def on_new_order(self,
order: ServerOrder,
apply_changes=False) -> OrderBookChanges:
"""
Entry point to process a new order in order book
apply_changes indicates either order book changes are applied directly at the end (testing purpose)
"""
if order.instrument_identifier != self.instrument_identifier:
raise Exception(
"[LOGIC FAILURE] Order instrument must match order book instrument"
)
quantity_before_execution = order.get_remaining_quantity()
changes = self.match_order(order)
# Case 1: unmatched
if quantity_before_execution == order.get_remaining_quantity():
logger.debug(
f"Attacking order is unmatched, adding [{order}] to trading book"
)
changes.order_to_add.append(order)
# Case 2: partially executed (existing order(s) have been executed)
elif order.get_remaining_quantity() > 0.0:
logger.debug(
f"Attacking order cannot be fully executed, adding [{order}] to trading book"
)
changes.order_to_add.append(order)
# Case 3: order has been fully executed
else:
logger.debug(
f"Attacking order [{order}] has been totally executed")
if apply_changes:
self.apply_order_book_changes(changes)
return changes
def test_fifo_matching_orders(self):
""" Ensure FIFO matching is enforced """
orders = [
ServerOrder(Buy(),
self.instrument.identifier,
50,
40.0,
'Trader1',
timestamp=1),
ServerOrder(Buy(),
self.instrument.identifier,
50,
40.0,
'Trader2',
timestamp=2),
ServerOrder(Sell(),
self.instrument.identifier,
50,
40.0,
'Trader3',
timestamp=3)
]
for order in orders:
self.book.on_new_order(order)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(self.book.get_bids()[0].timestamp, 2)
self.assertEqual(self.book.get_bids()[0].counterparty, 'Trader2')
def update_matched_orders(self, attacking_order: ServerOrder,
matching_orders) -> OrderBookChanges:
"""
Iterate and update attacked orders, create deals upon total and partial executions
"""
changes = OrderBookChanges()
for attacked_order in matching_orders:
if self.is_attacked_order_full_executed(attacking_order,
attacked_order):
executed_quantity = attacked_order.get_remaining_quantity()
attacking_order.executed_quantity += executed_quantity
attacked_order.executed_quantity += executed_quantity
self.update_statistics(last_executed_order=attacked_order)
logger.debug(f"Attacker [{attacking_order.counterparty}]")
logger.debug(f"Attacked [{attacked_order.counterparty}]")
# Create deal
deal = ServerDeal(attacking_order, attacked_order,
executed_quantity)
changes.deals_to_add.append(deal)
# Remove executed order
changes.order_to_remove.append(attacked_order)
else:
executed_quantity = attacking_order.get_remaining_quantity()
attacking_order.executed_quantity += executed_quantity
attacked_order.executed_quantity += executed_quantity
self.update_statistics(last_executed_order=attacking_order)
# Create a deal
deal = ServerDeal(attacking_order, attacked_order,
executed_quantity)
changes.deals_to_add.append(attacking_order)
if attacking_order.get_remaining_quantity() == 0.0:
break
return changes
def test_two_orders_no_match(self):
buy_order = ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1')
sell_order = ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2')
self.book.on_new_order(buy_order)
self.book.on_new_order(sell_order)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 1)
def test_two_orders_no_match(self):
"""
Two orders not matching (different price)
"""
buy_order = ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1')
sell_order = ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2')
self.book.on_new_order(buy_order, apply_changes=True)
self.book.on_new_order(sell_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 1)
def test_self_execution(self):
""" Ensure you cannot trade with yourself """
orders = [
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Sell(), self.instrument.identifier, 50, 40.0,
'Trader1')
]
for order in orders:
self.book.on_new_order(order)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 1)
def test_four_stacked_orders_no_match(self):
orders = [
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Buy(), self.instrument.identifier, 50, 40.0,
'Trader1'),
ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2'),
ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader2')
]
for order in orders:
self.book.on_new_order(order)
self.assertEqual(self.book.count_bids(), 2)
self.assertEqual(self.book.count_asks(), 2)
def handle_create_order(self, create_order, sock):
client_session = self.client_sessions[sock]
if client_session.status != SessionStatus.Authenticated:
raise OrderRejected("Client is not authenticated")
# TODO: does client session is allowed to create orders ?
try:
logger.info('Create order for {}'.format(client_session))
order_book = self.order_books[create_order.instrument_identifier]
new_order = ServerOrder(
way=create_order.way,
instrument_identifier=create_order.instrument_identifier,
quantity=create_order.quantity,
price=create_order.price,
counterparty=client_session.login)
order_book_changes = order_book.on_new_order(new_order)
order_book.apply_order_book_changes(order_book_changes)
self.apply_order_book_changes_in_storage(order_book_changes)
logger.debug(f"Changes to be applied:\n{str(order_book_changes)}")
except KeyError:
instrument_identifier = create_order.instrument_identifier
logger.warning(
f"Order book related to instrument identifier [{instrument_identifier}] does not exist"
)
def test_buy_price_greater_than_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
38.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
self.assertEqual(attacking_order.get_remaining_quantity(), 10)
self.assertEqual(attacked_order.get_remaining_quantity(), 10)
def test_two_opposite_orders_in_order_book(self):
order_book = OrderBook(self.instrument_identifier)
orders = [
ServerOrder(Buy(),
self.instrument_identifier,
quantity=100.0,
price=9.0,
counterparty='Trader1'),
ServerOrder(Sell(),
self.instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader2')
]
for order in orders:
order_book.add_order(order)
encoded_order_book = self.marshaller.encode_order_book(order_book)
message_type, body, _ = self.marshaller.decode_header(
encoded_order_book)
decoded_order_book = self.marshaller.decode_order_book(body)
self.assertEqual(message_type, MessageTypes.OrderBook.value)
self.assertEqual(encoded_order_book,
self.marshaller.encode_order_book(decoded_order_book))
def test_one_buy_order_book(instrument_identifier, marshaller):
simple_order_book = OrderBook(instrument_identifier)
buy_order = ServerOrder(Buy(),
instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader1')
simple_order_book.add_order(buy_order)
encoded_order_book = marshaller.encode_order_book(simple_order_book)
message_type, body, _ = marshaller.decode_header(encoded_order_book)
decoded_order_book = marshaller.decode_order_book(body)
assert message_type == MessageTypes.OrderBook.value
assert encoded_order_book == marshaller.encode_order_book(
decoded_order_book)
def test_buy_price_equal_to_sell(self):
attacking_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_one_buy_order_book(self):
simple_order_book = OrderBook(self.instrument_identifier)
buy_order = ServerOrder(Buy(),
self.instrument_identifier,
quantity=100.0,
price=10.0,
counterparty='Trader1')
simple_order_book.add_order(buy_order)
encoded_order_book = self.marshaller.encode_order_book(
simple_order_book)
message_type, body, _ = self.marshaller.decode_header(
encoded_order_book)
decoded_order_book = self.marshaller.decode_order_book(body)
self.assertEqual(message_type, MessageTypes.OrderBook.value)
self.assertEqual(encoded_order_book,
self.marshaller.encode_order_book(decoded_order_book))
def decode_order_book(self, encoded_order_book):
order_book_message = orderbook_pb2.OrderBook()
order_book_message.ParseFromString(encoded_order_book)
order_book = OrderBook(order_book_message.instrument_identifier)
order_book.last_price = order_book_message.statistics.last_price
order_book.high_price = order_book_message.statistics.high_price
order_book.low_price = order_book_message.statistics.low_price
for decoded_order in order_book_message.orders:
order = ServerOrder(identifier=decoded_order.identifier,
way=OrderWay(decoded_order.way),
instrument_identifier=order_book_message.instrument_identifier,
quantity=decoded_order.quantity,
canceled_quantity=decoded_order.canceled_quantity,
executed_quantity=decoded_order.executed_quantity,
price=decoded_order.price,
counterparty=decoded_order.counterparty,
timestamp=decoded_order.timestamp)
order_book.add_order(order)
self.logger.debug(order_book)
return order_book
def test_one_full_execution(self):
quantity = 10
price = 42.0
attacking_order = ServerOrder(Sell(), self.instrument.identifier,
quantity, price, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier,
quantity, price, 'Trader2')
self.book.on_new_order(attacked_order)
self.book.on_new_order(attacking_order)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, quantity)
self.assertEqual(attacked_order.executed_quantity, quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def handle_create_order(self, create_order, sock):
client_session = self.client_sessions[sock]
if client_session.status != SessionStatus.Authenticated:
raise OrderRejected('Client is not authenticated')
# TODO: does client session is allowed to create orders ?
try:
self.logger.info('Create order for {}'.format(client_session))
order_book = self.order_books[create_order.instrument_identifier]
except KeyError:
self.logger.warning(
'Order book related to instrument identifier [{}] does not exist'
.format(create_order.instrument_identifier))
else:
new_order = ServerOrder(
way=create_order.way,
instrument_identifier=create_order.instrument_identifier,
quantity=create_order.quantity,
price=create_order.price,
counterparty=client_session.login)
order_book.on_new_order(new_order)
def decode_order_book(self, encoded_order_book):
tokens = list(filter(None, encoded_order_book.split(self.separator)))
instrument_identifier = int(tokens[0])
order_book = OrderBook(instrument_identifier)
order_book.last_price = float(tokens[1])
order_book.high_price = float(tokens[2])
order_book.low_price = float(tokens[3])
order_tokens = tokens[4:]
for x in range(0, len(order_tokens), 8):
order_book.add_order(
ServerOrder(instrument_identifier=instrument_identifier,
identifier=order_tokens[x],
way=OrderWay(int(order_tokens[x + 1])),
quantity=float(order_tokens[x + 2]),
canceled_quantity=float(order_tokens[x + 3]),
executed_quantity=float(order_tokens[x + 4]),
price=float(order_tokens[x + 5]),
counterparty=order_tokens[x + 6],
timestamp=order_tokens[x + 7]))
return order_book
def test_one_partial_execution(self):
attacking_quantity = 20
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
self.book.on_new_order(attacked_order, apply_changes=True)
self.book.on_new_order(attacking_order, apply_changes=True)
self.assertEqual(self.book.count_bids(), 1)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity,
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.executed_quantity, attacked_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(),
attacking_quantity - attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_multiple_partial_executions(self):
attacking_quantity = 50
attacked_quantity = 10
price = 42.0
attacking_order = ServerOrder(Buy(), self.instrument.identifier,
attacking_quantity, price, 'Trader1')
attacked_orders = []
for _ in list(range(5)):
attacked_order = ServerOrder(Sell(), self.instrument.identifier,
attacked_quantity, price, 'Trader2')
attacked_orders.append(attacked_order)
self.book.on_new_order(attacked_order)
self.book.on_new_order(attacking_order)
self.assertEqual(self.book.count_bids(), 0)
self.assertEqual(self.book.count_asks(), 0)
self.assertEqual(attacking_order.executed_quantity, attacking_quantity)
self.assertEqual(attacking_order.get_remaining_quantity(), 0)
for attacked_order in attacked_orders:
self.assertEqual(attacked_order.executed_quantity,
attacked_quantity)
self.assertEqual(attacked_order.get_remaining_quantity(), 0)
def test_sell_price_equal_to_buy(self):
attacking_order = ServerOrder(Sell(), self.instrument.identifier, 10,
40.0, 'Trader1')
attacked_order = ServerOrder(Buy(), self.instrument.identifier, 10,
40.0, 'Trader2')
self.validate_one_matching(attacking_order, attacked_order)
def test_count_bids(self):
buy_order = ServerOrder(Buy(), self.instrument.identifier, 50, 42.0,
'Trader1')
self.assertEqual(self.book.count_bids(), 0)
self.book.on_new_order(buy_order)
self.assertEqual(self.book.count_bids(), 1)
def test_count_asks(self):
sell_order = ServerOrder(Sell(), self.instrument.identifier, 50, 42.0,
'Trader1')
self.assertEqual(self.book.count_asks(), 0)
self.book.on_new_order(sell_order)
self.assertEqual(self.book.count_asks(), 1)
