def test_exe_less(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "market", "sell", 300, 9.7])
a = OMS.execPrice == [9.8]
b = OMS.execQty == [300]
assert a
assert b
def test_sell_cancel_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "cancel", "sell", 1560, 10.2])
a = OMS.ask_book[2].qty == 0
b = int(OMS.ask * 10) == 100
assert a
assert b
def test_sell_limit_order_less(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "sell", 1000, 9.7])
a = OMS.bid_book[0].qty == 1000
b = int(OMS.bid * 10) == 97
assert a
assert b
def test_sell_limit_order_less(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "limit", "sell", 1000, 9.7]) a = OMS.LOB.bidBook.bidBook_public[0][1] == 1000 b = int(OMS.LOB.bidBook.bid*10) == 97 assert a assert b
def test_buy_market_order(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "market", "buy", 1560, 0])
a = OMS.ask_book[0].qty == 440
b = int(OMS.ask * 10) == 101
assert a
assert b
def test_sell_market_order(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "market", "sell", 1560, 0])
a = OMS.bid_book[0].qty == 440
b = int(OMS.bid * 10) == 97
assert a
assert b
def test_buy_cancel_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "cancel", "buy", 1560, 9.8]) a = OMS.LOB.bidBook.bidBook_public[0][1] == 1000 b = int(OMS.LOB.bidBook.bid*10) == 98 assert a assert b
def test_sell_cancel_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "cancel", "sell", 1560, 10.2]) a = OMS.LOB.askBook.askBook_public[0][1] == 1000 b = int(OMS.LOB.askBook.ask*10) == 100 assert a assert b
def test_buy_market_order(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "market", "buy", 1560, 0]) a = OMS.LOB.askBook.askBook_public[0][1] == 440 b = int(OMS.LOB.askBook.ask*10) == 101 assert a assert b
def test_sell_market_order(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "market", "sell", 1560, 0]) a = OMS.LOB.bidBook.bidBook_public[0][1] == 440 b = int(OMS.LOB.bidBook.bid*10) == 97 assert a assert b
def test_buy_cancel_order_inexist(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "cancel", "buy", 1560, 9.0])
a = OMS.bid_book[0].qty == 1000
b = int(OMS.bid * 10) == 98
assert a
assert b
def test_exe_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "sell", 2300, 9.7])
a = OMS.execPrice == [9.8, 9.7]
b = OMS.execQty == [1000, 1000]
assert a
assert b
def test_huge_buy_market_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "market", "buy", 7000, 10.4])
a = int(OMS.ask) == 4560987
b = OMS.bid_book[0].qty == 1000
c = int(OMS.bid * 10) == 98
assert a
assert b
assert c
def test_huge_sell_market_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "market", "sell", 7000, 10.4])
a = int(OMS.bid) == 0
b = OMS.ask_book[4].qty == 1000
c = int(OMS.ask_book[4].price * 10) == 104
assert a
assert b
assert c
def test_huge_sell_market_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "market", "sell", 7000, 10.4]) a = int(OMS.LOB.bidBook.bid) == 0 b = OMS.LOB.askBook.askBook_public[0][1] == 1000 c = int(OMS.LOB.askBook.ask*10) == 100 assert a assert b assert c
def test_buy_limit_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "buy", 1500, 10])
a = int(OMS.ask * 10) == 101
b = OMS.ask_book[0].qty == 1000
c = int(OMS.bid * 10) == 100
d = OMS.bid_book[0].qty == 500
assert a
assert b
assert c
assert d
def test_market_record4(self):
OMS = OrderManagementSystem(10.0, 9.99, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "sell", 1200, 9.99])
a = OMS.strategy_record.active_order == {9.99: [200, 'sell']}
b = OMS.strategy_record.position == -1000
c = OMS.strategy_record.filled_order == [['sell', 9.99, 1000]]
assert a
assert b
assert c
def test_buy_limit_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "limit", "buy", 1500, 10]) a = int(OMS.LOB.askBook.ask*10) == 101 b = OMS.LOB.askBook.askBook_public[0][1] == 1000 c = int(OMS.LOB.bidBook.bid*10) == 100 d = OMS.LOB.bidBook.bidBook_public[0][1] == 500 assert a assert b assert c assert d
def test_huge_sell_limit_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "limit", "buy", 6000, 10.4]) a = OMS.LOB.bidBook.bidBook_public[0][1] == 1000 b = int(OMS.LOB.bidBook.bid*10) == 104 c = OMS.LOB.bidBook.bidBook_public[1][1] == 0 d = int(OMS.LOB.bidBook.bidBook_public[1][0]*10) == 103 e = int(OMS.LOB.askBook.ask) == 4560987 assert a assert b assert c assert d assert e
def test_huge_sell_limit_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "buy", 6000, 10.4])
a = OMS.bid_book[0].qty == 1000
b = int(OMS.bid * 10) == 104
c = OMS.bid_book[1].qty == 0
d = int(OMS.bid_book[1].price * 10) == 103
e = int(OMS.ask) == 4560987
assert a
assert b
assert c
assert d
assert e
def test_sell_limit_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "limit", "sell", 2500, 9.7]) a = int(OMS.LOB.bidBook.bid*10) == 96 b = int(OMS.LOB.askBook.ask*10) == 97 c = OMS.LOB.askBook.askBook_public[0][1] == 500 d = OMS.LOB.askBook.askBook_public[1][1] == 0 e = OMS.LOB.askBook.askBook_public[2][1] == 0 f = OMS.LOB.askBook.askBook_public[3][1] == 1000 assert a assert b assert c assert d assert e assert f
def test_sell_limit_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "sell", 2500, 9.7])
a = int(OMS.bid * 10) == 96
b = int(OMS.ask * 10) == 97
c = OMS.ask_book[0].qty == 500
d = OMS.ask_book[1].qty == 0
e = OMS.ask_book[2].qty == 0
f = OMS.ask_book[3].qty == 1000
assert a
assert b
assert c
assert d
assert e
assert f
def test_market_record3(self):
OMS = OrderManagementSystem(10.0, 9.99, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "buy", 1200, 10.0])
a = OMS.strategy_record.active_order == {10.0: [200, 'buy']}
b = OMS.strategy_record.position == 1000
c = OMS.strategy_record.filled_order == [['buy', 10.0, 1000]]
OMS.receive(["ZIagent", "market", "sell", 200, 9.7])
d = OMS.strategy_record.active_order == {}
e = OMS.strategy_record.position == 1200
f = OMS.strategy_record.filled_order == [['buy', 10.0, 1000],
['buy', 10.0, 200]]
assert a
assert b
assert c
assert d
assert e
assert f
def test_huge_buy_limit_order_more(self): OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7) OMS.receive(["ZIagent", "limit", "sell", 6000, 9.7]) a = OMS.LOB.askBook.askBook_public[0][1] == 4000 b = int(OMS.LOB.askBook.ask*10) == 97 c = OMS.LOB.bidBook.bidBook_public[0][1] == 1000 d = int(OMS.LOB.bidBook.bid*10) == 96 e = OMS.LOB.askBook.askBook_public[1][1] == 0 f = int(OMS.LOB.askBook.askBook_public[1][0]*10) == 98 g = OMS.LOB.askBook.askBook_public[2][1] == 0 h = int(OMS.LOB.askBook.askBook_public[2][0]*10) == 99 assert a assert b assert c assert d assert e assert f assert g assert h
def test_huge_buy_limit_order_more(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "sell", 6000, 9.7])
a = OMS.ask_book[0].qty == 4000
b = int(OMS.ask * 10) == 97
c = OMS.bid_book[0].qty == 1000
d = int(OMS.bid * 10) == 96
e = OMS.ask_book[1].qty == 0
f = int(OMS.ask_book[1].price * 10) == 98
g = OMS.ask_book[2].qty == 0
h = int(OMS.ask_book[2].price * 10) == 99
assert a
assert b
assert c
assert d
assert e
assert f
assert g
assert h
def test_trade_record(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "limit", "sell", 2300, 9.7])
OMS.receive(["ZIagent", "market", "sell", 1300, 9.7])
OMS.receive(["ZIagent", "market", "buy", 1400, 9.7])
a = OMS.trade_price_record == [9.8, 9.7, 9.6, 9.5, 9.7, 10.0, 10.1]
b = OMS.trade_vol_record == [1000, 1000, 1000, 300, 300, 1000, 100]
assert a
assert b
def test_market_record(self):
OMS = OrderManagementSystem(10.0, 9.98, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "market", "buy", 2300, 9.7])
OMS.receive(["ZIagent", "market", "buy", 2300, 9.7])
a = OMS.strategy_record.filled_order == [['buy', 10.00, 1000],
['buy', 10.01, 1000],
['buy', 10.02, 300]]
d = OMS.strategy_record.position == 2300
OMS.receive(["strategy", "market", "sell", 1300, 10.7])
OMS.receive(["ZIagent", "limit", "buy", 2300, 9.7])
OMS.receive(["ZIagent", "cancel", "buy", 2300, 9.97])
b = OMS.strategy_record.active_order == {}
c = OMS.strategy_record.filled_order == [['buy', 10.00, 1000],
['buy', 10.01, 1000],
['buy', 10.02, 300],
['sell', 9.98, 1000],
['sell', 9.97, 300]]
e = OMS.strategy_record.position == 1000
assert a
assert b
assert c
assert d
assert e
def test_limit_record(self):
OMS = OrderManagementSystem(10.0, 9.98, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "sell", 2300, 9.7])
a = OMS.strategy_record.filled_order == [['sell', 9.98, 1000],
['sell', 9.97, 1000],
['sell', 9.96, 300]]
d = OMS.strategy_record.position == -2300
OMS.receive(["strategy", "limit", "sell", 2300, 10.7])
b = OMS.strategy_record.active_order[10.7] == [2300, 'sell']
OMS.receive(["strategy", "cancel", "sell", 2300, 10.7])
c = OMS.strategy_record.active_order == {}
e = OMS.strategy_record.position == -2300
assert a
assert b
assert c
assert d
assert e
def test_sell_cancel_order_less(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "cancel", "sell", 560, 10.2])
a = OMS.ask_book[2].qty == 440
assert a
def test_buy_cancel_order_less2(self):
OMS = OrderManagementSystem(10.0, 9.8, 0.1, 5, 9.7)
OMS.receive(["ZIagent", "cancel", "buy", 560, 9.6])
a = OMS.bid_book[2].qty == 440
assert a
