def test_process_order_book_when_multiple_subscribers_then_sends_to_registered_handlers(self):
# Arrange
self.data_engine.register_client(self.binance_client)
self.binance_client.connect()
order_book = OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
level=2,
depth=25,
price_precision=2,
size_precision=5,
bids=[],
asks=[],
update_id=0,
timestamp=0,
)
handler1 = []
subscribe1 = Subscribe(
provider=BINANCE.value,
data_type=DataType(OrderBook, {
"InstrumentId": ETHUSDT_BINANCE.id,
"Level": 2,
"Depth": 25,
"Interval": 0, # Streaming
}),
handler=handler1.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
handler2 = []
subscribe2 = Subscribe(
provider=BINANCE.value,
data_type=DataType(OrderBook, {
"InstrumentId": ETHUSDT_BINANCE.id,
"Level": 2,
"Depth": 25,
"Interval": 0, # Streaming
}),
handler=handler2.append,
command_id=self.uuid_factory.generate(),
command_timestamp=self.clock.utc_now(),
)
self.data_engine.execute(subscribe1)
self.data_engine.execute(subscribe2)
# Act
self.data_engine.process(order_book)
# Assert
self.assertEqual([ETHUSDT_BINANCE.id], self.data_engine.subscribed_order_books)
self.assertEqual(order_book, handler1[0])
self.assertEqual(order_book, handler2[0])
def test_bids_and_asks(self):
# Arrange
bids = np.asarray([[1550.15, 0.51], [1580.00, 1.20]])
asks = np.asarray([[1552.15, 1.51], [1582.00, 2.20]])
# Act
order_book = OrderBook(
symbol=ETHUSDT_BINANCE.symbol,
level=2,
price_precision=2,
size_precision=2,
bids=bids,
asks=asks,
timestamp=0,
)
# Assert
self.assertEqual(ETHUSDT_BINANCE.symbol, order_book.symbol)
self.assertEqual(0, order_book.timestamp)
self.assertEqual([[1550.15, 0.51], [1580.00, 1.20]], order_book.bids())
self.assertEqual([[1552.15, 1.51], [1582.00, 2.20]], order_book.asks())
def test_update(self):
# Arrange
bids1 = np.asarray([[1550.15, 0.51], [1580.00, 1.20]])
asks1 = np.asarray([[1552.15, 1.51], [1582.00, 2.20]])
order_book = OrderBook(
symbol=ETHUSDT_BINANCE.symbol,
level=2,
price_precision=2,
size_precision=2,
bids=bids1,
asks=asks1,
timestamp=0,
)
bids2 = np.asarray([[1551.00, 1.00], [1581.00, 2.00]])
asks2 = np.asarray([[1553.00, 1.00], [1583.00, 2.00]])
# Act
order_book.update(bids2, asks2, 1)
# Assert
self.assertEqual(ETHUSDT_BINANCE.symbol, order_book.symbol)
self.assertEqual(1, order_book.timestamp)
self.assertEqual([[1551.00, 1.00], [1581.00, 2.00]], order_book.bids())
self.assertEqual([[1553.00, 1.00], [1583.00, 2.00]], order_book.asks())
def test_handle_order_book_sends_to_data_engine(self):
# Arrange
order_book = OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
level=2,
depth=25,
price_precision=2,
size_precision=5,
bids=[],
asks=[],
update_id=0,
timestamp=0,
)
# Act
self.client._handle_order_book_py(order_book)
# Assert
self.assertEqual(1, self.data_engine.data_count)
def test_order_book_when_order_book_exists_returns_expected(self):
# Arrange
order_book = OrderBook(
symbol=ETHUSDT_BINANCE.symbol,
level=2,
price_precision=2,
size_precision=2,
bids=np.asarray([[1550.15, 0.51], [1580.00, 1.20]]),
asks=np.asarray([[1552.15, 1.51], [1582.00, 2.20]]),
timestamp=0,
)
self.cache.add_order_book(order_book)
# Act
result = self.cache.order_book(ETHUSDT_BINANCE.symbol)
# Assert
self.assertEqual(order_book, result)
def test_instantiation(self):
# Arrange
# Act
order_book = OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
level=2,
depth=25,
price_precision=2,
size_precision=5,
bids=[],
asks=[],
update_id=0,
timestamp=0,
)
# Act
# Assert
self.assertEqual(2, order_book.level)
self.assertEqual(25, order_book.depth)
self.assertEqual(0, order_book.timestamp)
self.assertEqual(0, order_book.update_id)
def test_order_book_when_order_book_exists_returns_expected(self):
# Arrange
order_book = OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
level=2,
depth=25,
price_precision=2,
size_precision=2,
bids=[[1550.15, 0.51], [1580.00, 1.20]],
asks=[[1552.15, 1.51], [1582.00, 2.20]],
update_id=1,
timestamp=0,
)
self.cache.add_order_book(order_book)
# Act
result = self.cache.order_book(ETHUSDT_BINANCE.id)
# Assert
self.assertEqual(order_book, result)
def test_str_and_repr(self):
# Arrange
bids = np.asarray([[1550.15, 0.51], [1580.00, 1.20]])
asks = np.asarray([[1552.15, 1.51], [1582.00, 2.20]])
# Act
order_book = OrderBook(
symbol=ETHUSDT_BINANCE.symbol,
level=2,
price_precision=2,
size_precision=2,
bids=bids,
asks=asks,
timestamp=0,
)
# Assert
self.assertEqual(
"ETH/USDT.BINANCE, bids_len=2, asks_len=2, timestamp=0",
str(order_book))
self.assertEqual(
"OrderBook(ETH/USDT.BINANCE, bids_len=2, asks_len=2, timestamp=0)",
repr(order_book))
def test_apply_snapshot(self):
# Arrange
order_book = OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
level=2,
depth=25,
price_precision=2,
size_precision=5,
bids=[],
asks=[],
update_id=0,
timestamp=0,
)
bids = [
[1002.0, 10.0],
[1001.0, 20.0],
[1000.8, 30.0],
[1000.7, 40.0],
[1000.6, 50.0],
[1000.5, 60.0],
[1000.4, 70.0],
[1000.3, 80.0],
[1000.2, 90.0],
[1000.1, 100.0],
]
asks = [
[1003.0, 10.0],
[1004.0, 20.0],
[1004.1, 30.0],
[1004.2, 40.0],
[1004.3, 50.0],
[1004.4, 60.0],
[1004.5, 70.0],
[1004.6, 80.0],
[1004.7, 90.0],
[1004.8, 100.0],
]
# Act
order_book.apply_snapshot(bids, asks, 1, 1)
# Assert
self.assertEqual(bids, order_book.bids())
self.assertEqual(asks, order_book.asks())
self.assertEqual(1.0, order_book.spread())
self.assertEqual(1002.0, order_book.best_bid_price())
self.assertEqual(1003.0, order_book.best_ask_price())
self.assertEqual(10.0, order_book.best_bid_qty())
self.assertEqual(10.0, order_book.best_ask_qty())