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)
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")
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