def test_order_book_when_order_book_exists_returns_expected(self):
# Arrange
snapshot = OrderBookSnapshot(
instrument_id=ETHUSDT_BINANCE.id,
book_type=BookType.L2_MBP,
bids=[[1550.15, 0.51], [1580.00, 1.20]],
asks=[[1552.15, 1.51], [1582.00, 2.20]],
ts_event=0,
ts_init=0,
)
order_book = L2OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
price_precision=2,
size_precision=8,
)
order_book.apply_snapshot(snapshot)
self.cache.add_order_book(order_book)
# Act
result = self.cache.order_book(ETHUSDT_BINANCE.id)
# Assert
assert result == order_book
def test_l2_feed():
book = L2OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
# Duplicate delete messages
skip = [
(12152, "378a3caf-0262-4d8b-95b6-8df65312b9f3"),
(28646, "8101452c-8a80-4ca9-b0d9-c472691cec28"),
(68431, "8913f4bf-cc49-4e23-b05d-5eeed948a454"),
]
i = 0
for i, m in enumerate(TestDataProvider.l2_feed()):
if not m or m["op"] == "trade":
pass
elif (i, m["order"].id) in skip:
continue
elif m["op"] == "update":
book.update(order=m["order"])
elif m["op"] == "delete":
book.delete(order=m["order"])
book.check_integrity()
assert i == 68462
def test_orderbook_updates(betfair_data_client):
order_books = {}
for raw in BetfairTestStubs.streaming_market_updates():
for update in on_market_update(
update=orjson.loads(raw),
instrument_provider=betfair_data_client.instrument_provider(),
):
if len(order_books) > 1 and update.instrument_id != list(
order_books)[1]:
continue
print(update)
if isinstance(update, OrderBookSnapshot):
order_books[update.instrument_id] = L2OrderBook(
instrument_id=update.instrument_id,
price_precision=4,
size_precision=4,
)
order_books[update.instrument_id].apply_snapshot(update)
elif isinstance(update, OrderBookDeltas):
order_books[update.instrument_id].apply_deltas(update)
elif isinstance(update, TradeTick):
pass
else:
raise KeyError
book = order_books[list(order_books)[0]]
assert (book.pprint() == """bids price asks
-------- ------- ---------
0.8621 [932.64]
0.8547 [1275.83]
0.8475 [151.96]
[147.79] 0.8403
[156.74] 0.8333
[11.19] 0.8197""")
def test_order_book_when_order_book_exists_returns_expected(self):
# Arrange
snapshot = OrderBookSnapshot(
instrument_id=ETHUSDT_BINANCE.id,
level=BookLevel.L2,
bids=[[1550.15, 0.51], [1580.00, 1.20]],
asks=[[1552.15, 1.51], [1582.00, 2.20]],
ts_event_ns=0,
ts_recv_ns=0,
)
order_book = L2OrderBook(
instrument_id=ETHUSDT_BINANCE.id,
price_precision=2,
size_precision=8,
)
order_book.apply_snapshot(snapshot)
self.cache.add_order_book(order_book)
# Act
result = self.cache.order_book(ETHUSDT_BINANCE.id)
# Assert
self.assertEqual(order_book, result)
def test_betfair_orderbook(self):
book = L2OrderBook(
instrument_id=BetfairTestStubs.instrument_id(),
price_precision=2,
size_precision=2,
)
for update in BetfairDataProvider.raw_market_updates():
for message in on_market_update(
instrument_provider=self.instrument_provider,
update=update):
try:
if isinstance(message, OrderBookSnapshot):
book.apply_snapshot(message)
elif isinstance(message, OrderBookDeltas):
book.apply_deltas(message)
elif isinstance(message, OrderBookDelta):
book.apply_delta(message)
elif isinstance(message,
(Ticker, TradeTick, InstrumentStatusUpdate,
InstrumentClosePrice)):
pass
else:
raise NotImplementedError(str(type(message)))
book.check_integrity()
except Exception as ex:
print(str(type(ex)) + " " + str(ex))
def test_orderbook_updates(self):
order_books = {}
for raw_update in BetfairStreaming.market_updates():
for update in on_market_update(
update=raw_update,
instrument_provider=self.client.instrument_provider(),
):
if len(order_books) > 1 and update.instrument_id != list(order_books)[1]:
continue
print(update)
if isinstance(update, OrderBookSnapshot):
order_books[update.instrument_id] = L2OrderBook(
instrument_id=update.instrument_id,
price_precision=4,
size_precision=4,
)
order_books[update.instrument_id].apply_snapshot(update)
elif isinstance(update, OrderBookDeltas):
order_books[update.instrument_id].apply_deltas(update)
elif isinstance(update, TradeTick):
pass
else:
raise KeyError
book = order_books[list(order_books)[0]]
expected = """bids price asks
-------- ------- ---------
0.8621 [932.64]
0.8547 [1275.83]
0.8475 [151.96]
[147.79] 0.8403
[156.74] 0.8333
[11.19] 0.8197"""
result = book.pprint()
assert result == expected
def test_init():
ob = L2OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
assert isinstance(ob.bids, Ladder) and isinstance(ob.asks, Ladder)
assert ob.bids.reverse and not ob.asks.reverse
def test_orderbook_repr(self):
self.client._on_market_update(BetfairStreaming.mcm_live_IMAGE())
ob_snap = self.messages[14]
ob = L2OrderBook(InstrumentId(Symbol("1"), BETFAIR_VENUE), 5, 5)
ob.apply_snapshot(ob_snap)
print(ob.pprint())
assert ob.best_ask_price() == 0.5882353
assert ob.best_bid_price() == 0.5847953
def test_pprint_when_no_orders():
ob = L2OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
result = ob.pprint()
assert "" == result
def test_orderbook_repr(betfair_data_client, data_engine):
betfair_data_client._on_market_update(
BetfairTestStubs.streaming_mcm_live_IMAGE())
ob_snap = data_engine.events[14]
ob = L2OrderBook(InstrumentId(Symbol("1"), BETFAIR_VENUE), 5, 5)
ob.apply_snapshot(ob_snap)
print(ob.pprint())
assert ob.best_ask_price() == 0.58824
assert ob.best_bid_price() == 0.58480
def test_l2_feed():
ob = L2OrderBook(TestStubs.audusd_id())
# Duplicate delete messages
skip = [
(12152, "378a3caf-0262-4d8b-95b6-8df65312b9f3"),
(28646, "8101452c-8a80-4ca9-b0d9-c472691cec28"),
(68431, "8913f4bf-cc49-4e23-b05d-5eeed948a454"),
]
i = 0
for i, m in enumerate(TestDataProvider.l2_feed()):
if not m or (i, m["order"].id) in skip:
continue
if m["op"] == "update":
ob.update(order=m["order"])
elif m["op"] == "delete":
ob.delete(order=m["order"])
ob.check_integrity()
assert i == 68462
def test_betfair_orderbook(betfair_data_client, provider):
provider.load_all()
book = L2OrderBook(
instrument_id=BetfairTestStubs.instrument_id(),
price_precision=2,
size_precision=2,
)
for update in BetfairTestStubs.raw_market_updates():
for message in on_market_update(instrument_provider=provider,
update=update):
if isinstance(message, OrderBookSnapshot):
book.apply_snapshot(message)
elif isinstance(message, OrderBookDeltas):
book.apply_deltas(message)
elif isinstance(message, OrderBookDelta):
book.apply_delta(message)
elif isinstance(
message,
(TradeTick, InstrumentStatusEvent, InstrumentClosePrice)):
pass
else:
raise NotImplementedError(str(type(message)))
def empty_l2_book():
return L2OrderBook(
instrument_id=TestStubs.audusd_id(),
price_precision=5,
size_precision=0,
)
def test_pprint_when_no_orders():
ob = L2OrderBook(TestStubs.audusd_id())
result = ob.pprint()
assert "" == result
def test_init():
ob = L2OrderBook(TestStubs.audusd_id())
assert isinstance(ob.bids, Ladder) and isinstance(ob.asks, Ladder)
assert ob.bids.reverse and not ob.asks.reverse
def empty_book():
return L2OrderBook(TestStubs.audusd_id())