def ladder():
ladder = Ladder()
orders = [
Order(price=100, volume=10, side=OrderSide.SELL),
Order(price=100, volume=1, side=OrderSide.SELL),
Order(price=105, volume=20, side=OrderSide.SELL),
]
for order in orders:
ladder.add(order=order)
return ladder
def test_simulate_order_fills_l3():
ladder = Ladder(False, 4, 4)
orders = [
Order(price=15, volume=1, side=OrderSide.SELL, id="1"),
Order(price=16, volume=2, side=OrderSide.SELL, id="2"),
Order(price=16, volume=3, side=OrderSide.SELL, id="3"),
Order(price=20, volume=10, side=OrderSide.SELL, id="4"),
]
for order in orders:
ladder.add(order)
fills = ladder.simulate_order_fills(
order=Order(price=16.5, volume=4, side=OrderSide.BUY, id="1"))
expected = [
(Price("15.0000"), Quantity("1.0000")),
(Price("16.0000"), Quantity("2.0000")),
(Price("16.0000"), Quantity("1.0000")),
]
assert fills == expected
def test_insert():
orders = [
Order(price=100.0, volume=10.0, side=OrderSide.BUY),
Order(price=100.0, volume=1.0, side=OrderSide.BUY),
Order(price=105.0, volume=20.0, side=OrderSide.BUY),
]
ladder = Ladder(reverse=False, price_precision=0, size_precision=0)
for order in orders:
ladder.add(order=order)
ladder.add(order=Order(price=100.0, volume=10.0, side=OrderSide.BUY))
ladder.add(order=Order(price=101.0, volume=5.0, side=OrderSide.BUY))
ladder.add(order=Order(price=101.0, volume=5.0, side=OrderSide.BUY))
expected = [
(100, 21),
(101, 10),
(105, 20),
]
result = [(level.price, level.volume()) for level in ladder.levels]
assert result == expected
def ladder(reverse: bool, orders: List[Order]):
ladder = Ladder(reverse=reverse, price_precision=2, size_precision=2)
for order in orders:
ladder.add(order)
return ladder