def test_market_data_check_max_ask_print_size_limiter(self):
order_book = OrderBook(DEFAULT_TRADING_PAIR, 2, 2)
orders = [generate_order_obj(type=OrderType.ASK) for _ in range(5)]
for ord in orders:
order_book.add_order(ord)
old_market_data = order_book.market_data
orders = sorted(orders, key=lambda i: i.price)
delete_order = orders[0]
order_book.remove_order(delete_order.id)
assert order_book.market_data != old_market_data
expected_data = self.expected_market_data(
asks=self.aggregate_orders(orders[1:3]))
assert order_book.market_data == expected_data
class Engine(object):
def __init__(self):
self.order_book = OrderBook()
self.ts = 0
def execute(self, message):
self.ts += 1
try:
order_action = parse_input_message(message, self.ts)
if order_action.action_type == ACTION_TYPE_ADD_ORDER:
trades = self.order_book.add_order(order_action.order)
for trade in trades:
output_trade(trade)
elif order_action.action_type == ACTION_TYPE_CANCEL_ORDER:
self.order_book.cancel_order(order_action.order_id)
except WrongInputFormatException:
sys.stderr.write('Wrong input format: {}\n'.format(message))
except WrongMessageTypeException:
sys.stderr.write('Wrong message type: {}\n'.format(message))
except UnknownOrderException:
sys.stderr.write('Unknown order: {}\n'.format(message))
except DuplicateOrderException:
sys.stderr.write('Duplicate order: {}\n'.format(message))
class OrderBookTest(unittest.TestCase):
def setUp(self):
self.events = queue.Queue()
self.order_book = OrderBook(self.events)
def test_sell_order_is_added(self):
order = OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5'))
self.order_book.add_order(order)
self.assertEqual(self.order_book.sell_orders(), [order])
self.assertEqual(self.order_book.buy_orders(), [])
def test_buy_order_is_added(self):
order = OrderBookOrder(1, 'buy', Decimal('500'), Decimal('5'))
self.order_book.add_order(order)
self.assertEqual(self.order_book.buy_orders(), [order])
self.assertEqual(self.order_book.sell_orders(), [])
def test_sell_and_buy_orders_are_matched(self):
sell_order = OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5'))
self.order_book.add_order(sell_order)
buy_order = OrderBookOrder(2, 'buy', Decimal('500'), Decimal('5'))
self.order_book.add_order(buy_order)
self.assertEqual(self.order_book.buy_orders(), [])
self.assertEqual(self.order_book.sell_orders(), [])
self.assertEqual({
'name': 'match',
'amount': Decimal('500'),
'order_id': 2,
'matched_order_id': 1,
}, self.events.get(block=False))
self.assertEqual({
'name': 'complete',
'order_id': 1,
}, self.events.get(block=False))
self.assertEqual({
'name': 'complete',
'order_id': 2,
}, self.events.get(block=False))
def test_cancelled_order_is_removed_from_the_order_book(self):
self.order_book.add_order(OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5')))
self.order_book.cancel_order_by_id(1)
self.assertEqual(self.order_book.buy_orders(), [])
self.assertEqual(self.order_book.sell_orders(), [])
self.assertEqual({
'name': 'cancelled',
'order_id': 1,
'remaining_amount': Decimal('500'),
}, self.events.get(block=False))
def test_cancelled_partially_matched_order_has_a_correct_remaining_amount(self):
self.order_book.add_order(OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5')))
self.order_book.add_order(OrderBookOrder(2, 'buy', Decimal('300'), Decimal('5')))
self.order_book.cancel_order_by_id(1)
self.assertEqual(self.order_book.buy_orders(), [])
self.assertEqual(self.order_book.sell_orders(), [])
self.expect_event('match')
self.expect_event('complete')
self.assertEqual({
'name': 'cancelled',
'order_id': 1,
'remaining_amount': Decimal('200'),
}, self.events.get(block=False))
def test_sell_and_buy_orders_are_matched_incompletely(self):
self.order_book.add_order(OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5')))
self.order_book.add_order(OrderBookOrder(2, 'buy', Decimal('300'), Decimal('5')))
self.assertEqual(self.order_book.buy_orders(), [])
self.assertEqual(self.order_book.sell_orders(), [
self.with_matched_amount(OrderBookOrder(1, 'sell', Decimal('500'), Decimal('5')), Decimal('300'))])
self.assertEqual({
'name': 'match',
'amount': Decimal('300'),
'order_id': 2,
'matched_order_id': 1,
}, self.events.get(block=False))
self.order_book.add_order(OrderBookOrder(3, 'buy', Decimal('500'), Decimal('5')))
self.assertEqual([self.with_matched_amount(OrderBookOrder(3, 'buy', Decimal('500'), Decimal('5')), Decimal('200'))],
self.order_book.buy_orders())
self.assertEqual(self.order_book.sell_orders(), [])
self.assertEqual({
'name': 'complete',
'order_id': 2,
}, self.events.get(block=False))
self.assertEqual({
'name': 'match',
'amount': Decimal('200'),
'order_id': 3,
'matched_order_id': 1,
}, self.events.get(block=False))
def test_orders_are_matched_in_fifo_order(self):
self.order_book.add_order(OrderBookOrder(1, 'sell', Decimal('10'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(2, 'sell', Decimal('30'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(3, 'buy', Decimal('15'), Decimal('3.5')))
self.assertEqual([], self.order_book.buy_orders())
self.assertEqual([self.with_matched_amount(OrderBookOrder(2, 'sell', Decimal('30'), Decimal('3.5')), Decimal('5'))],
self.order_book.sell_orders())
def test_sell_orders_are_matched_until_they_are_filled_up_to_the_price_level(self):
self.order_book.add_order(OrderBookOrder(1, 'sell', Decimal('10'), Decimal('3.6')))
self.order_book.add_order(OrderBookOrder(2, 'sell', Decimal('30'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(3, 'sell', Decimal('15'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(4, 'sell', Decimal('5'), Decimal('3.4')))
self.order_book.add_order(OrderBookOrder(5, 'buy', Decimal('60'), Decimal('3.5')))
self.assertEqual([self.with_matched_amount(OrderBookOrder(5, 'buy', Decimal('60'), Decimal('3.5')), Decimal('50'))],
self.order_book.buy_orders())
self.assertEqual([self.with_matched_amount(OrderBookOrder(1, 'sell', Decimal('10'), Decimal('3.6')), Decimal('0'))],
self.order_book.sell_orders())
def test_buy_orders_are_matched_until_they_are_filled_up_to_the_price_level(self):
self.order_book.add_order(OrderBookOrder(1, 'buy', Decimal('10'), Decimal('3.6')))
self.order_book.add_order(OrderBookOrder(2, 'buy', Decimal('30'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(3, 'buy', Decimal('15'), Decimal('3.5')))
self.order_book.add_order(OrderBookOrder(4, 'buy', Decimal('5'), Decimal('3.4')))
self.order_book.add_order(OrderBookOrder(5, 'sell', Decimal('60'), Decimal('3.5')))
self.assertEqual([self.with_matched_amount(OrderBookOrder(4, 'buy', Decimal('5'), Decimal('3.4')), Decimal('0'))],
self.order_book.buy_orders())
self.assertEqual([self.with_matched_amount(OrderBookOrder(5, 'sell', Decimal('60'), Decimal('3.5')), Decimal('55'))],
self.order_book.sell_orders())
def test_unmatched_buy_and_sell_orders_are_added(self):
self.order_book.add_order(OrderBookOrder(1, 'buy', Decimal('10'), Decimal('1.0')))
self.order_book.add_order(OrderBookOrder(2, 'sell', Decimal('20'), Decimal('1.1')))
self.order_book.add_order(OrderBookOrder(3, 'buy', Decimal('30'), Decimal('0.9')))
self.order_book.add_order(OrderBookOrder(4, 'sell', Decimal('40'), Decimal('1.2')))
self.assertEqual([OrderBookOrder(3, 'buy', Decimal('30'), Decimal('0.9')),
OrderBookOrder(1, 'buy', Decimal('10'), Decimal('1.0'))], self.order_book.buy_orders())
self.assertEqual([OrderBookOrder(2, 'sell', Decimal('20'), Decimal('1.1')),
OrderBookOrder(4, 'sell', Decimal('40'), Decimal('1.2'))], self.order_book.sell_orders())
def expect_event(self, event_name):
self.assertEqual(event_name, self.events.get(block=False)['name'])
@staticmethod
def with_matched_amount(order, matcher_amount):
order.matched_amount = matcher_amount
return order
def test_order_book():
order_book = OrderBook()
assert len(order_book.sell_orders) == 0
assert len(order_book.buy_orders) == 0
trades = order_book.add_order(Order(100000, ORDER_SELL_SIDE, 1, 1075, 1))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 0
assert order_book.sell_orders[0].order_id == 100000
trades = order_book.add_order(Order(100001, ORDER_BUY_SIDE, 9, 1000, 2))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 1
assert order_book.sell_orders[0].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
trades = order_book.add_order(Order(100002, ORDER_BUY_SIDE, 30, 975, 3))
assert len(trades) == 0
assert len(order_book.sell_orders) == 1
assert len(order_book.buy_orders) == 2
assert order_book.sell_orders[0].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
trades = order_book.add_order(Order(100003, ORDER_SELL_SIDE, 10, 1050, 3))
assert len(trades) == 0
assert len(order_book.sell_orders) == 2
assert len(order_book.buy_orders) == 2
assert order_book.sell_orders[0].order_id == 100003
assert order_book.sell_orders[1].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
trades = order_book.add_order(Order(100004, ORDER_BUY_SIDE, 10, 950, 4))
assert len(trades) == 0
assert len(order_book.sell_orders) == 2
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100003
assert order_book.sell_orders[1].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
assert order_book.buy_orders[2].order_id == 100004
trades = order_book.add_order(Order(100005, ORDER_SELL_SIDE, 2, 1025, 5))
assert len(trades) == 0
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100002
assert order_book.buy_orders[2].order_id == 100004
trades = order_book.add_order(Order(100006, ORDER_BUY_SIDE, 1, 1000, 6))
assert len(trades) == 0
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 4
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
assert order_book.buy_orders[3].order_id == 100004
order_book.cancel_order(100004)
assert len(order_book.sell_orders) == 3
assert len(order_book.buy_orders) == 3
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
trades = order_book.add_order(Order(100007, ORDER_SELL_SIDE, 5, 1025, 8))
assert len(trades) == 0
assert order_book.sell_orders[0].order_id == 100005
assert order_book.sell_orders[1].order_id == 100007
assert order_book.sell_orders[2].order_id == 100003
assert order_book.sell_orders[3].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
trades = order_book.add_order(Order(100008, ORDER_BUY_SIDE, 3, 1050, 9))
assert len(trades) == 2
assert trades[0].quantity == 2
assert trades[0].price == 1025
assert trades[0].aggressive_fill == FILL_TYPE_PARTIAL
assert trades[0].aggressive_quantity == 1
assert trades[0].aggressive_id == 100008
assert trades[0].resting_fill == FILL_TYPE_FULL
assert trades[0].resting_id == 100005
assert trades[1].quantity == 1
assert trades[1].price == 1025
assert trades[1].aggressive_fill == FILL_TYPE_FULL
assert trades[1].aggressive_id == 100008
assert trades[1].resting_fill == FILL_TYPE_PARTIAL
assert trades[1].resting_id == 100007
assert trades[1].resting_quantity == 4
assert order_book.sell_orders[0].order_id == 100007
assert order_book.sell_orders[1].order_id == 100003
assert order_book.sell_orders[2].order_id == 100000
assert order_book.buy_orders[0].order_id == 100001
assert order_book.buy_orders[1].order_id == 100006
assert order_book.buy_orders[2].order_id == 100002
with pytest.raises(UnknownOrderException):
order_book.cancel_order(1000004)
with pytest.raises(DuplicateOrderException):
order_book.add_order(Order(100007, ORDER_SELL_SIDE, 5, 1025, 11))