def test_market_buy(self):
ob = Orderbook('testbook', 100)
ob.create_order(ob.SELL, 99, 4)
ob.create_order(ob.SELL, 97, 6)
ob.create_order(ob.BUY, float("inf"), 15)
print("\nfulfilled = {}".format(ob.fulfilled))
print("\nbook = {}".format(ob.book))
ob.create_order(ob.BUY, 103, 15)
ob.create_order(ob.SELL, 102, 10)
print("\nfulfilled = {}".format(ob.fulfilled))
print("\nbook = {}".format(ob.book))
def test_limit_buy(self):
ob = Orderbook('testbook', 100)
ob.create_order(ob.SELL, 99, 4)
ob.create_order(ob.SELL, 97, 6)
ob.create_order(ob.BUY, 100, 9)
result = ob.fulfilled
control = {
'Sell': {
1: [[6, 97.0]],
0: [[3, 99.0]]
},
'Buy': {
2: [[6, 97.0], [3, 99.0]]
}
}
self.assertEqual(control, result)
result = ob.book
control = {
'Sell': {
99.0: {
'ids': [0],
'orders': {
0: 1
},
'total': 1
}
},
'Buy': {}
}
self.assertEqual(control, result)
def create_orderbook(self, name: str, start_price: float, start_order: int=-1):
""" creates an order book using the name as a unique reference
:param name: the name of the orderbook (unique reference name
:param start_price:
:param start_order:
:return:
"""
if name in self._order_books:
raise ValueError("The orderbook with name {} already exists".format(name))
self._order_books.update({name: Orderbook(name, start_price, start_order)})
self._order_agent.update({name: {}})
self._fulfilled.update({name: []})
def test_demo(self):
ob = Orderbook('testbook', 100)
for _ in range(300):
side = 'B'
price = np.random.normal(99, 5)
if np.random.random() < 0.5:
side = 'S'
price = np.random.normal(100, 5)
price = int(price * 10) / 10.0
size = int(200 * np.random.random())
ob.create_order(side, price, size)
print("Buy Fulfilled: {}\nSell Fulfilled: {}".format(
ob.fulfilled['Buy'], ob.fulfilled['Sell']))
print("Buy Orderbook\n{}\n\nSell Orderbook\n{}".format(
ob.book['Buy'], ob.book['Sell']))
Bids = ob.bid_ask['bid']
Asks = ob.bid_ask['ask']
plt.plot(Bids, label="bid price")
plt.plot(Asks, label="ask price")
plt.title("bid/ask prices times series")
plt.legend(loc="upper right")
plt.show()
def test_add_order(self):
ob = Orderbook('testOrder', 100)
ob.create_order(ob.SELL, 99, 5)
self.assertEqual([*ob.book[ob.SELL]], [99])
self.assertEqual(ob.book[ob.SELL][99]['orders'], {0: 5})
ob.create_order(ob.BUY, 99, 2)
self.assertEqual([*ob.book[ob.SELL]], [99])
self.assertEqual(ob.book[ob.SELL][99]['orders'], {0: 3})
self.assertEqual(ob.fulfilled[ob.BUY], {1: [[2, 99.0]]})
print(ob.fulfilled)
def test_delete(self):
ob = Orderbook('testdel', 100)
ob.create_order(ob.SELL, 96, 5)
ob.create_order(ob.SELL, 97, 1)
id = ob.create_order(ob.BUY, 90, 5)
# print("\n\nBuy Orderbook\n{}\n\nSell Orderbook\n{}".format(ob.book['Buy'], ob.book['Sell']))
# print("Bid/Ask: {}".format(ob.bid_ask))
# print("prices: {}".format(ob.prices))
self.assertEqual(
{
96.0: {
'ids': [0],
'orders': {
0: 5
},
'total': 5
},
97.0: {
'ids': [1],
'orders': {
1: 1
},
'total': 1
}
}, ob.book['Sell'])
self.assertEqual({'Sell': [96.0, 97.0], 'Buy': [-90.0]}, ob.prices)
ob.delete_order(id)
self.assertEqual(
{
96.0: {
'ids': [0],
'orders': {
0: 5
},
'total': 5
},
97.0: {
'ids': [1],
'orders': {
1: 1
},
'total': 1
}
}, ob.book['Sell'])
self.assertEqual({'Sell': [96, 97.0], 'Buy': []}, ob.prices)
def test_runs(self):
"""Basic smoke test"""
Orderbook('smoke', 100)