def test_order_book_can_add_orders():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity,
price=price + (i if i % 2 else -i)) for i in range(10)
]
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
assert len(order_book.bids) == 4, "Test Failed: There should be 5 bids"
assert len(order_book.asks) == 4, "Test Failed: There should be 5 asks"
assert order_book.best_bid is not None, "Test Failed: best_bid should not be empty"
assert order_book.best_ask is not None, "Test Failed: best_ask should not be empty"
assert order_book.best_bid.price > order_book.best_ask.price, "Test Failed: best prices are not aligned"
assert all(order_book.bids[i].price > order_book.asks[i].price for i in range(4)), \
"Test Failed: prices are not aligned"
assert not order_book.trades, "Test Failed: trades should be empty"
assert not order_book.complete_orders, "Test Failed: complete_orders should be empty"
assert order_book.attempt_match, "Test Failed: attempt_match should be True"
pass
def test_order_book_cannot_cancel_nothing():
instrument_id = "AAPL"
order_book = OrderBook()
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=2,
order_direction=OrderDirection.sell)
order_book.add_order(cancel_order)
assert not cancel_order.cancel_success, "Test Failed: cancel should fail"
pass
def test_order_book_raise_exception_on_invalid_order():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_order = LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.test,
quantity=quantity,
price=price)
order_book = OrderBook()
with pytest.raises(InvalidOrderDirectionException) as exn:
order_book.add_order(limit_order)
pass
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 match(self):
while self.orders:
order = self.orders.popleft()
instrument_id = order.instrument_id
order_books = self.order_books
if instrument_id in order_books.keys():
order_book = order_books[instrument_id]
order_book.add_order(order)
order_book.match()
else:
order_book = OrderBook()
order_book.add_order(order)
order_books[instrument_id] = order_book
self.processed_orders.append(order)
def test_order_book_init():
order_book = OrderBook()
assert not order_book.bids, "Test Failed: bids should be empty"
assert not order_book.asks, "Test Failed: asks should be empty"
assert order_book.best_bid is None, "Test Failed: best_bid should be empty"
assert order_book.best_ask is None, "Test Failed: best_ask should be empty"
assert not order_book.trades, "Test Failed: trades should be empty"
assert not order_book.complete_orders, "Test Failed: complete_orders should be empty"
assert not order_book.attempt_match, "Test Failed: attempt_match should default to False"
pass
def test_order_book_can_match_orders():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity,
price=price + (i if i % 2 else -i)) for i in range(10)
]
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
order_book.match()
assert not order_book.bids, "Test Failed: There should be no bids after complete matching"
assert not order_book.asks, "Test Failed: There should be no asks after complete matching"
assert order_book.best_bid is None, "Test Failed: best_bid should be empty"
assert order_book.best_ask is None, "Test Failed: best_ask should be empty"
assert len(
order_book.trades) == 5, "Test Failed: trades should have 5 orders"
assert len(order_book.complete_orders
) == 10, "Test Failed: complete_orders should have all orders"
assert not order_book.attempt_match, "Test Failed: attempt_match should be False"
pass
def test_order_book_can_cancel_sell_other_than_best_ask():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if i % 2 else -i)) for i in range(10)
]
for i, l in enumerate(limit_orders):
l.order_id = i
limit_orders[i] = l
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=2,
order_direction=OrderDirection.sell)
order_book.add_order(cancel_order)
assert len(order_book.bids) > len(
order_book.asks), "Test Failed: should be more buys than sells"
assert cancel_order.cancel_success, "Test Failed: cancel should succeed"
pass
def test_order_book_can_match_incomplete_more_bids():
""" 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
if not i % 2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if not i % 2 else -i)) for i in range(10)
]
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(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 not None, "Test Failed: best_bid should not be empty"
assert len(
order_book.trades) > 5, "Test Failed: trades should more than 5 trades"
assert len(
order_book.complete_orders
) < 10, "Test Failed: complete_orders should have fewer than 10 orders"
assert not order_book.attempt_match, "Test Failed: attempt_match should be False"
pass
def test_order_book_can_generate_execution_plot():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy
if not i % 2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if not i % 2 else -2 * i))
for i in range(10)
]
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
order_book.match()
order_book.plot_executions()
pass
def test_order_book_can_cancel_sell():
""" 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 if i %
2 else OrderDirection.sell,
quantity=quantity - 10 * i,
price=price + (i if i % 2 else -i)) for i in range(10)
]
for i, l in enumerate(limit_orders):
l.order_id = i
limit_orders[i] = l
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
cancel_order = CancelOrder(instrument_id=instrument_id,
order_id=0,
order_direction=OrderDirection.sell)
order_book.match()
order_book.add_order(cancel_order)
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: trades should more than 5 trades"
assert len(order_book.complete_orders
) == 10, "Test Failed: complete_orders should have 10 orders"
assert cancel_order.cancel_success, "Test Failed: cancel should succeed"
pass
def test_order_book_can_generate_order_book_plot():
instrument_id = "AAPL"
quantity = 100
price = 10
limit_orders = [
LimitOrder(instrument_id=instrument_id,
order_direction=OrderDirection.buy if i %
2 else OrderDirection.sell,
quantity=quantity,
price=price + (-i if i % 2 else i)) for i in range(10)
]
order_book = OrderBook()
for order in limit_orders:
order_book.add_order(order)
order_book.plot_order_book()
pass