def test_full_fill_on_unacked_cr_with_acked_new_order(): n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # now ack it ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000) oec.apply_acknowledgement_report(ack) assert oec.visible_qty() == 1000 assert oec.current_exposure().qty() == 1000 assert oec.current_exposure().price() == Price("34.52") assert len(oec.open_exposure_requests()) == 0 assert oec.is_open() cr = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800) oec.apply_cancel_replace_command(cr) # now should have 2 open exposures assert oec.visible_qty() == 1000 assert oec.current_exposure().qty() == 1000 assert oec.current_exposure().price() == Price("34.52") assert oec.is_open() assert len(oec.open_exposure_requests()) == 1 assert oec.most_recent_requested_exposure() == Exposure(Price("34.56"), 800, 3) full_fill = FullFillReport(4, 1234237.123, 2342, "user_x", MARKET, cr, 800, Price("34.56"), BID_SIDE, 12345) oec.apply_full_fill_report(full_fill) assert oec.visible_qty() == 0 assert oec.current_exposure().price() is None assert oec.current_exposure().qty() == 0 assert oec.current_exposure().causing_event_id() == 4 assert len(oec.open_exposure_requests()) == 0 assert oec.is_open() is False
def test_basic_partial_fill_replenish_visible(): n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100, 40) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # now ack it ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 40) oec.apply_acknowledgement_report(ack) aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40) # now resting partial fill pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 40, Price("34.52"), BID_SIDE, 99999, 100-40) oec.apply_partial_fill_report(pf) assert oec.open_exposure_requests() == [] assert oec.current_exposure().price() == Price("34.52") assert oec.current_exposure().qty() == 100-40 assert oec.visible_qty() == 40 # should have replenished assert oec.iceberg_peak_qty() == 40 # should not have changed assert oec.has_partial_fill() # now test the partial fill wipes out 40 more, so visible is min aggressor2 = NewOrderCommand(1114, 1234237.123, 33333, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40) # now resting partial fill pf2 = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor2, 40, Price("34.52"), BID_SIDE, 99999, 100-40-40) # subtract out the size of 2 40 lot fills now oec.apply_partial_fill_report(pf2) assert oec.open_exposure_requests() == [] assert oec.current_exposure().price() == Price("34.52") assert oec.current_exposure().qty() == 100-40-40 assert oec.visible_qty() == 100-40-40 # should have replenished to min of 40 and 100-40-40 assert oec.iceberg_peak_qty() == 40 # should not have changed assert oec.has_partial_fill()
def test_creation(): n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) assert oec.side().is_bid() assert oec.market() == MARKET assert oec.time_in_force() == FAR # no ack yet assert oec.current_exposure() is None assert len(oec.open_exposure_requests()) == 1 assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234) # visible qty should be nothing still assert oec.visible_qty() == 0
def test_close_exposure_cancel_closes_all(): id_gen = MonotonicIntID(seed=23043, increment=1) n = NewOrderCommand(id_gen.id(), 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # should have 1 open exposure assert len(oec.open_exposure_requests()) == 1 assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, id_gen.last_id()) cr = CancelReplaceCommand(id_gen.id(), 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800) oec.apply_cancel_replace_command(cr) # now should have 2 open exposures assert len(oec.open_exposure_requests()) == 2 assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, id_gen.last_id()) assert oec.most_recent_requested_exposure() == Exposure(Price("34.51"), 800, id_gen.last_id()) cancel_command = CancelCommand(id_gen.id(), 1234274.663, 2342, "user_x", MARKET, CancelReasons.USER_CANCEL) oec.apply_cancel_command(cancel_command) # now should have 3 open exposures assert len(oec.open_exposure_requests()) == 3 assert oec.open_exposure_requests()[2] == Exposure(None, 0, id_gen.last_id()) assert oec.most_recent_requested_exposure() == Exposure(None, 0, id_gen.last_id()) cancel_confirm = CancelReport(id_gen.id(), 1234278.663, 2342, "user_x", MARKET, cancel_command, CancelReasons.USER_CANCEL) oec.apply_cancel_report(cancel_confirm) # all exposures should be closed now assert len(oec.open_exposure_requests()) == 0 assert oec.most_recent_requested_exposure() is None assert oec.has_partial_fill() is False
def test_new_iceberg_order_ack(): n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000, 50) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # no ack yet assert oec.most_recent_event() == n # check exposure assert len(oec.open_exposure_requests()) == 1 assert oec.most_recent_requested_exposure() == oec.open_exposure_requests()[-1] assert oec.current_exposure() is None assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234) # visible qty should be nothing still assert oec.visible_qty() == 0 # now ack it ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 50) oec.apply_acknowledgement_report(ack) assert oec.most_recent_event() == ack # check exposure assert len(oec.open_exposure_requests()) == 0 assert oec.most_recent_requested_exposure() is None assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 121235) # check visible qty assert oec.visible_qty() == 50
def test_basic_full_fill_on_unacked_order(): n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) assert oec.visible_qty() == 0 assert oec.current_exposure() is None assert oec.most_recent_requested_exposure().price() == Price("34.52") assert oec.most_recent_requested_exposure().qty() == 1000 assert oec.is_open() full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, n, 1000, Price('34.52'), BID_SIDE, 12345) oec.apply_full_fill_report(full_fill) assert oec.visible_qty() == 0 assert oec.current_exposure().price() is None assert oec.current_exposure().qty() == 0 assert oec.current_exposure().causing_event_id() == 3 assert len(oec.open_exposure_requests()) == 0 assert oec.is_open() is False
def test_partial_fill_to_zero_closes_out_order(): # when a partialfill closses out to an order there should be a balking because it is a paritial fill so shouldn't happen, but should allow n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # now ack it ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 100) oec.apply_acknowledgement_report(ack) aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 100) # now resting partial fill pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, aggressor, 100, Price("34.52"), BID_SIDE, 99999, 0) oec.apply_partial_fill_report(pf) assert oec.open_exposure_requests() == [] assert oec.is_open() is False assert oec.visible_qty() == 0 assert oec.current_exposure() == Exposure(None, 0, 1212344)
def test_basic_partial_fill(): n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # now ack it ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000) oec.apply_acknowledgement_report(ack) aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_x", MARKET, ASK_SIDE, FAR, Price("34.52"), 44) # now resting partial fill pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 44, Price("34.52"), BID_SIDE, 99999, 1000-44) oec.apply_partial_fill_report(pf) assert oec.open_exposure_requests() == [] assert oec.current_exposure().price() == Price("34.52") assert oec.current_exposure().qty() == 1000-44 assert oec.visible_qty() == 1000-44 assert oec.iceberg_peak_qty() == 1000 # should not have changed assert oec.has_partial_fill()
def test_partial_fill_on_multiple_unacked_requests(): n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000) oec = OrderEventChain(n, LOGGER, MonotonicIntID()) # should have 1 open exposure assert len(oec.open_exposure_requests()) == 1 assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 1) cr1 = CancelReplaceCommand(2, 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800) oec.apply_cancel_replace_command(cr1) # now should have 2 open exposures assert len(oec.open_exposure_requests()) == 2 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) cr2 = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.55"), 800) oec.apply_cancel_replace_command(cr2) # now should have 2 open exposures assert len(oec.open_exposure_requests()) == 3 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3) cr3 = CancelReplaceCommand(4, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800) oec.apply_cancel_replace_command(cr3) # now should have 2 open exposures assert len(oec.open_exposure_requests()) == 4 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3) assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4) # a partial fill should should only impact the one the partial fill is for # partially filling orderid 3 (cr2) pf1 = PartialFillReport(5, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"), BID_SIDE, 999, 790) oec.apply_partial_fill_report(pf1) assert len(oec.open_exposure_requests()) == 4 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 790, 3) assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4) # and again pf2 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"), BID_SIDE, 1000, 780) oec.apply_partial_fill_report(pf2) assert len(oec.open_exposure_requests()) == 4 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3) assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4) # and now I can fill order id 4 (cr 3) pf3 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr3, 50, Price("34.56"), BID_SIDE, 1001, 750) oec.apply_partial_fill_report(pf3) assert len(oec.open_exposure_requests()) == 4 assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1) assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3) assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 750, 4) # now start acking them ack1 = AcknowledgementReport(10, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, None) oec.apply_acknowledgement_report(ack1) assert len(oec.open_exposure_requests()) == 3 assert oec.open_exposure_requests()[0] == Exposure(Price("34.51"), 800, 2) assert oec.open_exposure_requests()[1] == Exposure(Price("34.55"), 780, 3) assert oec.open_exposure_requests()[2] == Exposure(Price("34.56"), 750, 4) assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 10) ack2 = AcknowledgementReport(11, 1234235.123, 2342, "user_x", MARKET, cr1, Price("34.51"), 800, None) oec.apply_acknowledgement_report(ack2) assert len(oec.open_exposure_requests()) == 2 assert oec.open_exposure_requests()[0] == Exposure(Price("34.55"), 780, 3) assert oec.open_exposure_requests()[1] == Exposure(Price("34.56"), 750, 4) assert oec.current_exposure() == Exposure(Price("34.51"), 800, 11) ack3 = AcknowledgementReport(12, 1234235.123, 2342, "user_x", MARKET, cr2, Price("34.55"), 780, None) oec.apply_acknowledgement_report(ack3) assert len(oec.open_exposure_requests()) == 1 print(oec.open_exposure_requests()[0]) assert oec.open_exposure_requests()[0] == Exposure(Price("34.56"), 750, 4) assert oec.current_exposure() == Exposure(Price("34.55"), 780, 12) ack4 = AcknowledgementReport(13, 1234235.123, 2342, "user_x", MARKET, cr3, Price("34.56"), 750, None) oec.apply_acknowledgement_report(ack4) assert len(oec.open_exposure_requests()) == 0 assert oec.current_exposure() == Exposure(Price("34.56"), 750, 13)