def test_crossing_wipeout(self):
seed_book = {
'bids': [["1000", "1", "a1b"], ["995", ".5", "b1b"],
["1010", ".4", "c1b"]],
'asks': [["2000", "1", "a1a"], ["2095", ".5", "b1a"],
["2010", ".4", "c1a"]]
}
order_book = OrderBook(seed_book=seed_book)
order_id = 'a1e'
price = '2030.0'
quantity = '1.5'
side = 'buy'
order_book.process_message({
'order_id': order_id,
'price': price,
'size': quantity,
'side': side,
'type': 'open'
})
expected_sell = {
'b1a': Order('sell', ".5", "2095"),
'a1e': Order(side, quantity, price)
}
expected_sell_level_order = {2095: {'b1a'}}
for order_id, order in expected_sell.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for price, id_set in expected_sell_level_order.iteritems():
self.assertEqual(order_book.side_level_order_ids['sell'][price],
id_set)
def add_order_to_book(self):
order_id = 'a1e'
price = '1000.0'
quantity = '1.5'
side = 'buy'
msg = {
'order_id': order_id,
'price': price,
'size': quantity,
'side': side,
'type': 'open'
}
order_book = OrderBook()
order_book.process_message(msg)
return order_book, order_id, price, side
def test_load_seed_book(self):
mock_seed_book = {
'bids': [["1000", "1", "a1b"], ["995", ".5", "b1b"],
["1010", ".4", "c1b"]],
'asks': [["2000", "1", "a1a"], ["2095", ".5", "b1a"],
["2010", ".4", "c1a"]]
}
order_book = OrderBook(seed_book=mock_seed_book)
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'b1a': Order('sell', ".5", "2095"),
'c1a': Order('sell', ".4", "2010")
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a'}
}
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
def test_drop_message(self):
msg = {'type': 'test'}
order_book = OrderBook()
order_book.process_message(msg)
self.check_order_book_empty(order_book)
def test_trying_to_understand_order_book(self):
mock_seed_book = {
'bids': [["1000", "1", "a1b"], ["995", ".5", "b1b"],
["1010", ".4", "c1b"], ['1990', '1', '111'],
['1990', '1.77', '222']],
'asks': [["2000", "1", "a1a"], ["2095", ".5", "b1a"],
["2010", ".4", "c1a"]]
}
order_book = OrderBook(seed_book=mock_seed_book)
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'b1a': Order('sell', ".5", "2095"),
'111': Order('buy', '1', '1990'),
'222': Order('buy', '1.77', '1990')
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b'},
1990: {'111', '222'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a'}
}
}
expected_order_book = {
'sell': [(2000.0, 1.0), (2010.0, .4), (2095.0, 0.5)],
'buy': [(1990, 2.77), (1010.0, 0.4), (1000.0, 1.0), (995.0, 0.5)]
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
for side, levels in order_book.last_book.iteritems():
for i, level in enumerate(levels):
self.assertEqual(expected_order_book[side][i], level)
msg = {'type': 'done', 'order_id': '222'}
order_book.process_message(msg)
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'b1a': Order('sell', ".5", "2095"),
'111': Order('buy', '1', '1990')
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b'},
1990: {'111'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a'}
}
}
expected_order_book = {
'sell': [(2000.0, 1.0), (2010.0, .4), (2095.0, 0.5)],
'buy': [(1990, 1), (1010.0, 0.4), (1000.0, 1.0), (995.0, 0.5)]
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
for side, levels in order_book.last_book.iteritems():
for i, level in enumerate(levels):
self.assertEqual(expected_order_book[side][i], level)
msg = {'type': 'match', 'order_id': '111'}
order_book.process_message(msg)
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'b1a': Order('sell', ".5", "2095")
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a'}
}
}
expected_order_book = {
'sell': [(2000.0, 1.0), (2010.0, .4), (2095.0, 0.5)],
'buy': [(1010.0, 0.4), (1000.0, 1.0), (995.0, 0.5)]
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
for side, levels in order_book.last_book.iteritems():
for i, level in enumerate(levels):
self.assertEqual(expected_order_book[side][i], level)
def test_remove_quantity_correct(self):
mock_seed_book = {
'bids': [["1000", "1", "a1b"], ["995", ".5", "b1b"],
["1010", ".4", "c1b"], ["1010", ".4", "d1b"]],
'asks': [["2000", "1", "a1a"], ["2095", ".5", "b1a"],
["2010", ".4", "c1a"], ["2010", "1", "e1a"]]
}
order_book = OrderBook(seed_book=mock_seed_book)
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'd1b': Order('buy', ".4", "1010"),
'e1a': Order('sell', "1", "2010"),
'b1a': Order('sell', ".5", "2095"),
'c1a': Order('sell', ".4", "2010")
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b', 'd1b'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a', 'e1a'}
}
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
expected_order_book = {
'sell': [(2000.0, 1.0), (2010.0, 1.4), (2095.0, 0.5)],
'buy': [(1010.0, 0.8), (1000.0, 1.0), (995.0, 0.5)]
}
for side, levels in order_book.last_book.iteritems():
for i, level in enumerate(levels):
self.assertEqual(expected_order_book[side][i], level)
msg = {'type': 'match', 'order_id': 'e1a'}
done_msg = {'type': 'done', 'order_id': 'd1b'}
expected_ids_to_order = {
'a1b': Order('buy', "1", "1000"),
'b1b': Order('buy', ".5", "995"),
'c1b': Order('buy', ".4", "1010"),
'a1a': Order('sell', "1", "2000"),
'b1a': Order('sell', ".5", "2095"),
'c1a': Order('sell', ".4", "2010")
}
expected_side_level_order = {
'buy': {
1000: {'a1b'},
995: {'b1b'},
1010: {'c1b'}
},
'sell': {
2000: {'a1a'},
2095: {'b1a'},
2010: {'c1a'}
}
}
order_book.process_message(msg)
order_book.process_message(done_msg)
expected_order_book = {
'sell': [(2000.0, 1.0), (2010.0, .4), (2095.0, 0.5)],
'buy': [(1010.0, 0.4), (1000.0, 1.0), (995.0, 0.5)]
}
for order_id, order in expected_ids_to_order.iteritems():
self.assertEqual(order_book.id_to_order[order_id].quantity,
order.quantity)
self.assertEqual(order_book.id_to_order[order_id].price,
order.price)
self.assertEqual(order_book.id_to_order[order_id].side, order.side)
for side, price_to_id in expected_side_level_order.iteritems():
for price, id_set in price_to_id.iteritems():
self.assertEqual(order_book.side_level_order_ids[side][price],
id_set)
for side, levels in order_book.last_book.iteritems():
for i, level in enumerate(levels):
self.assertEqual(expected_order_book[side][i], level)
def test_no_type(self):
msg = {}
order_book = OrderBook()
order_book.process_message(msg)
self.check_order_book_empty(order_book)