class SerializationPerformanceTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.venue = Venue("SIM")
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.serializer = MsgPackCommandSerializer()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
self.order = self.order_factory.market(
AUDUSD,
OrderSide.BUY,
Quantity(100000),
)
self.command = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
PositionId("P-123456"),
self.order,
uuid4(),
UNIX_EPOCH,
)
def serialize_submit_order(self):
# Arrange
self.serializer.serialize(self.command)
def test_make_builtin_uuid(self):
PerformanceHarness.profile_function(self.serialize_submit_order, 10000, 1)
class MsgPackCommandSerializerTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.venue = Venue("SIM")
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.serializer = MsgPackCommandSerializer()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def test_serialize_and_deserialize_submit_order_commands(self):
# Arrange
order = self.order_factory.market(AUDUSD_SIM.symbol, OrderSide.BUY,
Quantity(100000))
command = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
PositionId("P-123456"),
order,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(command, deserialized)
self.assertEqual(order, deserialized.order)
print(command)
print(len(serialized))
print(serialized)
print(b64encode(serialized))
def test_serialize_and_deserialize_submit_bracket_order_no_take_profit_commands(
self):
# Arrange
entry_order = self.order_factory.market(AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000))
bracket_order = self.order_factory.bracket(
entry_order,
stop_loss=Price("0.99900"),
)
command = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
bracket_order,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(command, deserialized)
self.assertEqual(bracket_order, deserialized.bracket_order)
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_submit_bracket_order_with_take_profit_commands(
self):
# Arrange
entry_order = self.order_factory.limit(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
bracket_order = self.order_factory.bracket(
entry_order,
stop_loss=Price("0.99900"),
take_profit=Price("1.00010"),
)
command = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
bracket_order,
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(command, deserialized)
self.assertEqual(bracket_order, deserialized.bracket_order)
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_modify_order_commands(self):
# Arrange
command = ModifyOrder(
self.venue,
self.trader_id,
self.account_id,
ClientOrderId("O-123456"),
Quantity(100000),
Price("1.00001"),
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(command, deserialized)
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_cancel_order_commands(self):
# Arrange
command = CancelOrder(
self.venue,
self.trader_id,
self.account_id,
ClientOrderId("O-123456"),
uuid4(),
UNIX_EPOCH,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
self.assertEqual(command, deserialized)
print(b64encode(serialized))
print(command)
class TestMsgPackCommandSerializer:
def setup(self):
# Fixture Setup
self.venue = Venue("SIM")
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.serializer = MsgPackCommandSerializer()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def test_serialize_and_deserialize_submit_order_commands(self):
# Arrange
order = self.order_factory.market(AUDUSD_SIM.id, OrderSide.BUY,
Quantity(100000))
command = SubmitOrder(
order.instrument_id.venue.client_id,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
PositionId("P-123456"),
order,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
assert deserialized.order == order
print(command)
print(len(serialized))
print(serialized)
print(b64encode(serialized))
def test_serialize_and_deserialize_submit_bracket_order_no_take_profit_commands(
self, ):
# Arrange
entry_order = self.order_factory.market(AUDUSD_SIM.id, OrderSide.BUY,
Quantity(100000))
bracket_order = self.order_factory.bracket(
entry_order,
stop_loss=Price("0.99900"),
take_profit=Price("1.00100"),
)
command = SubmitBracketOrder(
entry_order.instrument_id.venue.client_id,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
bracket_order,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
assert deserialized.bracket_order == bracket_order
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_submit_bracket_order_with_take_profit_commands(
self, ):
# Arrange
entry_order = self.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
bracket_order = self.order_factory.bracket(
entry_order,
stop_loss=Price("0.99900"),
take_profit=Price("1.00010"),
)
command = SubmitBracketOrder(
entry_order.instrument_id.venue.client_id,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "01"),
bracket_order,
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
assert deserialized.bracket_order == bracket_order
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_amend_order_commands(self):
# Arrange
command = UpdateOrder(
AUDUSD_SIM.id.venue.client_id,
self.trader_id,
self.account_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
Quantity(100000),
Price("1.00001"),
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
print(b64encode(serialized))
print(command)
def test_serialize_and_deserialize_cancel_order_commands(self):
# Arrange
command = CancelOrder(
AUDUSD_SIM.id.venue.client_id,
self.trader_id,
self.account_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
VenueOrderId("001"),
uuid4(),
0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
print(b64encode(serialized))
print(command)
