def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'4' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'5' * 20), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'6' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def setUp(self):
yield super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.bid2 = Bid(
OrderId(TraderId(b'3' * 20), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.trade = Trade.propose(
TraderId(b'0' * 20), OrderId(TraderId(b'0' * 20), OrderNumber(1)),
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447117))
self.order_book = OrderBook()
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask3 = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')),
Timeout(100), Timestamp.now())
self.ask4 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')),
Timeout(100), Timestamp.now())
self.ask5 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid2 = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
class AbstractTestOrderBook(AbstractServer):
"""
Base class for the order book tests.
"""
@inlineCallbacks
def setUp(self):
yield super(AbstractTestOrderBook, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(1)),
AssetPair(AssetAmount(400, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(200, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.invalid_bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timeout(0), Timestamp(0))
self.bid2 = Bid(
OrderId(TraderId(b'3' * 20), OrderNumber(1)),
AssetPair(AssetAmount(300, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.trade = Trade.propose(
TraderId(b'0' * 20), OrderId(TraderId(b'0' * 20), OrderNumber(1)),
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(100, 'BTC'), AssetAmount(30, 'MB')),
Timestamp(1462224447117))
self.order_book = OrderBook()
def tearDown(self):
self.order_book.shutdown_task_manager()
super(AbstractTestOrderBook, self).tearDown()
async def order_book():
order_book = OrderBook()
yield order_book
await order_book.shutdown_task_manager()
class MatchingEngineTestSuite(AbstractServer):
"""Matching engine test cases."""
@inlineCallbacks
def setUp(self):
yield super(MatchingEngineTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'2' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'4' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'5' * 20), OrderNumber(3)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'6' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(30), Timestamp.now(), False)
self.order_book = OrderBook()
self.matching_engine = MatchingEngine(
PriceTimeStrategy(self.order_book))
self.ask_count = 2
self.bid_count = 2
def create_ask(self, amount1, amount2):
"""
Create an ask with a specific price and quantity
"""
new_ask = Ask(
OrderId(TraderId(b'2' * 20), OrderNumber(self.ask_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.ask_count += 1
return new_ask
def create_bid(self, amount1, amount2):
"""
Create a bid with a specific price and quantity
"""
new_bid = Bid(
OrderId(TraderId(b'3' * 20), OrderNumber(self.bid_count)),
AssetPair(AssetAmount(amount1, 'BTC'), AssetAmount(amount2, 'MB')),
Timeout(30), Timestamp.now())
self.bid_count += 1
return new_bid
@inlineCallbacks
def tearDown(self):
self.order_book.shutdown_task_manager()
yield super(MatchingEngineTestSuite, self).tearDown()
def test_empty_match_order_empty(self):
# Test for match order with an empty order book
self.order_book.insert_ask(self.ask)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id)))
self.order_book.remove_ask(self.ask.order_id)
self.order_book.insert_bid(self.bid)
self.assertEquals([],
self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id)))
self.order_book.remove_bid(self.bid.order_id)
def test_match_order_bid(self):
# Test for match bid order
self.order_book.insert_ask(self.ask)
self.order_book.insert_bid(self.bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(self.bid.order_id))
self.assertEquals(1, len(matching_ticks))
def test_match_order_ask(self):
# Test for match ask order
self.order_book.insert_bid(self.bid)
self.order_book.insert_ask(self.ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(self.ask.order_id))
self.assertEquals(1, len(matching_ticks))
def test_multiple_price_levels_asks(self):
"""
Test matching when there are asks in multiple price levels
"""
self.order_book.insert_ask(self.create_ask(50, 350))
self.order_book.insert_ask(self.create_ask(18, 72))
self.order_book.insert_ask(self.create_ask(100, 700))
my_bid = self.create_bid(200, 2000)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
def test_multiple_price_levels_bids(self):
"""
Test matching when there are bids in multiple price levels
"""
self.order_book.insert_bid(self.create_bid(50, 200))
self.order_book.insert_bid(self.create_bid(18, 72))
self.order_book.insert_bid(self.create_bid(100, 400))
my_ask = self.create_ask(200, 200)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
def test_price_time_priority_asks(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_ask(self.create_ask(20, 100))
self.order_book.insert_ask(self.create_ask(25, 125))
self.order_book.insert_ask(self.create_ask(10, 50))
my_bid = self.create_bid(50, 250)
self.order_book.insert_bid(my_bid)
matching_ticks = self.matching_engine.match(
self.order_book.get_bid(my_bid.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1].assets.first.amount, 10)
def test_price_time_priority_bids(self):
"""
Test whether the price-time priority works correctly
"""
self.order_book.insert_bid(self.create_bid(20, 100))
self.order_book.insert_bid(self.create_bid(25, 125))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(50, 250)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 3)
self.assertEqual(matching_ticks[-1].assets.first.amount, 10)
def test_matching_multiple_levels(self):
"""
Test a matching with multiple price levels
"""
self.order_book.insert_bid(self.create_bid(10, 60))
self.order_book.insert_bid(self.create_bid(10, 50))
my_ask = self.create_ask(30, 180)
self.order_book.insert_ask(my_ask)
matching_ticks = self.matching_engine.match(
self.order_book.get_ask(my_ask.order_id))
self.assertEqual(len(matching_ticks), 1)
class PriceTimeStrategyTestSuite(AbstractServer):
"""Price time strategy test cases."""
@inlineCallbacks
def setUp(self):
yield super(PriceTimeStrategyTestSuite, self).setUp()
# Object creation
self.ask = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(1)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask2 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(2)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask3 = Ask(
OrderId(TraderId(b'0' * 20), OrderNumber(3)),
AssetPair(AssetAmount(40000, 'BTC'), AssetAmount(200, 'MB')),
Timeout(100), Timestamp.now())
self.ask4 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'A'), AssetAmount(3000, 'MB')),
Timeout(100), Timestamp.now())
self.ask5 = Ask(
OrderId(TraderId(b'1' * 20), OrderNumber(4)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'C')),
Timeout(100), Timestamp.now())
self.bid = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(5)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.bid2 = Bid(
OrderId(TraderId(b'0' * 20), OrderNumber(6)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now())
self.ask_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(11)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), True)
self.ask_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(12)),
AssetPair(AssetAmount(600, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), True)
self.bid_order = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(13)),
AssetPair(AssetAmount(3000, 'BTC'), AssetAmount(30, 'MB')),
Timeout(100), Timestamp.now(), False)
self.bid_order2 = Order(
OrderId(TraderId(b'9' * 20), OrderNumber(14)),
AssetPair(AssetAmount(6000, 'BTC'), AssetAmount(60, 'MB')),
Timeout(100), Timestamp.now(), False)
self.order_book = OrderBook()
self.price_time_strategy = PriceTimeStrategy(self.order_book)
@inlineCallbacks
def tearDown(self):
self.order_book.shutdown_task_manager()
yield super(PriceTimeStrategyTestSuite, self).tearDown()
def test_empty_match_order(self):
"""
Test for match order with an empty order book
"""
self.assertEquals([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
self.assertEquals([],
self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True))
def test_match_order_other_price(self):
"""
Test whether two ticks with different price types are not matched
"""
self.order_book.insert_ask(self.ask4)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_other_quantity(self):
"""
Test whether two ticks with different quantity types are not matched
"""
self.order_book.insert_ask(self.ask5)
self.assertEqual([],
self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False))
def test_match_order_ask(self):
"""
Test for match ask order
"""
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.bid.order_id),
matching_ticks[0])
def test_match_order_bid(self):
"""
Test for match bid order
"""
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
self.assertEquals(self.order_book.get_tick(self.ask.order_id),
matching_ticks[0])
def test_match_order_divided(self):
"""
Test for match order divided over two ticks
"""
self.order_book.insert_ask(self.ask)
self.order_book.insert_ask(self.ask2)
matching_ticks = self.price_time_strategy.match(
self.bid_order2.order_id, self.bid_order2.price,
self.bid_order2.available_quantity, False)
self.assertEquals(2, len(matching_ticks))
def test_match_order_partial_ask(self):
"""
Test partial matching of a bid order with the matching engine
"""
self.ask.traded = 1000
self.order_book.insert_ask(self.ask)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(1, len(matching_ticks))
def test_match_order_partial_bid(self):
"""
Test partial matching of an ask order with the matching engine
"""
self.bid.traded = 1000
self.order_book.insert_bid(self.bid)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(1, len(matching_ticks))
def test_bid_blocked_for_matching(self):
"""
Test whether a bid tick is not matched when blocked for matching
"""
self.order_book.insert_bid(self.bid)
self.order_book.get_tick(self.bid.order_id).block_for_matching(
self.ask_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.ask_order.order_id, self.ask_order.price,
self.ask_order.available_quantity, True)
self.assertEquals(0, len(matching_ticks))
def test_ask_blocked_for_matching(self):
"""
Test whether an ask tick is not matched when blocked for matching
"""
self.order_book.insert_ask(self.ask)
self.order_book.get_tick(self.ask.order_id).block_for_matching(
self.bid_order.order_id)
matching_ticks = self.price_time_strategy.match(
self.bid_order.order_id, self.bid_order.price,
self.bid_order.available_quantity, False)
self.assertEquals(0, len(matching_ticks))