def _build_order_book_deltas(values):
return OrderBookDeltas(
instrument_id=InstrumentId.from_str(values[0]["instrument_id"]),
book_type=BookTypeParser.from_str_py(values[0]["book_type"]),
deltas=[OrderBookDelta.from_dict(v) for v in values],
ts_event=values[0]["ts_event"],
ts_init=values[0]["ts_init"],
)
def test_serialize_and_deserialize_order_book_deltas(self):
kw = {
"instrument_id": "AUD/USD.SIM",
"ts_event": 0,
"ts_init": 0,
"book_type": "L2_MBP",
}
deltas = OrderBookDeltas(
instrument_id=TestStubs.audusd_id(),
book_type=BookType.L2_MBP,
deltas=[
OrderBookDelta.from_dict({
"action": "ADD",
"order_side": "BUY",
"order_price": 8.0,
"order_size": 30.0,
"order_id": "e0364f94-8fcb-0262-cbb3-075c51ee4917",
**kw,
}),
OrderBookDelta.from_dict({
"action": "ADD",
"order_side": "SELL",
"order_price": 15.0,
"order_size": 10.0,
"order_id": "cabec174-acc6-9204-9ebf-809da3896daf",
**kw,
}),
],
ts_event=0,
ts_init=0,
)
serialized = ParquetSerializer.serialize(deltas)
deserialized = ParquetSerializer.deserialize(cls=OrderBookDeltas,
chunk=serialized)
# Assert
assert deserialized == [deltas]
write_objects(catalog=self.catalog, chunk=[deltas])
def test_from_dict_returns_expected_clear(self):
# Arrange
delta = OrderBookDelta(
instrument_id=AUDUSD,
book_type=BookType.L2_MBP,
action=BookAction.CLEAR,
order=None,
ts_event=0,
ts_init=0,
)
# Act
result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta))
# Assert
assert result == delta
def test_from_dict_returns_expected_delta(self):
# Arrange
order = Order(price=10, size=5, side=OrderSide.BUY)
delta = OrderBookDelta(
instrument_id=AUDUSD,
book_type=BookType.L2_MBP,
action=BookAction.ADD,
order=order,
ts_event=0,
ts_init=0,
)
# Act
result = OrderBookDelta.from_dict(OrderBookDelta.to_dict(delta))
# Assert
assert result == delta
def test_serialize_and_deserialize_order_book_deltas_grouped(self):
kw = {
"instrument_id": "AUD/USD.SIM",
"ts_event": 0,
"ts_init": 0,
"book_type": "L2_MBP",
}
deltas = [
{
"action": "ADD",
"order_side": "SELL",
"order_price": 0.9901,
"order_size": 327.25,
"order_id": "1",
},
{
"action": "CLEAR",
"order_side": None,
"order_price": None,
"order_size": None,
"order_id": None,
},
{
"action": "ADD",
"order_side": "SELL",
"order_price": 0.98039,
"order_size": 27.91,
"order_id": "2",
},
{
"action": "ADD",
"order_side": "SELL",
"order_price": 0.97087,
"order_size": 14.43,
"order_id": "3",
},
]
deltas = OrderBookDeltas(
instrument_id=TestStubs.audusd_id(),
book_type=BookType.L2_MBP,
deltas=[OrderBookDelta.from_dict({
**kw,
**d
}) for d in deltas],
ts_event=0,
ts_init=0,
)
serialized = ParquetSerializer.serialize(deltas)
[deserialized] = ParquetSerializer.deserialize(cls=OrderBookDeltas,
chunk=serialized)
# Assert
assert deserialized == deltas
write_objects(catalog=self.catalog, chunk=[deserialized])
assert [d.action for d in deserialized.deltas] == [
BookAction.ADD,
BookAction.CLEAR,
BookAction.ADD,
BookAction.ADD,
]
