def test_cancel_order(self):
me = lme.LightMatchingEngine()
# Place a buy order
order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.check_order(order, 1, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.BUY, 0, TestBasicOrders.lot_size)
# Cancel a buy order
del_order = me.cancel_order(order.order_id, TestBasicOrders.instmt)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.check_deleted_order(order, del_order)
# Place a sell order
order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
TestBasicOrders.lot_size, \
lme.Side.SELL)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 0, 1)
self.check_order(order, 2, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.SELL, 0, TestBasicOrders.lot_size)
# Cancel a sell order
del_order = me.cancel_order(order.order_id, TestBasicOrders.instmt)
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.check_deleted_order(order, del_order)
def test_fill_order(self):
me = lme.LightMatchingEngine()
# Place a buy order
buy_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.check_order(buy_order, 1, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.BUY, 0, TestBasicOrders.lot_size)
# Place a sell order
sell_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
TestBasicOrders.lot_size, \
lme.Side.SELL)
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.assertEqual(2, len(trades))
self.check_order(buy_order, 1, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.BUY, TestBasicOrders.lot_size, 0)
self.check_order(sell_order, 2, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.SELL, TestBasicOrders.lot_size, 0)
# Check trades
self.check_trade(trades[0], sell_order.order_id, sell_order.instmt, \
sell_order.price, sell_order.qty, sell_order.side, 1)
self.check_trade(trades[1], buy_order.order_id, buy_order.instmt, \
buy_order.price, buy_order.qty, buy_order.side, 2)
def test_cancel_partial_fill_orders(self):
me = lme.LightMatchingEngine()
# Place a buy order
buy1_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price + 0.1, \
TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.check_order(buy1_order, 1, TestBasicOrders.instmt, TestBasicOrders.price + 0.1, \
TestBasicOrders.lot_size, lme.Side.BUY, 0, TestBasicOrders.lot_size)
# Place a buy order
buy2_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
2 * TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 2, 0)
self.check_order(buy2_order, 2, TestBasicOrders.instmt, TestBasicOrders.price, \
2 * TestBasicOrders.lot_size, lme.Side.BUY, 0, 2 * TestBasicOrders.lot_size)
# Place a sell order
sell_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
2 * TestBasicOrders.lot_size, \
lme.Side.SELL)
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.assertEqual(4, len(trades))
self.check_order(buy1_order, 1, TestBasicOrders.instmt, TestBasicOrders.price + 0.1, \
TestBasicOrders.lot_size, lme.Side.BUY, TestBasicOrders.lot_size, 0)
self.check_order(buy2_order, 2, TestBasicOrders.instmt, TestBasicOrders.price, \
2*TestBasicOrders.lot_size, lme.Side.BUY, TestBasicOrders.lot_size, TestBasicOrders.lot_size)
self.check_order(sell_order, 3, TestBasicOrders.instmt, TestBasicOrders.price, \
2*TestBasicOrders.lot_size, lme.Side.SELL, 2*TestBasicOrders.lot_size, 0)
# Check trades
self.check_trade(trades[0], sell_order.order_id, sell_order.instmt, \
TestBasicOrders.price + 0.1, TestBasicOrders.lot_size, sell_order.side, 1)
self.check_trade(trades[1], buy1_order.order_id, buy1_order.instmt, \
TestBasicOrders.price + 0.1, TestBasicOrders.lot_size, buy1_order.side, 2)
self.check_trade(trades[2], sell_order.order_id, sell_order.instmt, \
TestBasicOrders.price, TestBasicOrders.lot_size, sell_order.side, 3)
self.check_trade(trades[3], buy2_order.order_id, buy1_order.instmt, \
TestBasicOrders.price, TestBasicOrders.lot_size, buy2_order.side, 4)
# Cancel the second order
del_order = me.cancel_order(buy2_order.order_id,
TestBasicOrders.instmt)
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.check_deleted_order(buy2_order, del_order)
def test_fill_multiple_orders_same_level_market_order(self):
me = lme.LightMatchingEngine()
# Place buy orders
for i in range(1, 11):
buy_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price, \
TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.assertEqual(
i,
len(me.order_books[TestBasicOrders.instmt].bids[
TestBasicOrders.price]))
self.check_order(buy_order, i, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.BUY, 0, TestBasicOrders.lot_size)
# Place sell orders
sell_order, trades = me.add_order(TestBasicOrders.instmt, \
0, \
10.0 * TestBasicOrders.lot_size, \
lme.Side.SELL)
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.assertEqual(11, len(trades))
self.check_order(buy_order, 10, TestBasicOrders.instmt, TestBasicOrders.price, \
TestBasicOrders.lot_size, lme.Side.BUY, TestBasicOrders.lot_size, 0)
self.check_order(sell_order, 11, TestBasicOrders.instmt, 0, \
10*TestBasicOrders.lot_size, lme.Side.SELL, 10*TestBasicOrders.lot_size, 0)
# Check aggressive hit orders - Trade price is same as the passive hit limit price
self.check_trade(trades[0], sell_order.order_id, sell_order.instmt, \
buy_order.price, sell_order.qty, sell_order.side, 1)
# Check passive hit orders
for i in range(1, 11):
self.check_trade(trades[i], i, buy_order.instmt, \
buy_order.price, buy_order.qty, buy_order.side, i+1)
def test_fill_multiple_orders_different_level_market_order(self):
me = lme.LightMatchingEngine()
# Place buy orders
for i in range(1, 11):
buy_order, trades = me.add_order(TestBasicOrders.instmt, \
TestBasicOrders.price+i, \
TestBasicOrders.lot_size, \
lme.Side.BUY)
self.assertEqual(0, len(trades))
self.check_order_book(me, TestBasicOrders.instmt, i, 0)
self.assertEqual(
1,
len(me.order_books[TestBasicOrders.instmt].bids[
TestBasicOrders.price + i]))
self.check_order(buy_order, i, TestBasicOrders.instmt, TestBasicOrders.price+i, \
TestBasicOrders.lot_size, lme.Side.BUY, 0, TestBasicOrders.lot_size)
# Place sell orders
sell_order, trades = me.add_order(TestBasicOrders.instmt, \
0, \
10.0 * TestBasicOrders.lot_size, \
lme.Side.SELL)
self.check_order_book(me, TestBasicOrders.instmt, 0, 0)
self.assertEqual(20, len(trades))
self.check_order(buy_order, 10, TestBasicOrders.instmt, TestBasicOrders.price+10, \
TestBasicOrders.lot_size, lme.Side.BUY, TestBasicOrders.lot_size, 0)
self.check_order(sell_order, 11, TestBasicOrders.instmt, 0, \
10*TestBasicOrders.lot_size, lme.Side.SELL, 10*TestBasicOrders.lot_size, 0)
for i in range(0, 10):
match_price = TestBasicOrders.price + 10 - i
self.check_trade(trades[2*i], sell_order.order_id, sell_order.instmt, \
match_price, TestBasicOrders.lot_size, sell_order.side, 2*i+1)
self.check_trade(trades[2*i+1], 10-i, buy_order.instmt, \
match_price, TestBasicOrders.lot_size, buy_order.side, 2*i+2)
def test_amend_order_price_and_qty(self):
"""Test the amend order price and qty.
1. Place two buy orders on the same price (id = 1 and id = 2)
2. Place two sell orders of which one is 0.1 higher than another
(id = 3 and id = 4).
3. Amend on buy order (id = 2 => 5) price and the qty from the back
to execute on the best ask (id = 3).
4. Amend the buy order (id = 1 => 6) to the best bid price.
5. Amend the front best bid order (id = 5 => 7) quantity up. The
original order quantity is 2 * lot_size and the leaves qty is
lot_size. Amending the volume up from 2 to 3 creates a new order
with order quantity = 3.
6. Amend the sell order (id = 4) to execute the best bid orders,
the first matched buy order should be with id = 6 and then id = 7.
"""
me = lme.LightMatchingEngine()
# 1. Place two buy orders on the same price (id = 1 and id = 2)
order, trades = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size,
side=lme.Side.BUY)
# Place another buy order
order2, trades2 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size,
side=lme.Side.BUY)
self.assertEqual(0, len(trades))
self.assertEqual(0, len(trades2))
# 2. Place two sell orders of which one is 0.1 higher than another
# (id = 3 and id = 4).
order3, trades3 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.1,
qty=TestBasicOrders.lot_size,
side=lme.Side.SELL)
order4, trades4 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.2,
qty=TestBasicOrders.lot_size,
side=lme.Side.SELL)
self.assertEqual(0, len(trades3))
self.assertEqual(0, len(trades4))
# 3. Amend on buy order (id = 2) price and the qty from the back
# to execute on the best ask (id = 3).
order5, trades5 = me.amend_order(
instmt=TestBasicOrders.instmt,
order_id=order2.order_id,
amended_price=TestBasicOrders.price + 0.1,
amended_qty=TestBasicOrders.lot_size * 2,
)
# A new order id should be generated
self.assertEqual(2, len(trades5))
self.check_order(order=order5,
order_id=5,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.1,
qty=TestBasicOrders.lot_size * 2,
side=lme.Side.BUY,
cum_qty=TestBasicOrders.lot_size,
leaves_qty=TestBasicOrders.lot_size)
self.check_trade(trade=trades5[0],
order_id=5,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price + 0.1,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.BUY,
trade_id=1)
self.check_trade(trade=trades5[1],
order_id=3,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price + 0.1,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.SELL,
trade_id=2)
# 4. Amend the buy order (id = 1 => 6) to the best bid price.
order6, trades6 = me.amend_order(
instmt=TestBasicOrders.instmt,
order_id=order.order_id,
amended_price=TestBasicOrders.price + 0.1,
amended_qty=TestBasicOrders.lot_size,
)
self.assertEqual(0, len(trades6))
self.check_order(order=order6,
order_id=6,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.1,
qty=TestBasicOrders.lot_size,
side=lme.Side.BUY,
cum_qty=0.0,
leaves_qty=TestBasicOrders.lot_size)
# 5. Amend the front best bid order (id = 5 => 7) quantity up. The
# original order quantity is 2 * lot_size and the leaves qty is
# lot_size. Amending the volume up from 2 to 3 creates a new order
# with order quantity = 2 (new qty - original leaves qty = 3 - 1).
order7, trades7 = me.amend_order(
instmt=TestBasicOrders.instmt,
order_id=order5.order_id,
amended_price=TestBasicOrders.price + 0.1,
amended_qty=TestBasicOrders.lot_size * 3,
)
self.assertEqual(0, len(trades7))
self.check_order(order=order7,
order_id=7,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.1,
qty=TestBasicOrders.lot_size * 3,
side=lme.Side.BUY,
cum_qty=0.0,
leaves_qty=TestBasicOrders.lot_size * 3)
# 6. Amend the sell order (id = 4) to execute the best bid orders,
# the first matched buy order should be with id = 6 and then id = 7.
order8, trades8 = me.amend_order(
instmt=TestBasicOrders.instmt,
order_id=order4.order_id,
amended_price=TestBasicOrders.price + 0.1,
amended_qty=TestBasicOrders.lot_size * 4,
)
self.assertEqual(3, len(trades8))
self.check_order(order=order8,
order_id=8,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price + 0.1,
qty=TestBasicOrders.lot_size * 4,
side=lme.Side.SELL,
cum_qty=TestBasicOrders.lot_size * 4,
leaves_qty=0.0)
self.check_trade(trade=trades8[0],
order_id=8,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price + 0.1,
trade_qty=TestBasicOrders.lot_size * 4,
trade_side=lme.Side.SELL,
trade_id=3)
self.check_trade(trade=trades8[1],
order_id=6,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price + 0.1,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.BUY,
trade_id=4)
self.check_trade(trade=trades8[2],
order_id=7,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price + 0.1,
trade_qty=TestBasicOrders.lot_size * 3,
trade_side=lme.Side.BUY,
trade_id=5)
def test_amend_qty_down(self):
me = lme.LightMatchingEngine()
# Place a buy order
order, trades = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 3,
side=lme.Side.BUY)
# Place another buy order
order2, trades2 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size,
side=lme.Side.BUY)
# Check the order book and trades
self.assertEqual(0, len(trades))
self.assertEqual(0, len(trades2))
self.check_order_book(me, TestBasicOrders.instmt, 1, 0)
self.check_order(order=order,
order_id=1,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 3,
side=lme.Side.BUY,
cum_qty=0,
leaves_qty=TestBasicOrders.lot_size * 3)
self.check_order(order=order2,
order_id=2,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size,
side=lme.Side.BUY,
cum_qty=0,
leaves_qty=TestBasicOrders.lot_size)
# Partial fill the first order
order3, trades3 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size,
side=lme.Side.SELL)
self.assertEqual(2, len(trades3))
self.check_trade(trade=trades3[0],
order_id=3,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.SELL,
trade_id=1)
self.check_trade(trade=trades3[1],
order_id=1,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.BUY,
trade_id=2)
self.check_order(order=order,
order_id=1,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 3,
side=lme.Side.BUY,
cum_qty=TestBasicOrders.lot_size,
leaves_qty=TestBasicOrders.lot_size * 2)
# Amend the quantity down
order, trades = me.amend_order(
order_id=order.order_id,
instmt=TestBasicOrders.instmt,
amended_price=TestBasicOrders.price,
amended_qty=TestBasicOrders.lot_size * 2,
)
self.assertEqual(0, len(trades))
self.check_order(order=order,
order_id=1,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 2,
side=lme.Side.BUY,
cum_qty=TestBasicOrders.lot_size,
leaves_qty=TestBasicOrders.lot_size)
# Fill the remaining orders
order4, trades4 = me.add_order(instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 2,
side=lme.Side.SELL)
self.assertEqual(3, len(trades4))
self.check_order(order=order4,
order_id=4,
instmt=TestBasicOrders.instmt,
price=TestBasicOrders.price,
qty=TestBasicOrders.lot_size * 2,
side=lme.Side.SELL,
cum_qty=TestBasicOrders.lot_size * 2,
leaves_qty=0.0)
self.check_trade(trade=trades4[0],
order_id=4,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price,
trade_qty=TestBasicOrders.lot_size * 2,
trade_side=lme.Side.SELL,
trade_id=3)
self.check_trade(trade=trades4[1],
order_id=1,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.BUY,
trade_id=4)
self.check_trade(trade=trades4[2],
order_id=2,
instmt=TestBasicOrders.instmt,
trade_price=TestBasicOrders.price,
trade_qty=TestBasicOrders.lot_size,
trade_side=lme.Side.BUY,
trade_id=5)
