82 lines
2.9 KiB
Python
82 lines
2.9 KiB
Python
import random
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import typing
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from .context import mango
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from decimal import Decimal
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from .fakes import fake_order_id
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def test_order_book_sides_sorted_by_price() -> None:
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bids_side = _construct_order_book_side(mango.Side.BUY, 5)
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asks_side = _construct_order_book_side(mango.Side.SELL, 5)
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order_book = _construct_order_book(bids=bids_side, asks=asks_side)
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assert sorted(bids_side, key=lambda o: o.price, reverse=True) == order_book.bids
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assert sorted(asks_side, key=lambda o: o.price, reverse=False) == order_book.asks
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def test_orderbook_top_bids_and_asks() -> None:
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bids = _construct_order_book_side(mango.Side.BUY, 7)
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asks = _construct_order_book_side(mango.Side.SELL, 7)
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orderBook: mango.OrderBook = _construct_order_book(bids=bids, asks=asks)
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assert _get_order(bids, -1) == orderBook.top_bid
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assert _get_order(asks) == orderBook.top_ask
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# update orderbook
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update_bids = _construct_order_book_side(mango.Side.BUY, 5)
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update_asks = _construct_order_book_side(mango.Side.SELL, 5)
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orderBook.bids = update_bids
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orderBook.asks = update_asks
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assert _get_order(update_bids, -1) == orderBook.top_bid
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assert _get_order(update_asks) == orderBook.top_ask
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def test_orderbook_spread() -> None:
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bids = _construct_order_book_side(mango.Side.BUY, 7)
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asks = _construct_order_book_side(mango.Side.SELL, 7)
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# None's in book
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orderBook: mango.OrderBook = _construct_order_book(bids=bids, asks=[])
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assert orderBook.spread == Decimal(0)
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orderBook = _construct_order_book(bids=[], asks=[])
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assert orderBook.spread == Decimal(0)
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orderBook = _construct_order_book([], [])
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assert orderBook.spread == Decimal(0)
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# ask's spread calculated from generated data
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orderBook = _construct_order_book(bids=bids, asks=asks)
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assert orderBook.spread == _get_order(asks).price - _get_order(bids, -1).price
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# ASK is SELL, BID is BUY
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def _construct_order_book_side(
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askOrBidSide: mango.Side, size: int
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) -> typing.Sequence[mango.Order]:
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result_orders: typing.List[mango.Order] = []
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for index, price in enumerate(random.sample(range(1, 1000), size)):
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constructed_id = fake_order_id(index, price)
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order = mango.Order.from_ids(
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id=constructed_id,
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client_id=0,
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side=askOrBidSide,
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price=Decimal(price),
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quantity=Decimal(random.randint(1, 100)),
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)
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result_orders.append(order)
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return result_orders
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def _construct_order_book(
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bids: typing.Sequence[mango.Order], asks: typing.Sequence[mango.Order]
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) -> mango.OrderBook:
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# construct orderbook
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return mango.OrderBook(
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symbol="TEST",
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lot_size_converter=mango.NullLotSizeConverter(),
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bids=bids,
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asks=asks,
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)
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def _get_order(orders: typing.Sequence[mango.Order], index: int = 0) -> mango.Order:
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return sorted(orders, key=lambda order: order.price)[index]
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