async def test_basic_init(self, mock_book, mock_connect):
mock_connect.return_value.__aenter__.return_value.send_json = CoroutineMock()
mock_book.return_value = _book()
product_id = 'ETH-USD'
product_ids = [product_id]
async with gdax.orderbook.OrderBook(product_ids) as orderbook:
msg = {'type': 'subscribe', 'product_ids': product_ids}
mock_connect.return_value.__aenter__.return_value.send_json.assert_called_with(msg)
mock_book.assert_called_with(level=3)
assert dict(orderbook._asks[product_id].items()) == asks1_internal
assert dict(orderbook._bids[product_id].items()) == bids1_internal
assert orderbook._sequences[product_id] == sequence
assert orderbook.get_current_book(product_id) == {
"sequence": 3419033239,
"bids": bids1,
"asks": asks1,
}
assert orderbook.get_ask(product_id) == Decimal('2596.74')
assert orderbook.get_bid(product_id) == Decimal('2595.70')
assert orderbook.get_asks(product_id, Decimal("2620.18")) == [{
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.01"),
'id': id1}, {
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.02"),
'id': id2}]
assert orderbook.get_bids(product_id, Decimal("2595.52")) == [{
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('100'),
'id': id2}, {
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('2'),
'id': id1}]
assert orderbook.get_asks(product_id, Decimal("123")) is None
assert orderbook.get_bids(product_id, Decimal("123")) is None
assert orderbook.get_min_ask_depth(product_id) == Decimal('0.2')
assert orderbook.get_max_bid_depth(product_id) == Decimal('1.5')
async def test_orderbook_done(self, mock_book, mock_connect):
product_id = 'BTC-USD'
mock_book.return_value = _book()
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
messages_expected = [
{
"type": "done",
"side": "sell",
"order_id": asks1[0][2],
"reason": "canceled",
"product_id": product_id,
"price": "2596.74",
"remaining_size": "0.00000000",
"sequence": sequence + 1,
"time": "2017-06-25T11:23:14.775000Z"
},
{
"type": "done",
"side": "buy",
"order_id": bids1[4][2],
"reason": "canceled",
"product_id": product_id,
"price": "2595.70",
"remaining_size": "0.00000000",
"sequence": sequence + 2,
"time": "2017-06-25T11:23:16.937000Z"
},
{
"type": "done",
"side": "sell",
"order_id": asks1[1][2],
"reason": "canceled",
"product_id": product_id,
# no price specified
"remaining_size": "0.20000000",
"sequence": sequence + 3,
"time": "2017-06-25T11:23:15.937000Z"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook(product_id) as orderbook:
# done
current_book = orderbook.get_current_book(product_id)
price = Decimal('2596.74')
price2 = Decimal('2596.77')
assert orderbook.get_asks(product_id, price) == \
asks1_internal[price]
assert orderbook.get_ask(product_id) == price
message = await orderbook.handle_message()
assert message == messages_expected[0]
assert orderbook.get_asks(product_id, price) is None
assert orderbook.get_ask(product_id) == price2
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# done2
current_book = orderbook.get_current_book(product_id)
price2 = Decimal('2595.70')
price3 = Decimal('2595.62')
assert orderbook.get_bids(product_id, price2) == \
bids1_internal[price2]
assert orderbook.get_bid(product_id) == price2
message = await orderbook.handle_message()
assert message == messages_expected[1]
assert orderbook.get_bids(product_id, price2) is None
assert orderbook.get_bid(product_id) == price3
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# done3, market order ignored
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[2]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) == current_book
async def test_orderbook_advanced(self, mock_book, mock_connect):
product_id = 'BTC-USD'
mock_book.return_value = _book()
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
messages_expected = [
{ # ignored
"type": "received",
"product_id": product_id,
"sequence": sequence - 1,
},
{ # ignored
"type": "received",
"order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
"order_type": "limit",
"size": "0.10000000",
"price": "2602.22000000",
"side": "sell",
"product_id": product_id,
"sequence": sequence + 1,
"time": "2017-06-25T11:23:14.792000Z"
},
{
"type": "match",
"trade_id": 17545513,
"maker_order_id": asks1[1][2],
"taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
"side": "sell",
"size": "0.01",
"price": "2596.77",
"product_id": product_id,
"sequence": sequence + 2,
"time": "2017-06-29T01:45:36.865000Z"
},
{
"type": "match",
"trade_id": 17545514,
"maker_order_id": id2,
"taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
"side": "buy",
"size": "0.41152763",
"price": "2595.62",
"product_id": product_id,
"sequence": sequence + 3,
"time": "2017-06-29T01:45:36.865000Z"
},
{
"type": "open",
"side": "sell",
"price": "2602.22000000",
"order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
"remaining_size": "0.10000000",
"product_id": product_id,
"sequence": sequence + 4,
"time": "2017-06-25T11:23:14.792000Z"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook(product_id) as orderbook:
# ignore because of sequence number
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[0]
assert orderbook.get_current_book(product_id) == current_book
# ignore because receive
message = await orderbook.handle_message()
assert message == messages_expected[1]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) == current_book
# match
price = Decimal('2596.74')
price2 = Decimal('2596.77')
current_book = orderbook.get_current_book(product_id)
assert orderbook.get_min_ask_depth(product_id) == \
Decimal('0.2')
assert orderbook.get_ask(product_id) == price
assert orderbook.get_asks(product_id, price2) == \
asks1_internal[price2]
message = await orderbook.handle_message()
assert message == messages_expected[2]
assert orderbook.get_min_ask_depth(product_id) == \
Decimal('0.2')
assert orderbook.get_ask(product_id) == price
asks = copy.deepcopy(asks1_internal[price2])
asks[0]['size'] = Decimal('0.06670504')
assert orderbook.get_asks(product_id, price2) == \
asks
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
price3 = Decimal('2595.62')
price4 = Decimal('2595.70')
# match 2
current_book = orderbook.get_current_book(product_id)
assert orderbook.get_bids(product_id, price3) == \
bids1_internal[price3]
assert orderbook.get_bids(product_id, price4) == \
bids1_internal[price4]
assert orderbook.get_bid(product_id) == price4
message = await orderbook.handle_message()
assert message == messages_expected[3]
bids1_internal[price3][0]['size'] = Decimal('1.0')
assert orderbook.get_bids(product_id, price3) == \
bids1_internal[price3]
assert orderbook.get_bids(product_id, price4) == \
bids1_internal[price4]
assert orderbook.get_bid(product_id) == price4
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# open
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[4]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
