Fixed bug where PreventPostOnlyCrossingBookElement wouldn't change orders if there wasn't both a top bid and a top ask.

mango/marketmaking/orderchain/preventpostonlycrossingbookelement.py

@@ -40,20 +40,20 @@ class PreventPostOnlyCrossingBookElement(Element):
         new_orders: typing.List[mango.Order] = []
         for order in orders:
             if order.order_type == mango.OrderType.POST_ONLY:
-                top_bid: typing.Optional[mango.Order] = model_state.top_bid
-                top_ask: typing.Optional[mango.Order] = model_state.top_ask
-                if order.side == mango.Side.BUY and top_bid is not None and top_ask is not None and order.price >= top_ask.price:
-                    new_buy_price: Decimal = top_ask.price - model_state.market.lot_size_converter.tick_size
+                top_bid: typing.Optional[Decimal] = model_state.top_bid.price if model_state.top_bid is not None else None
+                top_ask: typing.Optional[Decimal] = model_state.top_ask.price if model_state.top_ask is not None else None
+                if order.side == mango.Side.BUY and top_ask is not None and order.price >= top_ask:
+                    new_buy_price: Decimal = top_ask - model_state.market.lot_size_converter.tick_size
                     new_buy: mango.Order = order.with_price(new_buy_price)
-                    self.logger.debug(f"""Order change - would cross the orderbook {top_bid.price} / {top_ask.price}:
+                    self.logger.debug(f"""Order change - would cross the orderbook {top_bid} / {top_ask}:
     Old: {order}
     New: {new_buy}""")
                     new_orders += [new_buy]
-                elif order.side == mango.Side.SELL and top_bid is not None and top_ask is not None and order.price <= top_bid.price:
-                    new_sell_price: Decimal = top_bid.price + model_state.market.lot_size_converter.tick_size
+                elif order.side == mango.Side.SELL and top_bid is not None and order.price <= top_bid:
+                    new_sell_price: Decimal = top_bid + model_state.market.lot_size_converter.tick_size
                     new_sell: mango.Order = order.with_price(new_sell_price)
                     self.logger.debug(
-                        f"""Order change - would cross the orderbook {top_bid.price} / {top_ask.price}:
+                        f"""Order change - would cross the orderbook {top_bid} / {top_ask}:
     Old: {order}
     New: {new_sell}""")
 

tests/marketmaking/orderchain/test_preventpostonlycrossingbookelement.py

@@ -69,3 +69,52 @@ def test_ask_too_high_results_in_no_change():
     result = actual.process(context, model_state, [order])
 
     assert result == [order]
+
+
+def test_bid_too_high_no_bid_results_in_new_bid():
+    args: argparse.Namespace = argparse.Namespace()
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(120), side=mango.Side.BUY, order_type=mango.OrderType.POST_ONLY)
+
+    actual: PreventPostOnlyCrossingBookElement = PreventPostOnlyCrossingBookElement(args)
+    model_state = fake_model_state(market=fake_loaded_market(), bids=[], asks=[top_ask])
+
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].price == 109
+
+
+def test_ask_too_low_no_ask_results_in_new_ask():
+    args: argparse.Namespace = argparse.Namespace()
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(80), side=mango.Side.SELL, order_type=mango.OrderType.POST_ONLY)
+
+    actual: PreventPostOnlyCrossingBookElement = PreventPostOnlyCrossingBookElement(args)
+    model_state = fake_model_state(market=fake_loaded_market(), bids=[top_bid], asks=[])
+    result = actual.process(context, model_state, [order])
+
+    assert result[0].price == 91
+
+
+def test_ask_no_orderbook_results_in_no_change():
+    args: argparse.Namespace = argparse.Namespace()
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(120), side=mango.Side.SELL, order_type=mango.OrderType.POST_ONLY)
+
+    actual: PreventPostOnlyCrossingBookElement = PreventPostOnlyCrossingBookElement(args)
+    model_state = fake_model_state(market=fake_loaded_market(), bids=[], asks=[])
+    result = actual.process(context, model_state, [order])
+
+    assert result == [order]
+
+
+def test_bid_no_orderbook_results_in_no_change():
+    args: argparse.Namespace = argparse.Namespace()
+    context = fake_context()
+    order: mango.Order = fake_order(price=Decimal(80), side=mango.Side.BUY, order_type=mango.OrderType.POST_ONLY)
+
+    actual: PreventPostOnlyCrossingBookElement = PreventPostOnlyCrossingBookElement(args)
+    model_state = fake_model_state(market=fake_loaded_market(), bids=[], asks=[])
+    result = actual.process(context, model_state, [order])
+
+    assert result == [order]