def test_match_equal(self):
insert_many_orders([create_book_order('bid', 240, 0.0, str(round(time.time(), 2)), 0.1, str(uuid.uuid4())),
create_book_order('ask', 240, 0.0, str(round(time.time(), 2)), 0.1, str(uuid.uuid4()))])
trade = match_orders()
self.assertIsNotNone(trade)
self.assertIsInstance(trade, Trade)
bid = get_next_order('bid')
self.assertIsNone(bid)
ask = get_next_order('ask')
self.assertIsNone(ask)
def test_match_different_prices_time(self):
t1 = str(round(time.time(), 2))
time.sleep(0.015)
t2 = str(round(time.time(), 2))
insert_many_orders([create_book_order('bid', 242, 0.0, t1, 0.1, str(uuid.uuid4())),
create_book_order('ask', 240, 0.0, t2, 0.1, str(uuid.uuid4()))])
trade = match_orders()
self.assertIsNotNone(trade)
self.assertIsInstance(trade, Trade)
self.assertEqual(trade.price, 240)
bid = get_next_order('bid')
self.assertIsNone(bid)
ask = get_next_order('ask')
self.assertIsNone(ask)
def test_price_sort(self):
tsize = 1.01
loworder = create_book_order('ask', 239, str(2.0), str(round(time.time(), 2)), str(tsize), str(uuid.uuid4()))
mediumorder = create_book_order('ask', 240, str(1.0), str(round(time.time(), 2)), str(tsize), str(uuid.uuid4()))
highorder = create_book_order('ask', 241, str(0.0), str(round(time.time(), 2)), str(tsize), str(uuid.uuid4()))
insert_many_orders([loworder, highorder, mediumorder])
first_got = get_next_order('ask', pop=True)
second_got = get_next_order('ask', pop=True)
third_got = get_next_order('ask', pop=True)
self.assertEqual(first_got, loworder)
self.assertEqual(second_got, mediumorder)
self.assertEqual(third_got, highorder)
def test_speed(self):
book = []
for i in range(0, 50000):
book.append(create_book_order('bid', 250, 0.0, round(time.time(), 2), 0.1, uuid.uuid4()))
book.append(create_book_order('ask', 250, 0.0, round(time.time(), 2), 0.1, uuid.uuid4()))
t1 = time.time()
insert_many_orders(book)
t2 = time.time()
while match_orders():
pass
t3 = time.time()
self.assertLessEqual(t2 - t1, 3) # calibrated on Ira's laptop then doubled for margin
self.assertLessEqual(t3 - t2, 30) # calibrated on Ira's laptop then doubled for margin
print "time to insert 100k orders: %s" % (t2 - t1)
print "time to process 100k orders: %s" % (t3 - t2)
def create_order_book(price=500.0, tsize=0.1, size=10, offset=0, priority=0.0, insert=True):
bids = []
asks = []
for i in range(0, size):
base_price = price * (1 + (float(i) / float(size)) / 2)
bid = create_book_order('bid', base_price + offset, priority,
round(time.time(), 2), tsize, uuid.uuid4())
ask = BookOrder('ask', base_price - offset, priority,
round(time.time(), 2), tsize, uuid.uuid4())
bids.append(bid)
asks.append(ask)
if insert:
insert_many_orders([bid, ask])
return {'bids': bids, 'asks': asks}
def test_insert_many_orders(self):
ask_now = str(round(time.time(), 2))
bid_now = str(round(time.time(), 2))
ask_oid = str(uuid.uuid4())
bid_oid = str(uuid.uuid4())
amount = str(1.01)
price = 240
priority = str(0.0)
bid = create_book_order('bid', price, priority, bid_now, amount, bid_oid)
ask = create_book_order('ask', price, priority, ask_now, amount, ask_oid)
insert_many_orders((bid, ask))
time.sleep(0.1)
got_bid = get_next_order('bid', pop=True)
self.assertEqual(got_bid, bid)
got_ask = get_next_order('ask', pop=True)
self.assertEqual(got_ask, ask)
def test_amount_sort(self):
now = str(round(time.time(), 2))
loworder = create_book_order('ask', 240, str(0.0), now, str(1), str(uuid.uuid4()))
time.sleep(0.1)
mediumorder = create_book_order('ask', 240, str(0.0), now, str(2), str(uuid.uuid4()))
time.sleep(0.1)
highorder = create_book_order('ask', 240, str(0.0), now, str(3), str(uuid.uuid4()))
insert_many_orders([loworder, highorder, mediumorder])
first_got = get_next_order('ask', pop=True)
second_got = get_next_order('ask', pop=True)
third_got = get_next_order('ask', pop=True)
self.assertEqual(first_got, loworder)
self.assertEqual(second_got, mediumorder)
self.assertEqual(third_got, highorder)
def test_speed_queue(self):
book = []
for i in range(0, 50000):
book.append(create_book_order('bid', 250, 0.0, round(time.time(), 2), 0.1, uuid.uuid4()))
book.append(create_book_order('ask', 250, 0.0, round(time.time(), 2), 0.1, uuid.uuid4()))
t1 = time.time()
insert_many_orders(book)
t2 = time.time()
while 1:
bid = get_next_order('bid')
ask = get_next_order('ask')
#print "bid: %s\task: %s" % (bid, ask)
if bid is None or ask is None:
break
elif time.time() > t2 + 120:
self.fail("took too long to process orders")
else:
time.sleep(0.1)
t3 = time.time()
self.assertLessEqual(t2 - t1, 3) # calibrated on Ira's laptop then doubled for margin
self.assertLessEqual(t3 - t2, 120) # calibrated on Ira's laptop then doubled for margin
print "time to insert 100k orders: %s" % (t2 - t1)
print "time to process 100k orders (w/queue): %s" % (t3 - t2)