def test_OrderBookBids(self):
book = OrderBook()
book.process_order(Order('B', 100322, 5103, 7500))
book.process_order(Order('B', 100345, 5103, 10000, 100000))
book.process_order(Order('B', 1, 5100, 10))
self.assertTrue(len(book.bids.price_map.keys()) == 2)
self.assertTrue(len(book.bids.order_map.keys()) == 3)
self.assertTrue(book.bids.min == 5100)
def test_LimitNewOrderPartial(self):
book = OrderBook()
book.process_order(Order('B', 1, 101, 10))
book.process_order(Order('B', 2, 101, 10))
trades = book.process_order(Order('S', 5, 101, 25))
self.assertTrue(len(trades) == 2)
self.assertTrue(len(book.bids.price_map) == 0)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
self.assertTrue(trades[1].id == 2)
self.assertTrue(book.asks.order_map[5].peak_size == 5)
def test_LimitOrderSimple(self):
book = OrderBook()
book.process_order(Order('B', 1, 101, 10))
book.process_order(Order('B', 2, 101, 10))
trades = book.process_order(Order('S', 3, 103, 10))
self.assertTrue(len(trades) == 0)
# Marching first B order
trades = book.process_order(Order('S', 4, 101, 10))
self.assertTrue(len(trades) == 1)
self.assertTrue(len(book.bids.price_map) == 1)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
def test_LimitOrdersAdvanced(self):
book = OrderBook()
book.process_order(Order('B', 1, 101, 10))
book.process_order(Order('B', 2, 101, 10))
trades = book.process_order(Order('S', 3, 103, 10))
self.assertTrue(len(trades) == 0)
# Fill both B orders
trades = book.process_order(Order('S', 5, 101, 20))
self.assertTrue(len(trades) == 2)
self.assertTrue(len(book.bids.price_map) == 0)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
self.assertTrue(trades[1].id == 2)
def test_PassiveIcebergOder(self):
book = OrderBook()
book.process_order(Order('B', 1, 100, 82500, 10000))
book.process_order(Order('B', 2, 99, 50000))
book.process_order(Order('B', 3, 98, 25500))
book.process_order(Order('S', 4, 101, 20000))
trades = book.process_order(Order('S', 5, 100, 10000))
self.assertTrue(len(trades) == 1)
self.assertTrue(len(book.bids.price_map) == 3)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
self.assertTrue(book.bids.order_map[1].left_peak_size == 62500)
self.assertTrue(book.bids.order_map[1].peak_size == 10000)
def test_passiveIcebergTwoOrders(self):
book = OrderBook()
book.process_order(Order('B', 1, 100, 72500, 10000))
book.process_order(Order('B', 2, 99, 50000))
book.process_order(Order('B', 3, 98, 25500))
book.process_order(Order('S', 4, 101, 20000))
trades = book.process_order(Order('S', 5, 99, 35000))
# Match the max - 35k from 1
self.assertTrue(len(trades) == 1)
self.assertTrue(len(book.bids.price_map) == 3)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
self.assertTrue(book.bids.order_map[1].left_peak_size == 32500)
self.assertTrue(book.bids.order_map[1].peak_size == 5000)
def test_PassiveIcebergPeak(self):
book = OrderBook()
book.process_order(Order('B', 1, 100, 72500, 10000))
book.process_order(Order('B', 2, 99, 50000))
book.process_order(Order('B', 3, 98, 25500))
book.process_order(Order('S', 4, 101, 20000))
trades = book.process_order(Order('S', 5, 99, 11000))
self.assertTrue(len(trades) == 1)
self.assertTrue(len(book.bids.price_map) == 3)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 1)
# Leftovers should be peak - 1k
self.assertTrue(book.bids.order_map[1].left_peak_size == 52500)
self.assertTrue(book.bids.order_map[1].peak_size == 9000)
def main():
book = OrderBook()
start = timer()
count = 0
while True:
try:
line = sys.stdin.readline()
order_fields = line.split(",")
# Probably reached end of file
if not line or len(order_fields) < 4 or len(order_fields) > 5:
sys.stderr.write("Unrecognized message: {0}\n".format(line))
break
order_type = order_fields[0] # 'B' or 'S'
order_id = order_fields[1]
order_price = int(order_fields[2]) # in pence > 0
order_size = int(order_fields[3]) # quantity > 0
new_order = Order(
order_type, order_id, order_price, order_size,
int(order_fields[4]) if len(order_fields) == 5 else None)
book.process_order(new_order)
except KeyboardInterrupt:
break
count += 1
total = timer() - start
print("Done processing {0} lines of input".format(count))
print("Processed {} orders in {:.2f} sec - avg: {} orders/second".format(
count, total, int(count / total)))
def test_LimitOrderSimple(self):
# B, 100322, 5103, 7500
# Limit order id 100322: Buy 7,500 at 5,103p,
order_type = 'B'
order_id = 100322
order_price = 5103
order_size = 7500
order = Order(order_type, order_id, order_price, order_size)
self.assertTrue(order.is_bid)
self.assertEqual(order.type, 'B')
self.assertEqual(order.id, order_id)
self.assertEqual(order.price, order_price)
self.assertEqual(order.peak_size, order_size)
self.assertEqual(order.size, order_size)
self.assertTrue(order.left_peak_size == 0)
self.assertEqual(
order.__str__(), "Order: type: {} id: {} price: {} size {}".format(
order_type, order_id, order_price, order_size))
def test_OrderBookAdd(self):
book = OrderBook()
# Simple Limit order example (as defined in spec)
# B,100322,5103,7500
book.process_order(Order('B', 100322, 5103, 7500))
self.assertTrue(len(book.bids.order_map) == 1)
self.assertTrue(100322 in book.bids.order_map)
self.assertTrue(5103 is book.bids.max)
self.assertTrue(5103 in book.bids.price_map)
# Simple Iceberg order example (as defined in spec)
# S,100345,5103,100000,10000
book.process_order(Order('S', 100345, 5103, 100000, 10000))
self.assertTrue(len(book.asks.order_map) == 1)
self.assertTrue(100345 in book.asks.order_map)
# Trade should have matched the bid
self.assertTrue(5103 is book.asks.min)
self.assertTrue(5103 not in book.bids.price_map)
def populateList(num_elements):
order_type = 'S'
order_id = 1
order_price = 5000
order_size = 7500
order_list = OrderList()
# Adding num_elements
for i in range(0, num_elements):
order = Order(order_type, order_id, order_price, order_size)
order_list.add(order)
order_id += 1
return order_list
def test_OrderListAdd(self):
num_elements = 1000
order_type = 'B'
order_id = 1
order_price = 5000
order_size = 7500
order_list = OrderList()
for i in range(0, num_elements):
order = Order(order_type, order_id, order_price, order_size, order_size)
if order_list.tail is not None:
self.assertTrue(order_list.tail.id < order.id)
order_list.add(order)
order_id += 1
self.assertTrue(order_list.size == num_elements)
def test_IcebergOrderSimple(self):
# S, 100345, 5103, 100000, 10000
# Iceberg order id 100345: Sell 100,000 at 5103p, with a peak size of 10,000
order_type = 'S'
order_id = 100345
order_price = 5103
order_size = 100000
order_peak = 10000
order = Order(order_type, order_id, order_price, order_size,
order_peak)
self.assertTrue(not order.is_bid)
self.assertEqual(order.type, 'S')
self.assertEqual(order.id, order_id)
self.assertEqual(order.price, order_price)
self.assertEqual(order.peak_size, order_peak)
self.assertEqual(order.size, order_peak)
self.assertTrue(order.left_peak_size == 90000)
def test_AggessiveIcebergOrder(self):
book = OrderBook()
book.process_order(Order('B', 1, 99, 50, 50000))
book.process_order(Order('B', 2, 98, 25, 25500))
book.process_order(Order('S', 3, 100, 25, 10000))
book.process_order(Order('S', 4, 100, 25, 7500))
trades = book.process_order(Order('S', 5, 101, 25, 20000))
self.assertTrue(len(trades) == 0)
# Fill twp sell orders with an iceberg
trades = book.process_order(Order('B', 6, 100, 100000, 10000))
self.assertTrue(len(trades) == 2)
self.assertTrue(len(book.bids.price_map) == 3)
self.assertTrue(len(book.asks.price_map) == 1)
self.assertTrue(trades[0].id == 3)
self.assertTrue(trades[1].id == 4)
self.assertTrue(book.bids.order_map[6].left_peak_size == 72500)
self.assertTrue(book.bids.order_map[6].peak_size == 10000)
def test_OrberBookComplexOrders(self):
book = OrderBook()
book.process_order(Order('B', 1138, 31502, 7500))
book.process_order(Order('B', 1139, 31502, 7500))
trades = book.process_order(Order('S', 1, 31501, 20000, 800))
self.assertTrue(len(trades) == 2)
self.assertTrue(trades[0].id == 1138)
self.assertTrue(trades[1].id == 1139)
self.assertTrue(1138 not in book.bids.order_map)
self.assertTrue(1139 not in book.bids.order_map)
book.process_order(Order('S', 2, 30501, 1000, 800))
book.process_order(Order('S', 3, 30501, 200))
trades = book.process_order(Order('B', 1003, 30501, 1000))
self.assertTrue(3 not in book.bids.order_map)
self.assertTrue(len(trades) == 2)
self.assertTrue(trades[0].id == 3)
self.assertTrue(trades[1].id == 2)
def test_makeTrade(self):
order_type = 'S'
order_id = 100345
order_price = 5103
order_size = 100000
order_peak = 10000
ice_order = Order(order_type, order_id, order_price, order_size,
order_peak)
# Remaining public size
ice_order.make_trade(5000)
self.assertTrue(ice_order.peak_size == 5000)
self.assertTrue(ice_order.left_peak_size == 90000)
self.assertTrue(ice_order.trade_size == 5000)
ice_order = Order(order_type, order_id, order_price, order_size,
order_peak)
# No remaining public size - should deduct from leftpeak
ice_order.make_trade(10000)
self.assertTrue(ice_order.peak_size == 10000)
self.assertTrue(ice_order.left_peak_size == 80000)
self.assertTrue(ice_order.trade_size == 10000)
# To empty final Order
ice_order = Order(order_type, order_id, order_price, 5000)
ice_order.make_trade(5000)
self.assertTrue(ice_order.peak_size == 0)
self.assertTrue(ice_order.left_peak_size == 0)
self.assertTrue(ice_order.trade_size == 5000)
# TODO Trades above peak should never happen - check?
ice_order = Order(order_type, order_id, order_price, 5000)
ice_order.make_trade(10000)