def setUp(self):
self.market = MarketMock()
self.orders = Orders(self.market, Market.TYPE_ASK)
self.profile = cProfile.Profile()
self.profile.enable()
class Test(unittest.TestCase):
COUNT = 10000
def setUp(self):
self.market = MarketMock()
self.orders = Orders(self.market, Market.TYPE_ASK)
self.profile = cProfile.Profile()
self.profile.enable()
def tearDown(self):
self.profile.disable()
stats = pstats.Stats(self.profile)
stats.strip_dirs().sort_stats('time').print_stats(5)
def test_profile_depth_ask_random(self):
count = 0
while count < self.COUNT:
self.market.depth_ask(float(random.randint(0, 12000)) / 100, 1.0)
count += 1
def test_profile_depth_ask_sequence(self):
count = 0
while count < self.COUNT:
self.market.depth_ask(float(count) / 100, 1.0)
count += 1
def test_profile_depth_asks_random(self):
count = 0
depths = []
while count < self.COUNT:
depths.append([float(random.randint(0, 12000)) / 100, 1.0])
count += 1
self.market.depth_asks(depths)
def test_profile_depth_asks_sequence(self):
count = 0
depths = []
while count < self.COUNT:
depths.append([float(count) / 100, 1.0])
count += 1
self.market.depth_asks(depths)
def setUp(self):
self.market = MarketMock()
class Test(unittest.TestCase):
def setUp(self):
self.market = MarketMock()
def test_size(self):
orders = Orders(self.market, Market.TYPE_ASK, 1)
# group 0
self.market.depth_ask(120.0, 1)
self.assertEquals(1, orders.size())
# group 1
self.market.depth_ask(120.1, 1)
self.assertEquals(2, orders.size())
# group 1
self.market.depth_ask(120.9, 1)
self.assertEquals(2, orders.size())
# group 1
self.market.depth_ask(121.0, 1)
self.assertEquals(2, orders.size())
# group 2
self.market.depth_ask(122.0, 1)
self.assertEquals(3, orders.size())
def test_grouping(self):
orders = Orders(self.market, Market.TYPE_ASK, 0.6)
# group 0
self.market.depth_ask(0.0, 1)
# group 1
self.market.depth_ask(0.1, 1)
self.market.depth_ask(0.3, 1)
self.market.depth_ask(0.6, 1)
self.assertEquals(2, orders.size())
self.assertEquals(to_money(3), orders.get_volume(1))
# group 2
self.market.depth_ask(1.1, 1)
self.market.depth_ask(1.2, 1)
self.assertEquals(3, orders.size())
# remove group 2
self.market.depth_ask(1.1, 0)
self.market.depth_ask(1.2, 0)
self.assertEquals(2, orders.size())
def test_no_grouping(self):
orders = Orders(self.market, Market.TYPE_ASK)
self.market.depth_ask(0.00000000, 1)
self.market.depth_ask(0.00000001, 1)
self.market.depth_ask(0.00000002, 1)
self.assertEquals(3, orders.size())
def test_grouping_price(self):
orders = Orders(self.market, Market.TYPE_ASK, 1)
# group 0
self.market.depth_ask(120.0, 1)
# group 1
self.market.depth_ask(120.4, 1)
self.market.depth_ask(121.0, 1)
# group 2
self.market.depth_ask(121.8, 1)
self.assertEquals(to_money(120.0), orders.get_price(0))
self.assertEquals(to_money(121.0), orders.get_price(1))
self.assertEquals(to_money(122.0), orders.get_price(2))
def test_remove_empty(self):
orders = Orders(self.market, Market.TYPE_ASK, 1)
self.market.depth_ask(120, 20)
self.assertEquals(1, orders.size())
self.market.depth_ask(120, 0)
self.assertEquals(0, orders.size())
def test_total(self):
orders = Orders(self.market, Market.TYPE_ASK)
self.market.depth_ask(10, 3)
self.market.depth_ask(20, 2)
self.market.depth_ask(30, 1)
self.assertEquals(3, orders.size())
self.assertEquals(to_money(3), orders.get_total(0))
self.assertEquals(to_money(5), orders.get_total(1))
self.assertEquals(to_money(6), orders.get_total(2))
def test_depth_bid(self):
orders = Orders(self.market, Market.TYPE_BID)
self.market.depth_bid(10, 1)
self.market.depth_bid(20, 1)
self.market.depth_bid(30, 1)
self.assertEquals(to_money(30), orders.get_price(0))
self.assertEquals(to_money(20), orders.get_price(1))
self.assertEquals(to_money(10), orders.get_price(2))
def test_depth_ask(self):
orders = Orders(self.market, Market.TYPE_ASK, 1)
self.market.depth_ask(10, 1)
self.market.depth_ask(20, 1)
self.market.depth_ask(30, 1)
self.assertEquals(to_money(10), orders.get_price(0))
self.assertEquals(to_money(20), orders.get_price(1))
self.assertEquals(to_money(30), orders.get_price(2))
def test_ticker(self):
ordersA = Orders(self.market, Market.TYPE_ASK)
ordersB = Orders(self.market, Market.TYPE_BID)
self.market.depth_bid(3.5, 1)
self.market.depth_bid(3.3, 1)
self.market.depth_bid(3.0, 1)
self.market.depth_bid(2.2, 1)
self.market.depth_bid(1.3, 1)
self.market.depth_bid(1.0, 1)
self.market.depth_ask(4.6, 1)
self.market.depth_ask(5.0, 1)
self.market.depth_ask(5.2, 1)
self.market.depth_ask(6.0, 1)
self.market.depth_ask(6.5, 1)
self.market.ticker(3.0, 5.0)
self.assertEquals(4, ordersA.size())
self.assertEquals(to_money(5.0), ordersA.get_price(0))
self.assertEquals(4, ordersB.size())
self.assertEquals(to_money(3.0), ordersB.get_price(0))
