def test_libor_update_duplicate_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G38pbExUmKqKzdC07QJS1OJSglnpLKGr+PMu4muigey37CdT2P'
'7d0PBQxmaWNjtsADdPxQAS5FhtHOQbtD41fkU=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
transaction.apply(store)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_create_bond_valid(self):
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1.375,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/11/2022",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_create_settlement_ref_count(self):
org = self.store.lookup("organization:name", "First Bank")["ref-count"]
org2 = self.store.lookup("organization:name",
"Second Bank")["ref-count"]
transaction = BondTransaction({
"UpdateType":
"CreateSettlement",
'Updates': [{
"UpdateType":
"CreateSettlement",
"order_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
new_org = self.store.lookup("organization:name",
"First Bank")["ref-count"]
new_org2 = self.store.lookup("organization:name",
"Second Bank")["ref-count"]
self.assertEquals(org + 1, new_org)
self.assertEquals(org2 + 1, new_org)
def test_create_holding_refcounts(self):
org = self.store.lookup("organization:name", "Test Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
org_refcount_before = org["ref-count"]
bond_refcount_before = bond["ref-count"]
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Bond",
"asset_id": bond["object-id"],
"amount": 10000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org = self.store.lookup("organization:name", "Test Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
self.assertEquals(org_refcount_before + 1, org["ref-count"])
self.assertEquals(bond_refcount_before + 1, bond["ref-count"])
def test_generate_coupons_coupon(self):
self._set_clock(2015, 4, 1, 1)
signingkey = signed_object.generate_signing_key()
ident = signed_object.generate_identifier(signingkey)
node = Node(identifier=ident,
signingkey=signingkey,
address=("localhost", 10021))
node.is_peer = True
path = tempfile.mkdtemp()
gossip = Gossip(node)
journal = Journal(node,
gossip,
gossip.dispatcher,
consensus=DevModeConsensus(),
data_directory=path)
journal.global_store.TransactionStores['/BondTransaction'] = \
self.store
# creates a redemption
updates = Family._generate_coupons(journal)
self.assertNotEquals(updates, [])
transaction = BondTransaction(updates[0])
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org_usd_holding = self.store["34d813716009ca1786222a44347ccff"
"258a4ab6029d936664fde0d13f23992b5"]
self.assertEquals(org_usd_holding["amount"], 25000.0)
def test_create_coupon(self):
date = datetime.datetime(2015, 4, 1)
self._set_clock(2015, 4, 1, 1)
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
coupon = Family._create_coupon(self.store, bond, org, date)
self.assertIsNotNone(coupon)
transaction = BondTransaction(coupon)
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org_usd_holding = self.store["34d813716009ca1786222a44347ccff"
"258a4ab6029d936664fde0d13f23992b5"]
self.assertEquals(org_usd_holding["amount"], 25000.0)
date = datetime.datetime(2015, 7, 1)
self._set_clock(2015, 7, 1, 2)
coupon = Family._create_coupon(self.store, bond, org, date)
self.assertIsNotNone(coupon)
transaction = BondTransaction(coupon)
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org_usd_holding = self.store["34d813716009ca1786222a44347ccff"
"258a4ab6029d936664fde0d13f23992b5"]
self.assertEquals(org_usd_holding["amount"], 50000.0)
def test_coupon_exists(self):
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
date = datetime.datetime(2015, 4, 1)
self._set_clock(2015, 4, 1, 1)
self.assertFalse(Family._coupon_exists(self.store, bond, org, date))
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
self.assertTrue(Family._coupon_exists(self.store, bond, org, date))
def test_create_holding_valid(self):
org = self.store.lookup("organization:name", "Test Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
10000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b6"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
10000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_create_quote_diff_submitted(self):
key = signed_object.generate_signing_key()
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Isin": "US912828R770",
"BidPrice": "98-05.875",
"BidQty": 25000,
"AskPrice": "98-06.875",
"AskQty": 25000
}]
})
transaction.sign_object(key)
try:
transaction.check_valid(self.store)
self.fail("Signed by an unauthorized participant")
except InvalidTransactionError:
pass
transaction = BondTransaction({
"UpdateType": "CreateOrganization",
'Updates': [{"UpdateType": "CreateOrganization",
"name": "NewBank",
"ticker": "F",
"pricing_source": "EFGH",
"industry": "Test",
"authorization": []
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
key = signed_object.generate_signing_key()
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "EFGH",
"Isin": "US912828R770",
"BidPrice": "98-05.875",
"BidQty": 25000,
"AskPrice": "98-06.875",
"AskQty": 25000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Signed by an unauthorized participant")
except InvalidTransactionError:
pass
def test_create_settlement_status(self):
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateOrder",
'Updates': [{
"UpdateType":
"CreateOrder",
"Action":
"Buy",
"OrderType":
"Limit",
"FirmId":
org2["object-id"],
"Isin":
"US912828R770",
"Quantity":
100000,
"LimitPrice":
"98-05.875",
"LimitYield":
0.015,
"object_id":
"765432116009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
# quote-id
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateSettlement",
'Updates': [{
"UpdateType":
"CreateSettlement",
"order_id":
"765432116009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Order is not matched")
except:
pass
def _set_clock(self, year, month, day, num):
date = time.mktime(datetime.date(year, month, day).timetuple())
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'Clock',
'Blocknum': num,
'PreviousBlockId': 0,
'Timestamp': date
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
def test_delete_quote(self):
transaction = BondTransaction({
"UpdateType": "DeleteQuote",
'Updates': [{
"UpdateType": "DeleteQuote",
"ObjectId": "3932250c4877136ee99bf76e5ffbb50b7f"
"bd46d6788340d29422abcdabcdabcd"
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_matching_no_quotes(self):
signingkey = signed_object.generate_signing_key()
ident = signed_object.generate_identifier(signingkey)
node = Node(identifier=ident, signingkey=signingkey,
address=("localhost", 10003))
node.is_peer = True
path = tempfile.mkdtemp()
gossip = Gossip(node)
journal = Journal(node,
gossip,
gossip.dispatcher,
consensus=DevModeConsensus(),
data_directory=path)
org2 = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType": "CreateOrder",
'Updates': [{
"UpdateType": "CreateOrder",
"Action": "Buy",
"OrderType": "Market",
"FirmId": org2["object-id"],
"Isin": bond["isin"],
"Quantity": 100000,
"object_id": "123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
journal.global_store.TransactionStores['/BondTransaction'] = \
self.store
matched_orders = _generate_match_orders(journal)
self.assertEquals(matched_orders, [])
def test_create_quote_ref_count(self):
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Cusip": "912828R77",
"BidPrice": "98-05.875",
"BidQty": 24000,
"AskPrice": "98-06.875",
"AskQty": 24000
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
firm = self.store.lookup("organization:pricing-source", "ABCD")
self.assertEquals(firm["ref-count"], 2)
def test_create_quote_valid(self):
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Isin": "US912828R770",
"BidPrice": "98-05.875",
"BidQty": 25000,
"AskPrice": "98-06.875",
"AskQty": 25000
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Cusip": "912828R77",
"BidPrice": "98-05.875",
"BidQty": 24000,
"AskPrice": "98-06.875",
"AskQty": 24000
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Cusip": "912828R77",
"Isin": "US912828R770",
"BidPrice": "98-05.875",
"BidQty": 23000,
"AskPrice": "98-06.875",
"AskQty": 23000
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_matching_no_order(self):
signingkey = signed_object.generate_signing_key()
ident = signed_object.generate_identifier(signingkey)
node = Node(identifier=ident, signingkey=signingkey,
address=("localhost", 10004))
node.is_peer = True
path = tempfile.mkdtemp()
gossip = Gossip(node)
journal = Journal(node,
gossip,
gossip.dispatcher,
consensus=DevModeConsensus(),
data_directory=path)
transaction = BondTransaction({
"UpdateType": "CreateQuote",
'Updates': [{
"UpdateType": "CreateQuote",
"Firm": "ABCD",
"Isin": "US912828R770",
"BidPrice": "101",
"BidQty": 250000,
"AskPrice": "101",
"AskQty": 250000,
"object_id": "555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
journal.global_store.TransactionStores['/BondTransaction'] = \
self.store
matched_orders = _generate_match_orders(journal)
self.assertEquals(matched_orders, [])
def test_create_redemption(self):
self._set_clock(2016, 4, 1, 1)
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:cusip", "912828R77")
coupon = Family._create_redemption(self.store, bond, org)
self.assertIsNotNone(coupon)
transaction = BondTransaction(coupon)
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
first_bond = self.store["34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f239org1"]["amount"]
second_bond = self.store["34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"]["amount"]
first_usd = self.store["34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b5"]["amount"]
second_usd = self.store["34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23org1"]["amount"]
self.assertEquals(first_bond, 200000)
self.assertEquals(second_bond, 0)
self.assertEquals(first_usd, 100000)
self.assertEquals(second_usd, 100000000 - 100000)
def test_libor_update_duplicate_date(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
transaction.apply(store)
try:
transaction.check_valid(store)
self.fail('This transaction should be invalid')
except InvalidTransactionError:
pass
def test_create_receipt_update_valid(self):
self._set_clock(2015, 4, 1, 1)
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:isin", "US912828R770")
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
self._set_clock(2016, 1, 2, 2)
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:isin", "US912828R770")
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Redemption',
'BondID': bond['object-id'],
'PayeeID': org['object-id']
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Test Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
def test_libor_update(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
libor_key = TestCreateLIBORUpdate.libor_key
libor_public_key = signing.generate_pubkey(libor_key)
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError as e:
self.fail('This transaction should be valid\n error:' + str(e))
try:
store.lookup('libor:date', '2016-05-24')
self.fail('LIBOR data for 2016-05-24 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-24'))
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-25',
rates={
'Overnight': '0.1',
'OneWeek': '-0.1',
'OneMonth': '0',
'TwoMonth': 0.1,
'ThreeMonth': -0.1,
'SixMonth': 0,
'OneYear': 1
},
libor_public_key=libor_public_key)
update.sign_update_object(libor_key)
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError as e:
self.fail('This transaction should be valid\n error: ' + str(e))
try:
store.lookup('libor:date', '2016-05-25')
self.fail('LIBOR data for 2016-05-25 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-25'))
def test_create_settlement_holding_bond_id(self):
transaction = BondTransaction({
"UpdateType":
"CreateQuote",
'Updates': [{
"UpdateType":
"CreateQuote",
"Firm":
"ABCD",
"Isin":
"US912828R770",
"BidPrice":
"103",
"BidQty":
250000,
"AskPrice":
"2",
"AskQty":
250000,
"object_id":
"666663716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateOrder",
'Updates': [{
"UpdateType":
"CreateOrder",
"Action":
"Buy",
"OrderType":
"Limit",
"FirmId":
org2["object-id"],
"Isin":
"US912828R770",
"Quantity":
100000000,
"LimitPrice":
"98-05.875",
"LimitYield":
0.015,
"QuoteId":
"666663716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7",
"object_id":
"765432116009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
# quote-id
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateSettlement",
'Updates': [{
"UpdateType":
"CreateSettlement",
"order_id":
"765432116009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Quoting firm does not have enough bonds")
except:
pass
def test_create_settlement_valid_buy_and_sell(self):
transaction = BondTransaction({
"UpdateType":
"CreateSettlement",
'Updates': [{
"UpdateType":
"CreateSettlement",
"order_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bonds_first_bank = self.store['34d813716009ca1786222a44347cc'
'ff258a4ab6029d936664fde0d13f23'
'992b7']["amount"]
bonds_second_bank = self.store['34d813716009ca1786222a44347ccff258a4'
'ab6029d936664fde0d13f23'
'992b8']["amount"]
currency_first_bank = self.store['34d813716009ca1786222a44347ccff258a'
'4ab6029d936664fde0d13f23'
'992b5']["amount"]
currency_second_bank = self.store["34d813716009ca1786222a44347ccff258"
"a4ab6029d936664fde0d13f2"
"3992b6"]["amount"]
self.assertEquals(bonds_first_bank, 2400000)
self.assertEquals(bonds_second_bank, 100000)
self.assertEquals(currency_first_bank, 101000)
self.assertEquals(currency_second_bank, 2500000 - 101000)
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateOrder",
'Updates': [{
"UpdateType":
"CreateOrder",
"Action":
"Sell",
"OrderType":
"Limit",
"FirmId":
org2["object-id"],
"Isin":
"US912828R770",
"Quantity":
100000,
"LimitPrice":
"98-05.875",
"LimitYield":
0.015,
"QuoteId":
"555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7",
"object_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23sell"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateSettlement",
'Updates': [{
"UpdateType":
"CreateSettlement",
"order_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23sell"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bonds_first_bank = self.store['34d813716009ca1786222a44347cc'
'ff258a4ab6029d936664fde0d13f23'
'992b7']["amount"]
bonds_second_bank = self.store['34d813716009ca1786222a44347ccff258a4'
'ab6029d936664fde0d13f23'
'992b8']["amount"]
currency_first_bank = self.store['34d813716009ca1786222a44347ccff258a'
'4ab6029d936664fde0d13f23'
'992b5']["amount"]
currency_second_bank = self.store["34d813716009ca1786222a44347ccff258"
"a4ab6029d936664fde0d13f2"
"3992b6"]["amount"]
self.assertEquals(bonds_first_bank, 2500000)
self.assertEquals(bonds_second_bank, 0)
self.assertEquals(currency_first_bank, 0)
self.assertEquals(currency_second_bank, 2500000)
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'Clock',
'Blocknum': 0,
'PreviousBlockId': 0,
'Timestamp': time.time()
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
# add another organization
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"First Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Second Bank",
"ticker":
"I",
"pricing_source":
"EFGH",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1.375,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/11/2022",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org = self.store.lookup("organization:name", "First Bank")
# add holding?
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b5"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
2500000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org2["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
2500000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b6"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org2["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b8"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
"UpdateType":
"CreateQuote",
'Updates': [{
"UpdateType":
"CreateQuote",
"Firm":
"ABCD",
"Isin":
"US912828R770",
"BidPrice":
"101",
"BidQty":
250000,
"AskPrice":
"101",
"AskQty":
250000,
"object_id":
"555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
try:
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org2 = self.store.lookup("organization:name", "Second Bank")
transaction = BondTransaction({
"UpdateType":
"CreateOrder",
'Updates': [{
"UpdateType":
"CreateOrder",
"Action":
"Buy",
"OrderType":
"Limit",
"FirmId":
org2["object-id"],
"Isin":
bond["isin"],
"Quantity":
100000,
"LimitPrice":
"98-05.875",
"LimitYield":
0.015,
"QuoteId":
"555553716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7",
"object_id":
"123453716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
# quote-id
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_create_receipt_update_double_receipts(self):
self._set_clock(2015, 4, 1, 1)
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:isin", "US912828R770")
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Same object Id")
except InvalidTransactionError:
pass
org = self.store.lookup("organization:name", "Second Bank")
bond = self.store.lookup("bond:isin", "US912828R770")
transaction = BondTransaction({
'Updates': [{
'UpdateType':
'CreateReceipt',
'PaymentType':
'Coupon',
'BondID':
bond['object-id'],
'PayeeID':
org['object-id'],
'CouponDate':
"04/01/2015",
'ObjectId':
"b7d0717678424ac017a3ba414e547f3691beeb"
"7d343141225afe05c5d663fnew"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Double coupon for period")
except InvalidTransactionError:
pass
def test_create_holding_duplicate(self):
org = self.store.lookup("organization:name", "Test Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Currency",
"asset_id": "USD",
"amount": 10000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org = self.store.lookup("organization:name", "Test Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Currency",
"asset_id": "USD",
"amount": 10000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Same Holding")
except InvalidTransactionError:
pass
org = self.store.lookup("organization:name", "Test Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Currency",
"asset_id": "USD",
"amount": 100
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Same Asset Type")
except InvalidTransactionError:
pass
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Bond",
"asset_id": bond["object-id"],
"amount": 10000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Bond",
"asset_id": bond["object-id"],
"amount": 10000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Same Holding")
except InvalidTransactionError:
pass
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType": "CreateHolding",
"owner_id": org["object-id"],
"asset_type": "Bond",
"asset_id": bond["object-id"],
"amount": 1000
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Same asset-id")
except InvalidTransactionError:
pass
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'Clock',
'Blocknum': 0,
'PreviousBlockId': 0,
'Timestamp': time.time()
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Test Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1.375,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/11/2022",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
def setUp(self):
self.key = signed_object.generate_signing_key()
participant = CreateParticipantUpdate("CreateParticipant", "testuser")
object_id = participant._object_id
transaction = BondTransaction({})
transaction._updates = [participant]
self.store = ObjectStore()
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
sub = self.store.lookup("participant:username",
"testuser")["object-id"]
self._set_clock(1994, 10, 4, 0)
# add another organization
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"First Bank",
"ticker":
"T",
"pricing_source":
"ABCD",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateOrganization",
'Updates': [{
"UpdateType":
"CreateOrganization",
"name":
"Second Bank",
"ticker":
"I",
"pricing_source":
"EFGH",
"industry":
"Test",
"authorization": [{
"ParticipantId": sub,
"Role": "marketmaker"
}]
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
transaction = BondTransaction({
"UpdateType":
"CreateBond",
'Updates': [{
"UpdateType": "CreateBond",
"amount_outstanding": 42671000000,
'corporate_debt_ratings': {
"Fitch": "AAA",
"Moodys": "AAA",
"S&P": "AA+"
},
"coupon_rate": 1,
"coupon_type": "Fixed",
"coupon_frequency": "Quarterly",
"cusip": "912828R77",
"face_value": 1000,
"isin": "US912828R770",
"first_settlement_date": "01/11/2012",
"first_coupon_date": "03/01/2012",
"maturity_date": "01/01/2016",
"issuer": "T"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
transaction.apply(self.store)
org = self.store.lookup("organization:name", "Second Bank")
# add holding?
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
0,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b5"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
100000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23992b7"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org1 = self.store.lookup("organization:name", "First Bank")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org1["object-id"],
"asset_type":
"Currency",
"asset_id":
"USD",
"amount":
100000000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f23org1"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
bond = self.store.lookup("bond:cusip", "912828R77")
transaction = BondTransaction({
"UpdateType":
"CreateHolding",
'Updates': [{
"UpdateType":
"CreateHolding",
"owner_id":
org1["object-id"],
"asset_type":
"Bond",
"asset_id":
bond["object-id"],
"amount":
100000,
"object_id":
"34d813716009ca1786222a44347ccff258a4ab6029" +
"d936664fde0d13f239org1"
}]
})
transaction.sign_object(self.key)
transaction.check_valid(self.store)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
def test_libor_update(self):
key = signed_object.generate_signing_key()
store = ObjectStore()
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-24',
rates={
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
signature='G38pbExUmKqKzdC07QJS1OJSglnpLKGr+PMu4muigey37CdT2P7'
'd0PBQxmaWNjtsADdPxQAS5FhtHOQbtD41fkU=')
transaction = BondTransaction()
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
try:
store.lookup('libor:date', '2016-05-24')
self.fail('LIBOR data for 2016-05-24 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-24'))
update = \
CreateLIBORUpdate(
update_type='CreateLIBOR',
date='2016-05-25',
rates={
'Overnight': '0.1',
'OneWeek': '-0.1',
'OneMonth': '0',
'TwoMonth': 0.1,
'ThreeMonth': -0.1,
'SixMonth': 0,
'OneYear': 1
},
signature='GzcrWBTv180bCZcKkluVOSPcqNbNrcLCj3FocJH9uliKkl+3yNR'
'yhj5DAIsTWOY2ZwrcDVEMOp1P1jJpfctst6I=')
transaction._updates = [update]
transaction.sign_object(key)
try:
transaction.check_valid(store)
except InvalidTransactionError:
self.fail('This transaction should be valid')
try:
store.lookup('libor:date', '2016-05-25')
self.fail('LIBOR data for 2016-05-25 should not be in store')
except KeyError:
pass
transaction.apply(store)
self.assertIsNotNone(store.lookup('libor:date', '2016-05-25'))
def test_create_receipt_update_bad_libor(self):
self._set_clock(2015, 4, 1, 1)
bond = self.store.lookup("bond:isin", "US912828R770")
org = self.store.lookup("organization:name", "Second Bank")
bond["coupon-type"] = "Floating"
self.store[bond["object-id"]] = bond
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("No libor data available")
except InvalidTransactionError:
pass
info = {
'object-id': 'current_libor',
'object-type': 'libor',
'date': "2015-04-01",
'rates': {
'Overnight': 0.1,
'OneWeek': 0.1,
'OneMonth': 0.1,
'TwoMonth': 0.1,
'ThreeMonth': 0.1,
'SixMonth': 0.1,
'OneYear': 0.1
},
'signature': "Test"
}
self.store['current_libor'] = info
bond["coupon-benchmark"] = "NoLibor"
self.store[bond["object-id"]] = bond
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
self.fail("Bad Benchmark")
except InvalidTransactionError:
pass
bond["coupon-benchmark"] = "Overnight"
self.store[bond["object-id"]] = bond
transaction = BondTransaction({
'Updates': [{
'UpdateType': 'CreateReceipt',
'PaymentType': 'Coupon',
'BondID': bond['object-id'],
'PayeeID': org['object-id'],
'CouponDate': "04/01/2015"
}]
})
transaction.sign_object(self.key)
try:
transaction.check_valid(self.store)
transaction.apply(self.store)
except InvalidTransactionError:
self.fail("This should be valid")
org_usd_holding = self.store["34d813716009ca1786222a44347ccff"
"258a4ab6029d936664fde0d13f23992b5"]
self.assertEquals(org_usd_holding["amount"], 27500.0)