コード例 #1
0
def test_aggressive_buy_order_first_limit_2():
    services = setup_orderbook()
    
    #insert aggressive buy order
    o = Order()
    o.price = services.bus.get_market_data()['a']["ask-0"]["price"]
    o.size  = services.bus.get_market_data()['a']["ask-0"]["size"] * 2
    o.side = +1
    o.id = "order_test"
    o.symbol = "a"
    
    services.bus.get_orderbook()[o.id] = o
    
    services.rulebook.match_one(o.id)    
    assert services.bus.get_executions().has_key(o.id), "Rulebook generated no executions for id = %s, expected executions" % (o.id)
    assert len(services.bus.get_executions()[o.id]) == 1, "Number of executions need to be equal to one. Got: %d" % (len(services.bus.get_executions()[o.id]))
    assert services.bus.get_executions()[o.id][0].size == services.bus.get_market_data()['a']["ask-0"]["size"], "Size of the execution must be equal to the size of the limit : %d. Got %d instead" % (services.bus.get_market_data()['a']["ask-0"]["size"], services.bus.get_executions()[o.id][0].size)
    assert services.bus.get_executions()[o.id][0].price == o.price, "Price of the execution must be equal to the size of the order : %f. Got %f instead" % (o.price, services.bus.get_executions()[o.id][0].price)
コード例 #2
0
def test_aggressive_buy_order_second_limit_4():
    services = setup_orderbook()
    
    #insert aggressive buy order
    o = Order()
    o.price = services.bus.get_market_data()['a']["ask-1"]["price"]
    o.size  = services.bus.get_market_data()['a']["ask-0"]["size"] / 2 
    o.side = +1
    o.id = "order_test"
    o.symbol = "a"
    
    services.bus.get_orderbook()[o.id] = o
    
    services.rulebook.match_one(o.id)    
    
    assert services.bus.get_executions().has_key(o.id), "Rulebook generated no executions for id = %s, expected executions" % (o.id)
    assert_equal(len(services.bus.get_executions()[o.id]), 1, "Incorrect number of executions")
         
    assert_equal(services.bus.get_executions()[o.id][0].size, services.bus.get_market_data()['a']["ask-0"]["size"] / 2 , "Size of the first execution incorrect")
    assert_equal(services.bus.get_executions()[o.id][0].price, services.bus.get_market_data()['a']["ask-0"]["price"], "Price of first execution incorrect") 
コード例 #3
0
def generate_snapshot(lit_venue_count = 3, dark_venue_count = 3):
    orderbook = {}
    #lit venues first
    for lv in range(lit_venue_count):
        orderbook[lit_venues[lv]] = {}
        # buy first
        side = 1
        limit = 0
        price = 100
        while (limit < 5):         
            
            nb_orders = int(round(10*powerlaw.rvs(0.6)))
            
            if nb_orders > 0:
                orderbook[lit_venues[lv]][price] = []
                for i in range(nb_orders):
                    size = int(round(normal(100, 30))) # total qty
                    iceberg = powerlaw.rvs(0.8) # ratio of visible qty
                    decay = random()
                    
                    o = Order()
                    o.side = side
                    o.price = price
                    o.size = size
                    o.shown = int(iceberg * size)
                    o.decay = decay
                    o.id = "Order_%f_%d" %(price, i)
                    o.symbol = lit_venues[lv]
                    
                    orderbook[lit_venues[lv]][price].append(o)
                limit += 1                
            price -= 1
        
        side = -1
        limit = 0
        price = 101    
        while (limit < 5):         
            
            nb_orders = int(round(10*powerlaw.rvs(0.6)))
            
            if nb_orders > 0:
                orderbook[lit_venues[lv]][price] = []
                for i in range(nb_orders):
                    size = int(round(normal(100, 30))) # total qty
                    iceberg = powerlaw.rvs(0.8) # ratio of visible qty
                    decay = random()
                    
                    o = Order()
                    o.side = side
                    o.price = price
                    o.size = size
                    o.shown = int(iceberg * size)
                    o.decay = decay
                    o.id = "Order_%f_%d" %(price, i)
                    o.symbol = lit_venues[lv]
                    
                    orderbook[lit_venues[lv]][price].append(o)
                limit += 1                
            price += 1
            
    
    return orderbook