def test_has_both_active(self):
book = OrderBook()
self.assertEqual(book.has_active_bids(), False)
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 105, "LIMIT", -100)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
self.assertEqual(book.has_active_asks(), True)
self.assertEqual(book.has_active_bids(), True)
def test_cancelled_orders_in_spread_calc(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 195, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 200, "LIMIT", -50)
book.add_order(limit_sell_order)
book.add_order(limit_buy_order)
self.assertEqual(book.current_spread(), 5)
limit_sell_order.cancel()
self.assertEqual(book.current_spread(), 0)
def test_fill_with_partial_limit_order(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 200, "LIMIT", -50)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 50)
self.assertEqual(limit_sell_order.order_size, 0)
def test_should_give_correct_bid_ask(self):
book = OrderBook()
self.assertEqual(book.current_spread(), 0)
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 105, "LIMIT", -100)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
self.assertEqual(book.current_spread(), 5)
limit_buy_order2 = Order(ID_GENERATOR, 3, 102, "LIMIT", 100)
book.add_order(limit_buy_order2)
self.assertEqual(book.current_spread(), 3)
def test_should_not_allow_two_same_agent_orders(self):
book = OrderBook()
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", -100)
order2 = Order(ID_GENERATOR, AGENT_ID, PRICE + 5, "LIMIT", -100)
book.add_order(order)
self.assertEqual(book.asks, [order])
book.add_order(order2)
self.assertEqual(book.asks, [order2])
self.assertEqual(book.agent_orders[AGENT_ID], [order, order2])
self.assertEqual(order.order_state, 'CANCELLED')
self.assertEqual(order2.order_state, 'ACTIVE')
def test_partial_fill_of_market_order(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 195, "LIMIT", 50)
market_sell_order = Order(ID_GENERATOR, 2, None, "MARKET", -100)
book.add_order(limit_buy_order)
book.add_order(market_sell_order)
self.assertEqual(book.bids, [])
self.assertEqual(book.asks, [])
self.assertEqual(market_sell_order.order_state,
'CANCEL_PARTIAL_UNFILLED')
self.assertEqual(limit_buy_order.order_size, 0)
def test_prevent_market_order_no_orders(self):
order = Order(ID_GENERATOR, AGENT_ID, None, "MARKET", 100)
book = OrderBook()
with self.assertRaises(Exception) as context:
book.add_order(order)
self.assetEqual(context,
"No available liquidity to fill market order")
sell_order = Order(ID_GENERATOR, AGENT_ID, None, "MARKET", -100)
with self.assertRaises(Exception) as context:
book.add_order(order)
self.assetEqual(context,
"No available liquidity to fill market order")
def test_fill_with_partial_limit_order_multiple_and_diff_prices(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 205, "LIMIT", -50)
limit_sell_order2 = Order(ID_GENERATOR, 2, 200, "LIMIT", -25)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
book.add_order(limit_sell_order2)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 75)
self.assertEqual(limit_sell_order.order_size, -50)
self.assertEqual(limit_sell_order2.order_size, 0)
def test_fill_with_limit_orders(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 200, "LIMIT", -100)
book.add_order(limit_buy_order)
self.assertEqual(book.bids, [limit_buy_order])
book.add_order(limit_sell_order)
self.assertEqual(book.bids, [])
self.assertEqual(book.asks, [])
self.assertEqual(limit_sell_order.partial_execution_log,
[PartialExecution(100, 200)])
self.assertEqual(limit_buy_order.partial_execution_log,
[PartialExecution(100, 200)])
self.assertEqual(limit_buy_order.order_state, 'FILLED')
def test_lazy_cleanup(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 105, "LIMIT", -100)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
book.cancel_order(limit_buy_order.id)
book.cancel_order(limit_sell_order.id)
self.assertEqual(limit_buy_order.order_state, 'CANCELLED')
self.assertEqual(limit_sell_order.order_state, 'CANCELLED')
self.assertEqual(len(book.bids), 1)
self.assertEqual(len(book.asks), 1)
book._OrderBook__lazy_remove_completed_orders()
self.assertEqual(len(book.bids), 0)
self.assertEqual(len(book.asks), 0)
def test_cancel_order(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
book.add_order(limit_buy_order)
self.assertEqual(limit_buy_order.order_state, 'ACTIVE')
book.cancel_order(limit_buy_order.id)
self.assertEqual(limit_buy_order.order_state, 'CANCELLED')
def test_has_active_bids(self):
book = OrderBook()
self.assertEqual(book.has_active_bids(), False)
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", 100)
book.add_order(order)
self.assertEqual(book.has_active_bids(), True)
self.assertEqual(book.has_active_asks(), False)
def test_partial_fill_of_market_sell_order_existing_unfilled_orders(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 195, "LIMIT", 50)
limit_buy_order2 = Order(ID_GENERATOR, 3, 200, "LIMIT", 50)
limit_buy_order3 = Order(ID_GENERATOR, 4, 180, "LIMIT", 700)
market_sell_order = Order(ID_GENERATOR, 2, None, "MARKET", -100)
book.add_order(limit_buy_order)
book.add_order(limit_buy_order2)
book.add_order(limit_buy_order3)
book.add_order(market_sell_order)
self.assertEqual(book.bids, [limit_buy_order3])
self.assertEqual(book.asks, [])
self.assertEqual(market_sell_order.order_state, 'FILLED')
self.assertEqual(limit_buy_order.order_size, 0)
self.assertEqual(limit_buy_order2.order_size, 0)
self.assertEqual(limit_buy_order3.order_size, 700)
def test_add_basic_buy_order(self):
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", 100)
book = OrderBook()
book.add_order(order)
self.assertEqual(book.bids, [order])
order1 = Order(ID_GENERATOR, 2, PRICE + 1, "LIMIT", 100)
book.add_order(order1)
self.assertEqual(book.bids, [order1, order])
all_orders = {}
all_orders[order1.id] = order1
all_orders[order.id] = order
agent_orders = {}
agent_orders[order1.agent_id] = [order1]
agent_orders[order.agent_id] = [order]
self.assertEqual(book.agent_orders, agent_orders)
self.assertEqual(book.all_orders, all_orders)
def test_fill_with_partial_limit_order_multiple_and_price_matching_order2(
self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 195, "LIMIT", -50)
limit_sell_order2 = Order(ID_GENERATOR, 2, 200, "LIMIT", -25)
book.add_order(limit_sell_order)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order2)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 25)
self.assertEqual(limit_sell_order.order_size, 0)
self.assertEqual(
limit_buy_order.partial_execution_log,
[PartialExecution(50, 195),
PartialExecution(25, 200)])
def setUp(self):
self.orders = []
for i in range(1, 5):
self.orders.append(Order(test_quotes[str(i)]))
self.buyOrderList = OrderList("BUY", self.orders[0].price)
self.sellOrderList = OrderList("SELL", self.orders[1].price)
self.buyOrderList.add_order(self.orders[0])
self.sellOrderList.add_order(self.orders[1])
self.buyOrderList.add_order(self.orders[2])
self.sellOrderList.add_order(self.orders[3])
def execute_orders(conn):
c = conn.cursor()
orders = []
day_ago = datetime.now() - timedelta(hours=24)
for is_buy, address, usd_rate, price in c.execute(
"SELECT * FROM orders \
WHERE created_at >= ? ORDER BY created_at", day_ago):
orders.append(Order(is_buy, address, usd_rate, price))
c.execute("UPDATE orders SET is_buy = -1 WHERE created_at >= ?", day_ago)
return orders
class test_order(unittest.TestCase):
def setUp(self):
self.order = Order(test_quotes[str(1)])
self.order2 = Order(test_quotes[str(7)])
def test_add_order(self):
self.assertEqual(self.order.price, 100.00)
self.assertEqual(self.order.side, "BUY")
self.assertEqual(self.order.order_type, 'LIMIT')
self.assertEqual(self.order.symbol, 'KEQ')
self.assertEqual(self.order.quantity, 50)
self.assertEqual(self.order.account_id, "1")
self.assertEqual(self.order2.price, None)
self.assertEqual(self.order2.side, "BUY")
self.assertEqual(self.order2.order_type, 'MARKET')
self.assertEqual(self.order2.symbol, 'KEQ')
self.assertEqual(self.order2.quantity, 100)
self.assertEqual(self.order2.account_id, "7")
def test_update_order(self):
self.order.update(75)
self.assertEqual(self.order.quantity, 75)
def test_partial_execution(self):
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", -100)
self.assertEqual(order.order_state, "ACTIVE")
self.assertEqual(order.order_size, -100)
order.partial_execute(20, 4)
self.assertEqual(order.order_size, -80)
self.assertEqual(order.order_state, "PARTIAL_EXECUTION")
self.assertEqual(order.partial_execution_log,
[PartialExecution(20, 4)])
order.partial_execute(20, 4)
self.assertEqual(order.order_size, -60)
self.assertEqual(order.order_state, "PARTIAL_EXECUTION")
self.assertEqual(order.partial_execution_log,
[PartialExecution(20, 4),
PartialExecution(20, 4)])
order.partial_execute(60, 4)
self.assertEqual(order.order_size, 0)
self.assertEqual(order.order_state, "FILLED")
self.assertEqual(order.partial_execution_log, [
PartialExecution(20, 4),
PartialExecution(20, 4),
PartialExecution(60, 4)
])
def bench(n):
book = OrderBook()
length = len(tests)
for i in range(n):
o = tests[i % length]
book.limit_order(Order(o.id, o.side, o.price, o.original_size))
def gen_random_order(i):
return Order(i, random.choice([BUY, SELL]), random.randrange(50, 150),
random.randrange(1, 1000))
def setUp(self):
self.order = Order(test_quotes[str(1)])
self.order2 = Order(test_quotes[str(7)])
def test_must_add_price_to_limit_order(self):
with self.assertRaises(Exception) as context:
Order(ID_GENERATOR, AGENT_ID, None, "LIMIT", -100)
self.assetEqual(context,
"Limit order requires a price to be input")
def setUp(self):
self.order = Order(test_quotes[str(4)])
self.order2 = Order(test_quotes[str(5)])
self.trade = Trade(self.order, self.order2, 75)
def test_cannot_add_price_to_market_order(self):
with self.assertRaises(Exception) as context:
Order(ID_GENERATOR, AGENT_ID, PRICE, "MARKET", -100)
self.assetEqual(context,
"Unable to provide price with market order")
def limit_order(self, side, price, amount):
o = Order(self.next_order_id(), side, price, amount)
self.all_orders[o.id] = o
self.orderbook.limit_order(o)
self.validate()
return o
def test_buy_or_sell(self):
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", -100)
self.assertEqual(order.buy_or_sell(), 'SELL')
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", 100)
self.assertEqual(order.buy_or_sell(), 'BUY')
def test_change_to_fill(self):
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", -100)
self.assertEqual(order.order_state, "ACTIVE")
order.fill()
self.assertEqual(order.order_state, "FILLED")