def test_market_maker_trade_completed(self):
# This test is too complicated!
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.do_trading()
# Should be two orders at this point
self.assertEqual(len(exchange.order_book()), 2)
exchange.submit_order(Order('buy',100,exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN)))
self.assertEqual(len(exchange.order_book()), 3)
trades = exchange.match_orders()
self.assertEqual(len(trades), 1)
exchange.do_trading()
# price should have gone up
price, volume = exchange.last_trade()
self.assertEqual(price, exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN/2))
# old mm orders should have been removed
# new mm offers should be based on new price
# check order prices and volumes
self.assertEqual(len(exchange.order_book()), 2)
expected_offer = price * (1 + MarketMaker.MARGIN/2)
expected_bid = price * (1 - MarketMaker.MARGIN/2)
self.assertEqual(exchange.buy_order_book()[0].price, expected_bid)
self.assertEqual(exchange.sell_order_book()[0].price, expected_offer)
self.assertEqual(exchange.buy_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
self.assertEqual(exchange.sell_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
def test_run():
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.add_client(SimpleAlgo(order_gen))
for i in range(100):
print 'Round: ', i
exchange.do_trading()
trades = exchange.match_orders()
print exchange.last_trade()
def test_trade_placed_each_time_algo_is_called(self):
# Given an algo object
exchange = Exchange()
algo = SimpleAlgo(order_gen)
exchange.add_client(algo)
# When it is executed
exchange.do_trading()
# A trade is added to the order book
self.assertEqual(len(exchange.order_book()), 1)
def test_run():
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.add_client(SimpleAlgo(order_gen))
for i in range(100):
print 'Round: ', i
exchange.do_trading()
trades = exchange.match_orders()
print exchange.last_trade()
def test_trade_placed_each_time_algo_is_called(self):
# Given an algo object
exchange = Exchange()
algo = SimpleAlgo(order_gen)
exchange.add_client(algo)
# When it is executed
exchange.do_trading()
# A trade is added to the order book
self.assertEqual(len(exchange.order_book()), 1)
def test_no_current_orders(self):
exchange = Exchange()
exchange.add_client(MarketMaker())
exchange.do_trading()
# check order prices and volumes
self.assertEqual(len(exchange.order_book()), 2)
expected_offer = exchange.OPEN_DEFAULT_PRICE * (1 + MarketMaker.MARGIN/2)
expected_bid = exchange.OPEN_DEFAULT_PRICE * (1 - MarketMaker.MARGIN/2)
self.assertEqual(exchange.buy_order_book()[0].price, expected_bid)
self.assertEqual(exchange.sell_order_book()[0].price, expected_offer)
self.assertEqual(exchange.buy_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
self.assertEqual(exchange.sell_order_book()[0].quantity, MarketMaker.ORDER_QUANTITY)
def test_market_maker_price(self):
# scenario: check that marker maker prices are based on order book prices
exchange = Exchange()
# given an order book with a buy order with price 10.0
exchange.current_client = 99
exchange.submit_order(Order('buy',100,10.0))
# and the market maker is a client of the exchange
exchange.add_client(MarketMaker())
# when do_trading is called
exchange.do_trading()
# the order book contains a buy order with price 10.0 - MARGIN/2
# and the original buy at 10.0
self.assertEqual(exchange.buy_order_book(),
[Order('buy',100,10.0),
Order('buy',100,10.0 * (1 - MarketMaker.MARGIN/2))])
# and a sell order with price 10 + MARGIN/2
self.assertEqual(exchange.sell_order_book(),
[Order('sell',100,10.0 * (1 + MarketMaker.MARGIN/2))])
