def test_order_book_can_handle_limit_and_market_orders_together():
""" Here there are more asks than bids, so the bids will fill"""
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy,
quantity=quantity - 10 * i,
price=price + i) for i in range(5)
]
market_order = MarketOrder(instrument_id=instrument_id,
order_direction=OrderDirection.sell,
quantity=400)
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
order_book.add_order(market_order)
order_book.match()
assert not order_book.asks, "Test Failed: There should be no asks after this matching"
assert order_book.best_ask is None, "Test Failed: best_ask should be empty"
assert not order_book.bids, "Test Failed: There should be no bids after this matching"
assert order_book.best_bid is None, "Test Failed: best_bid should be empty"
assert len(order_book.trades) == 5, "Test Failed: there should be 5 trades"
assert len(order_book.complete_orders
) == 6, "Test Failed: complete_orders should have 6 orders"
assert not order_book.attempt_match, "Test Failed: attempt_match should be False"
pass
def test_market_order_buy_can_handle_trade():
instrument_id = "AAPL"
order_direction = OrderDirection.buy
quantity = 100
market_order = MarketOrder(instrument_id=instrument_id,
order_direction=order_direction,
quantity=quantity)
trade = Trade(datetime=np.datetime64("2020-01-01"), price=10, quantity=10)
market_order.update_on_trade(trade)
assert market_order.quantity == quantity, "Test failed, incorrect quantity"
assert market_order.order_direction == order_direction, "Test failed, incorrect quantity"
assert market_order.price == float('inf'), "Test failed, incorrect price"
assert market_order.instrument_id == instrument_id, "Test failed, incorrect instrument_id"
assert market_order.order_type == OrderType.market, "Test failed, incorrect order type"
assert market_order.fill_info, "Test failed, no fill info"
assert market_order.unfilled_quantity == quantity - \
10, "Test failed, incorrect unfilled quantity"
pass
def test_market_order_incorrect_order_direction():
with pytest.raises(InvalidOrderDirectionException):
instrument_id = "AAPL"
order_direction = OrderDirection.test
quantity = 100
MarketOrder(instrument_id=instrument_id,
order_direction=order_direction,
quantity=quantity)
pass
def get_data(n):
instrument_ids = ["AAPL", "MSFT", "TSLA", "FB", "NFLX"]
quantity = 100
price = 40
m = n // len(instrument_ids)
output = []
for instr in instrument_ids:
buy_limits = [
LimitOrder(instrument_id=instr,
order_direction=OrderDirection.buy,
quantity=quantity + random.uniform(-50, 50),
price=price + random.uniform(-2.5, 2.5))
for i in range(m // 4)
]
sell_limits = [
LimitOrder(instrument_id=instr,
order_direction=OrderDirection.sell,
quantity=quantity + random.uniform(-50, 50),
price=price + random.uniform(-2.5, 2.5))
for i in range(m // 4)
]
buy_markets = [
MarketOrder(instrument_id=instr,
order_direction=OrderDirection.buy,
quantity=quantity + random.uniform(-50, 50))
for i in range(m // 4)
]
sell_markets = [
MarketOrder(instrument_id=instr,
order_direction=OrderDirection.sell,
quantity=quantity + random.uniform(-50, 50))
for i in range(m // 4)
]
output += buy_limits + sell_limits + buy_markets + sell_markets
random.shuffle(output)
return output
def test_market_order_sell():
instrument_id = "AAPL"
order_direction = OrderDirection.sell
quantity = 100
market_order = MarketOrder(instrument_id=instrument_id,
order_direction=order_direction,
quantity=quantity)
assert market_order.quantity == quantity, "Test failed, incorrect quantity"
assert market_order.order_direction == order_direction, "Test failed, incorrect quantity"
assert market_order.price == 0, "Test failed, incorrect price for market order"
assert market_order.instrument_id == instrument_id, "Test failed, incorrect instrument_id"
assert market_order.order_type == OrderType.market, "Test failed, incorrect order type"
assert market_order.unfilled_quantity == quantity, "Test failed, incorrect unfilled quantity"
pass
def test_market_order_sell_can_handle_multiple_trades_to_completion():
instrument_id = "AAPL"
order_direction = OrderDirection.sell
quantity = 100
market_order = MarketOrder(instrument_id=instrument_id,
order_direction=order_direction,
quantity=quantity)
trade = Trade(datetime=np.datetime64("2020-01-01"), price=10, quantity=10)
market_order.update_on_trade(trade)
trade = Trade(datetime=np.datetime64("2020-01-01"), price=10, quantity=90)
market_order.update_on_trade(trade)
assert market_order.quantity == quantity, "Test failed, incorrect quantity"
assert market_order.order_direction == order_direction, "Test failed, incorrect quantity"
assert market_order.price == 0, "Test failed, incorrect price for market order"
assert market_order.instrument_id == instrument_id, "Test failed, incorrect instrument_id"
assert market_order.order_type == OrderType.market, "Test failed, incorrect order type"
assert market_order.fill_info, "Test failed, no fill info"
assert market_order.unfilled_quantity == 0, "Test failed, incorrect unfilled quantity"
assert market_order.status == OrderStatus.filled, "Test failed, incorrect status"
pass