def _build_order_book_deltas(values): return OrderBookDeltas( instrument_id=InstrumentId.from_str(values[0]["instrument_id"]), level=BookLevelParser.from_str_py(values[0]["level"]), deltas=[OrderBookDelta.from_dict(v) for v in values], ts_event_ns=data[0]["ts_event_ns"], ts_recv_ns=data[0]["ts_recv_ns"], )
def test_serialize_and_deserialize_order_book_deltas(self): kw = { "instrument_id": "AUD/USD.SIM", "ts_event_ns": 0, "ts_recv_ns": 0, "level": "L2", } deltas = OrderBookDeltas( instrument_id=TestStubs.audusd_id(), level=BookLevel.L2, deltas=[ OrderBookDelta.from_dict({ "delta_type": "ADD", "order_side": "BUY", "order_price": 8.0, "order_size": 30.0, "order_id": "e0364f94-8fcb-0262-cbb3-075c51ee4917", **kw, }), OrderBookDelta.from_dict({ "delta_type": "ADD", "order_side": "SELL", "order_price": 15.0, "order_size": 10.0, "order_id": "cabec174-acc6-9204-9ebf-809da3896daf", **kw, }), ], ts_event_ns=0, ts_recv_ns=0, ) serialized = to_parquet(buff=self.buffer, objects=[deltas]) deserialized = from_parquet(serialized) # Assert assert deserialized == [deltas]
def test_from_dict_returns_expected_clear(self): # Arrange delta = OrderBookDelta( instrument_id=AUDUSD, level=BookLevel.L2, delta_type=DeltaType.CLEAR, order=None, ts_event_ns=0, ts_recv_ns=0, ) # Act result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) # Assert assert result == delta
def test_from_dict_returns_expected_delta(self): # Arrange order = Order(price=10, size=5, side=OrderSide.BUY) delta = OrderBookDelta( instrument_id=AUDUSD, level=BookLevel.L2, delta_type=DeltaType.ADD, order=order, ts_event_ns=0, ts_recv_ns=0, ) # Act result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta)) # Assert assert result == delta
def _build_order_book_delta(values): return OrderBookDelta.from_dict(values[0])