def test_logger_yes_remove(self):
new_log_file = f'{TESTS_FOLDER_NAME}/{self._testMethodName}.log'
order_book = OrderBook(new_log_file)
bid = self.create_bid(100, 5)
order_book.add_order(bid, random_str())
ask = self.create_ask(90, 7)
order_book.add_order(ask, random_str())
with self.assertRaises(KeyError) as e:
order_book.remove_order(bid.id, bid.sender_id)
err_regex = r'^Tried to remove order but no such order exists\.\\nOrder id: \d{15}\. Order key: \(100, 5\)$'
self.assertRegex(e.args[0], err_regex)
order_book.remove_order(ask.id, ask.sender_id)
with open(new_log_file, 'r') as f:
lines = f.readlines()
# the data in the now created log file is expected to match the following regex expressions
regex = list(map(re.compile, [
r'BID \| timestamp: \d{10}\.\d{5,7}, side: b, price: 100, size: 5, id: \d{15}, sender_id: "[a-zA-Z0-9]{8}"',
r'ASK \| timestamp: \d{10}\.\d{5,7}, side: a, price: 90, size: 7, id: \d{15}, sender_id: "[a-zA-Z0-9]{8}"',
r'TRADE \| timestamp: \d{10}\.\d{5,7}, price: 100, size: 5, buyer_id: "[a-zA-Z0-9]{8}", seller_id: "[a-zA-Z0-9]{8}"',
r'\t--> ASK id: \d{15} now has size: 2',
r'\t--> BID id: \d{15} now has been exhausted',
r'ASK (rm) | timestamp: \d{10}\.\d{5,7}, side: a, price: 90, size: 2, id: \d{15}, sender_id: "[a-zA-Z0-9]{8}"'
]
))
for i, line in enumerate(lines):
self.assertRegex(line, regex[i])
def create_mock_orderbook(self, logfile_full_path):
"""
Creates a mock orderbook which contains 4 bids (price, size):
- (100, 10)
- (70, 15)
- (99, 7)
- (101, 9)
These hardcoded values are tested throughout the testing functions, don't change
"""
order_book = OrderBook(logfile_full_path)
order_book.add_order(self.create_bid(100, 10), sender_id=random_str())
order_book.add_order(self.create_bid(70, 15), random_str())
order_book.add_order(self.create_bid(99, 7), random_str())
order_book.add_order(self.create_bid(101, 9), random_str())
return order_book
def test_get_levels_general(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
book1.update_level(3, 4, True)
book1.update_level(5, 2, False)
book1.update_level(3, 1, False)
assert book1.get_levels() == (([(3,4)], [(2, 4)]),([(3,1)],[(5, 2)]))
def test_get_best_bbo_general_extended(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
book1.update_level(8, 6, True)
book1.update_level(3, 5, False)
book1.update_level(1, 2, False)
assert book1.get_best_bbo() == (8, 6, 3, 5)
def test_logger_no_remove(self):
new_log_file = f'{TESTS_FOLDER_NAME}/{self._testMethodName}.log'
order_book = OrderBook(new_log_file)
order_book.add_order(self.create_bid(100, 5), random_str())
order_book.add_order(self.create_ask(90, 7), random_str())
with open(new_log_file, 'r') as f:
lines = f.readlines()
# the data in the now created log file is expected to match the following regex expressions
regex = [
r'BID \| timestamp: \d{10}\.\d{5,7}, side: b, price: 100, size: 5, id: \d{15}, sender_id: "[a-zA-Z0-9]{8}"',
r'ASK \| timestamp: \d{10}\.\d{5,7}, side: a, price: 90, size: 7, id: \d{15}, sender_id: "[a-zA-Z0-9]{8}"',
r'TRADE \| timestamp: \d{10}\.\d{5,7}, price: 100, size: 5, buyer_id: "[a-zA-Z0-9]{8}", seller_id: "[a-zA-Z0-9]{8}"',
r'\t--> ASK id: \d{15} now has size: 2',
r'\t--> BID id: \d{15} now has been exhausted',
]
for i, line in enumerate(lines):
self.assertRegex(line, regex[i])
def test_get_best_bbo_empty_buy_list(self):
book1 = OrderBook()
book1.update_level(2, 4, False)
assert book1.get_best_bbo() == (None, None, 2, 4)
def test_get_best_bbo_empty_sell_list(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
assert book1.get_best_bbo() == (2, 4, None, None)
def test_get_best_bbo_empty_lists(self):
book1 = OrderBook()
book1.update_level(2, 0, True)
book1.update_level(3, 0, False)
assert book1.get_best_bbo() == (None, None, None, None)
def test_update_level_add(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
assert book1.levels_buy == [[(2,4)]]
def test_show_top(self):
new_log_file = f'{TESTS_FOLDER_NAME}/{self._testMethodName}.log'
order_book = OrderBook(new_log_file)
order_book.add_order(self.create_ask(100, 30), random_str())
order_book.add_order(self.create_ask(100, 29), random_str())
order_book.add_order(self.create_bid(10, 3), random_str())
order_book.add_order(self.create_bid(10, 4), random_str())
highest_bid, lowest_ask = order_book.show_top()
# Test overridden Order comparison functions (by _key())
self.assertTrue((highest_bid.price, highest_bid.size), (10, 4))
self.assertTrue((lowest_ask.price, lowest_ask.size), (100, 29))
order_book.add_order(self.create_ask(99, 28), random_str())
order_book.add_order(self.create_bid(11, 5), random_str())
highest_bid, lowest_ask = order_book.show_top()
self.assertTrue((highest_bid.price, highest_bid.size), (11, 5))
self.assertTrue((lowest_ask.price, lowest_ask.size), (99, 28))
def test_update_level_delete(self):
book1 = OrderBook()
book1.update_level(3, 1, True)
book1.update_level(2, 4, True)
book1.update_level(2, 0, True)
assert book1.levels_buy == [[(3,1)]]
def test_update_level_change(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
book1.update_level(2, 3, True)
assert book1.levels_buy == [[(2,3)]]
def test_update_level_add_zero_volume(self):
book1 = OrderBook()
book1.update_level(2, 0, True)
assert book1.levels_buy == []
def test_update_level_add_to_sell_list(self):
book1 = OrderBook()
book1.update_level(2, 4, False)
assert book1.levels_buy == []
assert book1.levels_sell == [[(2, 4)]]
def test_get_levels_general_empty_sell_list(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
book1.update_level(3, 4, True)
assert book1.get_levels() == (([(3, 4)],[(2, 4)]), ())
def test_get_best_bbo_general(self):
book1 = OrderBook()
book1.update_level(2, 4, True)
book1.update_level(3, 5, False)
assert book1.get_best_bbo() == (2, 4, 3, 5)
def test_get_levels_general_empty_buy_list(self):
book1 = OrderBook()
book1.update_level(2, 4, False)
book1.update_level(3, 4, False)
assert book1.get_levels() == ((), ([(2, 4)],[(3, 4)]))
def book():
book = OrderBook()
return book
