Add test cases generator

Author: bgn9000

orderbook/orderbook.py

@@ -233,7 +233,7 @@ def __str__(self):
         if self.tape != None and len(self.tape) > 0:
             num = 0
             for entry in self.tape:
-                if num < 5: # get last 5 entries
+                if num < 10: # get last 5 entries
                     tempfile.write(str(entry['quantity']) + " @ " + str(entry['price']) + " (" + str(entry['timestamp']) + ")\n")
                     num += 1
                 else:

orderbook/orderlist.py

@@ -92,8 +92,9 @@ def move_to_tail(self, order):
     def __str__(self):
         from cStringIO import StringIO
         temp_file = StringIO()
-        for order in self:
-            temp_file.write("%s\n" % str(order))
+        #for order in self:
+        #    temp_file.write("%s\n" % str(order))
+        temp_file.write("%s\n" % str(self.head_order))
         return temp_file.getvalue()
 
 

orderbook/test/genOrders.py

@@ -0,0 +1,147 @@
+#! /usr/bin/python
+from __future__ import print_function
+from random import *
+import sys
+sys.path.append('..')
+from orderbook import OrderBook
+
+def generate_new_buy(trade_id):
+    return {'type' : 'limit', 
+           'side' : 'bid', 
+           'quantity' : randint(1,1000),
+           'price' : randint(900,1050),
+           'trade_id' : trade_id}
+           
+def generate_cross_buy(trade_id):
+    return {'type' : 'limit', 
+            'side' : 'bid', 
+            'quantity' : randint(1,1000), 
+            'price' : randint(1055,1200),
+            'trade_id' : trade_id}
+
+def generate_new_sell(trade_id):
+    return {'type' : 'limit', 
+            'side' : 'ask', 
+            'quantity' : randint(1,1000), 
+            'price' : randint(1055,1200),
+            'trade_id' : trade_id}
+            
+def generate_cross_sell(trade_id):
+    return {'type' : 'limit', 
+            'side' : 'ask', 
+            'quantity' : randint(1,1000),
+            'price' : randint(900,1050),
+            'trade_id' : trade_id}
+
+def treat_trades(trades, side):
+    if not trades:
+        return
+    if side == 'B':
+        for j in range(len(trades)):
+            trade = trades[j]
+            assert (trade['party1'][1] == 'ask'), 'party1 should be ask'
+            new_quantity = None
+            orderId = trade['party1'][2]
+            assert (orderId != None), 'party1 should have order_id'
+            new_quantity = trade['party1'][3]
+            order = sells[orderId]
+            if new_quantity == None:
+                del sells[orderId]
+            else:
+                order['quantity'] = new_quantity
+    else:
+        for j in range(len(trades)):
+            trade = trades[j]
+            assert (trade['party1'][1] == 'bid'), 'party1 should be bid'
+            new_quantity = None
+            orderId = trade['party1'][2]
+            assert (orderId != None), 'party1 should have order_id'
+            new_quantity = trade['party1'][3]
+            order = buys[orderId]
+            if new_quantity == None:
+                del buys[orderId]
+            else:
+                order['quantity'] = new_quantity
+
+def prefill(nb_orders_prefilled, verbose = False):
+    for trade_id in range(nb_orders_prefilled):
+        trades,neworder = order_book.process_order(generate_new_buy(trade_id), False, verbose)
+        assert (trades == []), 'No trade at this stage'
+        assert (neworder != []), 'Expect new order'
+        buys[neworder['order_id']]=neworder
+        trades,neworder = order_book.process_order(generate_new_sell(trade_id), False, verbose)
+        assert (trades == []), 'No trade at this stage'
+        assert (neworder != []), 'Expect new order'
+        sells[neworder['order_id']]=neworder
+
+def testCases(trade_id, action, side, verbose = False):
+    if action == 'A':
+        if side == 'B':
+            trades,neworder = order_book.process_order(generate_new_buy(trade_id), False, verbose)
+            treat_trades(trades, side)
+            if neworder:
+                buys[neworder['order_id']]=neworder
+        else:
+            trades,neworder = order_book.process_order(generate_new_sell(trade_id), False, verbose)
+            treat_trades(trades, side)
+            if neworder:
+                sells[neworder['order_id']]=neworder
+    elif action == 'M':
+        if side == 'B':
+            if len(buys):
+                order = buys[choice(buys.keys())]
+                order['quantity'] = randint(1,1000)
+                order_book.modify_order(order['order_id'], order)
+        else:
+            if len(sells):
+                order = sells[choice(sells.keys())]
+                order['quantity'] = randint(1,1000)
+                order_book.modify_order(order['order_id'], order)
+    elif action == 'X':
+        if side == 'B':
+            if len(buys):
+                key = choice(buys.keys())
+                order = buys[key]
+                del buys[key]
+                order_book.cancel_order('bid', order['order_id'])
+        else:
+            if len(sells):
+                key = choice(sells.keys())
+                order = sells[key]
+                del sells[key]
+                order_book.cancel_order('ask', order['order_id'])
+    elif action == 'C': 
+        if side == 'B':
+            trades,neworder = order_book.process_order(generate_cross_buy(trade_id), False, verbose)
+            treat_trades(trades, side)
+            if neworder:
+                buys[neworder['order_id']]=neworder
+        else:
+            trades,neworder = order_book.process_order(generate_cross_sell(trade_id), False, verbose)
+            treat_trades(trades, side)
+            if neworder:
+                sells[neworder['order_id']]=neworder
+
+
+buys = {}
+sells = {}
+order_book = OrderBook()
+
+# nb buys and sells to prefill orderbook
+prefill(10)
+
+#print(order_book)
+
+
+#usage: 
+# 1/ trade_id
+# 2/ choice('AMXC') : A (new), M (modify), X (cancel), C (cross)
+# 3/ choice('BS') : B (buy), S (sell)
+for trade_id in xrange(10, 100):
+    testCases(trade_id, choice('C'), choice('BS'), False)
+
+print(order_book)
+
+# quit()
+
+