def test_cancel_confirm_entire_price_level():
ob = build_base_order_book()
# first add an order at a second price (34.53)
a = NewOrderCommand(56, 1234002.123, 1009, "user_x", MARKET, ASK_SIDE, FAR,
Price("34.53"), 20)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1009, "user_z", MARKET, a, Price("34.53"), 20, 20)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# cancel the orderchains at best price
id_generator = MonotonicIntID()
for i, chain in enumerate(ob.order_chains_at_price(ASK_SIDE, ob.best_price(ASK_SIDE))):
cancel_command = CancelCommand(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
USER_CANCEL)
chain.apply_cancel_command(cancel_command)
cancel_report = CancelReport(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
cancel_command, USER_CANCEL)
chain.apply_cancel_report(cancel_report)
ob.handle_cancel_report(cancel_report, chain)
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec.chain_id()
# best price should now be 34.53
assert ob.best_ask_price() == Price('34.53')
# visible qty is 20
assert ob.visible_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 20
# hidden qty is 0
assert ob.hidden_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 0
# num orders is 1
assert ob.num_orders_at_price(ASK_SIDE, ob.best_ask_price()) == 1
# bids shouldn't change
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_populating_tob():
ob = OrderLevelBook(MARKET, LOGGER)
b1 = NewOrderCommand(1, 1234000.123, 1001, "user_a", MARKET, BID_SIDE, FAR,
Price("34.50"), 50)
bid_oec1 = OrderEventChain(b1, LOGGER, SUBCHAIN_ID_GENERATOR)
b1_ack = AcknowledgementReport(2, 1234000.123, 1001, "user_a", MARKET, b1, Price("34.50"), 50, 50)
bid_oec1.apply_acknowledgement_report(b1_ack)
ob.handle_acknowledgement_report(b1_ack, bid_oec1)
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
# now add an offer
a1 = NewOrderCommand(3, 1234000.888, 1002, "user_b", MARKET, ASK_SIDE, FAR,
Price("34.52"), 35, 10)
ask_oec1 = OrderEventChain(a1, LOGGER, SUBCHAIN_ID_GENERATOR)
a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
ask_oec1.apply_acknowledgement_report(a1_ack)
ob.handle_acknowledgement_report(a1_ack, ask_oec1)
assert ob.best_ask_price() == Price("34.52")
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id()
assert ob.best_ask_level().price() == Price("34.52")
assert ob.best_ask_level().visible_qty() == 10
assert ob.best_ask_level().hidden_qty() == 25
assert ob.best_ask_level().number_of_orders() == 1
# bid should not have changed
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_ask_level().number_of_orders() == 1
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 1
# add a second ask order to top of book
a2 = NewOrderCommand(5, 1234001.888, 1003, "user_c", MARKET, ASK_SIDE, FAR,
Price("34.52"), 20, 20)
ask_oec2 = OrderEventChain(a2, LOGGER, SUBCHAIN_ID_GENERATOR)
a2_ack = AcknowledgementReport(6, 1234001.888, 1003, "user_b", MARKET, a2, Price("34.52"), 20, 20)
ask_oec2.apply_acknowledgement_report(a2_ack)
ob.handle_acknowledgement_report(a2_ack, ask_oec2)
assert ob.best_ask_price() == Price("34.52") # best price has not changed
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id() # best priority chain has not changed
assert ob.best_ask_level().price() == Price("34.52") # price of best level has not changed
print(ob.best_ask_level().visible_qty())
assert ob.best_ask_level().visible_qty() == 10 + 20 # visible qty should have got up by 20
assert ob.best_ask_level().hidden_qty() == 25 # hidden qty should not have changed
assert ob.best_ask_level().number_of_orders() == 2 # num orders should go up 2
assert ob.num_orders_at_price(ASK_SIDE, Price("34.52")) == 2
# bid should not have changed
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_bid_level().number_of_orders() == 1
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 1
# add a new bid at tob price
b2 = NewOrderCommand(9, 1234000.123, 1004, "user_z", MARKET, BID_SIDE, FAR,
Price("34.50"), 70)
bid_oec2 = OrderEventChain(b2, LOGGER, SUBCHAIN_ID_GENERATOR)
b2_ack = AcknowledgementReport(10, 1234000.123, 1004, "user_z", MARKET, b2, Price("34.50"), 70, 70)
bid_oec2.apply_acknowledgement_report(b2_ack)
ob.handle_acknowledgement_report(b2_ack, bid_oec2)
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 120
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_ask_level().number_of_orders() == 2
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 2
# asks should not have changed
assert ob.best_ask_price() == Price("34.52") # best price has not changed
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id() # best priority chain has not changed
assert ob.best_ask_level().price() == Price("34.52") # price of best level has not changed
assert ob.best_ask_level().visible_qty() == 10 + 20 # visible qty should have got up by 20
assert ob.best_ask_level().hidden_qty() == 25 # hidden qty should not have changed
assert ob.best_ask_level().number_of_orders() == 2 # num orders should go up 2
assert ob.num_orders_at_price(ASK_SIDE, Price("34.52")) == 2