict, dict), type(ask_order_dict) assert isinstance(bid_order_dict, dict), type(bid_order_dict) assert isinstance(traded_quantity, Quantity), type(traded_quantity) assert isinstance(unreserve, bool), type(unreserve) ask_order_id = OrderId(TraderId(ask_order_dict["trader_id"]), OrderNumber(ask_order_dict["order_number"])) bid_order_id = OrderId(TraderId(bid_order_dict["trader_id"]), OrderNumber(bid_order_dict["order_number"])) self._logger.debug("Updating ticks in order book: %s and %s (traded quantity: %s)", str(ask_order_id), str(bid_order_id), str(traded_quantity)) # Update ask tick new_ask_quantity = Quantity(ask_order_dict["quantity"] - ask_order_dict["traded_quantity"], ask_order_dict["quantity_type"]) if self.tick_exists(ask_order_id) and new_ask_quantity <= self.get_tick(ask_order_id).quantity: tick = self.get_tick(ask_order_id) tick.quantity = new_ask_quantity if unreserve: tick.release_for_matching(traded_quantity) if tick.quantity <= Quantity(0, ask_order_dict["quantity_type"]): self.remove_tick(tick.order_id) self.completed_orders.append(tick.order_id) elif not self.tick_exists(ask_order_id) and new_ask_quantity > Quantity(0, ask_order_dict["quantity_type"]): ask = Ask(ask_order_id, Price(ask_order_dict["price"], ask_order_dict["price_type"]), new_ask_quantity, Timeout(ask_order_dict["timeout"]), Timestamp(ask_order_dict["timestamp"])) self.insert_ask(ask) # Update bid tick new_bid_quantity = Quantity(bid_order_dict["quantity"] - bid_order_dict["traded_quantity"], bid_order_dict["quantity_type"]) if self.tick_exists(bid_order_id) and new_bid_quantity <= self.get_tick(bid_order_id).quantity: tick = self.get_tick(bid_order_id) tick.quantity = new_bid_quantity if unreserve: tick.release_for_matching(traded_quantity) if tick.quantity <= Quantity(0, bid_order_dict["quantity_type"]): self.remove_tick(tick.order_id) self.completed_orders.append(tick.order_id) elif not self.tick_exists(bid_order_id) and new_bid_quantity > Quantity(0, bid_order_dict["quantity_type"]): bid = Bid(bid_order_id, Price(bid_order_dict["price"], bid_order_dict["price_type"]), new_bid_quantity, Timeout(bid_order_dict["timeout"]), Timestamp(bid_order_dict["timestamp"])) self.insert_bid(bid)
def setUp(self, annotate=True): yield super(CommunityTestSuite, self).setUp(annotate=annotate) dummy1_wallet = DummyWallet1() dummy2_wallet = DummyWallet2() self.market_community = MarketCommunity(self.dispersy, self.master_member, self.member) self.market_community.initialize(wallets={ dummy1_wallet.get_identifier(): dummy1_wallet, dummy2_wallet.get_identifier(): dummy2_wallet }, use_database=False) self.market_community.use_local_address = True self.dispersy._lan_address = ("127.0.0.1", 1234) self.dispersy._endpoint.open(self.dispersy) self.dispersy.attach_community(self.market_community) eccrypto = ECCrypto() ec = eccrypto.generate_key(u"curve25519") member = Member(self.dispersy, ec, 1) trader_id = hashlib.sha1(member.public_key).digest().encode('hex') self.ask = Ask( MessageId(TraderId('0'), MessageNumber('message_number')), OrderId(TraderId(trader_id), OrderNumber(1234)), Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600), Timestamp.now()) self.ask.sign(member) self.bid = Bid( MessageId(TraderId('1'), MessageNumber('message_number')), OrderId(TraderId(trader_id), OrderNumber(1235)), Price(343, 'DUM1'), Quantity(22, 'DUM2'), Timeout(3600), Timestamp.now()) self.bid.sign(member) self.order = Order( OrderId(TraderId(self.market_community.mid), OrderNumber(24)), Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0), Timestamp.now(), False) self.proposed_trade = Trade.propose( MessageId(TraderId('0'), MessageNumber('message_number')), OrderId(TraderId('0'), OrderNumber(23)), OrderId(TraderId(self.market_community.mid), OrderNumber(24)), Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timestamp.now())
def setUp(self, annotate=True): yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate) # Object creation self.ask = Ask( MessageId(TraderId('1'), MessageNumber('message_number1')), OrderId(TraderId('2'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30), Timestamp.now()) self.bid = Bid( MessageId(TraderId('3'), MessageNumber('message_number2')), OrderId(TraderId('4'), OrderNumber(2)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30), Timestamp.now()) self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30), Timestamp.now(), True) self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)), Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30), Timestamp.now(), False) self.order_book = OrderBook(MemoryMessageRepository('0')) self.matching_engine = MatchingEngine( PriceTimeStrategy(self.order_book))
def test_proposed_trade_cache_timeout(self): """ Test the timeout method of a proposed trade request in the cache """ ask = Ask( MessageId(TraderId('0'), MessageNumber('message_number')), OrderId(TraderId(self.market_community.mid), OrderNumber(24)), Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600), Timestamp.now()) order = Order(OrderId(TraderId("0"), OrderNumber(23)), Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0), Timestamp.now(), False) self.market_community.order_book.insert_ask(ask) self.assertEqual(len(self.market_community.order_book.asks), 1) self.market_community.order_manager.order_repository.add(order) order.reserve_quantity_for_tick(self.proposed_trade.recipient_order_id, Quantity(30, 'DUM2')) self.market_community.order_manager.order_repository.update(order) cache = ProposedTradeRequestCache(self.market_community, self.proposed_trade) cache.on_timeout() self.assertEqual(len(self.market_community.order_book.asks), 0)
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity, unreserve=True): """ Update ticks according to a TrustChain block containing the status of the ask/bid orders. :type ask_order_dict: dict :type bid_order_dict: dict :type traded_quantity: int :type unreserve: bool """ ask_order_id = OrderId(TraderId(ask_order_dict["trader_id"]), OrderNumber(ask_order_dict["order_number"])) bid_order_id = OrderId(TraderId(bid_order_dict["trader_id"]), OrderNumber(bid_order_dict["order_number"])) self._logger.debug( "Updating ticks in order book: %s and %s (traded quantity: %s)", str(ask_order_id), str(bid_order_id), str(traded_quantity)) # Update ask tick ask_exists = self.tick_exists(ask_order_id) if ask_exists and ask_order_dict["traded"] >= self.get_tick( ask_order_id).traded: tick = self.get_tick(ask_order_id) tick.traded = ask_order_dict["traded"] if unreserve: tick.release_for_matching(traded_quantity) if tick.traded >= tick.assets.first.amount: self.remove_tick(tick.order_id) self.completed_orders.add(tick.order_id) elif not ask_exists and ask_order_dict["traded"] < ask_order_dict["assets"]["first"]["amount"] and \ ask_order_id not in self.completed_orders: new_pair = AssetPair.from_dictionary(ask_order_dict["assets"]) ask = Ask(ask_order_id, new_pair, Timeout(ask_order_dict["timeout"]), Timestamp(ask_order_dict["timestamp"]), traded=ask_order_dict["traded"]) self.insert_ask(ask) elif not ask_exists and ask_order_dict["traded"] >= ask_order_dict[ "assets"]["first"]["amount"]: self.completed_orders.add(ask_order_id) # Update bid tick bid_exists = self.tick_exists(bid_order_id) if bid_exists and bid_order_dict["traded"] >= self.get_tick( bid_order_id).traded: tick = self.get_tick(bid_order_id) tick.traded = bid_order_dict["traded"] if unreserve: tick.release_for_matching(traded_quantity) if tick.traded >= tick.assets.first.amount: self.remove_tick(tick.order_id) self.completed_orders.add(tick.order_id) elif not bid_exists and bid_order_dict["traded"] < bid_order_dict["assets"]["first"]["amount"] and \ bid_order_id not in self.completed_orders: new_pair = AssetPair.from_dictionary(bid_order_dict["assets"]) bid = Bid(bid_order_id, new_pair, Timeout(bid_order_dict["timeout"]), Timestamp(bid_order_dict["timestamp"]), traded=bid_order_dict["traded"]) self.insert_bid(bid) elif not bid_exists and bid_order_dict["traded"] >= bid_order_dict[ "assets"]["first"]["amount"]: self.completed_orders.add(bid_order_id)