def test_order_book_consolidation():
updater = Updater('123', '456', 'abc')
updater.bids = {
'a': [500, 1],
'b': [500, 2],
}
updater.asks = {'c': [600, 4], 'd': [600, 6]}
consolidated = updater.consolidated_order_book
assert consolidated['asks'] == [[600, 10]]
assert consolidated['bids'] == [[500, 3]]
def test_order_book_consolidation(self):
updater = Updater('123', '456', 'abc')
updater.bids = {
'a': [500, 1],
'b': [500, 2],
}
updater.asks = {'c': [600, 4], 'd': [600, 6]}
consolidated = updater.consolidated_order_book
self.assertEqual(consolidated['asks'], [[600, 10]])
self.assertEqual(consolidated['bids'], [[500, 3]])
def test_simple_updates(self):
num_updates = 0
def hook(cob, t):
nonlocal num_updates
num_updates += 1
updater = Updater('XBTZAR', 'key', 'secret', [hook])
updater.url = 'ws://localhost:8765/simple_updates'
with self.assertRaises(futures.TimeoutError):
asyncio.run(asyncio.wait_for(updater.run(), 5))
self.assertEqual(num_updates, 4)
def test_broken_sequence(self):
# the updater should automatically close the connection and later reconnect
updater = Updater('XBTZAR', 'key', 'secret', [])
updater.url = 'ws://localhost:8765/broken_sequence'
async def main():
task = asyncio.create_task(updater.run())
await asyncio.sleep(1)
self.assertEqual(updater.websocket.state, State.OPEN)
await asyncio.sleep(2)
self.assertEqual(updater.websocket.state, State.CLOSED)
task.cancel()
asyncio.run(main())
def test_backoff(self):
updater = Updater('123', '456', 'abc')
# 0 seconds should raise
updater.time_last_connection_attempt = time.time()
with self.assertRaises(BackoffException):
updater.check_backoff()
# 5 seconds should also raise
updater.time_last_connection_attempt = time.time() - 5
with self.assertRaises(BackoffException):
updater.check_backoff()
# 12 seconds should not
updater.time_last_connection_attempt = time.time() - 12
updater.check_backoff()
def test_processing(self):
updater = Updater('123', '456', 'abc')
self.assertDictEqual(updater.bids, {})
self.assertDictEqual(updater.asks, {})
# create a bid
message = {
'create_update': {
'price': 100,
'volume': 10,
'order_id': 'a',
'type': 'BID'
},
'delete_update': {},
'trade_updates': []
}
trades = updater.process_message(message)
expected_bids = {'a': [100, 10]}
expected_asks = {}
expected_trades = []
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
# create an ask
message = {
'create_update': {
'price': 100,
'volume': 10,
'order_id': 'b',
'type': 'ASK'
},
'delete_update': {},
'trade_updates': []
}
trades = updater.process_message(message)
expected_bids = {'a': [100, 10]}
expected_asks = {'b': [100, 10]}
expected_trades = []
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
# delete ask
message = {
'create_update': {},
'delete_update': {
'order_id': 'b'
},
'trade_updates': []
}
trades = updater.process_message(message)
expected_bids = {'a': [100, 10]}
expected_asks = {}
expected_trades = []
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
# sell half of bid order
message = {
'create_update': {},
'delete_update': {},
'trade_updates': [{
'counter': 500,
'base': 5,
'maker_order_id': 'a'
}]
}
trades = updater.process_message(message)
expected_bids = {'a': [100, 5]}
expected_asks = {}
expected_trades = [{
'type': 'sell',
'price': 100,
'base': 5,
'counter': 500,
'maker_order_id': 'a',
}]
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
# sell remaining part of bid order
message = {
'create_update': {},
'delete_update': {},
'trade_updates': [{
'counter': 500,
'base': 5,
'maker_order_id': 'a'
}]
}
trades = updater.process_message(message)
expected_bids = {}
expected_asks = {}
expected_trades = [{
'type': 'sell',
'price': 100,
'base': 5,
'counter': 500,
'maker_order_id': 'a',
}]
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
# order is placed that is partially filled
# first add an existing bid
message = {
'create_update': {
'order_id': 'c',
'price': 150,
'volume': 10,
'type': 'BID',
},
'delete_update': {},
'trade_updates': []
}
updater.process_message(message)
# buy order was placed and partially filled
message = {
'create_update': {
'order_id': 'd',
'price': 150,
'volume': 50,
'type': 'ASK'
},
'delete_update': {},
'trade_updates': [{
'counter': 1500,
'base': 10,
'maker_order_id': 'c'
}]
}
trades = updater.process_message(message)
expected_bids = {}
expected_asks = {'d': [150, 50]}
expected_trades = [{
'type': 'sell',
'price': 150,
'base': 10,
'counter': 1500,
'maker_order_id': 'c',
}]
self.assertDictEqual(updater.bids, expected_bids)
self.assertDictEqual(updater.asks, expected_asks)
self.assertListEqual(trades, expected_trades)
def test_disconnecting_server(self):
# no exceptions should be raised, the coroutine just finishes
updater = Updater('XBTZAR', 'key', 'secret', [])
updater.url = 'ws://localhost:8765/close_connection'
asyncio.run(updater.run())