def test_cancel_replace_order_down_in_qty():
# should have no impact
ob = build_base_order_book()
prev_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(prev_order_chains) == 2
# and test correct order
assert prev_order_chains[0].chain_id() == 1001
assert prev_order_chains[1].chain_id() == 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1001
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 cancel replace the first bid down in size
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() - 5)
prev_order_chains[0].apply_cancel_replace_command(cr)
cr_ack = AcknowledgementReport(78, 1234012.123, prev_order_chains[0].chain_id(), prev_order_chains[0].user_id(),
MARKET, cr, prev_order_chains[0].current_price(),
prev_order_chains[0].current_qty() - 5, prev_order_chains[0].current_qty() - 5)
prev_order_chains[0].apply_acknowledgement_report(cr_ack)
ob.handle_acknowledgement_report(cr_ack, prev_order_chains[0])
# assert that no ordering has changed
current_order_chains = ob.order_chains_at_price(BID_SIDE, Price("34.50"))
assert len(current_order_chains) == 2
for chain in current_order_chains:
print(chain)
assert prev_order_chains[0].chain_id() == 1001
assert prev_order_chains[1].chain_id() == 1004
assert ob.best_priority_chain(BID_SIDE).chain_id() == 1001
# size is 5 less
assert ob.visible_qty_at_price(BID_SIDE, Price("34.50")) == prev_visible_qty_at_tob - 5
assert ob.hidden_qty_at_price(BID_SIDE, Price("34.50")) == prev_hidden_qty_at_tob
def test_full_fill_on_unacked_cr_with_acked_new_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open()
cr = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr)
# now should have 2 open exposures
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.56"), 800, 3)
full_fill = FullFillReport(4, 1234237.123, 2342, "user_x", MARKET, cr, 800, Price("34.56"), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 4
assert len(oec.open_exposure_requests()) == 0
assert oec.is_open() is False
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 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
def test_subchain_to_json():
# pretty basic, just testing that it doesn't break
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, None)
oec.apply_acknowledgement_report(ack)
assert oec.most_recent_event() == ack
# now check I can get a to_json of the subchain no problem
oec.most_recent_subchain().to_json()
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_subchain_getters_partial_fill_before_ack():
# pretty basic, just testing that it doesn't break
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now aggressive partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, n, 44, Price("34.52"),
BID_SIDE, 99999, 1000 - 44)
oec.apply_partial_fill_report(pf)
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000-44, None)
oec.apply_acknowledgement_report(ack)
subchain = oec.most_recent_subchain()
assert subchain.open_event() == n
assert subchain.first_execution_report() == pf
assert subchain.fills() == [pf]
assert subchain.last_event() == ack
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_basic_full_fill_on_acked_order():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(2, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
assert oec.visible_qty() == 1000
assert oec.current_exposure().qty() == 1000
assert oec.current_exposure().price() == Price("34.52")
assert oec.is_open()
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 1000)
full_fill = FullFillReport(3, 1234237.123, 2342, "user_x", MARKET, aggressor, 1000, Price('34.52'), BID_SIDE, 12345)
oec.apply_full_fill_report(full_fill)
assert oec.visible_qty() == 0
assert oec.current_exposure().price() is None
assert oec.current_exposure().qty() == 0
assert oec.current_exposure().causing_event_id() == 3
assert oec.is_open() is False
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_new_iceberg_order_ack():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000, 50)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# no ack yet
assert oec.most_recent_event() == n
# check exposure
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == oec.open_exposure_requests()[-1]
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 121234)
# visible qty should be nothing still
assert oec.visible_qty() == 0
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 50)
oec.apply_acknowledgement_report(ack)
assert oec.most_recent_event() == ack
# check exposure
assert len(oec.open_exposure_requests()) == 0
assert oec.most_recent_requested_exposure() is None
assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 121235)
# check visible qty
assert oec.visible_qty() == 50
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 test_partial_fill_on_multiple_unacked_requests():
n = NewOrderCommand(1, 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, 1)
cr1 = CancelReplaceCommand(2, 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800)
oec.apply_cancel_replace_command(cr1)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
cr2 = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.55"), 800)
oec.apply_cancel_replace_command(cr2)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
cr3 = CancelReplaceCommand(4, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr3)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# a partial fill should should only impact the one the partial fill is for
# partially filling orderid 3 (cr2)
pf1 = PartialFillReport(5, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 999, 790)
oec.apply_partial_fill_report(pf1)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 790, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and again
pf2 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 1000, 780)
oec.apply_partial_fill_report(pf2)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and now I can fill order id 4 (cr 3)
pf3 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr3, 50, Price("34.56"),
BID_SIDE, 1001, 750)
oec.apply_partial_fill_report(pf3)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 750, 4)
# now start acking them
ack1 = AcknowledgementReport(10, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, None)
oec.apply_acknowledgement_report(ack1)
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 10)
ack2 = AcknowledgementReport(11, 1234235.123, 2342, "user_x", MARKET, cr1, Price("34.51"), 800, None)
oec.apply_acknowledgement_report(ack2)
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.51"), 800, 11)
ack3 = AcknowledgementReport(12, 1234235.123, 2342, "user_x", MARKET, cr2, Price("34.55"), 780, None)
oec.apply_acknowledgement_report(ack3)
assert len(oec.open_exposure_requests()) == 1
print(oec.open_exposure_requests()[0])
assert oec.open_exposure_requests()[0] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.55"), 780, 12)
ack4 = AcknowledgementReport(13, 1234235.123, 2342, "user_x", MARKET, cr3, Price("34.56"), 750, None)
oec.apply_acknowledgement_report(ack4)
assert len(oec.open_exposure_requests()) == 0
assert oec.current_exposure() == Exposure(Price("34.56"), 750, 13)
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 get_events():
# set up a Market for the events. For that you need at least:
# 1) the Product
# 2) the Endpoint
# 3) the PriceFactory
prod = Product("AAAA", "Test Product")
ep = Endpoint("Exchange 1", "EXC1")
pf = PriceFactory(
"0.01"
) # pricefactory needs the minimum price increment, which is 0.01 for this example
market = Market(prod, ep, pf)
# now create a mapping of what we'll parse out of the file to the Market.
# This comes in even more handy when there are multiple markets
mrkt_dict = {("AAAA", "EXC1"): market}
# set up the time stamp parser
time_stamp_frmt = "%Y-%m-%d %H:%M:%S.%f"
# we are going to keep a dictionary of event_id to Command so that we can properly create Execution Reports
id_to_cmd = {}
created_events = []
# first we need to parse each line
for line in EXAMPLE_DATA:
parts = line[:-1].split(',')
# skip header
if parts[0] == "Order ID":
continue
# Order Id is the unique identifier of the order chain
chain_id = parts[0]
# Index is the unique identifier of the event
event_id = int(parts[1])
# Need an identifier of the user that placed the order
user = parts[7]
# get the event time
event_time = datetime.strptime(parts[3], time_stamp_frmt)
# Event objects what the time stamp as a float (seconds.microseconds) so convert to time since epoch
time_stamp = datetime_to_epoch(event_time)
# now get the market
prod_name = parts[4]
ep_name = parts[5]
mrkt = mrkt_dict[(prod_name, ep_name)]
# get the side: not all events contain side so default is None.
# Buttonwood provides a helper that converts the most common str representations of Buy & Sell to Side objects
side = Side.get_side(parts[8])
# get the time in force. Not all events need time in force so the default is None.
# Note: could have used OrderEventContants.TIME_IN_FORCE_STR_TO_INT here but wanted to show a more extensive use
# of the constants
if parts[6] == "FAR":
tif = OrderEventConstants.FAR
elif parts[6] == "FAK":
tif = OrderEventConstants.FAK
elif parts[6] == "FOK":
tif = OrderEventConstants.FOK
elif parts[6] == "":
tif = None
else:
raise Exception("Could not convert %s to a known TimeInForce" %
parts[6])
# get event type so we can create the right events
event_type = parts[2]
if event_type == "New": # for event type "New" create a new event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = NewOrderCommand(event_id, time_stamp, chain_id, user,
market, side, tif, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Mod": # for event type "Mod" create a cancel replace event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = CancelReplaceCommand(event_id, time_stamp, chain_id, user,
market, side, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Cancel": # for event type "Cancel" create a Cancel command event
# there can be different types of cancels, but in this case we are assuming it is a user requested cancel
cancel_type = CancelReasons.USER_CANCEL
event = CancelCommand(event_id, time_stamp, chain_id, user, market,
cancel_type)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Ack": # for event type "Ack" create an Acknowledgement
# this example file has no concept of iceberg orders so iceberg_peak is None (which will cause buttonwood to
# to treat the entire order qty as an iceberg
iceberg_peak = None
# get price, using Market's get_price function that gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
# response to command is the command it is acknowledging, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = AcknowledgementReport(event_id, time_stamp, chain_id, user,
market, response_to_cmd, price, qty,
iceberg_peak)
elif event_type == "Cancel Conf": # for event type "Cancel Conf" create a Cancel report event
# get the cancel reason
if parts[15] == "FOK Miss":
reason = CancelReasons.FOK_CANCEL
elif parts[15] == "Requested":
reason = CancelReasons.USER_REQUESTED
else:
raise Exception("Could not convert %s to a cancel reason." %
parts[15])
# cancel command is the command that caused the cancel, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = CancelReport(event_id, time_stamp, chain_id, user, market,
response_to_cmd, reason)
elif event_type == "Part Fill": # if event type "Part Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# get leaves qty from the file
leaves_qty = int(parts[11])
# get the match_id from the file
match_id = parts[14]
event = PartialFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id, leaves_qty)
elif event_type == "Full Fill": # if event type "Full Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# full fills don't need/have a leaves qty because nothing is left.
# get the match_id from the file
match_id = parts[14]
event = FullFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id)
else:
raise Exception("Could not convert %s to an Event" % event_type)
created_events.append(event)
return created_events