def test_order_book_not_storing_transactions(self):
order_book = OrderBook(store_transactions=False)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def test_order_book_cancel_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertEqual(order_book.get_state(),
'{"buyOrders": [], "sellOrders": []}')
def test_order_book_add_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 100}], "sellOrders": []}'
)
def test_order_book_limit_transactions(self):
order_book = OrderBook(store_transactions=True)
order_book.add(Order((1, "Limit", "Buy", 100, 100, 0)))
self.assertEqual(order_book.last_transactions, [])
order_book.add(Order((2, "Limit", "Sell", 80, 50, 0)))
self.assertEqual(order_book.last_transactions, [
'{"buyOrderId": 1, "sellOrderId": 2, "price": 100, "quantity": 50}'
])
order_book.add(Order((3, "Limit", "Sell", 120, 40, 0)))
self.assertEqual(order_book.last_transactions, [])
self.assertEqual(
order_book.get_state(),
'{"buyOrders": [{"id": 1, "price": 100, "quantity": 50}],'
' "sellOrders": [{"id": 3, "price": 120, "quantity": 40}]}')
def test_correct_iceberg_tuple(self):
order = Order((1, "Iceberg", "Buy", 100, 100, 10))
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Iceberg")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 10)
self.assertEqual(order.hidden_quantity, 90)
self.assertEqual(order.price, 100)
self.assertEqual(order.peak, 10)
def test_correct_limit_json(self):
order = Order(
'{"type": "Limit", "order":'
'{"direction": "Buy", "id": 1, "price": 100, "quantity": 100}}')
self.assertEqual(order.id, 1)
self.assertEqual(order.type, "Limit")
self.assertEqual(order.direction, "Buy")
self.assertEqual(order.quantity, 100)
self.assertEqual(order.hidden_quantity, 0)
self.assertEqual(order.price, 100)
def generate_random_orders(
number_of_orders: int,
iceberg_probability: float = default_iceberg_probability,
price_mean: int = default_price_mean,
price_deviation: int = default_price_deviation,
quantity_mean: int = default_quantity_mean,
quantity_deviation: int = default_quantity_deviation,
peak_min: int = default_peak_min,
peak_max: int = default_peak_max,
output_file: str = default_data_file):
"""
:param number_of_orders: the total number of orders
:param iceberg_probability: the expected relative amount of iceberg type orders
:param price_mean: normal distribution mean for 'price' field
:param price_deviation: standard deviation for 'price' field
:param quantity_mean: normal distribution mean for 'quantity' field
:param quantity_deviation: standard deviation for 'quantity' field
:param peak_min: minimum value of 'peak' field
:param peak_max: maximum value of 'peak' field
:param output_file: output file name
Generates a series of random transactions to a JSON file.
"""
orders = []
print("Generating data...")
for i in range(number_of_orders):
order_type = "Limit"
direction = "Buy" if random.random() < 0.5 else "Sell"
peak = 0
quantity = _generate(quantity_mean, quantity_deviation,
random.normalvariate)
if random.random() < iceberg_probability:
order_type = "Iceberg"
peak = min(_generate(peak_min, peak_max, random.uniform),
quantity // 2)
price = _generate(price_mean, price_deviation, random.normalvariate)
orders.append(
Order((i + 1, order_type, direction, price, quantity,
peak)).__dict__(simple=False))
print("Generated data. Saving to " + output_file + " file...")
with open(output_file, 'w') as file:
json.dump(orders, file, indent=4)
def create_order_list(output_file: str = default_data_file) -> list[Order]:
"""
:param output_file: JSON file containing serialized orders
:return: list of order objects
Creates a list of orders from a given file.
"""
orders = []
try:
with open(output_file) as json_file:
orders_data = json.load(json_file)
for order_data in orders_data:
order = Order(json.dumps(order_data))
orders.append(order)
except json.JSONDecodeError as error:
print("JSON decoder error: " + str(error))
return orders
def test_order_book_iceberg_transactions(self):
order_book = OrderBook(store_transactions=True)
orders = [
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 1, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 2, "price": 100, "quantity": 300, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Sell", "id": 3, "price": 100, "quantity": 200, "peak": 100}}',
'{"type": "Iceberg", "order": {"direction": "Buy", "id": 4, "price": 100, "quantity": 500, "peak": 100}}'
]
expected_states = [
'{"buyOrders": [], "sellOrders": [{"id": 1, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 1, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100},'
' {"id": 3, "price": 100, "quantity": 100}]}',
'{"buyOrders": [], "sellOrders":'
' [{"id": 3, "price": 100, "quantity": 100}, {"id": 2, "price": 100, "quantity": 100}]}'
]
expected_transactions = [
[], [], [],
[
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 3, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 1, "price": 100, "quantity": 100}',
'{"buyOrderId": 4, "sellOrderId": 2, "price": 100, "quantity": 100}'
]
]
for i in range(4):
order_book.add(Order(orders[i]))
self.assertEqual(order_book.get_state(), expected_states[i])
self.assertEqual(order_book.last_transactions,
expected_transactions[i])
def test_order_book_cancel_not_present_order(self):
order_book = OrderBook()
order = Order((1, "Limit", "Buy", 100, 100, 0))
order_book.add(order)
order_book.cancel(order)
self.assertRaises(ValueError, order_book.cancel, order)
