def test_partial_aggressive_fill():
# nothing should change as we only update orderbook for passive partial fills
ob = build_base_order_book()
# get baseline
ask_prices = ob.ask_prices()
bid_prices = ob.bid_prices()
best_ask_price = ob.best_ask_price()
best_bid_price = ob.best_bid_price()
bast_ask_level = ob.best_ask_level()
bast_bid_level = ob.best_bid_level()
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 45)
oec = OrderEventChain(agg_new, LOGGER, SUBCHAIN_ID_GENERATOR)
pf = PartialFillReport(102, 1234002.123, 1008, "user_z", MARKET, agg_new, 35, Price('34.52'),
BID_SIDE, 3333, 10)
oec.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, oec)
# nothing at the order book should have changed
assert ask_prices == ob.ask_prices()
assert bid_prices == ob.bid_prices()
assert best_ask_price == ob.best_ask_price()
assert best_bid_price == ob.best_bid_price()
assert bast_ask_level == ob.best_ask_level()
assert bast_bid_level == ob.best_bid_level()
def test_partial_fill_to_zero_closes_out_order():
# when a partialfill closses out to an order there should be a balking because it is a paritial fill so shouldn't happen, but should allow
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 100)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 100)
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, aggressor, 100, Price("34.52"),
BID_SIDE, 99999, 0)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.is_open() is False
assert oec.visible_qty() == 0
assert oec.current_exposure() == Exposure(None, 0, 1212344)
def test_acking_fak():
# should not allow -- so no changes to order book
ob = build_base_order_book()
a = NewOrderCommand(56, 1234002.123, 1008, "user_z", MARKET, ASK_SIDE, FAK,
Price("34.51"), 35)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1008, "user_z", MARKET, a, Price("34.51"), 35, 35)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# NOTHING SHOULD HAVE CHANGED
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
ask_prices = ob.ask_prices()
assert len(ask_prices) == 1
assert ask_prices[0] == Price("34.52")
assert ob.best_ask_price() == Price("34.52")
assert ob.best_ask_level() == PriceLevel(Price("34.52"), 30, 25, 2)
def test_establish_new_ask_tob():
ob = build_base_order_book()
a = NewOrderCommand(56, 1234002.123, 1008, "user_z", MARKET, ASK_SIDE, FAR,
Price("34.51"), 35)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1008, "user_z", MARKET, a, Price("34.51"), 35, 35)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# ask should have changed
ask_prices = ob.ask_prices()
assert len(ask_prices) == 2 # now 2 prices
assert ob.best_priority_chain(ASK_SIDE) == ask_oec # the bid order chain above should now be best
assert ask_prices[0] == Price("34.51") # should be new best price
assert ob.best_ask_price() == Price("34.51") # should be new best price
assert ob.best_ask_level() == PriceLevel(Price("34.51"), 35, 0,
1) # should have new best price level with only 1 order
# bid should not have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_cancel_confirm_entire_price_level():
ob = build_base_order_book()
# first add an order at a second price (34.53)
a = NewOrderCommand(56, 1234002.123, 1009, "user_x", MARKET, ASK_SIDE, FAR,
Price("34.53"), 20)
ask_oec = OrderEventChain(a, LOGGER, SUBCHAIN_ID_GENERATOR)
a_ack = AcknowledgementReport(57, 1234002.123, 1009, "user_z", MARKET, a, Price("34.53"), 20, 20)
ask_oec.apply_acknowledgement_report(a_ack)
ob.handle_acknowledgement_report(a_ack, ask_oec)
# cancel the orderchains at best price
id_generator = MonotonicIntID()
for i, chain in enumerate(ob.order_chains_at_price(ASK_SIDE, ob.best_price(ASK_SIDE))):
cancel_command = CancelCommand(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
USER_CANCEL)
chain.apply_cancel_command(cancel_command)
cancel_report = CancelReport(id_generator.id(), 1234002.123, chain.chain_id(), chain.user_id(), MARKET,
cancel_command, USER_CANCEL)
chain.apply_cancel_report(cancel_report)
ob.handle_cancel_report(cancel_report, chain)
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec.chain_id()
# best price should now be 34.53
assert ob.best_ask_price() == Price('34.53')
# visible qty is 20
assert ob.visible_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 20
# hidden qty is 0
assert ob.hidden_qty_at_price(ASK_SIDE, ob.best_ask_price()) == 0
# num orders is 1
assert ob.num_orders_at_price(ASK_SIDE, ob.best_ask_price()) == 1
# bids shouldn't change
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_basic_partial_fill_replenish_visible():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100, 40)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 40)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 40, Price("34.52"),
BID_SIDE, 99999, 100-40)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40
assert oec.visible_qty() == 40 # should have replenished
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
# now test the partial fill wipes out 40 more, so visible is min
aggressor2 = NewOrderCommand(1114, 1234237.123, 33333, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf2 = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor2, 40, Price("34.52"),
BID_SIDE, 99999, 100-40-40) # subtract out the size of 2 40 lot fills now
oec.apply_partial_fill_report(pf2)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40-40
assert oec.visible_qty() == 100-40-40 # should have replenished to min of 40 and 100-40-40
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
def test_basic_partial_fill():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_x", MARKET, ASK_SIDE, FAR, Price("34.52"), 44)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 44, Price("34.52"),
BID_SIDE, 99999, 1000-44)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 1000-44
assert oec.visible_qty() == 1000-44
assert oec.iceberg_peak_qty() == 1000 # should not have changed
assert oec.has_partial_fill()
def test_close_exposure_cancel_closes_all():
id_gen = MonotonicIntID(seed=23043, increment=1)
n = NewOrderCommand(id_gen.id(), 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# should have 1 open exposure
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, id_gen.last_id())
cr = CancelReplaceCommand(id_gen.id(), 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800)
oec.apply_cancel_replace_command(cr)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, id_gen.last_id())
assert oec.most_recent_requested_exposure() == Exposure(Price("34.51"), 800, id_gen.last_id())
cancel_command = CancelCommand(id_gen.id(), 1234274.663, 2342, "user_x", MARKET, CancelReasons.USER_CANCEL)
oec.apply_cancel_command(cancel_command)
# now should have 3 open exposures
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[2] == Exposure(None, 0, id_gen.last_id())
assert oec.most_recent_requested_exposure() == Exposure(None, 0, id_gen.last_id())
cancel_confirm = CancelReport(id_gen.id(), 1234278.663, 2342, "user_x", MARKET, cancel_command, CancelReasons.USER_CANCEL)
oec.apply_cancel_report(cancel_confirm)
# all exposures should be closed now
assert len(oec.open_exposure_requests()) == 0
assert oec.most_recent_requested_exposure() is None
assert oec.has_partial_fill() is False
def _create_new_event_chain(self, new_order_command):
order_chain = OrderEventChain(
new_order_command,
self._logger,
subchain_id_generator=self._sub_chain_id_generator)
return order_chain
def test_populating_tob():
ob = OrderLevelBook(MARKET, LOGGER)
b1 = NewOrderCommand(1, 1234000.123, 1001, "user_a", MARKET, BID_SIDE, FAR,
Price("34.50"), 50)
bid_oec1 = OrderEventChain(b1, LOGGER, SUBCHAIN_ID_GENERATOR)
b1_ack = AcknowledgementReport(2, 1234000.123, 1001, "user_a", MARKET, b1, Price("34.50"), 50, 50)
bid_oec1.apply_acknowledgement_report(b1_ack)
ob.handle_acknowledgement_report(b1_ack, bid_oec1)
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
# now add an offer
a1 = NewOrderCommand(3, 1234000.888, 1002, "user_b", MARKET, ASK_SIDE, FAR,
Price("34.52"), 35, 10)
ask_oec1 = OrderEventChain(a1, LOGGER, SUBCHAIN_ID_GENERATOR)
a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
ask_oec1.apply_acknowledgement_report(a1_ack)
ob.handle_acknowledgement_report(a1_ack, ask_oec1)
assert ob.best_ask_price() == Price("34.52")
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id()
assert ob.best_ask_level().price() == Price("34.52")
assert ob.best_ask_level().visible_qty() == 10
assert ob.best_ask_level().hidden_qty() == 25
assert ob.best_ask_level().number_of_orders() == 1
# bid should not have changed
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_ask_level().number_of_orders() == 1
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 1
# add a second ask order to top of book
a2 = NewOrderCommand(5, 1234001.888, 1003, "user_c", MARKET, ASK_SIDE, FAR,
Price("34.52"), 20, 20)
ask_oec2 = OrderEventChain(a2, LOGGER, SUBCHAIN_ID_GENERATOR)
a2_ack = AcknowledgementReport(6, 1234001.888, 1003, "user_b", MARKET, a2, Price("34.52"), 20, 20)
ask_oec2.apply_acknowledgement_report(a2_ack)
ob.handle_acknowledgement_report(a2_ack, ask_oec2)
assert ob.best_ask_price() == Price("34.52") # best price has not changed
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id() # best priority chain has not changed
assert ob.best_ask_level().price() == Price("34.52") # price of best level has not changed
print(ob.best_ask_level().visible_qty())
assert ob.best_ask_level().visible_qty() == 10 + 20 # visible qty should have got up by 20
assert ob.best_ask_level().hidden_qty() == 25 # hidden qty should not have changed
assert ob.best_ask_level().number_of_orders() == 2 # num orders should go up 2
assert ob.num_orders_at_price(ASK_SIDE, Price("34.52")) == 2
# bid should not have changed
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 50
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_bid_level().number_of_orders() == 1
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 1
# add a new bid at tob price
b2 = NewOrderCommand(9, 1234000.123, 1004, "user_z", MARKET, BID_SIDE, FAR,
Price("34.50"), 70)
bid_oec2 = OrderEventChain(b2, LOGGER, SUBCHAIN_ID_GENERATOR)
b2_ack = AcknowledgementReport(10, 1234000.123, 1004, "user_z", MARKET, b2, Price("34.50"), 70, 70)
bid_oec2.apply_acknowledgement_report(b2_ack)
ob.handle_acknowledgement_report(b2_ack, bid_oec2)
assert ob.best_bid_price() == Price("34.50")
assert ob.best_priority_chain(BID_SIDE).chain_id() == bid_oec1.chain_id()
assert ob.best_bid_level().price() == Price("34.50")
assert ob.best_bid_level().visible_qty() == 120
assert ob.best_bid_level().hidden_qty() == 0
assert ob.best_ask_level().number_of_orders() == 2
assert ob.num_orders_at_price(BID_SIDE, Price("34.50")) == 2
# asks should not have changed
assert ob.best_ask_price() == Price("34.52") # best price has not changed
assert ob.best_priority_chain(ASK_SIDE).chain_id() == ask_oec1.chain_id() # best priority chain has not changed
assert ob.best_ask_level().price() == Price("34.52") # price of best level has not changed
assert ob.best_ask_level().visible_qty() == 10 + 20 # visible qty should have got up by 20
assert ob.best_ask_level().hidden_qty() == 25 # hidden qty should not have changed
assert ob.best_ask_level().number_of_orders() == 2 # num orders should go up 2
assert ob.num_orders_at_price(ASK_SIDE, Price("34.52")) == 2
def test_cancel_replace_order_up_in_qty():
ob = build_base_order_book()
# add a third order to the base order book bid side
b = NewOrderCommand(56, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.50"), 35)
bid_oec = OrderEventChain(b, LOGGER, SUBCHAIN_ID_GENERATOR)
b_ack = AcknowledgementReport(57, 1234002.123, 1008, "user_z", MARKET, b, Price("34.50"), 35, 35)
bid_oec.apply_acknowledgement_report(b_ack)
ob.handle_acknowledgement_report(b_ack, bid_oec)
# should now be three order chains
prev_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
prev_visible_qty_at_tob = ob.visible_qty_at_price(BID_SIDE, Price("34.50"))
prev_hidden_qty_at_tob = ob.hidden_qty_at_price(BID_SIDE, Price("34.50"))
assert len(prev_order_chains) == 3
# and test correct order
assert prev_order_chains[0].chain_id() == 1001
assert prev_order_chains[1].chain_id() == 1004
assert prev_order_chains[2].chain_id() == 1008
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1001
# cancel replace the first orderchain up in qty
cr = CancelReplaceCommand(77, 1234012.123, prev_order_chains[0].chain_id(), prev_order_chains[0].user_id(), MARKET,
prev_order_chains[0].side(), prev_order_chains[0].current_price(), prev_order_chains[0].current_qty() + 40)
prev_order_chains[0].apply_cancel_replace_command(cr)
cr_ack = AcknowledgementReport(78, 1234012.123, prev_order_chains[0].chain_id(), "user_z", MARKET, cr,
prev_order_chains[0].current_price(), prev_order_chains[0].current_qty() + 40,
prev_order_chains[0].current_qty() + 40)
prev_order_chains[0].apply_acknowledgement_report(cr_ack)
ob.handle_acknowledgement_report(cr_ack, prev_order_chains[0])
# should still only be one price on bid side as no price changes`
assert len(ob.prices(BID_SIDE)) == 1
# and that best price is still 34.50
assert ob.best_price(BID_SIDE) == Price("34.50")
# visible qty on the bid tob should have gone up by 40
assert ob.visible_qty_at_price(BID_SIDE, Price("34.50")) == prev_visible_qty_at_tob + 40
# hidden qty should not have gone up at all
assert ob.hidden_qty_at_price(BID_SIDE, Price("34.50")) == prev_hidden_qty_at_tob, str(
ob.hidden_qty_at_price(BID_SIDE, Price("34.50"))) + " != " + str(prev_hidden_qty_at_tob)
# there should still be three but the order should be different
current_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(current_order_chains) == 3
assert current_order_chains[0].chain_id() == 1004, "First chain at level should be 1004"
assert current_order_chains[1].chain_id() == 1008, "Second chain at level should be 1008"
assert current_order_chains[2].chain_id() == 1001, "Third chain at level should be 1001"
# best priority order chain should now be 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1004, "Best priority chain in order book should be 1004"
prev_visible_qty_at_tob = ob.visible_qty_at_price(BID_SIDE, Price("34.50"))
prev_hidden_qty_at_tob = ob.hidden_qty_at_price(BID_SIDE, Price("34.50"))
# now move the middle order up in qty, which should move it to back of list
cr2 = CancelReplaceCommand(79, 1234052.123, current_order_chains[1].chain_id(), current_order_chains[1].user_id(),
MARKET, current_order_chains[1].side(), current_order_chains[1].current_price(),
current_order_chains[1].current_qty() + 100, current_order_chains[1].current_qty() + 50)
current_order_chains[1].apply_cancel_replace_command(cr2)
cr_ack2 = AcknowledgementReport(80, 1234062.123, current_order_chains[1].chain_id(),
current_order_chains[1].user_id(), MARKET, cr2,
current_order_chains[1].current_price(),
current_order_chains[1].current_qty() + 100,
current_order_chains[1].current_qty() + 50)
current_order_chains[1].apply_acknowledgement_report(cr_ack2)
ob.handle_acknowledgement_report(cr_ack2, current_order_chains[1])
# should still only be one price on bid side as no price changes`
assert len(ob.prices(BID_SIDE)) == 1
# and that best price is still 34.50
assert ob.best_price(BID_SIDE) == Price("34.50")
# visible qty on the bid tob should have gone up by 40
assert ob.visible_qty_at_price(BID_SIDE, Price("34.50")) == prev_visible_qty_at_tob + 50
# hidden qty should not have gone up at all
assert ob.hidden_qty_at_price(BID_SIDE, Price("34.50")) == prev_hidden_qty_at_tob + 50, str(
ob.hidden_qty_at_price(BID_SIDE, Price("34.50"))) + " != " + str(prev_hidden_qty_at_tob + 50)
# there should still be three but the order should be different
current_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(current_order_chains) == 3
assert current_order_chains[0].chain_id() == 1004, "First chain at level should be 1004"
assert current_order_chains[1].chain_id() == 1001, "Second chain at level should be 1001"
assert current_order_chains[2].chain_id() == 1008, "Third chain at level should be 1008"
# best priority order chain should now be 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1004, "Best priority chain in order book should be 1004"
def build_base_order_book():
ob = OrderLevelBook(MARKET, LOGGER)
b1 = NewOrderCommand(1, 1234000.123, 1001, "user_a", MARKET, BID_SIDE, FAR,
Price("34.50"), 50)
bid_oec1 = OrderEventChain(b1, LOGGER, SUBCHAIN_ID_GENERATOR)
b1_ack = AcknowledgementReport(2, 1234000.123, 1001, "user_a", MARKET, b1, Price("34.50"), 50, 50)
bid_oec1.apply_acknowledgement_report(b1_ack)
ob.handle_acknowledgement_report(b1_ack, bid_oec1)
a1 = NewOrderCommand(3, 1234000.888, 1002, "user_b", MARKET, ASK_SIDE, FAR,
Price("34.52"), 35, 10)
ask_oec1 = OrderEventChain(a1, LOGGER, SUBCHAIN_ID_GENERATOR)
a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
ask_oec1.apply_acknowledgement_report(a1_ack)
ob.handle_acknowledgement_report(a1_ack, ask_oec1)
a2 = NewOrderCommand(5, 1234001.888, 1003, "user_c", MARKET, ASK_SIDE, FAR,
Price("34.52"), 20, 20)
ask_oec2 = OrderEventChain(a2, LOGGER, SUBCHAIN_ID_GENERATOR)
a2_ack = AcknowledgementReport(6, 1234001.888, 1003, "user_b", MARKET, a2, Price("34.52"), 20, 20)
ask_oec2.apply_acknowledgement_report(a2_ack)
ob.handle_acknowledgement_report(a2_ack, ask_oec2)
b2 = NewOrderCommand(9, 1234000.123, 1004, "user_z", MARKET, BID_SIDE, FAR,
Price("34.50"), 70)
bid_oec2 = OrderEventChain(b2, LOGGER, SUBCHAIN_ID_GENERATOR)
b2_ack = AcknowledgementReport(10, 1234000.123, 1004, "user_z", MARKET, b2, Price("34.50"), 70, 70)
bid_oec2.apply_acknowledgement_report(b2_ack)
ob.handle_acknowledgement_report(b2_ack, bid_oec2)
# do some asserts to ensure we built book as expected
bid_prices = ob.prices(BID_SIDE)
print(ob.best_bid_price())
print(bid_prices)
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
assert ob.best_priority_chain(BID_SIDE) == bid_oec1
ask_prices = ob.ask_prices()
assert len(ask_prices) == 1
assert ask_prices[0] == Price("34.52")
assert ob.best_ask_price() == Price("34.52")
assert ob.best_ask_level() == PriceLevel(Price("34.52"), 30, 25, 2)
assert ob.best_priority_chain(ASK_SIDE) == ask_oec1
return ob
