def main():
lp_2_gateway = deque()
ob_2_ts = deque()
ts_2_om = deque()
om_2_ts = deque()
gw_2_om = deque()
om_2_gw = deque()
lp = LiquidityProvider(lp_2_gateway)
ob = OrderBook(lp_2_gateway, ob_2_ts)
ts = TradingStrategy(ob_2_ts, ts_2_om, om_2_ts)
ms = MarketSimulator(om_2_gw, gw_2_om)
om = OrderManager(ts_2_om, om_2_ts, om_2_gw, gw_2_om)
lp.read_tick_data_from_data_source()
while len(lp_2_gateway) > 0:
ob.handle_order_from_gateway()
ts.handle_input_from_bb()
om.handle_input_from_ts()
ms.handle_order_from_gw()
om.handle_input_from_market()
ts.handle_response_from_om()
lp.read_tick_data_from_data_source()
class TestTradingSimulation(unittest.TestCase):
def setUp(self):
self.lp_2_gateway = deque()
self.ob_2_ts = deque()
self.ts_2_om = deque()
self.ms_2_om = deque()
self.om_2_ts = deque()
self.gw_2_om = deque()
self.om_2_gw = deque()
self.liquidityProvider = LiquidityProvider(self.lp_2_gateway)
self.bookBuilder = OrderBook(self.lp_2_gateway, self.ob_2_ts)
self.tradingStrategy = TradingStrategy(self.ob_2_ts, self.ts_2_om,
self.om_2_ts)
self.marketSimulator = MarketSimulator(self.om_2_gw, self.gw_2_om)
self.orderManager = OrderManager(self.ts_2_om, self.om_2_ts,
self.om_2_gw, self.gw_2_om)
def test_add_liquidity(self):
# Order sent from the exchange to the trading system
order1 = {
'id': 1,
'price': 219,
'quantity': 10,
'side': 'bid',
'action': 'new'
}
# Add Order from Gateway
self.liquidityProvider.insert_manual_order(order1)
self.assertEqual(len(self.lp_2_gateway), 1)
# Book Builder
self.bookBuilder.handle_order_from_gateway()
self.assertEqual(len(self.ob_2_ts), 1)
# Trading Strategy
self.tradingStrategy.handle_input_from_bb()
self.assertEqual(len(self.ts_2_om), 0)
# Second Order
order2 = {
'id': 2,
'price': 218,
'quantity': 10,
'side': 'ask',
'action': 'new'
}
self.liquidityProvider.insert_manual_order(order2.copy())
self.assertEqual(len(self.lp_2_gateway), 1)
self.bookBuilder.handle_order_from_gateway()
self.assertEqual(len(self.ob_2_ts), 1)
self.tradingStrategy.handle_input_from_bb()
self.assertEqual(len(self.ts_2_om), 2)
self.orderManager.handle_input_from_ts()
self.assertEqual(len(self.ts_2_om), 1)
self.assertEqual(len(self.om_2_gw), 1)
self.orderManager.handle_input_from_ts()
self.assertEqual(len(self.ts_2_om), 0)
self.assertEqual(len(self.om_2_gw), 2)
self.marketSimulator.handle_order_from_gw()
self.assertEqual(len(self.gw_2_om), 1)
self.marketSimulator.handle_order_from_gw()
self.assertEqual(len(self.gw_2_om), 2)
self.orderManager.handle_input_from_market()
self.orderManager.handle_input_from_market()
self.assertEqual(len(self.om_2_ts), 2)
self.tradingStrategy.handle_response_from_om()
self.assertEqual(self.tradingStrategy.get_pnl(), 0)
self.marketSimulator.fill_all_orders()
self.assertEqual(len(self.gw_2_om), 2)
self.orderManager.handle_input_from_market()
self.orderManager.handle_input_from_market()
self.assertEqual(len(self.om_2_ts), 3)
self.tradingStrategy.handle_response_from_om()
self.assertEqual(len(self.om_2_ts), 2)
self.tradingStrategy.handle_response_from_om()
self.assertEqual(len(self.om_2_ts), 1)
self.tradingStrategy.handle_response_from_om()
self.assertEqual(len(self.om_2_ts), 0)
self.assertEqual(self.tradingStrategy.get_pnl(), 10)
