def __init__(self, order_arrival_lambda=2, initial_price=100., price_sigma=.2, quantity_mu=2, quantity_sigma=1,
periods=None, traders=50, tick_size=.0001, purge_after_vol=100,
open_time=dt.datetime(2017, 1, 1, 8, 0, 0), close_time=dt.datetime(2017, 1, 1, 15, 0, 0)):
self.p0 = initial_price
self.p = initial_price
self.tick_size = tick_size
self.purge_after_vol = purge_after_vol
self.order_arrival_lambda = order_arrival_lambda
self.price_sigma = price_sigma
self.quantity_mu = quantity_mu
self.quantity_sigma = quantity_sigma
if periods:
self.periods = periods
else:
self.periods = (close_time-open_time).total_seconds()
if type(traders) == int:
traders = range(traders)
self.traders = traders
self.orderbook = OrderBook()
self.total_orders_submitted = 0
self.sides = np.array(['ask', 'bid'])
self.sign = np.array([1., -1.])
self.time = 0
self.orders_by_vol = deque(maxlen=None)
def setup(self):
self.book = OrderBook(9999, 3, 'TEST')
self.book.change(3, 'Offer', 8, 8, 8)
self.book.change(2, 'Offer', 7, 7, 7)
self.book.change(1, 'Offer', 6, 6, 6)
self.book.change(1, 'Bid', 3, 3, 3)
self.book.change(2, 'Bid', 2, 2, 2)
self.book.change(3, 'Bid', 1, 1, 1)
self.book.instrument_sequence = 0
def setUp(self):
self.order_book = OrderBook()
self.limit_orders = [
{
'type': 'limit',
'side': 'ask',
'quantity': 5,
'price': 101
},
{
'type': 'limit',
'side': 'ask',
'quantity': 5,
'price': 103
},
{
'type': 'limit',
'side': 'ask',
'quantity': 5,
'price': 101
},
{
'type': 'limit',
'side': 'ask',
'quantity': 5,
'price': 101
},
{
'type': 'limit',
'side': 'bid',
'quantity': 5,
'price': 99
},
{
'type': 'limit',
'side': 'bid',
'quantity': 5,
'price': 98
},
{
'type': 'limit',
'side': 'bid',
'quantity': 5,
'price': 99
},
{
'type': 'limit',
'side': 'bid',
'quantity': 5,
'price': 97
},
]
for order in self.limit_orders:
trades, order_id = self.order_book.process_order(order)
def test_has_both_active(self):
book = OrderBook()
self.assertEqual(book.has_active_bids(), False)
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 105, "LIMIT", -100)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
self.assertEqual(book.has_active_asks(), True)
self.assertEqual(book.has_active_bids(), True)
def orderbook_demo():
import time, random
ITERS = 100000
max_price = 10
ob = OrderBook("FOOBAR", max_price=max_price)
start = time.clock()
for i in range(ITERS):
os.system("clear")
buysell, qty, price, trader = random.choice([0,1]), random.randrange(1,50), \
random.randrange(1,max_price), 'trader %s' % random.randrange(1000)
print "NEW ORDER: %s %s %s @ %s" % (trader, "BUY" if buysell==0 else "SELL", qty, price)
ob.limit_order(buysell, qty, price, trader)
print ob.render()
raw_input()
def main():
# TODO: Create three agents:
order_book = OrderBook()
agents = [101, 102, 103]
# TODO: Agents send in buy/sell orders randomly with some probablility
for i in range(30):
print '\nTimestep# {}: '.format(i)
for a in agents:
if (random.random() > 0.5):
# make an order
# buy or sell?
# TO BE REPLACED WITH TRADING STRATEGIES
tradedir = random.choice(['bid', 'ask'])
# how many?
ordqty = random.randint(1, 20)
# market or limit?
tradetype = random.choice(['market', 'limit'])
# if limit, what is your bid/ask price
if tradetype == 'limit':
# TO BE REPLACED WITH TRADING STRATEGIES
limitprice = random.uniform(90, 100)
# send in the order
if tradetype == 'market':
agent_order = {
'type': 'market',
'side': tradedir,
'quantity': ordqty,
'trade_id': a
}
print 'agent {} made a market order to {} {} shares'.format(
a, tradedir, ordqty)
else:
agent_order = {
'type': 'limit',
'side': tradedir,
'quantity': ordqty,
'price': limitprice,
'trade_id': a
}
print 'agent {} made a limit order at {} to {} {} shares'.format(
a, limitprice, tradedir, ordqty)
trades, order_in_book = order_book.process_order(
agent_order, False, False)
else:
print 'agent {} did not trade'.format(a)
# plot how the stock changes
print order_book
def test_one_buy_order_book(instrument_identifier, marshaller):
simple_order_book = OrderBook(instrument_identifier)
buy_order = ServerOrder(Buy(),
instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader1')
simple_order_book.add_order(buy_order)
encoded_order_book = marshaller.encode_order_book(simple_order_book)
message_type, body, _ = marshaller.decode_header(encoded_order_book)
decoded_order_book = marshaller.decode_order_book(body)
assert message_type == MessageTypes.OrderBook.value
assert encoded_order_book == marshaller.encode_order_book(
decoded_order_book)
class Engine:
def __init__(self):
self.orderbook = OrderBook()
self.orderbook.on_event = self.on_event
self.trades = []
self._next_order_id = 0
self.all_orders = {}
def next_order_id(self):
n = self._next_order_id
self._next_order_id += 1
return n
def limit_order(self, side, price, amount):
o = Order(self.next_order_id(), side, price, amount)
self.all_orders[o.id] = o
self.orderbook.limit_order(o)
self.validate()
return o
def cancel_order(self, orderid):
o = self.orderbook.cancel_order(self.all_orders[orderid].price,
orderid)
self.validate()
return o
def on_event(self, name, evt):
if name == 'trade':
self.trades.append(evt)
def validate(self):
book = self.orderbook
assert not book.bids or not book.asks or book.bids.max() < book.asks.min(), \
'bids asks shouldn\'t cross'
assert all(price == self.all_orders[makerid].price
for _, makerid, _, price in self.trades), \
'trade price equals to maker price'
assert all(better_price(price,
self.all_orders[takerid].price,
self.all_orders[takerid].side)
for takerid, _, _, price in self.trades), \
'trade price equal or better than taker price'
assert all(order.price == price
for price, lvl in book.levels.items()
for order in lvl.orders), \
'level price is correct'
assert all(sum(o.size for o in lvl.orders) == lvl.volume
for price, lvl in book.levels.items()), \
'level volume is correct'
def setUp(self):
self.completed_trades = []
self.completed_orders = []
self.orders = []
self.order_book = OrderBook("KEQ")
for i in range(1, 10):
quote = test_quotes[str(i)]
if "price" in quote:
quote["price"] = Decimal(quote["price"])
order = json.loads(self.order_book.process_order(quote))
self.orders.append(order)
for trades in self.order_book.completed_trades:
self.completed_trades.append(trades)
for orders in self.order_book.completed_orders:
self.completed_orders.append(orders)
def test_empty_order_book(instrument_identifier, marshaller):
empty_order_book = OrderBook(instrument_identifier)
encoded_order_book = marshaller.encode_order_book(empty_order_book)
message_type, body, _ = marshaller.decode_header(encoded_order_book)
decoded_order_book = marshaller.decode_order_book(body)
assert message_type == MessageTypes.OrderBook.value
assert empty_order_book.__dict__ == decoded_order_book.__dict__
def ob(red, request):
'''Returns an empty OrderBook'''
def fin():
red.flushdb()
request.addfinalizer(fin)
return OrderBook('XBT', 'XLT', red)
def test_one_buy_order_book(self):
simple_order_book = OrderBook(self.instrument_identifier)
buy_order = ServerOrder(Buy(),
self.instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader1')
simple_order_book.add_order(buy_order)
encoded_order_book = self.marshaller.encode_order_book(
simple_order_book)
message_type, body, _ = self.marshaller.decode_header(
encoded_order_book)
decoded_order_book = self.marshaller.decode_order_book(body)
self.assertEqual(message_type, MessageTypes.OrderBook.value)
self.assertEqual(encoded_order_book,
self.marshaller.encode_order_book(decoded_order_book))
def test_update_invalid(self):
""" check: invalid size and update missing order"""
obj = OrderBook()
# invalid size
self.assertRaises(AssertionError, obj.process_order, "1568390243|abbb11|u|0")
# update missing order
self.assertRaises(KeyError, obj.process_order, "1|abbb11|u|1")
def testOrderbook(red):
'''Returns an OrderBook populated with 20 test non crossing bids/asks'''
#FIXME or use ob fixture?
ob = OrderBook('XBT', 'XLT', red)
#ob. some bids
#ob. some asks
return ob
def initialize_order_books(self, referential):
logger.trace("Initializing order books")
# TODO: use generator
for instrument in referential.instruments:
self.order_books[instrument.identifier] = OrderBook(
instrument.identifier)
logger.trace(f"[{len(referential)}] order books are initialized")
def test_cancelled_orders_in_spread_calc(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 195, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 200, "LIMIT", -50)
book.add_order(limit_sell_order)
book.add_order(limit_buy_order)
self.assertEqual(book.current_spread(), 5)
limit_sell_order.cancel()
self.assertEqual(book.current_spread(), 0)
def initialize_order_books(self):
self.logger.debug('Initializing order books')
# TODO: use generator
for instrument in self.referential.instruments:
self.order_books[instrument.identifier] = OrderBook(
instrument.identifier)
self.logger.debug('[{}] order books are initialized'.format(
len(self.referential)))
def test_to_json():
asks = [Ask(quantity=1, rate=2)]
bids = [Bid(quantity=3, rate=4)]
o = OrderBook(asks=asks, bids=bids)
j = orderbook_to_json(o)
assert j == '{"Asks": [{"Quantity": 1, "Rate": 2}], "Bids": [{"Quantity": 3, "Rate": 4}]}'
def test_has_active_bids(self):
book = OrderBook()
self.assertEqual(book.has_active_bids(), False)
order = Order(ID_GENERATOR, AGENT_ID, PRICE, "LIMIT", 100)
book.add_order(order)
self.assertEqual(book.has_active_bids(), True)
self.assertEqual(book.has_active_asks(), False)
def test_empty_order_book(self):
empty_order_book = OrderBook(StaticData.get_instrument(1).identifier)
encoded_order_book = self.marshaller.encode_order_book(
empty_order_book)
message_type, body, _ = self.marshaller.decode_header(
encoded_order_book)
decoded_order_book = self.marshaller.decode_order_book(body)
self.assertEqual(message_type, MessageTypes.OrderBook.value)
self.assertEqual(empty_order_book.__dict__,
decoded_order_book.__dict__)
def setup(self):
self.book = OrderBook(9999, 3, 'TEST')
self.book.change(3, 'Offer', 8, 8, 8)
self.book.change(2, 'Offer', 7, 7, 7)
self.book.change(1, 'Offer', 6, 6, 6)
self.book.change(1, 'Bid', 3, 3, 3)
self.book.change(2, 'Bid', 2, 2, 2)
self.book.change(3, 'Bid', 1, 1, 1)
self.book.instrument_sequence = 0
def test_fill_with_partial_limit_order_multiple_and_diff_prices(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 205, "LIMIT", -50)
limit_sell_order2 = Order(ID_GENERATOR, 2, 200, "LIMIT", -25)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
book.add_order(limit_sell_order2)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 75)
self.assertEqual(limit_sell_order.order_size, -50)
self.assertEqual(limit_sell_order2.order_size, 0)
def test_partial_fill_of_market_order2(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 195, "LIMIT", 50)
limit_buy_order2 = Order(ID_GENERATOR, 3, 200, "LIMIT", 50)
market_sell_order = Order(ID_GENERATOR, 2, None, "MARKET", -100)
book.add_order(limit_buy_order)
book.add_order(limit_buy_order2)
book.add_order(market_sell_order)
self.assertEqual(book.bids, [])
self.assertEqual(book.asks, [])
self.assertEqual(market_sell_order.order_state, 'FILLED')
self.assertEqual(limit_buy_order.order_size, 0)
self.assertEqual(limit_buy_order2.order_size, 0)
def test_add_invalid(self):
""" check: invalid type , order size, order price"""
obj = OrderBook()
# invalid type
self.assertRaises(AttributeError, obj.process_order, 11)
# invalid order size
self.assertRaises(AssertionError, obj.process_order,
"1568390243|abbb11|a|AAPL|B|209.00000|0")
# invalid order price
self.assertRaises(AssertionError, obj.process_order,
"1568390243|abbb11|a|AAPL|B|-209.00000|2")
def _setup_orderbook():
[redis.delete(key) for key in redis.keys()]
orderbook_store = db.orderbook.find({'orderbook_id': 1}).limit(1)
if path.isfile(ORDERBOOK_FILE):
with open(ORDERBOOK_FILE, 'rb') as f:
orderbook = pickle.load(f)
elif orderbook_store.count() > 0:
orderbook = pickle.loads(orderbook_store[0]["orderbook"])
else:
orderbook = OrderBook(STOCK_SYMBOL)
return orderbook
def test_process_order(self):
""" check: order,add,update,missing parameters; unsupported action"""
obj = OrderBook()
# missing parameters
self.assertRaises(IndexError, obj.process_order, "1568390243|abbb11")
# add missing parameters
self.assertRaises(AssertionError, obj.process_order, "1568390243|abbb11|a")
# update missing parameters
self.assertRaises(AssertionError, obj.process_order, "1568390243|abbb11|u")
# unsupported action
self.assertRaises(PermissionError, obj.process_order, "1568390243|abbb11|x")
def score(self, process_event_func):
Ys = []
pred_probas = []
orderbook = OrderBook()
for event in tqdm(self.event_player.iget_events(),
total=len(self.event_player),
desc="scoring"):
orderbook.apply_event(event)
pred_proba = process_event_func(event, orderbook)
self._check_return_value(event, pred_proba)
if not event.need_prediction:
continue
Ys.append(event.Y)
pred_probas.append(pred_proba)
roc_auc = roc_auc_score(Ys, pred_probas)
print(f"\nroc_auc_score = {roc_auc:.3f}")
return roc_auc, (Ys, pred_probas)
def test_cancel_order(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 100, "LIMIT", 100)
book.add_order(limit_buy_order)
self.assertEqual(limit_buy_order.order_state, 'ACTIVE')
book.cancel_order(limit_buy_order.id)
self.assertEqual(limit_buy_order.order_state, 'CANCELLED')
class OnlineDA(object):
def __init__(self):
self.ob=OrderBook()
self.day=0
self.trades=[]
def nextDay(self):
self.day+=1
self.trades=[]
self.ob.asks=OrderTree()
self.ob.bids=OrderTree()
def submitOrder(self, order):
trades, remOrder=self.ob.process_order(order, False, False)
if len(trades)>0:
self.trades.extend(trades)
if not remOrder:
order['isFilled']=True
return trades, order
if remOrder['quantity']<order['quantity']:
order['isFilled']=True
return trades, order
order['isFilled']=False
return trades, order
def getOpenPrice(self):
if len(self.trades)>0:
return self.trades[0]['price']
return 0
def getClosePrice(self):
if len(self.trades)>0:
return self.trades[-1]['price']
return 0
def getHighPrice(self):
if len(self.trades)>0:
return np.max([t['price'] for t in self.trades])
return 0
def getLowPrice(self):
if len(self.trades)>0:
return np.min([t['price'] for t in self.trades])
return 0
def getVolume(self):
return np.sum([t['quantity'] for t in self.trades])
def test_two_opposite_orders_in_order_book(self):
order_book = OrderBook(self.instrument_identifier)
orders = [
ServerOrder(Buy(),
self.instrument_identifier,
quantity=100.0,
price=9.0,
counterparty='Trader1'),
ServerOrder(Sell(),
self.instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader2')
]
for order in orders:
order_book.add_order(order)
encoded_order_book = self.marshaller.encode_order_book(order_book)
message_type, body, _ = self.marshaller.decode_header(
encoded_order_book)
decoded_order_book = self.marshaller.decode_order_book(body)
self.assertEqual(message_type, MessageTypes.OrderBook.value)
self.assertEqual(encoded_order_book,
self.marshaller.encode_order_book(decoded_order_book))
def test_fill_with_partial_limit_order_multiple_and_price_matching_order2(
self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 195, "LIMIT", -50)
limit_sell_order2 = Order(ID_GENERATOR, 2, 200, "LIMIT", -25)
book.add_order(limit_sell_order)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order2)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 25)
self.assertEqual(limit_sell_order.order_size, 0)
self.assertEqual(
limit_buy_order.partial_execution_log,
[PartialExecution(50, 195),
PartialExecution(25, 200)])
def main():
# TODO: Create three agents:
order_book = OrderBook()
agents = [101, 102, 103]
# TODO: Agents send in buy/sell orders randomly with some probablility
for i in range(30):
print '\nTimestep# {}: '.format(i)
for a in agents:
if (random.random() > 0.5):
# make an order
# buy or sell?
# TO BE REPLACED WITH TRADING STRATEGIES
tradedir = random.choice(['bid','ask'])
# how many?
ordqty = random.randint(1,20)
# market or limit?
tradetype = random.choice(['market', 'limit'])
# if limit, what is your bid/ask price
if tradetype == 'limit':
# TO BE REPLACED WITH TRADING STRATEGIES
limitprice = random.uniform(90,100)
# send in the order
if tradetype == 'market':
agent_order = {'type':'market', 'side':tradedir, 'quantity':ordqty, 'trade_id':a}
print 'agent {} made a market order to {} {} shares'.format(a, tradedir, ordqty)
else:
agent_order = {'type':'limit', 'side':tradedir, 'quantity':ordqty, 'price':limitprice, 'trade_id':a}
print 'agent {} made a limit order at {} to {} {} shares'.format(a, limitprice, tradedir, ordqty)
trades, order_in_book = order_book.process_order(agent_order, False, False)
else:
print 'agent {} did not trade'.format(a)
# plot how the stock changes
print order_book
def test_fill_with_partial_limit_order(self):
book = OrderBook()
limit_buy_order = Order(ID_GENERATOR, 1, 200, "LIMIT", 100)
limit_sell_order = Order(ID_GENERATOR, 2, 200, "LIMIT", -50)
book.add_order(limit_buy_order)
book.add_order(limit_sell_order)
self.assertEqual(book.bids, [limit_buy_order])
self.assertEqual(book.asks, [])
self.assertEqual(book.bids[0].order_size, 50)
self.assertEqual(limit_sell_order.order_size, 0)
def test_partial_fill_of_market_buy_order_existing_unfilled_orders(self):
book = OrderBook()
limit_sell_order = Order(ID_GENERATOR, 1, 195, "LIMIT", -50)
limit_sell_order2 = Order(ID_GENERATOR, 3, 200, "LIMIT", -50)
limit_sell_order3 = Order(ID_GENERATOR, 4, 180, "LIMIT", -700)
market_buy_order = Order(ID_GENERATOR, 2, None, "MARKET", 100)
book.add_order(limit_sell_order)
book.add_order(limit_sell_order2)
book.add_order(limit_sell_order3)
book.add_order(market_buy_order)
self.assertEqual(book.bids, [])
self.assertEqual(
book.asks,
[limit_sell_order3, limit_sell_order2, limit_sell_order])
self.assertEqual(market_buy_order.order_state, 'FILLED')
self.assertEqual(limit_sell_order.order_size, -50)
self.assertEqual(limit_sell_order2.order_size, -50)
self.assertEqual(limit_sell_order3.order_size, -600)
def setUp(self):
self.order_book = OrderBook()
self.limit_orders = [{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 103},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 99},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 98},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 99},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 97},
]
for order in self.limit_orders:
trades, order_id = self.order_book.process_order(order)
def __init__(self):
self.ob=OrderBook()
self.day=0
self.trades=[]
class OrderBookTestCase(unittest.TestCase):
''' Unittest for the OrderBook module '''
def setUp(self):
self.order_book = OrderBook()
self.limit_orders = [{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 103},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 99},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 98},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 99},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,
'price' : 97},
]
for order in self.limit_orders:
trades, order_id = self.order_book.process_order(order)
def test_process_asks_order(self):
''' set up asks orders for unittests '''
self.assertEquals(self.order_book.asks.order_map[1].price, 101.0)
self.assertEquals(self.order_book.asks.order_map[2].price, 103.0)
self.assertEquals(self.order_book.asks.order_map[3].price, 101.0)
self.assertEquals(self.order_book.asks.order_map[4].price, 101.0)
def test_process_bids_order(self):
''' set up bids orders for unittests '''
self.assertEquals(self.order_book.bids.order_map[5].price, 99.0)
self.assertEquals(self.order_book.bids.order_map[6].price, 98.0)
self.assertEquals(self.order_book.bids.order_map[7].price, 99.0)
self.assertEquals(self.order_book.bids.order_map[8].price, 97.0)
def test_trades(self):
''' Submitting a limit order that crosses the opposing best price
will result in a trade '''
crossing_limit_order = {'type': 'limit',
'side': 'bid',
'quantity': 2,
'price': 102}
trades, order_in_book = self.order_book.process_order(\
crossing_limit_order)
self.assertEquals(trades[0]['price'], 101)
self.assertEquals(trades[0]['quantity'],2)
def test_large_trades(self):
''' If a limit crosses but is only partially matched, the remaning
volume will be placed in the book as an outstanding order '''
big_crossing_limit_order = {'type': 'limit',
'side': 'bid',
'quantity': 50,
'price': 102}
trades, order_in_book = self.order_book.process_order(\
big_crossing_limit_order)
self.assertEquals(order_in_book['price'], 102)
self.assertEquals(order_in_book['quantity'], 35)
else:
print(newbook)
def process_line(order_book, line, output=True):
tokens = line.strip().split(",")
d = {"type" : "limit",
"side" : "bid" if tokens[0] == 'B' else 'ask',
"quantity": int(tokens[1]),
"price" : Decimal(tokens[2]),
"trade_id" : tokens[3]}
if output:
printme('external order=', pprint.pformat(d))
return order_book.process_order(d, False, False)
order_book = OrderBook()
if len(sys.argv) != 2 and len(sys.argv) != 3 and len(sys.argv) != 4:
printme("usage: %s input.csv [algo]" % sys.argv[0])
sys.exit(0)
if len(sys.argv) == 3:
myalgomodule = importlib.import_module(sys.argv[2])
myalgo = myalgomodule.Algorithm(order_book)
elif len(sys.argv) == 4:
myalgomodule = importlib.import_module(sys.argv[2])
json_data=open(sys.argv[3]).read()
data = json.loads(json_data)
myalgo = myalgomodule.Algorithm(order_book, **data)
else:
myalgo = None
try:
reader = open(sys.argv[1], 'r')
class TestOrderBook:
def setup(self):
self.book = OrderBook(9999, 3, 'TEST')
self.book.change(3, 'Offer', 8, 8, 8)
self.book.change(2, 'Offer', 7, 7, 7)
self.book.change(1, 'Offer', 6, 6, 6)
self.book.change(1, 'Bid', 3, 3, 3)
self.book.change(2, 'Bid', 2, 2, 2)
self.book.change(3, 'Bid', 1, 1, 1)
self.book.instrument_sequence = 0
def teardown(self):
self.book = None
def test_adding_level_1_entries(self):
# def add(self, level, side, price, size, num_orders):
self.book.add(1, 'Offer', 5, 5, 5)
self.book.add(1, 'Bid', 4, 4, 4)
assert_equals(self.book.offers[0].price, 5)
assert_equals(self.book.offers[2].price, 7)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[2].price, 2)
def test_adding_level_3_entries(self):
# def add(self, level, side, price, size, num_orders):
self.book.add(3, 'Offer', 9, 9, 9)
self.book.add(3, 'Bid', 0, 0, 0)
assert_equals(self.book.offers[0].price, 6)
assert_equals(self.book.offers[2].price, 9)
assert_equals(self.book.bids[0].price, 3)
assert_equals(self.book.bids[2].price, 0)
def test_deleting_level_1_entries(self):
# def add(self, level, side, price, size, num_orders):
self.book.delete(1, 'Offer')
self.book.delete(1, 'Bid')
assert_equals(self.book.offers[0].price, 7)
assert_is_none(self.book.offers[2].price)
assert_equals(self.book.bids[0].price, 2)
assert_is_none(self.book.bids[2].price)
def test_deleting_level_3_entries(self):
# def add(self, level, side, price, size, num_orders):
self.book.delete(3, 'Offer')
self.book.delete(3, 'Bid')
assert_equals(self.book.offers[0].price, 6)
assert_is_none(self.book.offers[2].price)
assert_equals(self.book.bids[0].price, 3)
assert_is_none(self.book.bids[2].price)
def test_change(self):
self.book.change(3, 'Offer', 8, 8, 8)
assert_equals(self.book.offers[2].price, 8)
assert_equals(self.book.offers[2].size, 8)
assert_equals(self.book.offers[2].num_orders, 8)
self.book.change(1, 'Bid', 4, 4, 4)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[0].size, 4)
assert_equals(self.book.bids[0].num_orders, 4)
#def update(self, sending_time, received_time, stream_sequence, instrument_sequence, level, md_entry_type, md_update_action, price, size, num_orders):
def test_update_book_change(self):
self.book.handle_update(101, 102, 1, 1, 3, 'Offer', 'Change', 8, 8, 8)
assert_equals(self.book.offers[0].price, 6)
assert_equals(self.book.offers[0].size, 6)
assert_equals(self.book.offers[0].num_orders, 6)
assert_equals(self.book.offers[2].price, 8)
assert_equals(self.book.offers[2].size, 8)
assert_equals(self.book.offers[2].num_orders, 8)
self.book.handle_update(101, 102, 2, 2, 1, 'Bid', 'Change', 4, 4, 4)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[0].size, 4)
assert_equals(self.book.bids[0].num_orders, 4)
assert_equals(self.book.bids[2].price, 1)
assert_equals(self.book.bids[2].size, 1)
assert_equals(self.book.bids[2].num_orders, 1)
def test_update_book_add(self):
self.book.handle_update(101, 102, 1, 1, 1, 'Offer', 'New', 5, 5, 5)
assert_equals(self.book.offers[0].price, 5)
assert_equals(self.book.offers[0].size, 5)
assert_equals(self.book.offers[0].num_orders, 5)
assert_equals(self.book.offers[2].price, 7)
assert_equals(self.book.offers[2].size, 7)
assert_equals(self.book.offers[2].num_orders, 7)
self.book.handle_update(101, 102, 2, 2, 1, 'Bid', 'New', 4, 4, 4)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[0].size, 4)
assert_equals(self.book.bids[0].num_orders, 4)
assert_equals(self.book.bids[2].price, 2)
assert_equals(self.book.bids[2].size, 2)
assert_equals(self.book.bids[2].num_orders, 2)
def test_update_book_delete(self):
self.book.handle_update(101, 102, 1, 1, 1, 'Offer', 'Delete', None, None, None)
assert_equals(self.book.offers[0].price, 7)
assert_equals(self.book.offers[0].size, 7)
assert_equals(self.book.offers[0].num_orders, 7)
assert_is_none(self.book.offers[2].price)
self.book.handle_update(101, 102, 2, 2, 1, 'Bid', 'Delete', None, None, None)
assert_equals(self.book.bids[0].price, 2)
assert_equals(self.book.bids[0].size, 2)
assert_equals(self.book.bids[0].num_orders, 2)
assert_is_none(self.book.bids[2].price)
def test_update_book_old_sequence(self):
self.book.instrument_sequence = 99
self.book.handle_update(101, 102, 100, 100, 1, 'Offer', 'New', 5, 5, 5)
self.book.handle_update(101, 102, 99, 99, 1, 'Offer', 'New', 999, 999, 999)
assert_equals(self.book.offers[0].price, 5)
assert_equals(self.book.offers[0].size, 5)
assert_equals(self.book.offers[0].num_orders, 5)
assert_equals(self.book.offers[2].price, 7)
assert_equals(self.book.offers[2].size, 7)
assert_equals(self.book.offers[2].num_orders, 7)
self.book.instrument_sequence = 99
self.book.handle_update(101, 102, 100, 100, 1, 'Bid', 'New', 4, 4, 4)
self.book.handle_update(101, 102, 99, 99, 1, 'Bid', 'New', 999, 999, 999)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[0].size, 4)
assert_equals(self.book.bids[0].num_orders, 4)
assert_equals(self.book.bids[2].price, 2)
assert_equals(self.book.bids[2].size, 2)
assert_equals(self.book.bids[2].num_orders, 2)
def test_update_book_duplicate_sequence(self):
self.book.handle_update(101, 102, 1, 1, 1, 'Offer', 'New', 5, 5, 5)
self.book.handle_update(101, 102, 1, 1, 1, 'Offer', 'New', 999, 999, 999)
assert_equals(self.book.offers[0].price, 5)
assert_equals(self.book.offers[0].size, 5)
assert_equals(self.book.offers[0].num_orders, 5)
assert_equals(self.book.offers[2].price, 7)
assert_equals(self.book.offers[2].size, 7)
assert_equals(self.book.offers[2].num_orders, 7)
self.book.handle_update(101, 102, 2, 2, 1, 'Bid', 'New', 4, 4, 4)
self.book.handle_update(101, 102, 2, 2, 1, 'Bid', 'New', 999, 999, 999)
assert_equals(self.book.bids[0].price, 4)
assert_equals(self.book.bids[0].size, 4)
assert_equals(self.book.bids[0].num_orders, 4)
assert_equals(self.book.bids[2].price, 2)
assert_equals(self.book.bids[2].size, 2)
assert_equals(self.book.bids[2].num_orders, 2)
def test_update_book_gapped(self):
return # not ready for testing gaps until we handle more messages
from orderbook import OrderBook
# Create an order book
order_book = OrderBook()
# Create some limit orders
limit_orders = [{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101,
'trade_id' : 100},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 103,
'trade_id' : 101},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101,
'trade_id' : 102},
{'type' : 'limit',
'side' : 'ask',
'quantity' : 5,
'price' : 101,
'trade_id' : 103},
{'type' : 'limit',
'side' : 'bid',
'quantity' : 5,