def test_basic_partial_fill_replenish_visible():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100, 40)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 40)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 40, Price("34.52"),
BID_SIDE, 99999, 100-40)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40
assert oec.visible_qty() == 40 # should have replenished
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
# now test the partial fill wipes out 40 more, so visible is min
aggressor2 = NewOrderCommand(1114, 1234237.123, 33333, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 40)
# now resting partial fill
pf2 = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor2, 40, Price("34.52"),
BID_SIDE, 99999, 100-40-40) # subtract out the size of 2 40 lot fills now
oec.apply_partial_fill_report(pf2)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 100-40-40
assert oec.visible_qty() == 100-40-40 # should have replenished to min of 40 and 100-40-40
assert oec.iceberg_peak_qty() == 40 # should not have changed
assert oec.has_partial_fill()
def test_parital_passive_fill():
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 5)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 5, Price('34.52'),
ASK_SIDE, 3333, 30)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible should be 5 less
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty - 5
# ask hidden should stay the same
assert hidden_qty == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# num orders should stay the same
assert num_orders == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be the same
assert ob.best_priority_chain(ASK_SIDE).chain_id() == chain_aggressed_into.chain_id() == 1002
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_partial_aggressive_fill():
# nothing should change as we only update orderbook for passive partial fills
ob = build_base_order_book()
# get baseline
ask_prices = ob.ask_prices()
bid_prices = ob.bid_prices()
best_ask_price = ob.best_ask_price()
best_bid_price = ob.best_bid_price()
bast_ask_level = ob.best_ask_level()
bast_bid_level = ob.best_bid_level()
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 45)
oec = OrderEventChain(agg_new, LOGGER, SUBCHAIN_ID_GENERATOR)
pf = PartialFillReport(102, 1234002.123, 1008, "user_z", MARKET, agg_new, 35, Price('34.52'),
BID_SIDE, 3333, 10)
oec.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, oec)
# nothing at the order book should have changed
assert ask_prices == ob.ask_prices()
assert bid_prices == ob.bid_prices()
assert best_ask_price == ob.best_ask_price()
assert best_bid_price == ob.best_bid_price()
assert bast_ask_level == ob.best_ask_level()
assert bast_bid_level == ob.best_bid_level()
def test_partial_fill_on_unacked_order():
# when an unacked order is filled the requested exposure gets impacted
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 100
assert oec.most_recent_requested_exposure().price() == Price("34.52")
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, n, 10, Price("34.52"),
BID_SIDE, 99999, 90)
oec.apply_partial_fill_report(pf)
assert oec.current_exposure() is None
assert oec.most_recent_requested_exposure().qty() == 90
assert oec.most_recent_requested_exposure().price() == Price("34.52")
def test_partial_fill_to_zero_closes_out_order():
# when a partialfill closses out to an order there should be a balking because it is a paritial fill so shouldn't happen, but should allow
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 100)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 100, 100)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_y", MARKET, ASK_SIDE, FAR, Price("34.52"), 100)
# now resting partial fill
pf = PartialFillReport(1212344, 1234237.123, 2342, "user_x", MARKET, aggressor, 100, Price("34.52"),
BID_SIDE, 99999, 0)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.is_open() is False
assert oec.visible_qty() == 0
assert oec.current_exposure() == Exposure(None, 0, 1212344)
def test_subchain_getters_partial_fill_before_ack():
# pretty basic, just testing that it doesn't break
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now aggressive partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, n, 44, Price("34.52"),
BID_SIDE, 99999, 1000 - 44)
oec.apply_partial_fill_report(pf)
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000-44, None)
oec.apply_acknowledgement_report(ack)
subchain = oec.most_recent_subchain()
assert subchain.open_event() == n
assert subchain.first_execution_report() == pf
assert subchain.fills() == [pf]
assert subchain.last_event() == ack
def test_partial_passive_fill_for_all_qty():
# a partial fill for eveything should balk with some logs but should still be successful.
# NOTE: this scenario is crazy and shouldn't actually happen (hidden getting filled before visible)
# but what the hell, let's cut corners on a test
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
second_ask_back = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[1]
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 35)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 35, Price('34.52'),
ASK_SIDE, 3333, 25)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible qty should be 10 less (the rest came from hidden)
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty - 10
# ask hidden should be 25 (35-10 visible) less
assert hidden_qty - 25 == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# should be 1 less order
assert num_orders - 1 == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be what was the second back
assert ob.best_priority_chain(ASK_SIDE).chain_id() == second_ask_back.chain_id()
# chain should no longer exist in book
chains = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))
found = False
for chain in chains:
if chain.chain_id() == chain_aggressed_into.chain_id():
found = True
assert not found
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_basic_partial_fill():
n = NewOrderCommand(121234, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# now ack it
ack = AcknowledgementReport(121235, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, 1000)
oec.apply_acknowledgement_report(ack)
aggressor = NewOrderCommand(1111, 1234237.123, 22222, "user_x", MARKET, ASK_SIDE, FAR, Price("34.52"), 44)
# now resting partial fill
pf = PartialFillReport(121236, 1234237.123, 2342, "user_x", MARKET, aggressor, 44, Price("34.52"),
BID_SIDE, 99999, 1000-44)
oec.apply_partial_fill_report(pf)
assert oec.open_exposure_requests() == []
assert oec.current_exposure().price() == Price("34.52")
assert oec.current_exposure().qty() == 1000-44
assert oec.visible_qty() == 1000-44
assert oec.iceberg_peak_qty() == 1000 # should not have changed
assert oec.has_partial_fill()
def test_partial_passive_fill_resets_visible_qty():
ob = build_base_order_book()
# get baseline
chain_aggressed_into = ob.best_priority_chain(ASK_SIDE)
second_ask_back = ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[1]
visible_qty = ob.visible_qty_at_price(ASK_SIDE, Price("34.52"))
hidden_qty = ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
num_orders = ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
best_price = ob.best_price(ASK_SIDE)
# the ack'd order getting aggresed into:
# a1_ack = AcknowledgementReport(4, 1234000.888, 1002, "user_b", MARKET, a1, Price("34.52"), 35, 10)
agg_new = NewOrderCommand(101, 1234002.123, 1008, "user_z", MARKET, BID_SIDE, FAR,
Price("34.52"), 10)
pf = PartialFillReport(102, 1234002.123, 1002, "user_b", MARKET, agg_new, 10, Price('34.52'),
ASK_SIDE, 3333, 25)
chain_aggressed_into.apply_partial_fill_report(pf)
ob.handle_partial_fill_report(pf, chain_aggressed_into)
# now test for changes
# ask visible qty should stay the same because the 10 was filled and then replenished due to iceberg activity
assert ob.visible_qty_at_price(ASK_SIDE, Price("34.52")) == visible_qty
# ask hidden should be 10 less becaue of replenishment of iceberg peak
assert hidden_qty - 10 == ob.hidden_qty_at_price(ASK_SIDE, Price("34.52"))
# best price should be the same
assert ob.best_ask_price() == best_price == Price("34.52")
# num orders should stay the same
assert num_orders == ob.num_orders_at_price(ASK_SIDE, Price("34.52"))
# best chain on the ask should be what was the second back
assert ob.best_priority_chain(ASK_SIDE).chain_id() == second_ask_back.chain_id()
# worst chain on the ask should be what was the first
assert ob.order_chains_at_price(ASK_SIDE, Price("34.52"))[-1].chain_id() == chain_aggressed_into.chain_id()
# nothing on bid should have changed
bid_prices = ob.bid_prices()
assert len(bid_prices) == 1
assert bid_prices[0] == Price("34.50")
assert ob.best_bid_price() == Price("34.50")
assert ob.best_bid_level() == PriceLevel(Price("34.50"), 120, 0, 2)
def test_partial_fill_on_multiple_unacked_requests():
n = NewOrderCommand(1, 1234235.123, 2342, "user_x", MARKET, BID_SIDE, FAR, Price("34.52"), 1000)
oec = OrderEventChain(n, LOGGER, MonotonicIntID())
# should have 1 open exposure
assert len(oec.open_exposure_requests()) == 1
assert oec.most_recent_requested_exposure() == Exposure(Price("34.52"), 1000, 1)
cr1 = CancelReplaceCommand(2, 1234235.863, 2342, "user_x", MARKET, BID_SIDE, Price("34.51"), 800)
oec.apply_cancel_replace_command(cr1)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
cr2 = CancelReplaceCommand(3, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.55"), 800)
oec.apply_cancel_replace_command(cr2)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
cr3 = CancelReplaceCommand(4, 1234236.842, 2342, "user_x", MARKET, BID_SIDE, Price("34.56"), 800)
oec.apply_cancel_replace_command(cr3)
# now should have 2 open exposures
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 800, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# a partial fill should should only impact the one the partial fill is for
# partially filling orderid 3 (cr2)
pf1 = PartialFillReport(5, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 999, 790)
oec.apply_partial_fill_report(pf1)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 790, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and again
pf2 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr2, 10, Price("34.55"),
BID_SIDE, 1000, 780)
oec.apply_partial_fill_report(pf2)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 800, 4)
# and now I can fill order id 4 (cr 3)
pf3 = PartialFillReport(6, 1234237.123, 2342, "user_x", MARKET, cr3, 50, Price("34.56"),
BID_SIDE, 1001, 750)
oec.apply_partial_fill_report(pf3)
assert len(oec.open_exposure_requests()) == 4
assert oec.open_exposure_requests()[0] == Exposure(Price("34.52"), 1000, 1)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[3] == Exposure(Price("34.56"), 750, 4)
# now start acking them
ack1 = AcknowledgementReport(10, 1234235.123, 2342, "user_x", MARKET, n, Price("34.52"), 1000, None)
oec.apply_acknowledgement_report(ack1)
assert len(oec.open_exposure_requests()) == 3
assert oec.open_exposure_requests()[0] == Exposure(Price("34.51"), 800, 2)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[2] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.52"), 1000, 10)
ack2 = AcknowledgementReport(11, 1234235.123, 2342, "user_x", MARKET, cr1, Price("34.51"), 800, None)
oec.apply_acknowledgement_report(ack2)
assert len(oec.open_exposure_requests()) == 2
assert oec.open_exposure_requests()[0] == Exposure(Price("34.55"), 780, 3)
assert oec.open_exposure_requests()[1] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.51"), 800, 11)
ack3 = AcknowledgementReport(12, 1234235.123, 2342, "user_x", MARKET, cr2, Price("34.55"), 780, None)
oec.apply_acknowledgement_report(ack3)
assert len(oec.open_exposure_requests()) == 1
print(oec.open_exposure_requests()[0])
assert oec.open_exposure_requests()[0] == Exposure(Price("34.56"), 750, 4)
assert oec.current_exposure() == Exposure(Price("34.55"), 780, 12)
ack4 = AcknowledgementReport(13, 1234235.123, 2342, "user_x", MARKET, cr3, Price("34.56"), 750, None)
oec.apply_acknowledgement_report(ack4)
assert len(oec.open_exposure_requests()) == 0
assert oec.current_exposure() == Exposure(Price("34.56"), 750, 13)
def get_events():
# set up a Market for the events. For that you need at least:
# 1) the Product
# 2) the Endpoint
# 3) the PriceFactory
prod = Product("AAAA", "Test Product")
ep = Endpoint("Exchange 1", "EXC1")
pf = PriceFactory(
"0.01"
) # pricefactory needs the minimum price increment, which is 0.01 for this example
market = Market(prod, ep, pf)
# now create a mapping of what we'll parse out of the file to the Market.
# This comes in even more handy when there are multiple markets
mrkt_dict = {("AAAA", "EXC1"): market}
# set up the time stamp parser
time_stamp_frmt = "%Y-%m-%d %H:%M:%S.%f"
# we are going to keep a dictionary of event_id to Command so that we can properly create Execution Reports
id_to_cmd = {}
created_events = []
# first we need to parse each line
for line in EXAMPLE_DATA:
parts = line[:-1].split(',')
# skip header
if parts[0] == "Order ID":
continue
# Order Id is the unique identifier of the order chain
chain_id = parts[0]
# Index is the unique identifier of the event
event_id = int(parts[1])
# Need an identifier of the user that placed the order
user = parts[7]
# get the event time
event_time = datetime.strptime(parts[3], time_stamp_frmt)
# Event objects what the time stamp as a float (seconds.microseconds) so convert to time since epoch
time_stamp = datetime_to_epoch(event_time)
# now get the market
prod_name = parts[4]
ep_name = parts[5]
mrkt = mrkt_dict[(prod_name, ep_name)]
# get the side: not all events contain side so default is None.
# Buttonwood provides a helper that converts the most common str representations of Buy & Sell to Side objects
side = Side.get_side(parts[8])
# get the time in force. Not all events need time in force so the default is None.
# Note: could have used OrderEventContants.TIME_IN_FORCE_STR_TO_INT here but wanted to show a more extensive use
# of the constants
if parts[6] == "FAR":
tif = OrderEventConstants.FAR
elif parts[6] == "FAK":
tif = OrderEventConstants.FAK
elif parts[6] == "FOK":
tif = OrderEventConstants.FOK
elif parts[6] == "":
tif = None
else:
raise Exception("Could not convert %s to a known TimeInForce" %
parts[6])
# get event type so we can create the right events
event_type = parts[2]
if event_type == "New": # for event type "New" create a new event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = NewOrderCommand(event_id, time_stamp, chain_id, user,
market, side, tif, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Mod": # for event type "Mod" create a cancel replace event
# get price, using Market's get_price function that will gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
event = CancelReplaceCommand(event_id, time_stamp, chain_id, user,
market, side, price, qty)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Cancel": # for event type "Cancel" create a Cancel command event
# there can be different types of cancels, but in this case we are assuming it is a user requested cancel
cancel_type = CancelReasons.USER_CANCEL
event = CancelCommand(event_id, time_stamp, chain_id, user, market,
cancel_type)
# add the event to the event id to command dictionary
id_to_cmd[event_id] = event
elif event_type == "Ack": # for event type "Ack" create an Acknowledgement
# this example file has no concept of iceberg orders so iceberg_peak is None (which will cause buttonwood to
# to treat the entire order qty as an iceberg
iceberg_peak = None
# get price, using Market's get_price function that gets a Price object for a string, Decimal, or int
price = mrkt.get_price(parts[9])
qty = int(parts[10])
# response to command is the command it is acknowledging, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = AcknowledgementReport(event_id, time_stamp, chain_id, user,
market, response_to_cmd, price, qty,
iceberg_peak)
elif event_type == "Cancel Conf": # for event type "Cancel Conf" create a Cancel report event
# get the cancel reason
if parts[15] == "FOK Miss":
reason = CancelReasons.FOK_CANCEL
elif parts[15] == "Requested":
reason = CancelReasons.USER_REQUESTED
else:
raise Exception("Could not convert %s to a cancel reason." %
parts[15])
# cancel command is the command that caused the cancel, get that ID and look it up from our id_to_cmd dict
response_to_id = int(parts[12])
response_to_cmd = id_to_cmd[response_to_id]
event = CancelReport(event_id, time_stamp, chain_id, user, market,
response_to_cmd, reason)
elif event_type == "Part Fill": # if event type "Part Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# get leaves qty from the file
leaves_qty = int(parts[11])
# get the match_id from the file
match_id = parts[14]
event = PartialFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id, leaves_qty)
elif event_type == "Full Fill": # if event type "Full Fill" create a Partial Fill event
# the aggressing command comes from getting the id and looking it up in the id to cmd dict
aggressing_id = int(parts[13])
aggressing_cmd = id_to_cmd[aggressing_id]
# get fill price, using Market's get_price function that gets a Price object for a string, Decimal, or int
fill_price = mrkt.get_price(parts[9])
fill_qty = int(parts[10])
# full fills don't need/have a leaves qty because nothing is left.
# get the match_id from the file
match_id = parts[14]
event = FullFillReport(event_id, time_stamp, chain_id, user,
market, aggressing_cmd, fill_qty,
fill_price, side, match_id)
else:
raise Exception("Could not convert %s to an Event" % event_type)
created_events.append(event)
return created_events