def test_from_dict_returns_expected_tick(self):
# Arrange
order1 = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta1 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order1,
ts_event_ns=0,
ts_recv_ns=0,
)
order2 = Order(price=10, size=15, side=OrderSide.BUY, id="2")
delta2 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order2,
ts_event_ns=0,
ts_recv_ns=0,
)
deltas = OrderBookDeltas(
instrument_id=AUDUSD,
level=BookLevel.L2,
deltas=[delta1, delta2],
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDeltas.from_dict(OrderBookDeltas.to_dict(deltas))
# Assert
assert result == deltas
def test_to_dict_returns_expected_dict(self):
# Arrange
order1 = Order(price=10, size=5, side=OrderSide.BUY, id="1")
delta1 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order1,
ts_event_ns=0,
ts_recv_ns=0,
)
order2 = Order(price=10, size=15, side=OrderSide.BUY, id="2")
delta2 = OrderBookDelta(
instrument_id=AUDUSD,
level=BookLevel.L2,
delta_type=DeltaType.ADD,
order=order2,
ts_event_ns=0,
ts_recv_ns=0,
)
deltas = OrderBookDeltas(
instrument_id=AUDUSD,
level=BookLevel.L2,
deltas=[delta1, delta2],
ts_event_ns=0,
ts_recv_ns=0,
)
# Act
result = OrderBookDeltas.to_dict(deltas)
# Assert
assert result == {
"type": "OrderBookDeltas",
"instrument_id": "AUD/USD.SIM",
"level": "L2",
"deltas":
'[{"type": "OrderBookDelta", "instrument_id": "AUD/USD.SIM", "level": "L2", "delta_type": "ADD", "order_price": 10.0, "order_size": 5.0, "order_side": "BUY", "order_id": "1", "ts_event_ns": 0, "ts_recv_ns": 0}, {"type": "OrderBookDelta", "instrument_id": "AUD/USD.SIM", "level": "L2", "delta_type": "ADD", "order_price": 10.0, "order_size": 15.0, "order_side": "BUY", "order_id": "2", "ts_event_ns": 0, "ts_recv_ns": 0}]', # noqa
"ts_event_ns": 0,
"ts_recv_ns": 0,
}