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bookmap_test.py
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279 lines (218 loc) · 9.02 KB
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import unittest
import src.bookmap as bm
class BookmapOrderBookMethod(unittest.TestCase):
def test_order_book_creation(self):
book = bm.create_order_book()
asks = book["asks"]
bids = book["bids"]
if bool(asks):
self.fail("Asks are not empty")
if bool(bids):
self.fail("Bids are not empty")
pass
def test_order_book_update(self):
book = bm.create_order_book()
bm.on_depth(book, True, 99, 5)
bm.on_depth(book, False, 100, 11)
bm.on_depth(book, True, 95, 3)
bm.on_depth(book, False, 101, 22)
bm.on_depth(book, True, 99, 2)
bm.on_depth(book, False, 101, 21)
asks = book["asks"]
bids = book["bids"]
if len(bids) != 2:
self.fail("Wrong number of bid levels")
if len(asks) != 2:
self.fail("Wrong number of ask levels")
self.assertEqual(2, bids[99])
self.assertEqual(3, bids[95])
self.assertEqual(21, asks[101])
self.assertEqual(11, asks[100])
def test_bbo_order_book_request(self):
book = bm.create_order_book()
bm.on_depth(book, True, 99, 5)
bm.on_depth(book, False, 100, 11)
bm.on_depth(book, True, 95, 3)
bm.on_depth(book, False, 101, 22)
bm.on_depth(book, True, 99, 2)
bm.on_depth(book, False, 101, 21)
best_bid, best_ask = bm.get_bbo(book)
self.assertEqual(99, best_bid[0])
self.assertEqual(2, best_bid[1])
self.assertEqual(100, best_ask[0])
self.assertEqual(11, best_ask[1])
def test_sub_order_book_request(self):
book = bm.create_order_book()
bm.on_depth(book, True, 99, 5)
bm.on_depth(book, True, 95, 10)
bm.on_depth(book, True, 97, 3)
bm.on_depth(book, True, 98, 2)
bm.on_depth(book, False, 100, 11)
bm.on_depth(book, False, 101, 22)
bm.on_depth(book, False, 102, 21)
bm.on_depth(book, False, 104, 10)
bm.on_depth(book, False, 105, 2)
one_bid_sum, one_ask_sum = bm.get_sum(book, 1)
self.assertEqual(11, one_ask_sum)
self.assertEqual(5, one_bid_sum)
two_bid_sum, two_ask_sum = bm.get_sum(book, 2)
self.assertEqual(33, two_ask_sum)
self.assertEqual(7, two_bid_sum)
three_bid_sum, three_ask_sum = bm.get_sum(book, 3)
self.assertEqual(54, three_ask_sum)
self.assertEqual(10, three_bid_sum)
four_bid_sum, four_ask_sum = bm.get_sum(book, 4)
self.assertEqual(54, four_ask_sum)
self.assertEqual(10, four_bid_sum)
five_bid_sum, five_ask_sum = bm.get_sum(book, 5)
self.assertEqual(64, five_ask_sum)
self.assertEqual(20, five_bid_sum)
six_bid_sum, six_ask_sum = bm.get_sum(book, 6)
self.assertEqual(66, six_ask_sum)
self.assertEqual(20, six_bid_sum)
def test_mbo_order_book_creation(self):
book = bm.create_mbo_book()
orders = book["orders"]
bids = book["mbp_book"]["bids"]
asks = book["mbp_book"]["asks"]
if bool(orders):
self.fail("Orders are not empty")
if bool(asks):
self.fail("Asks are not empty")
if bool(bids):
self.fail("Bids are not empty")
pass
def test_mbo_order_book_get_all_order_ids(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", True, 21, 2)
bm.on_new_order(book, "3", True, 22, 3)
ids = bm.get_all_order_ids(book)
if len(ids) != 3:
self.fail("Wrong number of orders")
self.assertEqual("1", ids[0])
self.assertEqual("2", ids[1])
self.assertEqual("3", ids[2])
def test_has_order(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", True, 21, 2)
bm.on_new_order(book, "3", True, 22, 3)
self.assertTrue(bm.has_order(book, "1"))
self.assertTrue(bm.has_order(book, "2"))
self.assertTrue(bm.has_order(book, "3"))
self.assertFalse(bm.has_order(book, "4"))
def test_get_order(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", False, 21, 2)
bm.on_new_order(book, "3", True, 22, 3)
order_id_1 = bm.get_order(book, "1")
order_id_2 = bm.get_order(book, "2")
order_id_3 = bm.get_order(book, "3")
self.assertEqual((True, 20, 1), order_id_1)
self.assertEqual((False, 21, 2), order_id_2)
self.assertEqual((True, 22, 3), order_id_3)
def test_get_order_price(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", False, 21, 2)
order_id_1_price = bm.get_order_price(book, "1")
order_id_2_price = bm.get_order_price(book, "2")
self.assertEqual(20, order_id_1_price)
self.assertEqual(21, order_id_2_price)
def test_get_order_size(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", False, 21, 2)
order_id_1_size = bm.get_order_size(book, "1")
order_id_2_size = bm.get_order_size(book, "2")
self.assertEqual(1, order_id_1_size)
self.assertEqual(2, order_id_2_size)
def test_get_order_side(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", False, 21, 2)
order_id_1_side = bm.get_order_side(book, "1")
order_id_2_side = bm.get_order_side(book, "2")
self.assertTrue(order_id_1_side)
self.assertFalse(order_id_2_side)
def test_mbo_order_book_replace(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", True, 21, 2)
bm.on_new_order(book, "3", True, 22, 3)
bm.on_new_order(book, "4", False, 23, 1)
bm.on_new_order(book, "5", False, 24, 2)
bm.on_new_order(book, "6", False, 25, 3)
bm.on_replace_order(book, "1", 19, 2)
bm.on_replace_order(book, "6", 23, 3)
orders = book["orders"]
mbp_book = book["mbp_book"]
asks = mbp_book["asks"]
bids = mbp_book["bids"]
if len(orders) != 6:
self.fail("Orders size is wrong")
if len(asks) != 2:
self.fail("Wrong size of asks map")
if len(bids) != 3:
self.fail("Wrong size of bids map")
self.assertEqual((True, 19, 2), orders["1"])
self.assertEqual((True, 21, 2), orders["2"])
self.assertEqual((True, 22, 3), orders["3"])
self.assertEqual((False, 23, 1), orders["4"])
self.assertEqual((False, 24, 2), orders["5"])
self.assertEqual((False, 23, 3), orders["6"])
def test_mbo_order_book_remove(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "2", True, 21, 2)
bm.on_new_order(book, "3", True, 22, 3)
bm.on_new_order(book, "4", False, 23, 1)
bm.on_new_order(book, "5", False, 24, 2)
bm.on_new_order(book, "6", False, 25, 3)
bm.on_remove_order(book, "1")
bm.on_remove_order(book, "6")
orders = book["orders"]
mbp_book = book["mbp_book"]
asks = mbp_book["asks"]
bids = mbp_book["bids"]
if len(orders) != 4:
self.fail("Orders size is wrong")
if len(asks) != 2:
self.fail("Wrong size of asks map")
if len(bids) != 2:
self.fail("Wrong size of bids map")
self.assertEqual((True, 21, 2), orders["2"])
self.assertEqual((True, 22, 3), orders["3"])
self.assertEqual((False, 23, 1), orders["4"])
self.assertEqual((False, 24, 2), orders["5"])
def test_error_getting_side_which_is_not_in_order_book(self):
book = bm.create_mbo_book()
order = bm.get_order(book, "1")
self.assertEqual(None, order)
@unittest.expectedFailure
def test_error_due_to_order_duplicate(self):
book = bm.create_mbo_book()
bm.on_new_order(book, "1", True, 20, 1)
bm.on_new_order(book, "1", True, 21, 2)
@unittest.expectedFailure
def test_error_due_to_replace_of_missing(self):
book = bm.create_mbo_book()
bm.on_replace_order(book, "1", 20, 1)
@unittest.expectedFailure
def test_error_due_to_remove_of_missing(self):
book = bm.create_mbo_book()
bm.on_remove_order(book, "1")
@unittest.expectedFailure
def test_error_getting_order_price_which_is_not_in_order_book(self):
book = bm.create_mbo_book()
bm.get_order_price(book, "1")
@unittest.expectedFailure
def test_error_getting_order_size_which_is_not_in_order_book(self):
book = bm.create_mbo_book()
bm.get_order_size(book, "1")
@unittest.expectedFailure
def test_error_getting_order_side_which_is_not_in_order_book(self):
book = bm.create_mbo_book()
bm.get_order_size(book, "1")