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_close_exposure_cancel_closes_all():
id_gen = MonotonicIntID(seed=23043, increment=1)
n = NewOrderCommand(id_gen.id(), 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, id_gen.last_id())
cr = CancelReplaceCommand(id_gen.id(), 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800)
oec.apply_cancel_replace_command(cr)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, id_gen.last_id())
assert oec.most_recent_requested_exposure() == Exposure(Price("34.51"), 800, id_gen.last_id())
cancel_command = CancelCommand(id_gen.id(), 1234274.663, 2342, "user_x", MARKET, CancelReasons.USER_CANCEL)
oec.apply_cancel_command(cancel_command)
# now should have 3 open exposures
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[2] == Exposure(None, 0, id_gen.last_id())
assert oec.most_recent_requested_exposure() == Exposure(None, 0, id_gen.last_id())
cancel_confirm = CancelReport(id_gen.id(), 1234278.663, 2342, "user_x", MARKET, cancel_command, CancelReasons.USER_CANCEL)
oec.apply_cancel_report(cancel_confirm)
# all exposures should be closed now
assert len(oec.open_exposure_requests()) == 0
assert oec.most_recent_requested_exposure() is None
assert oec.has_partial_fill() 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()