def setUp(self, annotate=True):
yield super(TestDatabase, self).setUp(annotate=annotate)
path = os.path.join(self.getStateDir(), 'sqlite')
if not os.path.exists(path):
os.makedirs(path)
self.database = MarketDB(self.getStateDir())
self.order_id1 = OrderId(TraderId('3'), OrderNumber(4))
self.order_id2 = OrderId(TraderId('4'), OrderNumber(5))
self.order1 = Order(self.order_id1, Price(5,
'EUR'), Quantity(6, 'BTC'),
Timeout(3600), Timestamp.now(), True)
self.order2 = Order(self.order_id2, Price(5,
'EUR'), Quantity(6, 'BTC'),
Timeout(3600), Timestamp.now(), False)
self.transaction_id1 = TransactionId(TraderId("0"),
TransactionNumber(4))
self.transaction1 = Transaction(self.transaction_id1,
Price(100, 'BTC'), Quantity(30, 'MC'),
OrderId(TraderId("0"), OrderNumber(1)),
OrderId(TraderId("1"), OrderNumber(2)),
Timestamp(20.0))
self.payment1 = Payment(MessageId(TraderId("0"), MessageNumber("4")),
self.transaction_id1, Quantity(5, 'MC'),
Price(6, 'BTC'), WalletAddress('abc'),
WalletAddress('def'), PaymentId("abc"),
Timestamp(20.0), False)
self.transaction1.add_payment(self.payment1)
def test_from_network(self):
# Test for from network
now = Timestamp.now()
data = Bid.from_network(
type(
'Data', (object, ), {
"trader_id": TraderId('0'),
"order_number": OrderNumber(2),
"message_number": MessageNumber('message_number'),
"price": Price(63400, 'BTC'),
"quantity": Quantity(40, 'MC'),
"timeout": Timeout(30),
"timestamp": now,
"public_key": 'a',
"signature": 'b'
}))
self.assertEquals(
MessageId(TraderId('0'), MessageNumber('message_number')),
data.message_id)
self.assertEquals(Price(63400, 'BTC'), data.price)
self.assertEquals(Quantity(40, 'MC'), data.quantity)
self.assertEquals(float(Timeout(30)), float(data.timeout))
self.assertEquals(now, data.timestamp)
self.assertEquals('a', data._public_key)
self.assertEquals('b', data._signature)
def test_proposed_trade_cache_timeout(self):
"""
Test the timeout method of a proposed trade request in the cache
"""
ask = Ask(
OrderId(TraderId(self.market_community.mid), OrderNumber(24)),
Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600),
Timestamp.now())
order = Order(OrderId(TraderId("0"), OrderNumber(23)),
Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0),
Timestamp.now(), False)
self.market_community.order_book.insert_ask(ask)
self.assertEqual(len(self.market_community.order_book.asks), 1)
self.market_community.order_manager.order_repository.add(order)
order.reserve_quantity_for_tick(self.proposed_trade.recipient_order_id,
Quantity(30, 'DUM2'))
self.market_community.order_manager.order_repository.update(order)
mocked_match_message = MockObject()
mocked_match_message.payload = MockObject()
mocked_match_message.payload.matchmaker_trader_id = 'a'
self.market_community.incoming_match_messages[
'a'] = mocked_match_message
def mocked_send_decline(*_):
mocked_send_decline.called = True
mocked_send_decline.called = False
self.market_community.send_decline_match_message = mocked_send_decline
cache = ProposedTradeRequestCache(self.market_community,
self.proposed_trade, 'a')
cache.on_timeout()
self.assertTrue(mocked_send_decline.called)
def test_bid_side_depth(self):
# Test for bid side depth
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.assertEquals(Quantity(30, 'MC'), self.order_book.bid_side_depth(Price(300, 'BTC')))
self.assertEquals([(Price(200, 'BTC'), Quantity(30, 'MC')), (Price(300, 'BTC'), Quantity(30, 'MC'))],
self.order_book.get_bid_side_depth_profile('BTC', 'MC'))
def test_from_network(self):
# Test for from network
data = ProposedTrade.from_network(
type(
'Data', (object, ), {
"trader_id": TraderId('0'),
"message_id": MessageId(TraderId('0'), MessageNumber(1)),
"order_number": OrderNumber(1),
"recipient_order_id": OrderId(TraderId('1'),
OrderNumber(2)),
"proposal_id": 1234,
"timestamp": Timestamp(1462224447.117),
"price": Price(63400, 'BTC'),
"quantity": Quantity(30, 'MC')
}))
self.assertEquals(MessageId(TraderId('0'), MessageNumber(1)),
data.message_id)
self.assertEquals(OrderId(TraderId('0'), OrderNumber(1)),
data.order_id)
self.assertEquals(OrderId(TraderId('1'), OrderNumber(2)),
data.recipient_order_id)
self.assertEquals(1234, data.proposal_id)
self.assertEquals(Price(63400, 'BTC'), data.price)
self.assertEquals(Quantity(30, 'MC'), data.quantity)
self.assertEquals(Timestamp(1462224447.117), data.timestamp)
def test_ask_side_depth(self):
# Test for ask side depth
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.assertEquals(Quantity(30, 'MC'), self.order_book.ask_side_depth(Price(100, 'BTC')))
self.assertEquals([(Price(100, 'BTC'), Quantity(30, 'MC')), (Price(400, 'BTC'), Quantity(30, 'MC'))],
self.order_book.get_ask_side_depth_profile('BTC', 'MC'))
def from_database(cls, data, payments):
"""
Create a Transaction object based on information in the database.
"""
trader_id, transaction_number, order_trader_id, order_number, partner_trader_id, partner_order_number, price,\
price_type, transferred_price, quantity, quantity_type, transferred_quantity, transaction_timestamp,\
sent_wallet_info, received_wallet_info, incoming_address, outgoing_address, partner_incoming_address,\
partner_outgoing_address, match_id = data
transaction_id = TransactionId(TraderId(str(trader_id)),
TransactionNumber(transaction_number))
transaction = cls(
transaction_id, Price(price, str(price_type)),
Quantity(quantity, str(quantity_type)),
OrderId(TraderId(str(order_trader_id)), OrderNumber(order_number)),
OrderId(TraderId(str(partner_trader_id)),
OrderNumber(partner_order_number)),
Timestamp(float(transaction_timestamp)))
transaction._transferred_price = Price(transferred_price,
str(price_type))
transaction._transferred_quantity = Quantity(transferred_quantity,
str(quantity_type))
transaction.sent_wallet_info = sent_wallet_info
transaction.received_wallet_info = received_wallet_info
transaction.incoming_address = WalletAddress(str(incoming_address))
transaction.outgoing_address = WalletAddress(str(outgoing_address))
transaction.partner_incoming_address = WalletAddress(
str(partner_incoming_address))
transaction.partner_outgoing_address = WalletAddress(
str(partner_outgoing_address))
transaction.match_id = str(match_id)
transaction._payments = payments
return transaction
def test_from_network(self):
# Test for from network
data = Payment.from_network(
type(
'Data', (object, ), {
"message_id":
MessageId(TraderId("0"), MessageNumber(1)),
"transaction_id":
TransactionId(TraderId('2'), TransactionNumber(2)),
"transferee_quantity":
Quantity(3, 'MC'),
"transferee_price":
Price(2, 'BTC'),
"address_from":
WalletAddress('a'),
"address_to":
WalletAddress('b'),
"payment_id":
PaymentId('aaa'),
"timestamp":
Timestamp(4.0),
"success":
True
}))
self.assertEquals(MessageId(TraderId("0"), MessageNumber(1)),
data.message_id)
self.assertEquals(TransactionId(TraderId('2'), TransactionNumber(2)),
data.transaction_id)
self.assertEquals(Quantity(3, 'MC'), data.transferee_quantity)
self.assertEquals(Price(2, 'BTC'), data.transferee_price)
self.assertEquals(Timestamp(4.0), data.timestamp)
self.assertTrue(data.success)
def test_tick_price(self):
# Test for tick price
self.order_book.insert_ask(self.ask2)
self.order_book.insert_bid(self.bid2)
self.assertEquals(Price(300, 'BTC'),
self.order_book.relative_tick_price(self.ask))
self.assertEquals(Price(100, 'BTC'),
self.order_book.relative_tick_price(self.bid))
def test_properties(self):
# Test for properties
self.order_book.insert_ask(self.ask2)
self.order_book.insert_bid(self.bid2)
self.assertEquals(Price(0.0875, 'MB', 'BTC'),
self.order_book.get_mid_price('MB', 'BTC'))
self.assertEquals(Price(-0.025, 'MB', 'BTC'),
self.order_book.get_bid_ask_spread('MB', 'BTC'))
def test_init(self):
"""
Test the initialization of a price
"""
with self.assertRaises(ValueError):
Price('1', 'MC')
with self.assertRaises(ValueError):
Price(1, 2)
def test_properties(self):
# Test for properties
self.order_book.insert_ask(self.ask2)
self.order_book.insert_bid(self.bid2)
self.assertEquals(Price(350, 'BTC'),
self.order_book.get_mid_price('BTC', 'MC'))
self.assertEquals(Price(100, 'BTC'),
self.order_book.get_bid_ask_spread('BTC', 'MC'))
def test_pagerank_2(self):
"""
Test isolated nodes during a Temporal Pagerank computation
"""
self.insert_transaction('a', 'b', Quantity(1, 'BTC'), Price(1, 'MC'))
self.insert_transaction('c', 'd', Quantity(1, 'BTC'), Price(1, 'MC'))
rep_dict = self.compute_reputations()
self.assertTrue('c' in rep_dict)
self.assertTrue('d' in rep_dict)
def setUp(self):
# Object creation
self.tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(400, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.tick2 = Tick(OrderId(TraderId('1'), OrderNumber(2)),
Price(800, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
self.side = Side()
def test_bid_side_depth(self):
# Test for bid side depth
self.order_book.insert_bid(self.bid)
self.order_book.insert_bid(self.bid2)
self.assertEquals(
300, self.order_book.bid_side_depth(Price(0.1, 'MB', 'BTC')))
self.assertEquals([(Price(0.1, 'MB', 'BTC'), 300),
(Price(0.15, 'MB', 'BTC'), 200)],
self.order_book.get_bid_side_depth_profile(
'MB', 'BTC'))
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_ask_side_depth(self):
# Test for ask side depth
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
self.assertEquals(
100, self.order_book.ask_side_depth(Price(0.3, 'MB', 'BTC')))
self.assertEquals([(Price(0.075, 'MB', 'BTC'), 400),
(Price(0.3, 'MB', 'BTC'), 100)],
self.order_book.get_ask_side_depth_profile(
'MB', 'BTC'))
def setUp(self):
# Object creation
self.memory_order_repository = MemoryOrderRepository("0")
self.order_id = OrderId(TraderId("0"), OrderNumber(1))
self.order = Order(self.order_id, Price(100,
'BTC'), Quantity(30, 'MC'),
Timeout(0.0), Timestamp(10.0), False)
self.order2 = Order(self.order_id, Price(1000, 'BTC'),
Quantity(30, 'MC'), Timeout(0.0), Timestamp(10.0),
False)
def test_create_bid_order(self):
# Test for create bid order
bid_order = self.order_manager.create_bid_order(
Price(100, 'BTC'), Quantity(10, 'MC'), Timeout(0.0))
self.assertFalse(bid_order.is_ask())
self.assertEquals(OrderId(TraderId("0"), OrderNumber(1)),
bid_order.order_id)
self.assertEquals(Price(100, 'BTC'), bid_order.price)
self.assertEquals(Quantity(10, 'MC'), bid_order.total_quantity)
self.assertEquals(0.0, float(bid_order.timeout))
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity, unreserve=True):
"""
Update ticks according to a TradeChain block containing the status of the ask/bid orders.
:type ask_order_dict: dict
:type bid_order_dict: dict
:type traded_quantity: Quantity
:type unreserve: bool
"""
assert isinstance(ask_order_dict, dict), type(ask_order_dict)
assert isinstance(bid_order_dict, dict), type(bid_order_dict)
assert isinstance(traded_quantity, Quantity), type(traded_quantity)
assert isinstance(unreserve, bool), type(unreserve)
ask_order_id = OrderId(TraderId(ask_order_dict["trader_id"]), OrderNumber(ask_order_dict["order_number"]))
bid_order_id = OrderId(TraderId(bid_order_dict["trader_id"]), OrderNumber(bid_order_dict["order_number"]))
self._logger.debug("Updating ticks in order book: %s and %s (traded quantity: %s)",
str(ask_order_id), str(bid_order_id), str(traded_quantity))
# Update ask tick
new_ask_quantity = Quantity(ask_order_dict["quantity"] - ask_order_dict["traded_quantity"],
ask_order_dict["quantity_type"])
if self.tick_exists(ask_order_id) and new_ask_quantity <= self.get_tick(ask_order_id).quantity:
tick = self.get_tick(ask_order_id)
tick.quantity = new_ask_quantity
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.quantity <= Quantity(0, ask_order_dict["quantity_type"]):
self.remove_tick(tick.order_id)
self.completed_orders.append(tick.order_id)
elif not self.tick_exists(ask_order_id) and new_ask_quantity > Quantity(0, ask_order_dict["quantity_type"]):
ask = Ask(ask_order_id, Price(ask_order_dict["price"], ask_order_dict["price_type"]),
new_ask_quantity, Timeout(ask_order_dict["timeout"]), Timestamp(ask_order_dict["timestamp"]))
self.insert_ask(ask)
# Update bid tick
new_bid_quantity = Quantity(bid_order_dict["quantity"] - bid_order_dict["traded_quantity"],
bid_order_dict["quantity_type"])
if self.tick_exists(bid_order_id) and new_bid_quantity <= self.get_tick(bid_order_id).quantity:
tick = self.get_tick(bid_order_id)
tick.quantity = new_bid_quantity
if unreserve:
tick.release_for_matching(traded_quantity)
if tick.quantity <= Quantity(0, bid_order_dict["quantity_type"]):
self.remove_tick(tick.order_id)
self.completed_orders.append(tick.order_id)
elif not self.tick_exists(bid_order_id) and new_bid_quantity > Quantity(0, bid_order_dict["quantity_type"]):
bid = Bid(bid_order_id, Price(bid_order_dict["price"], bid_order_dict["price_type"]),
new_bid_quantity, Timeout(bid_order_dict["timeout"]), Timestamp(bid_order_dict["timestamp"]))
self.insert_bid(bid)
def setUp(self, annotate=True):
yield super(TickEntryTestSuite, self).setUp(annotate=annotate)
# Object creation
tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(63400, 'BTC'), Quantity(30, 'MC'), Timeout(0.0),
Timestamp(0.0), True)
tick2 = Tick(OrderId(TraderId('0'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now(), True)
self.price_level = PriceLevel('MC')
self.tick_entry = TickEntry(tick, self.price_level)
self.tick_entry2 = TickEntry(tick2, self.price_level)
def setUp(self):
# Object creation
tick = Tick(MessageId(TraderId('0'), MessageNumber('message_number')),
OrderId(TraderId('0'), OrderNumber(1)),
Price(63400, 'BTC'), Quantity(30, 'MC'), Timeout(0.0),
Timestamp(0.0), True)
tick2 = Tick(MessageId(TraderId('0'), MessageNumber('message_number')),
OrderId(TraderId('0'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'), Timeout(100),
Timestamp.now(), True)
self.price_level = PriceLevel('MC')
self.tick_entry = TickEntry(tick, self.price_level)
self.tick_entry2 = TickEntry(tick2, self.price_level)
def setUp(self, annotate=True):
yield super(CommunityTestSuite, self).setUp(annotate=annotate)
dummy1_wallet = DummyWallet1()
dummy2_wallet = DummyWallet2()
self.market_community = MarketCommunity(self.dispersy,
self.master_member,
self.member)
self.market_community.initialize(wallets={
dummy1_wallet.get_identifier():
dummy1_wallet,
dummy2_wallet.get_identifier():
dummy2_wallet
},
use_database=False)
self.market_community.use_local_address = True
self.dispersy._lan_address = ("127.0.0.1", 1234)
self.dispersy._endpoint.open(self.dispersy)
self.dispersy.attach_community(self.market_community)
eccrypto = ECCrypto()
ec = eccrypto.generate_key(u"curve25519")
member = Member(self.dispersy, ec, 1)
trader_id = hashlib.sha1(member.public_key).digest().encode('hex')
self.ask = Ask(
MessageId(TraderId('0'), MessageNumber('message_number')),
OrderId(TraderId(trader_id), OrderNumber(1234)),
Price(63400, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600),
Timestamp.now())
self.ask.sign(member)
self.bid = Bid(
MessageId(TraderId('1'), MessageNumber('message_number')),
OrderId(TraderId(trader_id), OrderNumber(1235)),
Price(343, 'DUM1'), Quantity(22, 'DUM2'), Timeout(3600),
Timestamp.now())
self.bid.sign(member)
self.order = Order(
OrderId(TraderId(self.market_community.mid), OrderNumber(24)),
Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timeout(3600.0),
Timestamp.now(), False)
self.proposed_trade = Trade.propose(
MessageId(TraderId('0'), MessageNumber('message_number')),
OrderId(TraderId('0'), OrderNumber(23)),
OrderId(TraderId(self.market_community.mid), OrderNumber(24)),
Price(20, 'DUM1'), Quantity(30, 'DUM2'), Timestamp.now())
def test_pagerank_3(self):
"""
Test a more involved example of a Temporal Pagerank computation
"""
self.insert_transaction('a', 'b', Quantity(1, 'BTC'), Price(1, 'MC'))
self.insert_transaction('b', 'c', Quantity(100, 'BTC'),
Price(100, 'MC'))
self.insert_transaction('b', 'd', Quantity(100, 'BTC'),
Price(100, 'MC'))
self.insert_transaction('b', 'e', Quantity(100, 'BTC'),
Price(100, 'MC'))
rep_dict = self.compute_reputations()
self.assertEqual(len(rep_dict.keys()), 5)
for _, rep in rep_dict.iteritems():
self.assertGreater(rep, 0)
def setUp(self):
# Object creation
self.timestamp_now = Timestamp.now()
self.tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(63400, 'BTC'), Quantity(30, 'MC'), Timeout(30),
self.timestamp_now, True)
self.tick2 = Tick(OrderId(TraderId('0'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'),
Timeout(0.0), Timestamp(0.0), False)
self.order_ask = Order(OrderId(TraderId('0'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'),
Timeout(0.0), Timestamp(0.0), True)
self.order_bid = Order(OrderId(TraderId('0'), OrderNumber(2)),
Price(63400, 'BTC'), Quantity(30, 'MC'),
Timeout(0.0), Timestamp(0.0), False)
def setUp(self):
# Object creation
tick = Tick(OrderId(TraderId('0'), OrderNumber(1)),
Price(63400, 'BTC'), Quantity(30, 'MC'),
Timeout(float("inf")), Timestamp(float("inf")), True)
tick2 = Tick(OrderId(TraderId('0'), OrderNumber(2)), Price(30, 'MC'),
Quantity(30, 'BTC'), Timeout(float("inf")),
Timestamp(float("inf")), True)
self.price_level = PriceLevel('MC')
self.tick_entry1 = TickEntry(tick, self.price_level)
self.tick_entry2 = TickEntry(tick, self.price_level)
self.tick_entry3 = TickEntry(tick, self.price_level)
self.tick_entry4 = TickEntry(tick, self.price_level)
self.tick_entry5 = TickEntry(tick2, self.price_level)
def setUp(self):
# Object creation
self.proposed_trade_payload = TradePayload.Implementation(
MetaObject(), TraderId('0'), MessageNumber('message_number'),
OrderNumber(1), TraderId('1'), OrderNumber(2), 1235,
Price(63400, 'BTC'), Quantity(30, 'MC'), Timestamp(1462224447.117),
'192.168.1.1', 1234)
def setUp(self):
# Object creation
self.payment_payload = PaymentPayload.Implementation(
MetaObject(), TraderId('0'), MessageNumber('1'), TraderId('2'),
TransactionNumber(2), Quantity(20, 'MC'), Price(10, 'BTC'),
WalletAddress('a'), WalletAddress('b'), PaymentId('3'),
Timestamp(0.0), True)
def test_properties(self):
"""
Test the start transaction payload
"""
self.assertEquals(MessageNumber('1'),
self.start_transaction_payload.message_number)
self.assertEquals(TransactionNumber(2),
self.start_transaction_payload.transaction_number)
self.assertEquals(Timestamp(0.0),
self.start_transaction_payload.timestamp)
self.assertEquals(TraderId('2'),
self.start_transaction_payload.transaction_trader_id)
self.assertEquals(TraderId('2'),
self.start_transaction_payload.order_trader_id)
self.assertEquals(OrderNumber(3),
self.start_transaction_payload.order_number)
self.assertEquals(TraderId('0'),
self.start_transaction_payload.recipient_trader_id)
self.assertEquals(
OrderNumber(4),
self.start_transaction_payload.recipient_order_number)
self.assertEquals(1236, self.start_transaction_payload.proposal_id)
self.assertEquals(Price(2, 'BTC'),
self.start_transaction_payload.price)
self.assertEquals(Quantity(3, 'MC'),
self.start_transaction_payload.quantity)
def setUp(self):
# Object creation
self.start_transaction_payload = StartTransactionPayload.Implementation(
MetaObject(), TraderId('0'), MessageNumber('1'), TraderId('2'),
TransactionNumber(2), TraderId('2'), OrderNumber(3), TraderId('0'),
OrderNumber(4), 1236, Price(2, 'BTC'), Quantity(3, 'MC'),
Timestamp(0.0))
