def fill_snap(self, m_type, price_level_type, price_levels_type, b_lvl_3,
e_lvl_3):
if m_type == 'py':
m = ExternalMarket(tick_size=0.01,
ob_type='py',
price_level_type=price_level_type,
price_levels_type=price_levels_type)
elif m_type == 'cy':
m = CyExternalMarket(tick_size=0.01,
ob_type='py',
price_level_type=price_level_type,
price_levels_type=price_levels_type)
m.fill_snap(b_lvl_3)
snap = m.ob.price_levels.get_snap()
corr_snap = agg_snap(b_lvl_3)
for price in corr_snap['asks']:
corr = corr_snap['asks'][price]
self.price_level(corr, price, 'asks', snap, m)
for price in corr_snap['bids']:
corr = corr_snap['bids'][price]
self.price_level(corr, price, 'bids', snap, m)
if m_type == 'py':
m = ExternalMarket(tick_size=0.01,
ob_type='py',
price_level_type=price_level_type,
price_levels_type=price_levels_type)
elif m_type == 'cy':
m = CyExternalMarket(tick_size=0.01,
ob_type='py',
price_level_type=price_level_type,
price_levels_type=price_levels_type)
m.fill_snap(e_lvl_3)
snap = m.ob.price_levels.get_snap()
corr_snap = agg_snap(e_lvl_3)
for price in sorted(corr_snap['asks']):
corr = corr_snap['asks'][price]
self.price_level(corr, price, 'asks', snap, m)
for price in sorted(corr_snap['bids']):
corr = corr_snap['bids'][price]
self.price_level(corr, price, 'bids', snap, m)
def get_market(market_type, **kwargs):
""" Returns a market based on the parameter.
Parameters
----------
market_type : str
The type of market to return
kwargs
Additional settings for the market
Returns
-------
market : Market
"""
if market_type == 'pyext':
return ExternalMarket(**kwargs)
elif market_type == 'cyext':
return CyExternalMarket(**kwargs)
else:
raise NotImplementedError(market_type)
def test_send_message_cylist_cydeque(self):
b_lvl_3, e_lvl_3, messages = load()
m = ExternalMarket(price_level_type='cydeque',
price_levels_type='cylist')
self.messages(m, b_lvl_3, e_lvl_3, messages)
def test_send_message_rb_deque(self):
b_lvl_3, e_lvl_3, messages = load()
m = ExternalMarket(price_level_type='deque',
price_levels_type='fast_rb')
self.messages(m, b_lvl_3, e_lvl_3, messages)
def test_send_message_avl_ordered(self):
b_lvl_3, e_lvl_3, messages = load()
m = ExternalMarket(price_level_type='ordered_dict',
price_levels_type='fast_avl')
self.messages(m, b_lvl_3, e_lvl_3, messages)