def run(self):
from bitex.message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get( order.symbol ).match(self.db_session, order)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has('Password'):
raw_message = raw_message.replace(msg.get('Password'), '*')
if msg.has('NewPassword'):
raw_message = raw_message.replace(msg.get('NewPassword'), '*')
self.log('IN', 'TRADE_IN_REQ' ,raw_message )
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get('MDReqID')
market_depth = msg.get('MarketDepth')
instruments = msg.get('Instruments')
entries = msg.get('MDEntryTypes')
transact_time = msg.get('TransactTime')
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get('TradeDate')
if not trade_date:
trade_date = time.strftime("%Y%m%d", time.localtime())
self.log('OUT', 'TRADEDATE', trade_date)
timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d")
self.log('OUT', 'TIMESTAMP', timestamp )
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh( application.db_session, instrument, market_depth, om, entries, req_id, timestamp )
response_message = 'REP,' + json.dumps( response_message , cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get('Page', 0)
page_size = msg.get('PageSize', 100)
offset = page * page_size
columns = [ 'TradeID' , 'Market', 'Side', 'Price', 'Size',
'Buyer' , 'Seller', 'Created' ]
trade_list = MarketDataPublisher.generate_trade_history(application.db_session, page_size, offset )
response_message = 'REP,' + json.dumps( {
'MsgType' : 'U33', # TradeHistoryResponse
'TradeHistoryReqID' : -1,
'Page' : page,
'PageSize' : page_size,
'Columns' : columns,
'TradeHistoryGrp' : trade_list
}, cls=JsonEncoder )
else:
response_message = self.session_manager.process_message( msg_header, session_id, msg )
else:
response_message = self.session_manager.process_message( msg_header, session_id, msg )
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace("'", "") + '", "Detail": ""}'
def run(self):
from pyblinktrade.message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get(order.symbol).match(self.db_session, order, self.order_matcher_disabled)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log("IN", "TRADE_IN_REQ_ERROR", raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has("Password"):
raw_message = raw_message.replace(msg.get("Password"), "*")
if msg.has("NewPassword"):
raw_message = raw_message.replace(msg.get("NewPassword"), "*")
self.log("IN", "TRADE_IN_REQ", raw_message)
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get("MDReqID")
market_depth = msg.get("MarketDepth")
instruments = msg.get("Instruments")
entries = msg.get("MDEntryTypes")
transact_time = msg.get("TransactTime")
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get("TradeDate")
if not trade_date:
trade_date = time.strftime("%Y%m%d", time.localtime())
self.log("OUT", "TRADEDATE", trade_date)
timestamp = datetime.datetime.strptime(trade_date, "%Y%m%d")
self.log("OUT", "TIMESTAMP", timestamp)
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh(
self.db_session, instrument, market_depth, om, entries, req_id, timestamp
)
response_message = "REP," + json.dumps(response_message, cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get("Page", 0)
page_size = msg.get("PageSize", 100)
offset = page * page_size
columns = [
"TradeID",
"Market",
"Side",
"Price",
"Size",
"BuyerID",
"SellerID",
"BuyerUsername",
"SellerUsername",
"Created",
"OrderId",
"CounterOrderID",
]
trade_list = MarketDataPublisher.generate_trade_history(self.db_session, page_size, offset)
response_message = "REP," + json.dumps(
{
"MsgType": "U33", # TradeHistoryResponse
"TradeHistoryReqID": -1,
"Page": page,
"PageSize": page_size,
"Columns": columns,
"TradeHistoryGrp": trade_list,
},
cls=JsonEncoder,
)
else:
response_message = self.session_manager.process_message(msg_header, session_id, msg)
else:
response_message = self.session_manager.process_message(msg_header, session_id, msg)
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = (
'ERR,{"MsgType":"ERROR", "Description":"'
+ e.error_description.replace("'", "")
+ '", "Detail": ""}'
)
def run(self):
from message import JsonMessage, InvalidMessageException
from market_data_publisher import MarketDataPublisher
from execution import OrderMatcher
from models import Order
orders = self.db_session.query(Order).filter(
Order.status.in_(("0", "1"))).order_by(Order.created)
for order in orders:
OrderMatcher.get(order.symbol).match(self.db_session, order,
self.order_matcher_disabled)
while True:
raw_message = self.input_socket.recv()
msg_header = raw_message[:3]
session_id = raw_message[4:20]
json_raw_message = raw_message[21:].strip()
try:
msg = None
if json_raw_message:
try:
msg = JsonMessage(json_raw_message)
except InvalidMessageException, e:
self.log('IN', 'TRADE_IN_REQ_ERROR', raw_message)
raise InvalidMessageError()
# never write passwords in the log file
if msg.has('Password'):
raw_message = raw_message.replace(
msg.get('Password'), '*')
if msg.has('NewPassword'):
raw_message = raw_message.replace(
msg.get('NewPassword'), '*')
self.log('IN', 'TRADE_IN_REQ', raw_message)
if msg:
if msg.isMarketDataRequest(): # Market Data Request
req_id = msg.get('MDReqID')
market_depth = msg.get('MarketDepth')
instruments = msg.get('Instruments')
entries = msg.get('MDEntryTypes')
transact_time = msg.get('TransactTime')
timestamp = None
if transact_time:
timestamp = transact_time
else:
trade_date = msg.get('TradeDate')
if not trade_date:
trade_date = time.strftime(
"%Y%m%d", time.localtime())
self.log('OUT', 'TRADEDATE', trade_date)
timestamp = datetime.datetime.strptime(
trade_date, "%Y%m%d")
self.log('OUT', 'TIMESTAMP', timestamp)
if len(instruments) > 1:
raise InvalidMessageError()
instrument = instruments[0]
om = OrderMatcher.get(instrument)
response_message = MarketDataPublisher.generate_md_full_refresh(
self.db_session, instrument, market_depth, om,
entries, req_id, timestamp)
response_message = 'REP,' + json.dumps(
response_message, cls=JsonEncoder)
elif msg.isTradeHistoryRequest():
page = msg.get('Page', 0)
page_size = msg.get('PageSize', 100)
offset = page * page_size
columns = [
'TradeID', 'Market', 'Side', 'Price', 'Size',
'BuyerID', 'SellerID', 'BuyerUsername',
'SellerUsername', 'Created', 'OrderId',
'CounterOrderID'
]
trade_list = MarketDataPublisher.generate_trade_history(
self.db_session, page_size, offset)
response_message = 'REP,' + json.dumps(
{
'MsgType': 'U33', # TradeHistoryResponse
'TradeHistoryReqID': -1,
'Page': page,
'PageSize': page_size,
'Columns': columns,
'TradeHistoryGrp': trade_list
},
cls=JsonEncoder)
else:
response_message = self.session_manager.process_message(
msg_header, session_id, msg)
else:
response_message = self.session_manager.process_message(
msg_header, session_id, msg)
except TradeRuntimeError, e:
self.db_session.rollback()
self.session_manager.close_session(session_id)
response_message = 'ERR,{"MsgType":"ERROR", "Description":"' + e.error_description.replace(
"'", "") + '", "Detail": ""}'
def setUp(self):
engine = create_engine('sqlite:///:memory:', echo=False)
Base.metadata.create_all(engine)
self.session = scoped_session(sessionmaker(bind=engine))
self.user_a = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_b = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_c = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_d = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_e = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_f = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.session.add( self.user_a )
self.session.add( self.user_b )
self.session.add( self.user_c )
self.session.add( self.user_d )
self.session.add( self.user_e )
self.session.add( self.user_f )
self.session.commit()
self.om = OrderMatcher('BTCBRL')
# BUY
self.o1 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '101', symbol = 'BTCBRL', type = '2',
side = '1', price = 100e5, order_qty = 1e8)
self.o2 = Order( user_id = self.user_b.id,account_id = self.user_b.account_id, user = self.user_b,
client_order_id = '102', symbol = 'BTCBRL', type = '2',
side = '1', price = 99e5, order_qty = 2e8)
self.o3 = Order( user_id = self.user_c.id,account_id = self.user_c.account_id, user = self.user_c,
client_order_id = '103', symbol = 'BTCBRL', type = '2',
side = '1', price = 98e5, order_qty = 5e8)
# SELL
self.o4 = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '104', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 5e8)
self.o5 = Order( user_id = self.user_e.id,account_id = self.user_e.account_id, user = self.user_e,
client_order_id = '105', symbol = 'BTCBRL', type = '2',
side = '2', price = 102e5, order_qty = 2e8)
self.o6 = Order( user_id = self.user_f.id,account_id = self.user_f.account_id, user = self.user_f,
client_order_id = '106', symbol = 'BTCBRL', type = '2',
side = '2', price = 103e5, order_qty = 1e8)
self.session.add( self.o1 )
self.session.add( self.o2 )
self.session.add( self.o3 )
self.session.add( self.o4 )
self.session.add( self.o5 )
self.session.add( self.o6 )
self.session.commit()
self.execution_reports = []
self.execution_reports_by_order_client_id_dict = {}
execution_report_signal.connect(self.onExecReport)
class TestOrderMatcher(unittest.TestCase):
def setUp(self):
engine = create_engine('sqlite:///:memory:', echo=False)
Base.metadata.create_all(engine)
self.session = scoped_session(sessionmaker(bind=engine))
self.user_a = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_b = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_c = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_d = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_e = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_f = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.session.add( self.user_a )
self.session.add( self.user_b )
self.session.add( self.user_c )
self.session.add( self.user_d )
self.session.add( self.user_e )
self.session.add( self.user_f )
self.session.commit()
self.om = OrderMatcher('BTCBRL')
# BUY
self.o1 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '101', symbol = 'BTCBRL', type = '2',
side = '1', price = 100e5, order_qty = 1e8)
self.o2 = Order( user_id = self.user_b.id,account_id = self.user_b.account_id, user = self.user_b,
client_order_id = '102', symbol = 'BTCBRL', type = '2',
side = '1', price = 99e5, order_qty = 2e8)
self.o3 = Order( user_id = self.user_c.id,account_id = self.user_c.account_id, user = self.user_c,
client_order_id = '103', symbol = 'BTCBRL', type = '2',
side = '1', price = 98e5, order_qty = 5e8)
# SELL
self.o4 = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '104', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 5e8)
self.o5 = Order( user_id = self.user_e.id,account_id = self.user_e.account_id, user = self.user_e,
client_order_id = '105', symbol = 'BTCBRL', type = '2',
side = '2', price = 102e5, order_qty = 2e8)
self.o6 = Order( user_id = self.user_f.id,account_id = self.user_f.account_id, user = self.user_f,
client_order_id = '106', symbol = 'BTCBRL', type = '2',
side = '2', price = 103e5, order_qty = 1e8)
self.session.add( self.o1 )
self.session.add( self.o2 )
self.session.add( self.o3 )
self.session.add( self.o4 )
self.session.add( self.o5 )
self.session.add( self.o6 )
self.session.commit()
self.execution_reports = []
self.execution_reports_by_order_client_id_dict = {}
execution_report_signal.connect(self.onExecReport)
def get_total_executed_brl(self, client_order_id):
total_executed_brl = 0
if client_order_id not in self.execution_reports_by_order_client_id_dict:
return total_executed_brl
for rpt in self.execution_reports_by_order_client_id_dict[client_order_id]:
total_executed_brl += int ( float(rpt.last_price) * float( rpt.last_shares) / 1.e8 )
return total_executed_brl
def onExecReport(self, sender, rpt):
self.execution_reports.append(rpt)
if rpt.execution_type in ('1', '2'):
if rpt.client_order_id not in self.execution_reports_by_order_client_id_dict:
self.execution_reports_by_order_client_id_dict[rpt.client_order_id] = []
self.execution_reports_by_order_client_id_dict[rpt.client_order_id].append(rpt)
def testExecutionOrderWithoutEnoughBTCToSell(self):
""" user trying to buy from another user who doesn't have enough btc to sell in his portfolio """
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_h, 1BTC and 250 BRL on his account
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=1e8, balance_brl=250e5 )
self.session.add( self.user_h )
self.session.commit()
# user_h [o7] will place an sell order of 2 BTC @ $100
o7 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 3e8)
self.session.add( o7 )
self.session.commit()
self.om.match(self.session, o7 )
o8 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '108', symbol = 'BTCBRL', type = '2',
side = '1', price = 102e5, order_qty = 7e8)
self.session.add( o8 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, o8 )
# let's have user_a buying 7 BTC @ 102
# it should execute:
# 5 BTC from o4 ( fully execution )
# 1 BTC from o7
# o7 should be canceled
# 1 BTC from o5
self.assertEqual( 7e8, o8.cum_qty )
self.assertEqual( 0 , o8.leaves_qty)
self.assertEqual( 0 , o8.cxl_qty)
self.assertEqual('2' , o8.status)
self.assertEqual( 0 , self.o4.leaves_qty)
self.assertEqual( self.o4.order_qty , self.o4.cum_qty)
self.assertEqual( '2' , self.o4.status)
self.assertEqual( 1e8 , self.o5.leaves_qty)
self.assertEqual( 1e8 , self.o5.cum_qty)
self.assertEqual( '1' , self.o5.status)
self.assertEqual( 1e8, o7.cum_qty )
self.assertEqual( 2e8, o7.cxl_qty )
self.assertEqual( 0 , o7.leaves_qty)
self.assertEqual('4' , o7.status)
self.assertEqual( 27e8, self.user_a.balance_btc)
self.assertEqual( 15e8, self.user_d.balance_btc)
self.assertEqual( 19e8, self.user_e.balance_btc)
self.assertEqual( 0, self.user_h.balance_btc)
self.assertEqual(1000e5 - (self.get_total_executed_brl( "101" ) + self.get_total_executed_brl( "108" )), self.user_a.balance_brl )
self.assertEqual(1000e5 + self.get_total_executed_brl( "104" ), self.user_d.balance_brl )
self.assertEqual(1000e5 + self.get_total_executed_brl( "105" ), self.user_e.balance_brl )
self.assertEqual(250e5 + self.get_total_executed_brl( "107" ), self.user_h.balance_brl )
def testSellingBTCtoAnotherUserWhoDoesntHaveCash(self):
# user_h, has 1BTC and 250BRL
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=1e8, balance_brl=250e5 )
self.session.add( self.user_h )
self.session.commit()
# user_h sends 3 buy orders of 1 BTC @ 200BRL
oh1 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '1081', symbol = 'BTCBRL', type = '2',
side = '1', price = 200e5, order_qty = 1e8)
oh2 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '1082', symbol = 'BTCBRL', type = '2',
side = '1', price = 200e5, order_qty = 1e8)
oh3 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '1083', symbol = 'BTCBRL', type = '2',
side = '1', price = 200e5, order_qty = 1e8)
self.session.add( oh1 )
self.session.add( oh2 )
self.session.add( oh3 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, oh1 )
self.om.match(self.session, oh2 )
self.om.match(self.session, oh3 )
self.assertEqual( 0, len(self.om.sell_side) )
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual('0' , oh1.status)
self.assertEqual('0' , oh2.status)
self.assertEqual('0' , oh3.status)
# user_i has 20BTC and 250BRL
self.user_i = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=250e5 )
self.session.add( self.user_i )
self.session.commit()
# user_i will sell 10 BTC @ 200 BRL
oi1 = Order( user_id = self.user_i.id,account_id = self.user_i.account_id, user = self.user_i,
client_order_id = '1091', symbol = 'BTCBRL', type = '2',
side = '2', price = 200e5, order_qty = 10e8)
self.session.add( oi1 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, oi1 )
self.assertEqual( 1, len(self.om.sell_side) )
self.assertEqual( 0, len(self.om.buy_side) )
print oh1
print oh2
print oh3
print self.user_h
print self.user_i
self.assertEqual('2' , oh1.status)
self.assertEqual('4' , oh2.status)
self.assertEqual('4' , oh3.status)
self.assertEqual('1' , oi1.status)
def testUserSellingWithoutEnoughBTC_1(self):
"""user without enough money trying to buy more BTC he can possible byu. """
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_h, 4BTC and 0BRL on his account
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=4e8, balance_brl=0 )
self.session.add( self.user_h )
self.session.commit()
# user_h [o7] Selling 6 BTC @ R$ 98 to user_a [self.o4]
# but user_h has only 4 BTC to sell
o7 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '2', price = 98e5, order_qty = 6e8)
self.session.add( o7 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, o7 )
self.assertEqual( 4e8, o7.cum_qty )
self.assertEqual( 0 , o7.leaves_qty)
self.assertEqual( 2e8, o7.cxl_qty)
self.assertEqual('4' , o7.status)
self.assertEqual(98e5 ,o7.last_price)
self.assertEqual( 1e8, self.o1.cum_qty )
self.assertEqual( 0 , self.o1.leaves_qty)
self.assertEqual( 0 , self.o1.cxl_qty)
self.assertEqual('2' , self.o1.status)
self.assertEqual(100e5,self.o1.last_price)
self.assertEqual( 2e8, self.o2.cum_qty )
self.assertEqual( 0, self.o2.leaves_qty)
self.assertEqual( 0 , self.o2.cxl_qty)
self.assertEqual('2' , self.o2.status)
self.assertEqual(99e5, self.o2.last_price)
self.assertEqual( 1e8, self.o3.cum_qty )
self.assertEqual( 4e8, self.o3.leaves_qty)
self.assertEqual( 0 , self.o3.cxl_qty)
self.assertEqual('1' , self.o3.status)
self.assertEqual(98e5, self.o3.last_price)
self.assertEqual( 21e8, self.user_a.balance_btc)
self.assertEqual( 22e8, self.user_b.balance_btc)
self.assertEqual( 21e8, self.user_c.balance_btc)
self.assertEqual( 0, self.user_h.balance_btc)
self.assertEqual(1000e5 - self.get_total_executed_brl( "101" ), self.user_a.balance_brl )
self.assertEqual(1000e5 - self.get_total_executed_brl( "102" ), self.user_b.balance_brl )
self.assertEqual(1000e5 - self.get_total_executed_brl( "103" ), self.user_c.balance_brl )
self.assertEqual(self.get_total_executed_brl( "107" ), self.user_h.balance_brl )
def testUserSellingWithoutEnoughBTC_2(self):
"""user without enough money trying to buy more BTC he can possible byu. """
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_h, 4BTC and 0BRL on his account
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=3e8, balance_brl=0 )
self.session.add( self.user_h )
self.session.commit()
# user_h [o7] Selling 6 BTC @ R$ 98 to user_a [self.o4]
# but user_h has only 4 BTC to sell
o7 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '2', price = 98e5, order_qty = 6e8)
self.session.add( o7 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, o7 )
self.assertEqual( 3e8, o7.cum_qty )
self.assertEqual( 0 , o7.leaves_qty)
self.assertEqual( 3e8, o7.cxl_qty)
self.assertEqual('4' , o7.status)
self.assertEqual(99e5 ,o7.last_price)
self.assertEqual( 1e8, self.o1.cum_qty )
self.assertEqual( 0 , self.o1.leaves_qty)
self.assertEqual( 0 , self.o1.cxl_qty)
self.assertEqual('2' , self.o1.status)
self.assertEqual(100e5,self.o1.last_price)
self.assertEqual( 2e8, self.o2.cum_qty )
self.assertEqual( 0, self.o2.leaves_qty)
self.assertEqual( 0 , self.o2.cxl_qty)
self.assertEqual('2' , self.o2.status)
self.assertEqual(99e5, self.o2.last_price)
self.assertEqual( 0e8, self.o3.cum_qty )
self.assertEqual( 5e8, self.o3.leaves_qty)
self.assertEqual( 0 , self.o3.cxl_qty)
self.assertEqual('0' , self.o3.status)
self.assertEqual( 21e8, self.user_a.balance_btc)
self.assertEqual( 22e8, self.user_b.balance_btc)
self.assertEqual( 20e8, self.user_c.balance_btc)
self.assertEqual( 0, self.user_h.balance_btc)
self.assertEqual(1000e5 - self.get_total_executed_brl( "101" ), self.user_a.balance_brl )
self.assertEqual(1000e5 - self.get_total_executed_brl( "102" ), self.user_b.balance_brl )
self.assertEqual(1000e5 - self.get_total_executed_brl( "103" ), self.user_c.balance_brl )
self.assertEqual(self.get_total_executed_brl( "107" ), self.user_h.balance_brl )
def testUserBuyingWithoutBRL(self):
"""user without enough money trying to buy more BTC he can possible byu. """
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_h, 0 BTC and 0 BRL on his account
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=0, balance_brl=0 )
self.session.add( self.user_h )
self.session.commit()
# user_h [o7] send a buy order of 5 BTC @ $105.
# o7 would match o4, o5 and o6 if user_h had money, but since he doesn't o7 should be fully cancelled
# and o4,5,6 should remain intact
o7 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 105e5, order_qty = 10e8)
self.session.add( o7 )
self.session.commit()
self.execution_reports = []
self.om.match(self.session, o7 )
self.assertEqual( 3, len(self.om.sell_side) )
self.assertEqual( "0" , self.o4.status )
self.assertEqual( 0 , self.o4.last_price )
self.assertEqual( 0 , self.o4.cum_qty )
self.assertEqual( self.o4.order_qty , self.o4.leaves_qty )
self.assertEqual( "0" , self.o5.status )
self.assertEqual( 0 , self.o5.last_price )
self.assertEqual( 0 , self.o5.cum_qty )
self.assertEqual( self.o5.order_qty , self.o5.leaves_qty )
self.assertEqual( "0" , self.o6.status )
self.assertEqual( 0 , self.o6.last_price )
self.assertEqual( 0 , self.o6.cum_qty )
self.assertEqual( self.o6.order_qty , self.o6.leaves_qty )
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual( "4" , o7.status )
self.assertEqual( 0 , o7.last_price )
self.assertEqual( 0 , o7.cum_qty )
self.assertEqual( o7.order_qty , o7.cxl_qty )
def testUserBuyingWithoutEnoughBRL(self):
"""user without enough money trying to buy more BTC he can possible byu. """
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_h, 0 BTC and 250 BRL on his account
self.user_h = User( username='******', email='*****@*****.**', password ='******',
balance_btc=0, balance_brl=250e5 )
self.session.add( self.user_h )
self.session.commit()
# user_h [o7] buying 3 BTC @ $101 from user_d [self.o4], total value is $303
# but user_h has only $250 BRL, and no BTC at all
o7 = Order( user_id = self.user_h.id,account_id = self.user_h.account_id, user = self.user_h,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 101e5, order_qty = 3e8)
self.session.add( o7 )
self.session.commit()
user_h_initial_balance_brl = self.user_h.balance_brl
user_h_initial_balance_btc = self.user_h.balance_btc
user_d_initial_balance_brl = self.user_d.balance_brl
user_d_initial_balance_btc = self.user_d.balance_btc
execution_total_brl = (o7.price * o7.order_qty) / 1e8
execution_total_btc = o7.order_qty
if execution_total_brl > self.user_h.balance_brl:
execution_total_btc = int( float(self.user_h.balance_brl) / float(o7.price) * 1e8)
execution_total_brl = int( float(o7.price) * float(execution_total_btc)/1e8 )
self.execution_reports = []
self.om.match(self.session, o7 )
user_h_expected_balance_brl = user_h_initial_balance_brl - execution_total_brl
user_h_expected_balance_btc = user_h_initial_balance_btc + execution_total_btc
user_d_expected_balance_brl = user_d_initial_balance_brl + execution_total_brl
user_d_expected_balance_btc = user_d_initial_balance_btc - execution_total_btc
self.assertEqual( user_h_expected_balance_btc, self.user_h.balance_btc )
self.assertEqual( user_d_expected_balance_btc, self.user_d.balance_btc )
self.assertEqual( user_h_expected_balance_brl, self.user_h.balance_brl )
self.assertEqual( user_d_expected_balance_brl, self.user_d.balance_brl )
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual( 3, len(self.om.sell_side) )
self.assertEqual( "1" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( execution_total_btc , self.o4.cum_qty )
self.assertEqual( self.o4.order_qty - self.o4.cum_qty , self.o4.leaves_qty )
self.assertEqual( "4" , o7.status )
self.assertEqual( 101e5 , o7.last_price )
self.assertEqual( execution_total_btc , o7.cum_qty )
self.assertEqual( 0 , o7.leaves_qty)
self.assertEqual( o7.order_qty - o7.cum_qty, o7.cxl_qty)
self.assertEqual( len(self.execution_reports) , 4 )
def testUserUpdateBalance(self):
self.om.match(self.session, self.o1 )
self.om.match(self.session, self.o2 )
self.om.match(self.session, self.o3 )
self.om.match(self.session, self.o4 )
self.om.match(self.session, self.o5 )
self.om.match(self.session, self.o6 )
# user_a [o7] buying 3 BTC @ $101 from user_d [self.o4]
o7 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 101e5, order_qty = 3e8)
self.session.add( o7 )
self.session.commit()
user_a_initial_balance_brl = self.user_a.balance_brl
user_a_initial_balance_btc = self.user_a.balance_btc
user_d_initial_balance_brl = self.user_d.balance_brl
user_d_initial_balance_btc = self.user_d.balance_btc
execution_total_brl = (o7.price * o7.order_qty) / 1e8
self.om.match(self.session, o7 )
user_a_expected_balance_brl = user_a_initial_balance_brl - execution_total_brl
user_a_expected_balance_btc = user_a_initial_balance_btc + o7.order_qty
user_d_expected_balance_brl = user_d_initial_balance_brl + execution_total_brl
user_d_expected_balance_btc = user_d_initial_balance_btc - o7.order_qty
self.assertEqual( user_a_expected_balance_brl, self.user_a.balance_brl )
self.assertEqual( user_a_expected_balance_btc, self.user_a.balance_btc )
self.assertEqual( user_d_expected_balance_brl, self.user_d.balance_brl )
self.assertEqual( user_d_expected_balance_btc, self.user_d.balance_btc )
def testSameClientWithBestOfferAndAsk(self):
o1 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 100e5, order_qty = 1e8)
o2 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 1e8)
self.session.add( o1 )
self.session.add( o2 )
self.session.commit()
self.om.match(self.session, o1 )
self.om.match(self.session, o2 )
self.assertEqual( 1, len(self.om.buy_side) )
self.assertEqual( 1, len(self.om.sell_side) )
def testSendBuyOrdersWithoutExecution (self):
o = self.o1
self.om.match(self.session, o)
self.assertEqual( 1, len(self.om.buy_side) )
self.assertEqual( '0' , o.status )
self.assertEqual( 0 , o.cum_qty)
self.assertEqual( o.order_qty , o.leaves_qty)
self.assertEqual( len(self.execution_reports) , 1 )
rpt = self.execution_reports[0]
self.assertEqual( o.id , rpt.order_id )
self.assertEqual( '0' , rpt.execution_type )
self.assertEqual( '0' , rpt.order_status )
self.execution_reports = []
self.om.match(self.session, self.o2)
self.assertEqual( 2, len(self.om.buy_side) )
self.om.match(self.session, self.o3)
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual( len(self.execution_reports) , 2 )
rpt = self.execution_reports[0]
o = self.o2
self.assertEqual( '0' , o.status )
self.assertEqual( 0 , o.cum_qty)
self.assertEqual( o.order_qty , o.leaves_qty)
self.assertEqual( o.id , rpt.order_id )
self.assertEqual( '0' , rpt.execution_type )
self.assertEqual( '0' , rpt.order_status )
rpt = self.execution_reports[1]
o = self.o3
self.assertEqual( '0' , o.status )
self.assertEqual( 0 , o.cum_qty)
self.assertEqual( o.order_qty , o.leaves_qty)
self.assertEqual( o.id , rpt.order_id )
self.assertEqual( '0' , rpt.execution_type )
self.assertEqual( '0' , rpt.order_status )
class TestExecutions(unittest.TestCase):
def setUp(self):
engine = create_engine('sqlite:///:memory:', echo=False)
Base.metadata.create_all(engine)
self.session = scoped_session(sessionmaker(bind=engine))
self.user_a = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_b = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_c = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_d = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_e = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_f = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_g = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.session.add( self.user_a )
self.session.add( self.user_b )
self.session.add( self.user_c )
self.session.add( self.user_d )
self.session.add( self.user_e )
self.session.add( self.user_f )
self.session.add( self.user_g )
self.session.commit()
self.om = OrderMatcher('BTCBRL')
# BUY
self.o1 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '101', symbol = 'BTCBRL', type = '2',
side = '1', price = 100e5, order_qty = 1e8)
self.o2 = Order( user_id = self.user_b.id,account_id = self.user_b.account_id, user = self.user_b,
client_order_id = '102', symbol = 'BTCBRL', type = '2',
side = '1', price = 99e5, order_qty = 2e8)
self.o3 = Order( user_id = self.user_c.id,account_id = self.user_c.account_id, user = self.user_c,
client_order_id = '103', symbol = 'BTCBRL', type = '2',
side = '1', price = 98e5, order_qty = 5e8)
# SELL
self.o4 = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '104', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 5e8)
self.o5 = Order( user_id = self.user_e.id,account_id = self.user_e.account_id, user = self.user_e,
client_order_id = '105', symbol = 'BTCBRL', type = '2',
side = '2', price = 102e5, order_qty = 2e8)
self.o6 = Order( user_id = self.user_f.id,account_id = self.user_f.account_id, user = self.user_f,
client_order_id = '106', symbol = 'BTCBRL', type = '2',
side = '2', price = 103e5, order_qty = 1e8)
self.session.add( self.o1 )
self.session.add( self.o2 )
self.session.add( self.o3 )
self.session.add( self.o4 )
self.session.add( self.o5 )
self.session.add( self.o6 )
self.session.commit()
self.om.match(self.session, self.o1)
self.om.match(self.session, self.o2)
self.om.match(self.session, self.o3)
self.om.match(self.session, self.o4)
self.om.match(self.session, self.o5)
self.om.match(self.session, self.o6)
self.execution_reports = []
execution_report_signal.connect(self.onExecReport)
def onExecReport(self, sender, rpt):
self.execution_reports.append(rpt)
def test_full_fill_two_orders_and_partially_fill_sending_order(self):
"""create a buy order order that will be partially filled and will fully fill o4 and o5"""
o = Order( user_id = self.user_g.id,account_id = self.user_g.account_id, user = self.user_g,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 102e5, order_qty = 10e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
self.assertEqual( 4, len(self.om.buy_side) )
self.assertEqual( 1, len(self.om.sell_side) )
self.assertEqual( "2" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cum_qty )
self.assertEqual( "2" , self.o5.status )
self.assertEqual( 102e5 , self.o5.last_price )
self.assertEqual( 0 , self.o5.leaves_qty )
self.assertEqual( 2e8 , self.o5.cum_qty )
self.assertEqual( "1" , o.status )
self.assertEqual( 102e5 , o.last_price )
self.assertEqual( 3e8 , o.leaves_qty )
self.assertEqual( 7e8 , o.cum_qty )
self.assertEqual( 5 , len(self.execution_reports) )
self.assertEqual( "107" , self.execution_reports[0].client_order_id )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 10e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "107" , self.execution_reports[1].client_order_id )
self.assertEqual( "1" , self.execution_reports[1].execution_type)
self.assertEqual( 101e5 , self.execution_reports[1].last_price )
self.assertEqual( 5e8 , self.execution_reports[1].last_shares )
self.assertEqual( 5e8 , self.execution_reports[1].leaves_qty )
self.assertEqual( "104" , self.execution_reports[2].client_order_id )
self.assertEqual( "2" , self.execution_reports[2].execution_type)
self.assertEqual( 101e5 , self.execution_reports[2].last_price )
self.assertEqual( 5e8 , self.execution_reports[2].last_shares )
self.assertEqual( 0 , self.execution_reports[2].leaves_qty )
self.assertEqual( "107" , self.execution_reports[3].client_order_id )
self.assertEqual( "1" , self.execution_reports[3].execution_type)
self.assertEqual( 102e5 , self.execution_reports[3].last_price )
self.assertEqual( 2e8 , self.execution_reports[3].last_shares )
self.assertEqual( 3e8 , self.execution_reports[3].leaves_qty )
self.assertEqual( "105" , self.execution_reports[4].client_order_id )
self.assertEqual( "2" , self.execution_reports[4].execution_type)
self.assertEqual( 102e5 , self.execution_reports[4].last_price )
self.assertEqual( 2e8 , self.execution_reports[4].last_shares )
self.assertEqual( 0 , self.execution_reports[4].leaves_qty )
def test_full_fill_one_orders_and_partially_fill_one_order(self):
"""create a buy order order that will be fully filled and will full fill o4 and partially fill o5"""
o = Order( user_id = self.user_g.id,account_id = self.user_g.account_id, user = self.user_g,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 102e5, order_qty = 6e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual( 2, len(self.om.sell_side) )
self.assertEqual( "2" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cum_qty )
self.assertEqual( "1" , self.o5.status )
self.assertEqual( 102e5 , self.o5.last_price )
self.assertEqual( 1e8 , self.o5.leaves_qty )
self.assertEqual( 1e8 , self.o5.cum_qty )
self.assertEqual( "2" , o.status )
self.assertEqual( 102e5 , o.last_price )
self.assertEqual( 0 , o.leaves_qty )
self.assertEqual( 6e8 , o.cum_qty )
self.assertEqual( 5 , len(self.execution_reports) )
self.assertEqual( "107" , self.execution_reports[0].client_order_id )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 6e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "107" , self.execution_reports[1].client_order_id )
self.assertEqual( "1" , self.execution_reports[1].execution_type)
self.assertEqual( 101e5 , self.execution_reports[1].last_price )
self.assertEqual( 5e8 , self.execution_reports[1].last_shares )
self.assertEqual( 1e8 , self.execution_reports[1].leaves_qty )
self.assertEqual( "104" , self.execution_reports[2].client_order_id )
self.assertEqual( "2" , self.execution_reports[2].execution_type)
self.assertEqual( 101e5 , self.execution_reports[2].last_price )
self.assertEqual( 5e8 , self.execution_reports[2].last_shares )
self.assertEqual( 0 , self.execution_reports[2].leaves_qty )
self.assertEqual( "107" , self.execution_reports[3].client_order_id )
self.assertEqual( "2" , self.execution_reports[3].execution_type)
self.assertEqual( 102e5 , self.execution_reports[3].last_price )
self.assertEqual( 1e8 , self.execution_reports[3].last_shares )
self.assertEqual( 0 , self.execution_reports[3].leaves_qty )
self.assertEqual( "105" , self.execution_reports[4].client_order_id )
self.assertEqual( "1" , self.execution_reports[4].execution_type)
self.assertEqual( 102e5 , self.execution_reports[4].last_price )
self.assertEqual( 1e8 , self.execution_reports[4].last_shares )
self.assertEqual( 1e8 , self.execution_reports[4].leaves_qty )
def test_full_fill_one_order_and_partially_fill_the_sending_order(self):
"""create a buy order order that will be fully filled and will full fill o4"""
o = Order( user_id = self.user_g.id,account_id = self.user_g.account_id, user = self.user_g,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 101e5, order_qty = 10e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
self.assertEqual( 4, len(self.om.buy_side) )
self.assertEqual( 2, len(self.om.sell_side) )
self.assertEqual( "2" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cum_qty )
self.assertEqual( "1" , o.status )
self.assertEqual( 101e5 , o.last_price )
self.assertEqual( 5e8 , o.leaves_qty )
self.assertEqual( 5e8 , o.cum_qty )
self.assertEqual( 3 , len(self.execution_reports) )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 10e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "1" , self.execution_reports[1].execution_type)
self.assertEqual( 101e5 , self.execution_reports[1].last_price )
self.assertEqual( 5e8 , self.execution_reports[1].last_shares )
self.assertEqual( 5e8 , self.execution_reports[1].leaves_qty )
self.assertEqual( "2" , self.execution_reports[2].execution_type)
self.assertEqual( 101e5 , self.execution_reports[2].last_price )
self.assertEqual( 5e8 , self.execution_reports[2].last_shares )
self.assertEqual( 0 , self.execution_reports[2].leaves_qty )
def test_partial_fill_one_order_and_fully_fill_the_sending_order(self):
"""create a buy order order that will be fully filled and will partially fill o4"""
o = Order( user_id = self.user_g.id,account_id = self.user_g.account_id, user = self.user_g,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 101e5, order_qty = 1e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
self.assertEqual( 3, len(self.om.buy_side) )
self.assertEqual( 3, len(self.om.sell_side) )
self.assertEqual( "1" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( 4e8 , self.o4.leaves_qty )
self.assertEqual( 1e8 , self.o4.cum_qty )
self.assertEqual( "2" , o.status )
self.assertEqual( 101e5 , o.last_price )
self.assertEqual( 0 , o.leaves_qty )
self.assertEqual( 1e8 , o.cum_qty )
self.assertEqual( 3 , len(self.execution_reports) )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 1e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "2" , self.execution_reports[1].execution_type)
self.assertEqual( 101e5 , self.execution_reports[1].last_price )
self.assertEqual( 1e8 , self.execution_reports[1].last_shares )
self.assertEqual( 0 , self.execution_reports[1].leaves_qty )
self.assertEqual( "1" , self.execution_reports[2].execution_type)
self.assertEqual( 101e5 , self.execution_reports[2].last_price )
self.assertEqual( 1e8 , self.execution_reports[2].last_shares )
self.assertEqual( 4e8 , self.execution_reports[2].leaves_qty )
class TestForbiddenExecutions(unittest.TestCase):
def setUp(self):
engine = create_engine('sqlite:///:memory:', echo=False)
Base.metadata.create_all(engine)
self.session = scoped_session(sessionmaker(bind=engine))
self.user_a = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_b = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_c = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_d = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_e = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.user_f = User( username='******', email='*****@*****.**', password ='******',
balance_btc=20e8, balance_brl=1000e5 )
self.session.add( self.user_a )
self.session.add( self.user_b )
self.session.add( self.user_c )
self.session.add( self.user_d )
self.session.add( self.user_e )
self.session.add( self.user_f )
self.session.commit()
self.om = OrderMatcher('BTCBRL')
# BUY
self.o1 = Order( user_id = self.user_a.id,account_id = self.user_a.account_id, user = self.user_a,
client_order_id = '101', symbol = 'BTCBRL', type = '2',
side = '1', price = 100e5, order_qty = 1e8)
self.o2 = Order( user_id = self.user_b.id,account_id = self.user_b.account_id, user = self.user_b,
client_order_id = '102', symbol = 'BTCBRL', type = '2',
side = '1', price = 99e5, order_qty = 2e8)
self.o3 = Order( user_id = self.user_c.id,account_id = self.user_c.account_id, user = self.user_c,
client_order_id = '103', symbol = 'BTCBRL', type = '2',
side = '1', price = 98e5, order_qty = 5e8)
# SELL
self.o4 = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '104', symbol = 'BTCBRL', type = '2',
side = '2', price = 101e5, order_qty = 5e8)
self.o5 = Order( user_id = self.user_e.id,account_id = self.user_e.account_id, user = self.user_e,
client_order_id = '105', symbol = 'BTCBRL', type = '2',
side = '2', price = 102e5, order_qty = 2e8)
self.o6 = Order( user_id = self.user_f.id,account_id = self.user_f.account_id, user = self.user_f,
client_order_id = '106', symbol = 'BTCBRL', type = '2',
side = '2', price = 103e5, order_qty = 1e8)
self.session.add( self.o1 )
self.session.add( self.o2 )
self.session.add( self.o3 )
self.session.add( self.o4 )
self.session.add( self.o5 )
self.session.add( self.o6 )
self.session.commit()
self.om.match(self.session,self.o1)
self.om.match(self.session,self.o2)
self.om.match(self.session,self.o3)
self.om.match(self.session,self.o4)
self.om.match(self.session,self.o5)
self.om.match(self.session,self.o6)
self.execution_reports = []
execution_report_signal.connect(self.onExecReport)
def onExecReport(self, sender, rpt):
self.execution_reports.append(rpt)
def test_self_execute(self):
"""Send a buy order that would execute an sell order from the same client. The counter order should be cancelled"""
o = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 101e5, order_qty = 6e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
self.assertEqual( "4" , self.o4.status )
self.assertEqual( 0 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cxl_qty )
self.assertEqual( "0" , o.status )
self.assertEqual( 0 , o.last_price )
self.assertEqual( 6e8 , o.leaves_qty )
self.assertEqual( 0 , o.cxl_qty )
self.assertEqual( 4, len(self.om.buy_side) )
self.assertEqual( 2, len(self.om.sell_side) )
self.assertEqual( 2 , len(self.execution_reports) )
self.assertEqual( "107" , self.execution_reports[0].client_order_id )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 6e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "104" , self.execution_reports[1].client_order_id )
self.assertEqual( "4" , self.execution_reports[1].execution_type )
self.assertEqual( 0 , self.execution_reports[1].last_price )
self.assertEqual( 0 , self.execution_reports[1].leaves_qty )
def test_cancel_counter_order_and_execute_next(self):
"""Send a buy order that would execute an sell order from the same client. The sending order should be cancelled"""
o = Order( user_id = self.user_d.id,account_id = self.user_d.account_id, user = self.user_d,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 102e5, order_qty = 6e8)
self.session.add( o )
self.session.commit()
# this order should cause
# self.o4 should be cancelled
# self.o5 should be fully executed
# o should be partially filled
self.om.match(self.session, o)
self.assertEqual( "4" , self.o4.status )
self.assertEqual( 0 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cxl_qty )
self.assertEqual( 0 , self.o4.cum_qty )
self.assertEqual( "2" , self.o5.status )
self.assertEqual( 102e5 , self.o5.last_price )
self.assertEqual( 0 , self.o5.leaves_qty )
self.assertEqual( 0 , self.o5.cxl_qty )
self.assertEqual( 2e8 , self.o5.cum_qty)
self.assertEqual( "1" , o.status )
self.assertEqual( 102e5 , o.last_price )
self.assertEqual( 4e8 , o.leaves_qty )
self.assertEqual( 0 , o.cxl_qty )
self.assertEqual( 2e8 , o.cum_qty)
self.assertEqual( 4, len(self.om.buy_side) )
self.assertEqual( 1, len(self.om.sell_side) )
self.assertEqual( 4 , len(self.execution_reports) )
self.assertEqual( "107" , self.execution_reports[0].client_order_id )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 6e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "104" , self.execution_reports[1].client_order_id )
self.assertEqual( "4" , self.execution_reports[1].execution_type )
self.assertEqual( 0 , self.execution_reports[1].last_price )
self.assertEqual( 0 , self.execution_reports[1].last_shares )
self.assertEqual( 0 , self.execution_reports[1].leaves_qty )
self.assertEqual( 5e8 , self.execution_reports[1].cxl_qty )
self.assertEqual( "107" , self.execution_reports[2].client_order_id )
self.assertEqual( "1" , self.execution_reports[2].execution_type )
self.assertEqual( 102e5 , self.execution_reports[2].last_price )
self.assertEqual( 2e8 , self.execution_reports[2].last_shares )
self.assertEqual( 4e8 , self.execution_reports[2].leaves_qty )
self.assertEqual( "105" , self.execution_reports[3].client_order_id )
self.assertEqual( "2" , self.execution_reports[3].execution_type )
self.assertEqual( 102e5 , self.execution_reports[3].last_price )
self.assertEqual( 2e8 , self.execution_reports[3].last_shares )
self.assertEqual( 0 , self.execution_reports[3].leaves_qty )
def test_fill_one_order_and_self_execute(self):
"""Send a buy order that will fill o4, but
that order would also try to match o5, but o5 belong to the same client."""
# o4 will be fully matched
# o5 will be cancelled
# o will be partially filled.
o = Order( user_id = self.user_e.id,account_id = self.user_e.account_id, user = self.user_e,
client_order_id = '107', symbol = 'BTCBRL', type = '2',
side = '1', price = 102e5, order_qty = 6e8)
self.session.add( o )
self.session.commit()
self.om.match(self.session, o)
# o4 was fully filled
self.assertEqual( "2" , self.o4.status )
self.assertEqual( 101e5 , self.o4.last_price )
self.assertEqual( 0 , self.o4.leaves_qty )
self.assertEqual( 5e8 , self.o4.cum_qty )
# make sure o5 was cancelled
self.assertEqual( "4" , self.o5.status )
self.assertEqual( 0 , self.o5.last_price )
self.assertEqual( 0 , self.o5.leaves_qty )
self.assertEqual( 0 , self.o5.cum_qty )
self.assertEqual( 2e8 , self.o5.cxl_qty )
# order was partially filled and cancelled after.
self.assertEqual( "1" , o.status )
self.assertEqual( 101e5 , o.last_price )
self.assertEqual( 1e8 , o.leaves_qty )
self.assertEqual( 5e8 , o.last_qty )
self.assertEqual( 0 , o.cxl_qty )
self.assertEqual( 4, len(self.om.buy_side) )
self.assertEqual( 1, len(self.om.sell_side) )
self.assertEqual( 4 , len(self.execution_reports) )
self.assertEqual( "107" , self.execution_reports[0].client_order_id )
self.assertEqual( "0" , self.execution_reports[0].execution_type )
self.assertEqual( 0 , self.execution_reports[0].last_price )
self.assertEqual( 6e8 , self.execution_reports[0].leaves_qty )
self.assertEqual( "107" , self.execution_reports[1].client_order_id )
self.assertEqual( "1" , self.execution_reports[1].execution_type )
self.assertEqual( 101e5 , self.execution_reports[1].last_price )
self.assertEqual( 5e8 , self.execution_reports[1].last_shares )
self.assertEqual( 1e8 , self.execution_reports[1].leaves_qty )
self.assertEqual( "104" , self.execution_reports[2].client_order_id )
self.assertEqual( "2" , self.execution_reports[2].execution_type )
self.assertEqual( 101e5 , self.execution_reports[2].last_price )
self.assertEqual( 5e8 , self.execution_reports[2].last_shares )
self.assertEqual( 0 , self.execution_reports[2].leaves_qty )
self.assertEqual( "105" , self.execution_reports[3].client_order_id )
self.assertEqual( "4" , self.execution_reports[3].execution_type )
self.assertEqual( 0 , self.execution_reports[3].last_price )
self.assertEqual( 0 , self.execution_reports[3].last_shares )
self.assertEqual( 0 , self.execution_reports[3].leaves_qty )
self.assertEqual( 2e8 , self.execution_reports[3].cxl_qty )