def test_basic_partial_fill_replenish_visible():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100, 40)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 40)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 40, Price("34.52"),
BID_SIDE, 99999, 100-40)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40
assert oec.visible_qty() == 40 # should have replenished
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
# now test the partial fill wipes out 40 more, so visible is min
aggressor2 = NewOrderCommand(1114, 1234237.123, 33333, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf2 = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor2, 40, Price("34.52"),
BID_SIDE, 99999, 100-40-40) # subtract out the size of 2 40 lot fills now
oec.apply_partial_fill_report(pf2)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40-40
assert oec.visible_qty() == 100-40-40 # should have replenished to min of 40 and 100-40-40
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
def test_partial_fill_on_unacked_order():
# when an unacked order is filled the requested exposure gets impacted
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 100
assert oec.most_recent_requested_exposure().price() == Price("34.52")
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, n, 10, Price("34.52"),
BID_SIDE, 99999, 90)
oec.apply_partial_fill_report(pf)
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 90
assert oec.most_recent_requested_exposure().price() == Price("34.52")
def test_full_fill_with_too_much_size_on_unacked_new_order():
# should balk but shouldn't keep it from working
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.visible_qty() == 0
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().price() == Price("34.52")
assert oec.most_recent_requested_exposure().qty() == 1000
assert oec.is_open()
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, n, 17, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert oec.is_open() is False
def test_basic_full_fill_on_unacked_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.visible_qty() == 0
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().price() == Price("34.52")
assert oec.most_recent_requested_exposure().qty() == 1000
assert oec.is_open()
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, n, 1000, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open() is False
def test_full_fill_on_unacked_cr_with_acked_new_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open()
cr = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr)
# now should have 2 open exposures
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.56"), 800, 3)
full_fill = FullFillReport(4, 1234237.123, 2342, "user_x", MARKET, cr, 800, Price("34.56"), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 4
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open() is False
def test_basic_full_fill_on_acked_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 1000)
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, aggressor, 1000, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert oec.is_open() is False
def test_basic_partial_fill():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_x", MARKET, ASK_SIDE, FAR, Price("34.52"), 44)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 44, Price("34.52"),
BID_SIDE, 99999, 1000-44)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 1000-44
assert oec.visible_qty() == 1000-44
assert oec.iceberg_peak_qty() == 1000 # should not have changed
assert oec.has_partial_fill()
def test_creation():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.side().is_bid()
assert oec.market() == MARKET
assert oec.time_in_force() == FAR
# no ack yet
assert oec.current_exposure() is None
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234)
# visible qty should be nothing still
assert oec.visible_qty() == 0
def test_new_iceberg_order_ack():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000, 50)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# no ack yet
assert oec.most_recent_event() == n
# check exposure
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == oec.open_exposure_requests()[-1]
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234)
# visible qty should be nothing still
assert oec.visible_qty() == 0
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 50)
oec.apply_acknowledgement_report(ack)
assert oec.most_recent_event() == ack
# check exposure
assert len(oec.open_exposure_requests()) == 0
assert oec.most_recent_requested_exposure() is None
assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 121235)
# check visible qty
assert oec.visible_qty() == 50
def test_partial_fill_to_zero_closes_out_order():
# when a partialfill closses out to an order there should be a balking because it is a paritial fill so shouldn't happen, but should allow
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 100)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 100)
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, aggressor, 100, Price("34.52"),
BID_SIDE, 99999, 0)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.is_open() is False
assert oec.visible_qty() == 0
assert oec.current_exposure() == Exposure(None, 0, 1212344)
def test_partial_fill_on_multiple_unacked_requests():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# should have 1 open exposure
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 1)
cr1 = CancelReplaceCommand(2, 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800)
oec.apply_cancel_replace_command(cr1)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
cr2 = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.55"), 800)
oec.apply_cancel_replace_command(cr2)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
cr3 = CancelReplaceCommand(4, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr3)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# a partial fill should should only impact the one the partial fill is for
# partially filling orderid 3 (cr2)
pf1 = PartialFillReport(5, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 999, 790)
oec.apply_partial_fill_report(pf1)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 790, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and again
pf2 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 1000, 780)
oec.apply_partial_fill_report(pf2)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and now I can fill order id 4 (cr 3)
pf3 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr3, 50, Price("34.56"),
BID_SIDE, 1001, 750)
oec.apply_partial_fill_report(pf3)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 750, 4)
# now start acking them
ack1 = AcknowledgementReport(10, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, None)
oec.apply_acknowledgement_report(ack1)
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 10)
ack2 = AcknowledgementReport(11, 1234235.123, 2342, "user_x", MARKET, cr1, Price("34.51"), 800, None)
oec.apply_acknowledgement_report(ack2)
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.51"), 800, 11)
ack3 = AcknowledgementReport(12, 1234235.123, 2342, "user_x", MARKET, cr2, Price("34.55"), 780, None)
oec.apply_acknowledgement_report(ack3)
assert len(oec.open_exposure_requests()) == 1
print(oec.open_exposure_requests()[0])
assert oec.open_exposure_requests()[0] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.55"), 780, 12)
ack4 = AcknowledgementReport(13, 1234235.123, 2342, "user_x", MARKET, cr3, Price("34.56"), 750, None)
oec.apply_acknowledgement_report(ack4)
assert len(oec.open_exposure_requests()) == 0
assert oec.current_exposure() == Exposure(Price("34.56"), 750, 13)