def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(MessageId(TraderId('0'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask2 = Ask(MessageId(TraderId('1'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask3 = Ask(MessageId(TraderId('3'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(3)),
Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask4 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask5 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'A'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask6 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100),
Timestamp.now())
self.bid = Bid(MessageId(TraderId('5'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(5)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid2 = Bid(MessageId(TraderId('6'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(6)),
Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid3 = Bid(MessageId(TraderId('7'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(7)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.bid4 = Bid(MessageId(TraderId('8'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(8)),
Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
Price(10, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
Price(100, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook(MemoryMessageRepository('0'))
self.price_time_strategy = PriceTimeStrategy(self.order_book)
def setUp(self, annotate=True):
yield super(AbstractTestOrderBook, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_ask = Ask(
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0.0))
self.ask2 = Ask(
OrderId(TraderId('1'), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_bid = Bid(
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0.0))
self.bid2 = Bid(
OrderId(TraderId('3'), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.trade = Trade.propose(
TraderId('0'), OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447.117))
self.order_book = OrderBook()
class AbstractTestOrderBook(AbstractServer):
"""
Base class for the order book tests.
"""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(AbstractTestOrderBook, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.invalid_ask = Ask(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(0), Timestamp(0.0))
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(1)), Price(400, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.bid = Bid(OrderId(TraderId('2'), OrderNumber(1)), Price(200, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.invalid_bid = Bid(OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(0), Timestamp(0.0))
self.bid2 = Bid(OrderId(TraderId('3'), OrderNumber(1)), Price(300, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.trade = Trade.propose(MessageId(TraderId('0'), MessageNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)), Price(100, 'BTC'),
Quantity(30, 'MC'), Timestamp(1462224447.117))
self.order_book = OrderBook()
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
super(AbstractTestOrderBook, self).tearDown(annotate=annotate)
def setUp(self, annotate=True):
yield super(AbstractTestOrderBook, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.invalid_ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(0), Timestamp(0.0))
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(1)),
Price(400, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.bid = Bid(OrderId(TraderId('2'), OrderNumber(1)),
Price(200, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.invalid_bid = Bid(OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(0), Timestamp(0.0))
self.bid2 = Bid(OrderId(TraderId('3'), OrderNumber(1)),
Price(300, 'BTC'), Quantity(30, 'MC'),
Timeout(1462224447.117), Timestamp(1462224447.117))
self.trade = Trade.propose(MessageId(TraderId('0'), MessageNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timestamp(1462224447.117))
self.order_book = OrderBook()
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId(b'0'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask2 = Ask(OrderId(TraderId(b'1'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask3 = Ask(OrderId(TraderId(b'0'), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')), Timeout(100), Timestamp.now())
self.ask4 = Ask(OrderId(TraderId(b'1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')), Timeout(100), Timestamp.now())
self.ask5 = Ask(OrderId(TraderId(b'1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')), Timeout(100), Timestamp.now())
self.bid = Bid(OrderId(TraderId(b'0'), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.bid2 = Bid(OrderId(TraderId(b'0'), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask_order = Order(OrderId(TraderId(b'9'), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId(b'9'), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId(b'9'), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId(b'9'), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
class AbstractTestOrderBook(AbstractServer):
"""
Base class for the order book tests.
"""
@inlineCallbacks
def setUp(self):
yield super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.invalid_ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0))
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.bid = Bid(OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.invalid_bid = Bid(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0))
self.bid2 = Bid(OrderId(TraderId('3'), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.trade = Trade.propose(TraderId('0'),
OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447.117))
self.order_book = OrderBook()
def tearDown(self):
self.order_book.shutdown_task_manager()
super(AbstractTestOrderBook, self).tearDown()
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask3 = Ask(OrderId(TraderId('0'), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')), Timeout(100), Timestamp.now())
self.ask4 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')), Timeout(100), Timestamp.now())
self.ask5 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')), Timeout(100), Timestamp.now())
self.bid = Bid(OrderId(TraderId('0'), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.bid2 = Bid(OrderId(TraderId('0'), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
class AbstractTestOrderBook(AbstractServer):
"""
Base class for the order book tests.
"""
@inlineCallbacks
def setUp(self):
yield super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_ask = Ask(
OrderId(TraderId(b'0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0.0))
self.ask2 = Ask(
OrderId(TraderId(b'1'), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'2'), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_bid = Bid(
OrderId(TraderId(b'0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0.0))
self.bid2 = Bid(
OrderId(TraderId(b'3'), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.trade = Trade.propose(
TraderId(b'0'), OrderId(TraderId(b'0'), OrderNumber(1)),
OrderId(TraderId(b'0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447.117))
self.order_book = OrderBook()
def tearDown(self):
self.order_book.shutdown_task_manager()
super(AbstractTestOrderBook, self).tearDown()
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
MessageId(TraderId('1'), MessageNumber('message_number1')),
OrderId(TraderId('2'), OrderNumber(1)), Price(100, 'BTC'),
Quantity(30, 'MC'), Timeout(30), Timestamp.now())
self.bid = Bid(
MessageId(TraderId('3'), MessageNumber('message_number2')),
OrderId(TraderId('4'), OrderNumber(2)), Price(100, 'BTC'),
Quantity(30, 'MC'), Timeout(30), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook(MemoryMessageRepository('0'))
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
MessageId(TraderId('1'), MessageNumber('message_number1')),
OrderId(TraderId('2'), OrderNumber(1)), Price(100, 'BTC'),
Quantity(30, 'MC'), Timeout(30), Timestamp.now())
self.bid = Bid(
MessageId(TraderId('3'), MessageNumber('message_number2')),
OrderId(TraderId('4'), OrderNumber(2)), Price(100, 'BTC'),
Quantity(30, 'MC'), Timeout(30), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook(MemoryMessageRepository('0'))
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.cancel_all_pending_tasks()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.assertEquals([], self.matching_engine.match_order(self.bid_order))
self.assertEquals([], self.matching_engine.match_order(self.ask_order))
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
proposed_trades = self.matching_engine.match_order(self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
proposed_trades = self.matching_engine.match_order(self.ask_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def setUp(self):
yield super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.invalid_ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0))
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.bid = Bid(OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.invalid_bid = Bid(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')), Timeout(0), Timestamp(0.0))
self.bid2 = Bid(OrderId(TraderId('3'), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.trade = Trade.propose(TraderId('0'),
OrderId(TraderId('0'), OrderNumber(1)),
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447.117))
self.order_book = OrderBook()
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask3 = Ask(OrderId(TraderId('0'), OrderNumber(3)),
Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask4 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask5 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'A'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask6 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('0'), OrderNumber(5)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid2 = Bid(OrderId(TraderId('0'), OrderNumber(6)),
Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid3 = Bid(OrderId(TraderId('0'), OrderNumber(7)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.bid4 = Bid(OrderId(TraderId('0'), OrderNumber(8)),
Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
Price(10, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
Price(100, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(PriceTimeStrategyTestSuite,
self).tearDown(annotate=annotate)
def test_generate_match_id(self):
"""
Test generation of a match id
"""
def mocked_get_random_match_id():
if not mocked_get_random_match_id.called:
mocked_get_random_match_id.called = True
return 'a' * 20
else:
return 'b' * 20
mocked_get_random_match_id.called = False
rand_id = self.price_time_strategy.get_unique_match_id()
self.assertEqual(len(rand_id), 20)
self.assertEqual(len(self.price_time_strategy.used_match_ids), 1)
self.price_time_strategy.get_random_match_id = mocked_get_random_match_id
self.price_time_strategy.used_match_ids.add('a' * 20)
self.assertEqual(self.price_time_strategy.get_unique_match_id(),
'b' * 20)
def test_empty_match_order(self):
"""
Test for match order with an empty order book
"""
self.assertEquals([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
self.assertEquals([],
self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask6)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_ask(self):
"""
Test for match ask order
"""
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.bid.order_id),
matching_ticks[0][1])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_bid(self):
"""
Test for match bid order
"""
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.ask.order_id),
matching_ticks[0][1])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
self.assertEquals(Quantity(30, 'MC'), matching_ticks[1][2])
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask._quantity = Quantity(20, 'MC')
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(20, 'MC'), matching_ticks[0][2])
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid._quantity = Quantity(20, 'MC')
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order2.order_id, self.ask_order2.price,
self.ask_order2.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(20, 'MC'), matching_ticks[0][2])
def test_match_order_different_price_level(self):
"""
Test for match order given an ask order and bid in different price levels
"""
self.order_book.insert_bid(self.bid2)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Price(200, 'BTC'), self.bid2.price)
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_order_book_partial_ask_low(self):
"""
Test for protected search for quantity in order book partial ask when price is too low
"""
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
self.ask_order2.order_id, Price(100, 'BTC'), Quantity(30, 'MC'),
[], self.ask_order2.price, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_order_book_partial_ask(self):
"""
Test for protected search for quantity in order book partial ask
"""
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
self.ask_order.order_id, Price(100, 'BTC'), Quantity(30, 'MC'), [],
self.ask_order.price, True)
self.assertEquals(0, len(matching_ticks))
def test_search_for_quantity_in_order_book_partial_bid_high(self):
"""
Test for protected search for quantity in order book partial bid when price is too high
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
self.bid_order.order_id, Price(100, 'BTC'), Quantity(30, 'MC'), [],
self.bid_order.price, False)
self.assertEquals(0, len(matching_ticks))
def test_search_for_quantity_in_order_book_partial_bid(self):
"""
Test for protected search for quantity in order book partial bid
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
matching_ticks = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
self.bid_order.order_id, Price(50, 'BTC'), Quantity(30, 'MC'), [],
self.bid_order.price, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_search_for_quantity_in_price_level(self):
"""
Test searching within a price level
"""
self.bid_order._order_id = self.ask.order_id
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy._search_for_quantity_in_price_level(
self.bid_order.order_id, None, Quantity(10, 'MC'),
self.bid_order.price, False)
self.assertFalse(matching_ticks)
def test_bid_blocked_for_matching(self):
"""
Test whether a bid tick is not matched when blocked for matching
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).block_for_matching(
self.ask_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
def test_ask_blocked_for_matching(self):
"""
Test whether an ask tick is not matched when blocked for matching
"""
self.order_book.insert_ask(self.ask)
self.order_book.get_tick(self.ask.order_id).block_for_matching(
self.bid_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(
OrderId(TraderId('2'), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, amount1, amount2):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(
OrderId(TraderId('2'), OrderNumber(self.bid_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(3000)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(50, 350))
self.order_book.insert_ask(self.create_ask(18, 72))
self.order_book.insert_ask(self.create_ask(100, 700))
my_bid = self.create_bid(200, 2000)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(50, 200))
self.order_book.insert_bid(self.create_bid(18, 72))
self.order_book.insert_bid(self.create_bid(100, 400))
my_ask = self.create_ask(200, 200)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_price_time_priority_asks(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_ask(self.create_ask(20, 100))
self.order_book.insert_ask(self.create_ask(25, 125))
self.order_book.insert_ask(self.create_ask(10, 50))
my_bid = self.create_bid(50, 250)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_price_time_priority_bids(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_bid(self.create_bid(20, 100))
self.order_book.insert_bid(self.create_bid(25, 125))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(50, 250)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_matching_multiple_levels(self):
"""
Test a matching with multiple price levels
"""
self.order_book.insert_bid(self.create_bid(10, 60))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(30, 180)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 1)
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@inlineCallbacks
def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(30), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(OrderId(TraderId('2'), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, amount1, amount2):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(OrderId(TraderId('3'), OrderNumber(self.bid_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@inlineCallbacks
def tearDown(self):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown()
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([], self.matching_engine.match(self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([], self.matching_engine.match(self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(3000)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(50, 350))
self.order_book.insert_ask(self.create_ask(18, 72))
self.order_book.insert_ask(self.create_ask(100, 700))
my_bid = self.create_bid(200, 2000)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(50, 200))
self.order_book.insert_bid(self.create_bid(18, 72))
self.order_book.insert_bid(self.create_bid(100, 400))
my_ask = self.create_ask(200, 200)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum([quantity for _, _, quantity in matching_ticks])
self.assertEqual(total_matched, 168)
def test_price_time_priority_asks(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_ask(self.create_ask(20, 100))
self.order_book.insert_ask(self.create_ask(25, 125))
self.order_book.insert_ask(self.create_ask(10, 50))
my_bid = self.create_bid(50, 250)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_price_time_priority_bids(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_bid(self.create_bid(20, 100))
self.order_book.insert_bid(self.create_bid(25, 125))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(50, 250)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1][1].assets.first.amount, 10)
self.assertEqual(matching_ticks[-1][2], 5)
def test_matching_multiple_levels(self):
"""
Test a matching with multiple price levels
"""
self.order_book.insert_bid(self.create_bid(10, 60))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(30, 180)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 1)
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@inlineCallbacks
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask2 = Ask(OrderId(TraderId('1'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask3 = Ask(OrderId(TraderId('0'), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')), Timeout(100), Timestamp.now())
self.ask4 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')), Timeout(100), Timestamp.now())
self.ask5 = Ask(OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')), Timeout(100), Timestamp.now())
self.bid = Bid(OrderId(TraderId('0'), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.bid2 = Bid(OrderId(TraderId('0'), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')), Timeout(100), Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@inlineCallbacks
def tearDown(self):
self.order_book.shutdown_task_manager()
yield super(PriceTimeStrategyTestSuite, self).tearDown()
def test_generate_match_id(self):
"""
Test generation of a match id
"""
def mocked_get_random_match_id():
if not mocked_get_random_match_id.called:
mocked_get_random_match_id.called = True
return 'a' * 20
else:
return 'b' * 20
mocked_get_random_match_id.called = False
rand_id = self.price_time_strategy.get_unique_match_id()
self.assertEqual(len(rand_id), 20)
self.assertEqual(len(self.price_time_strategy.used_match_ids), 1)
self.price_time_strategy.get_random_match_id = mocked_get_random_match_id
self.price_time_strategy.used_match_ids.add('a' * 20)
self.assertEqual(self.price_time_strategy.get_unique_match_id(), 'b' * 20)
def test_empty_match_order(self):
"""
Test for match order with an empty order book
"""
self.assertEquals([], self.price_time_strategy.match(self.bid_order.order_id,
self.bid_order.price,
self.bid_order.available_quantity, False))
self.assertEquals([], self.price_time_strategy.match(self.ask_order.order_id,
self.ask_order.price,
self.ask_order.available_quantity, True))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask4)
self.assertEqual([], self.price_time_strategy.match(self.bid_order.order_id,
self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([], self.price_time_strategy.match(self.bid_order.order_id,
self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_ask(self):
"""
Test for match ask order
"""
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.bid.order_id), matching_ticks[0][1])
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_bid(self):
"""
Test for match bid order
"""
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.ask.order_id), matching_ticks[0][1])
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(self.bid_order2.order_id,
self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
self.assertEquals(3000, matching_ticks[1][2])
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask.traded = 1000
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(self.bid_order.order_id,
self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(2000, matching_ticks[0][2])
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid.traded = 1000
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(self.ask_order.order_id,
self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(2000, matching_ticks[0][2])
def test_bid_blocked_for_matching(self):
"""
Test whether a bid tick is not matched when blocked for matching
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).block_for_matching(self.ask_order.order_id)
matching_ticks = self.price_time_strategy.match(self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
def test_ask_blocked_for_matching(self):
"""
Test whether an ask tick is not matched when blocked for matching
"""
self.order_book.insert_ask(self.ask)
self.order_book.get_tick(self.ask.order_id).block_for_matching(self.bid_order.order_id)
matching_ticks = self.price_time_strategy.match(self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(0, len(matching_ticks))
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(
OrderId(TraderId('0'), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask2 = Ask(
OrderId(TraderId('1'), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask3 = Ask(
OrderId(TraderId('0'), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')),
Timeout(100), Timestamp.now())
self.ask4 = Ask(
OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')),
Timeout(100), Timestamp.now())
self.ask5 = Ask(
OrderId(TraderId('1'), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId('0'), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid2 = Bid(
OrderId(TraderId('0'), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId('9'), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(
OrderId(TraderId('9'), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId('9'), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(
OrderId(TraderId('9'), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(PriceTimeStrategyTestSuite,
self).tearDown(annotate=annotate)
def test_generate_match_id(self):
"""
Test generation of a match id
"""
def mocked_get_random_match_id():
if not mocked_get_random_match_id.called:
mocked_get_random_match_id.called = True
return 'a' * 20
else:
return 'b' * 20
mocked_get_random_match_id.called = False
rand_id = self.price_time_strategy.get_unique_match_id()
self.assertEqual(len(rand_id), 20)
self.assertEqual(len(self.price_time_strategy.used_match_ids), 1)
self.price_time_strategy.get_random_match_id = mocked_get_random_match_id
self.price_time_strategy.used_match_ids.add('a' * 20)
self.assertEqual(self.price_time_strategy.get_unique_match_id(),
'b' * 20)
def test_empty_match_order(self):
"""
Test for match order with an empty order book
"""
self.assertEquals([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
self.assertEquals([],
self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask4)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_ask(self):
"""
Test for match ask order
"""
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.bid.order_id),
matching_ticks[0][1])
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_bid(self):
"""
Test for match bid order
"""
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.ask.order_id),
matching_ticks[0][1])
self.assertEquals(3000, matching_ticks[0][2])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
self.assertEquals(3000, matching_ticks[0][2])
self.assertEquals(3000, matching_ticks[1][2])
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask.traded = 1000
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(2000, matching_ticks[0][2])
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid.traded = 1000
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(2000, matching_ticks[0][2])
def test_bid_blocked_for_matching(self):
"""
Test whether a bid tick is not matched when blocked for matching
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).block_for_matching(
self.ask_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
def test_ask_blocked_for_matching(self):
"""
Test whether an ask tick is not matched when blocked for matching
"""
self.order_book.insert_ask(self.ask)
self.order_book.get_tick(self.ask.order_id).block_for_matching(
self.bid_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(0, len(matching_ticks))
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, price, quantity):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(OrderId(TraderId('2'), OrderNumber(self.ask_count)),
Price(price, 'BTC'), Quantity(quantity, 'MC'),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, price, quantity):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(OrderId(TraderId('2'), OrderNumber(self.bid_count)),
Price(price, 'BTC'), Quantity(quantity, 'MC'),
Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(
Quantity(30, 'MC'))
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(7, 50))
self.order_book.insert_ask(self.create_ask(4, 18))
self.order_book.insert_ask(self.create_ask(7, 100))
my_bid = self.create_bid(10, 100)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum(
[float(quantity) for _, _, quantity in matching_ticks])
self.assertEqual(Quantity(total_matched, 'MC'), Quantity(100, 'MC'))
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(4, 50))
self.order_book.insert_bid(self.create_bid(7, 18))
self.order_book.insert_bid(self.create_bid(4, 100))
my_ask = self.create_ask(1, 100)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
total_matched = sum(
[float(quantity) for _, _, quantity in matching_ticks])
self.assertEqual(Quantity(total_matched, 'MC'), Quantity(100, 'MC'))
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(PriceTimeStrategyTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(MessageId(TraderId('0'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask2 = Ask(MessageId(TraderId('1'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask3 = Ask(MessageId(TraderId('3'), MessageNumber('1')),
OrderId(TraderId('0'), OrderNumber(3)),
Price(200, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask4 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask5 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'A'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.ask6 = Ask(MessageId(TraderId('4'), MessageNumber('1')),
OrderId(TraderId('1'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'A'), Timeout(100),
Timestamp.now())
self.bid = Bid(MessageId(TraderId('5'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(5)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid2 = Bid(MessageId(TraderId('6'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(6)),
Price(200, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now())
self.bid3 = Bid(MessageId(TraderId('7'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(7)),
Price(50, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.bid4 = Bid(MessageId(TraderId('8'), MessageNumber('2')),
OrderId(TraderId('0'), OrderNumber(8)),
Price(100, 'BTC'), Quantity(200, 'MC'), Timeout(100),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('9'), OrderNumber(11)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(OrderId(TraderId('9'), OrderNumber(12)),
Price(10, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('9'), OrderNumber(13)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(OrderId(TraderId('9'), OrderNumber(14)),
Price(100, 'BTC'), Quantity(60, 'MC'),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook(MemoryMessageRepository('0'))
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.cancel_all_pending_tasks()
yield super(PriceTimeStrategyTestSuite,
self).tearDown(annotate=annotate)
def test_empty_match_order(self):
# Test for match order with an empty order book
self.assertEquals([],
self.price_time_strategy.match_order(self.bid_order))
self.assertEquals([],
self.price_time_strategy.match_order(self.ask_order))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match_order(self.bid_order))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask6)
self.assertEqual([],
self.price_time_strategy.match_order(self.bid_order))
def test_match_order_ask(self):
# Test for match order
self.order_book.insert_bid(self.bid)
proposed_trades = self.price_time_strategy.match_order(self.ask_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_match_order_bid(self):
# Test for match order
self.order_book.insert_ask(self.ask)
proposed_trades = self.price_time_strategy.match_order(self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_match_order_divided(self):
# Test for match order divided over two ticks
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
proposed_trades = self.price_time_strategy.match_order(self.bid_order2)
self.assertEquals(2, len(proposed_trades))
self.assertEquals(Price(100, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
self.assertEquals(Price(100, 'BTC'), proposed_trades[1].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[1].quantity)
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask._quantity = Quantity(20, 'MC')
self.order_book.insert_ask(self.ask)
proposed_trades = self.price_time_strategy.match_order(self.bid_order2)
self.assertEquals(1, len(proposed_trades))
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid._quantity = Quantity(20, 'MC')
self.order_book.insert_bid(self.bid)
proposed_trades = self.price_time_strategy.match_order(self.ask_order2)
self.assertEquals(1, len(proposed_trades))
def test_match_order_different_price_level(self):
# Test for match order given an ask order and bid in different price levels
self.order_book.insert_bid(self.bid2)
proposed_trades = self.price_time_strategy.match_order(self.ask_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Price(200, 'BTC'), proposed_trades[0].price)
self.assertEquals(Quantity(30, 'MC'), proposed_trades[0].quantity)
def test_search_for_quantity_in_order_book_partial_ask_low(self):
# Test for protected search for quantity in order book partial ask when price is too low
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.ask_order2)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_ask(self):
# Test for protected search for quantity in order book partial ask
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.order_book.insert_bid(self.bid3)
self.order_book.insert_bid(self.bid4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_ask(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.ask_order)
self.assertEquals(0, len(proposed_trades))
self.assertEquals(Quantity(30, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_bid_high(self):
# Test for protected search for quantity in order book partial bid when price is too high
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
Price(100, 'BTC'), Quantity(30, 'MC'), [], self.bid_order)
self.assertEquals(0, len(proposed_trades))
self.assertEquals(Quantity(30, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_order_book_partial_bid(self):
# Test for protected search for quantity in order book partial bid
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.order_book.insert_ask(self.ask3)
self.order_book.insert_ask(self.ask4)
quantity_to_trade, proposed_trades = self.price_time_strategy._search_for_quantity_in_order_book_partial_bid(
Price(50, 'BTC'), Quantity(30, 'MC'), [], self.bid_order)
self.assertEquals(1, len(proposed_trades))
self.assertEquals(Quantity(0, 'MC'), quantity_to_trade)
def test_search_for_quantity_in_price_level(self):
"""
Test searching within a price level
"""
self.bid_order._order_id = self.ask.order_id
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
None, Quantity(10, 'MC'), self.bid_order)
self.assertFalse(trades)
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
self.order_book.get_tick(self.bid_order.order_id),
Quantity(10, 'MC'), self.bid_order)
self.assertFalse(trades)
self.bid_order2.reserve_quantity_for_tick(self.ask2.order_id,
Quantity(60, 'MC'))
_, trades = self.price_time_strategy._search_for_quantity_in_price_level(
self.order_book.get_tick(self.ask2.order_id), Quantity(10, 'MC'),
self.bid_order2)
self.assertFalse(trades)
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@blocking_call_on_reactor_thread
@inlineCallbacks
def setUp(self, annotate=True):
yield super(MatchingEngineTestSuite, self).setUp(annotate=annotate)
# Object creation
self.ask = Ask(OrderId(TraderId('2'), OrderNumber(1)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.bid = Bid(OrderId(TraderId('4'), OrderNumber(2)),
Price(100, 'BTC'), Quantity(30, 'MC'), Timeout(30),
Timestamp.now())
self.ask_order = Order(OrderId(TraderId('5'), OrderNumber(3)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(OrderId(TraderId('6'), OrderNumber(4)),
Price(100, 'BTC'), Quantity(30, 'MC'),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
@blocking_call_on_reactor_thread
@inlineCallbacks
def tearDown(self, annotate=True):
self.order_book.cancel_all_pending_tasks()
yield super(MatchingEngineTestSuite, self).tearDown(annotate=annotate)
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
self.assertEquals(Quantity(30, 'MC'), matching_ticks[0][2])
def test_no_match_reserved(self):
"""
Test whether there is no match when we already reserved some quantity
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).reserve_for_matching(
Quantity(30, 'MC'))
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals([], matching_ticks)