def __str__(self):
r = '\n'.join(
str(left) + ' |' + str(right) for left, right in zip_longest(
self.bid, self.ask, fillvalue=' ' * 39))
header = Level.bid_header() + "|" + Level.ask_header()
return header + '\n' + r
def test_keeps_book_intact_when_delete_missing_level(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(18.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(13.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_cut_extra_levels_when_update_on_full_bid(self):
book = Book()
book.add_bid(Level(15.1, 1, 2))
book.add_bid(Level(13.1, 1, 2))
bid_update = MBLUpdate(17.1, 1, 2)
mbl = MBL(length=2)
updated_book = mbl.update(book, bid_update)
expected_book = Book([Level(17.1, 1, 2), Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_deletes_existing_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 1, 2))
book.add_bid(Level(15.1, 1, 2))
delete_bid = MBLUpdate.create_delete_bid_level(13.1)
mbl = MBL(5)
updated_book = mbl.update(book, delete_bid)
expected_book = Book([Level(15.1, 1, 2)], [])
self.assertEqual(expected_book, updated_book)
def test_updates_existing_bid_level_when_update_on_bid(self):
book = Book()
book.add_bid(Level(13.1, 2, 7))
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def test_displays_nicely_a_MBL(self):
book = Book()
book.add_bid(Level(6.3, 4, 80))
book.add_bid(Level(4, 1, 5))
book.add_ask(Level(7, 1, 1))
book.add_ask(Level(10, 26, 150))
book.add_ask(Level(16, 17, 42))
expected_str = " BID | ASK \n" \
" +6.300000 x 80.000000 @ 4 | +7.000000 x 1.000000 @ 1\n" \
" +4.000000 x 5.000000 @ 1 | +10.000000 x 150.000000 @ 26\n" \
" | +16.000000 x 42.000000 @ 17"
self.assertEqual(expected_str, str(book))
def test_buy_market_removes_top_ask(self):
simulation = Simulation()
buy_at_market_price = actions.buy('BTC-USD', 2)
simulation.on_action(buy_at_market_price)
mbl = Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 2, 2)])
events = simulation.on_event({'event_name': 'on_mbl', 'data': mbl})
trade_event = events[0]
mbl_event = events[1]
self.assertEqual({'event_name': 'on_trade', 'data': Trades([(0, 0, 1, 100), (0, 0, 1, 105)])}, trade_event)
self.assertEqual({'event_name': 'on_mbl', 'data': Book(bids=[Level(90, 1, 1)], asks=[Level(105, 1, 1)])}, mbl_event)
def test_on_mbl(self):
os = TestRecorder.TestOutputStream()
book = Book(bids=[Level(10.0, 1, 2.5),
Level(11.5, 1, 2)],
asks=[Level(15.0, 1, 2),
Level(18.2, 1, 6.3)])
recorder = Recorder(os)
recorder.on_mbl(book)
self.assertEqual(
json.dumps({
'event_name': 'on_mbl',
'data': {
'bid': [[10.0, 1, 2.5], [11.5, 1, 2]],
'ask': [[15.0, 1, 2], [18.2, 1, 6.3]]
}
}) + "\n", os.dump)
def test_decode_book(self):
record_entry = json.dumps({
'event_name': 'on_mbl',
'data': {
'bid': [[10.0, 1, 2.5], [11.5, 1, 2]],
'ask': [[15.0, 1, 2], [18.2, 1, 6.3]]
}
})
entry = decode(record_entry)
self.assertEqual(
{
'event_name':
'on_mbl',
'data':
Book(
[Level(10.0, 1, 2.5),
Level(11.5, 1, 2)],
[Level(15.0, 1, 2), Level(18.2, 1, 6.3)])
}, entry)
def test_adds_bid_to_empty_book_when_update_on_bid(self):
book = Book()
bid_update = MBLUpdate(13.1, 4, 126)
mbl = MBL(5)
updated_book = mbl.update(book, bid_update)
expected_book = Book()
expected_book.add_bid(Level(13.1, 4, 126))
self.assertEqual(expected_book, updated_book)
def delete(self, levels, price_level):
new_levels = deepcopy(levels)
target_level = Level(price_level, 0, 0)
level_index = bisect_left(new_levels, target_level)
is_found = level_index != len(
levels) and new_levels[level_index].price == target_level.price
if is_found:
new_levels.pop(level_index)
return new_levels
def add_or_update(self, levels, update_mbl, find_position):
new_levels = deepcopy(levels)
target_level = Level(update_mbl.price, update_mbl.count,
abs(update_mbl.amount))
price_level = find_position(new_levels, target_level)
is_update = price_level != len(
levels) and new_levels[price_level].price == target_level.price
if is_update:
new_levels[price_level] = target_level
else:
new_levels.insert(price_level, target_level)
if len(new_levels) > self.length:
new_levels.pop(len(levels))
return new_levels
def execute_top_sell(book, buy_order):
sold_amount = 0
trades = []
while sold_amount < buy_order.amount and len(book.ask) != 0:
top_sell = book.ask[0]
rest = buy_order.amount - sold_amount
if rest < top_sell.amount:
executed_amount = top_sell.amount - rest
book.ask[0] = Level(top_sell.price, min(top_sell.count - 1, 1),
executed_amount)
trades.append(trade(executed_amount, top_sell.price))
sold_amount += executed_amount
else:
sold_amount += top_sell.amount
trades.append(trade(top_sell.amount, top_sell.price))
book.ask = book.ask[1:]
return trades, book
def test_new_top_ask_after_buy_market_keeps_it(self):
simulation = Simulation()
buy_at_market_price = actions.buy('BTC-USD', 1)
simulation.on_action(buy_at_market_price)
mbl = Book(bids=[Level(90, 1, 1)], asks=[Level(105, 2, 2)])
simulation.on_event({'event_name': 'on_mbl', 'data': mbl})
mbl_new_top = Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 2, 2)])
events = simulation.on_event({'event_name': 'on_mbl', 'data': mbl_new_top})
mbl_event = events[0]
self.assertEqual(1, len(events))
self.assertEqual({'event_name': 'on_mbl', 'data': Book(bids=[Level(90, 1, 1)], asks=[Level(100, 1, 1), Level(105, 1, 1)])}, mbl_event)
def test_updates_existing_bid(self):
book = Book()
book.add_bid(Level(11705.0, 1, 0.381988))
book.add_bid(Level(11704.0, 4, 0.955999))
book.add_bid(Level(11703.0, 1, 0.165141))
print(book)
mbl = MBL(3)
bid_update = MBLUpdate(11704.0, 3, 0.94745498)
updated_book = mbl.update(book, bid_update)
print(updated_book)
expected_book = Book()
expected_book.add_bid(Level(11705.0, 1, 0.381988))
expected_book.add_bid(Level(11704.0, 3, 0.94745498))
expected_book.add_bid(Level(11703.0, 1, 0.165141))
self.assertEqual(expected_book, updated_book)
def test_splits_full_snapshot(self):
snapshot = [[10.0, 1, 2.5], [11.5, 1, 2], [15.0, 1, -2], [18.2, 1, -6.3]]
mbl_snapshot = MBLSnapshot(snapshot)
(bid, ask) = mbl_snapshot.split()
self.assertEqual([Level(10.0, 1, 2.5), Level(11.5, 1, 2)], bid)
self.assertEqual([Level(15.0, 1, 2), Level(18.2, 1, 6.3)], ask)
def test_a_book_with_three_ask_lines_has_a_ask_depth_of_three(self):
book = Book()
book.add_ask(Level(4, 10, 2))
book.add_ask(Level(5, 10, 2))
book.add_ask(Level(7, 10, 2))
self.assertEqual(3, book.ask_depth())
def test_two_copies(self):
original = [Level(1, 2, 3), Level(4, 5, 6)]
copied_and_changed = copy.deepcopy(original)
copied_and_changed[0].price = 0
self.assertNotEqual(original, copied_and_changed)
def to_bid(self, level):
return Level(level[0], level[1], level[2])
def to_ask(self, level):
return Level(level[0], level[1], -level[2])
