async def setUp(self):
super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.bid2 = Bid(
OrderId(TraderId(b'3' * 20), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.trade = Trade.propose(
TraderId(b'0' * 20), OrderId(TraderId(b'0' * 20), OrderNumber(1)),
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447117))
self.order_book = OrderBook()
def setUp(self):
BaseTestCase.setUp(self)
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), True)
self.bid = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), False)
self.transaction = Transaction(
TransactionId(TraderId(b'0' * 20), TransactionNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
OrderId(TraderId(b'1' * 20), OrderNumber(1)), Timestamp(0))
ask_tx = self.ask.to_block_dict()
bid_tx = self.bid.to_block_dict()
self.tick_block = MarketBlock()
self.tick_block.type = b'ask'
self.tick_block.transaction = {'tick': ask_tx}
self.cancel_block = MarketBlock()
self.cancel_block.type = b'cancel_order'
self.cancel_block.transaction = {
'trader_id': 'a' * 20,
'order_number': 1
}
self.tx_block = MarketBlock()
self.tx_block.type = b'tx_init'
self.tx_block.transaction = {
'ask': ask_tx,
'bid': bid_tx,
'tx': self.transaction.to_dictionary()
}
payment = {
'trader_id': 'a' * 40,
'transaction_number': 3,
'transferred': {
'amount': 3,
'type': 'BTC'
},
'payment_id': 'a',
'address_from': 'a',
'address_to': 'b',
'timestamp': 1234,
'success': True
}
self.payment_block = MarketBlock()
self.payment_block.type = b'tx_payment'
self.payment_block.transaction = {'payment': payment}
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask3 = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')),
Timeout(100), Timestamp.now())
self.ask4 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')),
Timeout(100), Timestamp.now())
self.ask5 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid2 = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(
OrderId(TraderId(b'9' * 20), 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)
def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'4' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'5' * 20), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'6' * 20), 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 insert_ask(order_book, amount1, amount2):
"""
Insert an ask in the order book with a specific price and quantity
"""
new_ask = Ask(OrderId(TraderId(b'2' * 20), OrderNumber(len(order_book.asks) + 1)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')), Timeout(30), Timestamp.now())
order_book.insert_ask(new_ask)
return new_ask
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(
OrderId(TraderId(b'2' * 20), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def test_match_order_other_price(order_book, strategy, bid_order):
"""
Test whether two ticks with different price types are not matched
"""
ask = Ask(OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')),
Timeout(100), Timestamp.now())
order_book.insert_ask(ask)
assert not strategy.match(bid_order.order_id, bid_order.price,
bid_order.available_quantity, False)
def update_ticks(self, ask_order_dict, bid_order_dict, traded_quantity):
"""
Update ticks according to a TrustChain block containing the status of the ask/bid orders.
:type ask_order_dict: dict
:type bid_order_dict: dict
:type traded_quantity: int
"""
ask_order_id = OrderId(TraderId(unhexlify(ask_order_dict["trader_id"])),
OrderNumber(ask_order_dict["order_number"]))
bid_order_id = OrderId(TraderId(unhexlify(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
ask_exists = self.tick_exists(ask_order_id)
if ask_exists and ask_order_dict["traded"] >= self.get_tick(ask_order_id).traded:
tick = self.get_tick(ask_order_id)
tick.traded = ask_order_dict["traded"]
if tick.traded >= tick.assets.first.amount:
self.remove_tick(tick.order_id)
self.completed_orders.add(tick.order_id)
elif not ask_exists and ask_order_dict["traded"] < ask_order_dict["assets"]["first"]["amount"] and \
ask_order_id not in self.completed_orders:
new_pair = AssetPair.from_dictionary(ask_order_dict["assets"])
ask = Ask(ask_order_id, new_pair, Timeout(ask_order_dict["timeout"]),
Timestamp(ask_order_dict["timestamp"]), traded=ask_order_dict["traded"])
self.insert_ask(ask)
elif not ask_exists and ask_order_dict["traded"] >= ask_order_dict["assets"]["first"]["amount"]:
self.completed_orders.add(ask_order_id)
# Update bid tick
bid_exists = self.tick_exists(bid_order_id)
if bid_exists and bid_order_dict["traded"] >= self.get_tick(bid_order_id).traded:
tick = self.get_tick(bid_order_id)
tick.traded = bid_order_dict["traded"]
if tick.traded >= tick.assets.first.amount:
self.remove_tick(tick.order_id)
self.completed_orders.add(tick.order_id)
elif not bid_exists and bid_order_dict["traded"] < bid_order_dict["assets"]["first"]["amount"] and \
bid_order_id not in self.completed_orders:
new_pair = AssetPair.from_dictionary(bid_order_dict["assets"])
bid = Bid(bid_order_id, new_pair, Timeout(bid_order_dict["timeout"]),
Timestamp(bid_order_dict["timestamp"]), traded=bid_order_dict["traded"])
self.insert_bid(bid)
elif not bid_exists and bid_order_dict["traded"] >= bid_order_dict["assets"]["first"]["amount"]:
self.completed_orders.add(bid_order_id)
def test_match_order_divided(order_book, strategy, ask):
"""
Test for match order divided over two ticks
"""
order_book.insert_ask(ask)
ask2 = Ask(OrderId(TraderId(b'1' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
bid_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
order_book.insert_ask(ask2)
matching_ticks = strategy.match(bid_order2.order_id, bid_order2.price,
bid_order2.available_quantity, False)
assert len(matching_ticks) == 2
class TestMarketBlock(BaseTestCase):
"""
This class contains tests for a TrustChain block as used in the market.
"""
def setUp(self):
BaseTestCase.setUp(self)
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), True)
self.bid = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), False)
self.transaction = Transaction(
TransactionId(TraderId(b'0' * 20), TransactionNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
OrderId(TraderId(b'1' * 20), OrderNumber(1)), Timestamp(0))
ask_tx = self.ask.to_block_dict()
bid_tx = self.bid.to_block_dict()
self.tick_block = MarketBlock()
self.tick_block.type = b'ask'
self.tick_block.transaction = {'tick': ask_tx}
self.cancel_block = MarketBlock()
self.cancel_block.type = b'cancel_order'
self.cancel_block.transaction = {
'trader_id': 'a' * 20,
'order_number': 1
}
self.tx_block = MarketBlock()
self.tx_block.type = b'tx_init'
self.tx_block.transaction = {
'ask': ask_tx,
'bid': bid_tx,
'tx': self.transaction.to_dictionary()
}
payment = {
'trader_id': 'a' * 40,
'transaction_number': 3,
'transferred': {
'amount': 3,
'type': 'BTC'
},
'payment_id': 'a',
'address_from': 'a',
'address_to': 'b',
'timestamp': 1234,
'success': True
}
self.payment_block = MarketBlock()
self.payment_block.type = b'tx_payment'
self.payment_block.transaction = {'payment': payment}
def test_tick_block(self):
"""
Test whether a tick block can be correctly verified
"""
self.assertTrue(self.tick_block.is_valid_tick_block())
self.tick_block.transaction['tick']['timeout'] = -1
self.assertFalse(self.tick_block.is_valid_tick_block())
self.tick_block.transaction['tick']['timeout'] = 3600
self.tick_block.type = b'test'
self.assertFalse(self.tick_block.is_valid_tick_block())
self.tick_block.type = b'ask'
self.tick_block.transaction['test'] = self.tick_block.transaction.pop(
'tick')
self.assertFalse(self.tick_block.is_valid_tick_block())
self.tick_block.transaction['tick'] = self.tick_block.transaction.pop(
'test')
self.tick_block.transaction['tick'].pop('timeout')
self.assertFalse(self.tick_block.is_valid_tick_block())
self.tick_block.transaction['tick']['timeout'] = "300"
self.assertFalse(self.tick_block.is_valid_tick_block())
self.tick_block.transaction['tick']['timeout'] = 300
self.tick_block.transaction['tick']['trader_id'] = 'g' * 21
self.assertFalse(self.tick_block.is_valid_tick_block())
# Make the asset pair invalid
assets = self.tick_block.transaction['tick']['assets']
self.tick_block.transaction['tick']['trader_id'] = 'a' * 40
assets['test'] = assets.pop('first')
self.assertFalse(self.tick_block.is_valid_tick_block())
assets['first'] = assets.pop('test')
assets['first']['test'] = assets['first'].pop('amount')
self.assertFalse(self.tick_block.is_valid_tick_block())
assets['first']['amount'] = assets['first']['test']
assets['second']['test'] = assets['second'].pop('amount')
self.assertFalse(self.tick_block.is_valid_tick_block())
assets['second']['amount'] = assets['second']['test']
assets['first']['amount'] = 3.4
self.assertFalse(self.tick_block.is_valid_tick_block())
assets['first']['amount'] = 2**64
self.assertFalse(self.tick_block.is_valid_tick_block())
assets['first']['amount'] = 3
assets['second']['type'] = 4
self.assertFalse(self.tick_block.is_valid_tick_block())
def test_cancel_block(self):
"""
Test whether a cancel block can be correctly verified
"""
self.assertTrue(self.cancel_block.is_valid_cancel_block())
self.cancel_block.type = b'cancel'
self.assertFalse(self.cancel_block.is_valid_cancel_block())
self.cancel_block.type = b'cancel_order'
self.cancel_block.transaction.pop('trader_id')
self.assertFalse(self.cancel_block.is_valid_cancel_block())
self.cancel_block.transaction['trader_id'] = 3
self.assertFalse(self.cancel_block.is_valid_cancel_block())
def test_tx_init_done_block(self):
"""
Test whether a tx_init/tx_done block can be correctly verified
"""
self.assertTrue(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.type = b'test'
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.type = b'tx_init'
self.tx_block.transaction['test'] = self.tx_block.transaction.pop(
'ask')
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['ask'] = self.tx_block.transaction.pop(
'test')
self.tx_block.transaction['ask']['timeout'] = 3.44
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['ask']['timeout'] = 3
self.tx_block.transaction['bid']['timeout'] = 3.44
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['bid']['timeout'] = 3
self.tx_block.transaction['tx'].pop('trader_id')
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['tx']['trader_id'] = 'a' * 40
self.tx_block.transaction['tx']['test'] = 3
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['tx'].pop('test')
self.tx_block.transaction['tx']['trader_id'] = 'a'
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['tx']['trader_id'] = 'a' * 40
self.tx_block.transaction['tx']['assets']['first']['amount'] = 3.4
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['tx']['assets']['first']['amount'] = 3
self.tx_block.transaction['tx']['transferred']['first']['amount'] = 3.4
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
self.tx_block.transaction['tx']['transferred']['first']['amount'] = 3
self.tx_block.transaction['tx']['transaction_number'] = 3.4
self.assertFalse(self.tx_block.is_valid_tx_init_done_block())
def test_tx_payment_block(self):
"""
Test whether a tx_payment block can be correctly verified
"""
self.assertTrue(self.payment_block.is_valid_tx_payment_block())
self.payment_block.type = b'test'
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
self.payment_block.type = b'tx_payment'
self.payment_block.transaction[
'test'] = self.payment_block.transaction.pop('payment')
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
self.payment_block.transaction[
'payment'] = self.payment_block.transaction.pop('test')
self.payment_block.transaction['payment'].pop('address_to')
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
self.payment_block.transaction['payment']['address_to'] = 'a'
self.payment_block.transaction['payment']['test'] = 'a'
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
self.payment_block.transaction['payment'].pop('test')
self.payment_block.transaction['payment']['address_to'] = 3
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
self.payment_block.transaction['payment']['address_to'] = 'a'
self.payment_block.transaction['payment']['trader_id'] = 'a' * 39
self.assertFalse(self.payment_block.is_valid_tx_payment_block())
def test_is_valid_asset_pair(self):
"""
Test the method to verify whether an asset pair is valid
"""
self.assertFalse(MarketBlock.is_valid_asset_pair({'a': 'b'}))
self.assertFalse(
MarketBlock.is_valid_asset_pair({
'first': {
'amount': 3,
'type': 'DUM1'
},
'second': {
'amount': 3
}
}))
self.assertFalse(
MarketBlock.is_valid_asset_pair({
'first': {
'type': 'DUM1'
},
'second': {
'amount': 3,
'type': 'DUM2'
}
}))
self.assertFalse(
MarketBlock.is_valid_asset_pair({
'first': {
'amount': "4",
'type': 'DUM1'
},
'second': {
'amount': 3,
'type': 'DUM2'
}
}))
self.assertFalse(
MarketBlock.is_valid_asset_pair({
'first': {
'amount': 4,
'type': 'DUM1'
},
'second': {
'amount': "3",
'type': 'DUM2'
}
}))
self.assertFalse(
MarketBlock.is_valid_asset_pair({
'first': {
'amount': -4,
'type': 'DUM1'
},
'second': {
'amount': 3,
'type': 'DUM2'
}
}))
def ask2():
return Ask(OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
def bid():
return Ask(OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), False)
def ask():
return Ask(OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(30, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp(0), True)