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test_orderbook.py
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import copy
import json
import base64
from decimal import Decimal
import aiohttp
import pytest
from asynctest import patch, CoroutineMock, call
import gdax
import gdax.orderbook
import gdax.utils
from tests.helpers import AsyncContextManagerMock, generate_id
id1 = generate_id()
id2 = generate_id()
bids1 = [
[Decimal("2525.00"), Decimal("1.5"), generate_id()],
[Decimal("2595.52"), Decimal("100"), id2],
[Decimal("2595.52"), Decimal("2"), id1],
[Decimal("2595.62"), Decimal("1.41152763"), id2],
[Decimal("2595.70"), Decimal("1.5"), generate_id()],
]
asks1 = [
[Decimal("2596.74"), Decimal("0.2"), generate_id()],
[Decimal("2596.77"), Decimal("0.07670504"), generate_id()],
[Decimal("2615.1"), Decimal("0.011"), generate_id()],
[Decimal("2620.05"), Decimal("0.02"), id1],
[Decimal("2620.1"), Decimal("100"), generate_id()],
[Decimal("2620.18"), Decimal("0.01"), id1],
[Decimal("2620.18"), Decimal("0.02"), id2],
]
sequence = 3419033239
def _book():
return copy.deepcopy({
"sequence": sequence,
"bids": bids1,
"asks": asks1,
})
bids1_internal = {
Decimal("2525.00"): [{
'price': Decimal('2525.00'),
'side': 'buy',
'size': Decimal('1.5'),
'id': bids1[0][2]}],
Decimal('2595.52'): [{
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('100'),
'id': id2}, {
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('2'),
'id': id1}],
Decimal('2595.62'): [{
'price': Decimal('2595.62'),
'side': 'buy',
'size': Decimal('1.41152763'),
'id': id2}],
Decimal('2595.70'): [{
'price': Decimal('2595.70'),
'side': 'buy',
'size': Decimal('1.5'),
'id': bids1[4][2]}],
}
asks1_internal = {
Decimal("2596.74"): [{
'price': Decimal("2596.74"),
'side': 'sell',
'size': Decimal("0.2"),
'id': asks1[0][2]}],
Decimal("2596.77"): [{
'price': Decimal("2596.77"),
'side': 'sell',
'size': Decimal("0.07670504"),
'id': asks1[1][2]}],
Decimal("2620.05"): [{
'price': Decimal("2620.05"),
'side': 'sell',
'size': Decimal("0.02"),
'id': id1}],
Decimal("2620.1"): [{
'price': Decimal("2620.1"),
'side': 'sell',
'size': Decimal("100"),
'id': asks1[4][2],
}],
Decimal("2620.18"): [{
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.01"),
'id': id1}, {
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.02"),
'id': id2}],
Decimal("2615.1"): [{
'price': Decimal("2615.1"),
'side': 'sell',
'size': Decimal("0.011"),
'id': asks1[2][2]}],
}
@pytest.mark.asyncio
@patch('aiohttp.ClientSession.ws_connect',
new_callable=AsyncContextManagerMock)
class TestOrderbook(object):
@patch('gdax.trader.Trader.get_product_order_book')
async def test_basic_init(self, mock_book, mock_connect):
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = _book()
product_id = 'ETH-USD'
product_ids = [product_id]
async with gdax.orderbook.OrderBook(product_ids) as orderbook:
msg = {'type': 'subscribe', 'product_ids': product_ids}
mock_connect.return_value.aenter.send_json.assert_called_with(msg)
mock_book.assert_called_with(level=3)
assert dict(orderbook._asks[product_id].items()) == asks1_internal
assert dict(orderbook._bids[product_id].items()) == bids1_internal
assert orderbook._sequences[product_id] == sequence
assert orderbook.get_current_book(product_id) == {
"sequence": 3419033239,
"bids": bids1,
"asks": asks1,
}
assert orderbook.get_ask(product_id) == Decimal('2596.74')
assert orderbook.get_bid(product_id) == Decimal('2595.70')
assert orderbook.get_asks(product_id, Decimal("2620.18")) == [{
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.01"),
'id': id1}, {
'price': Decimal("2620.18"),
'side': 'sell',
'size': Decimal("0.02"),
'id': id2}]
assert orderbook.get_bids(product_id, Decimal("2595.52")) == [{
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('100'),
'id': id2}, {
'price': Decimal('2595.52'),
'side': 'buy',
'size': Decimal('2'),
'id': id1}]
assert orderbook.get_asks(product_id, Decimal("123")) is None
assert orderbook.get_bids(product_id, Decimal("123")) is None
assert orderbook.get_min_ask_depth(product_id) == Decimal('0.2')
assert orderbook.get_max_bid_depth(product_id) == Decimal('1.5')
@patch('gdax.trader.Trader.get_product_order_book')
async def test_heartbeat(self, mock_book, mock_connect):
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
message_expected = {
"type": "heartbeat",
"last_trade_id": 17393422,
"product_id": "ETH-USD",
"sequence": 2,
"time": "2017-06-25T11:23:14.838000Z"
}
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected),
]
product_ids = ['ETH-USD']
async with gdax.orderbook.OrderBook(product_ids,
use_heartbeat=True) as orderbook:
subscribe_msg = {'type': 'subscribe', 'product_ids': product_ids}
heartbeat_msg = {'type': 'heartbeat', 'on': True}
calls = [call(subscribe_msg), call(heartbeat_msg)]
mock_connect.return_value.aenter.send_json.assert_has_calls(calls)
message = await orderbook.handle_message()
assert message == message_expected
@patch('gdax.trader.Trader.get_product_order_book')
async def test_authentication(self, mock_book, mock_connect, mocker):
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
timestamp = '1493343391.076892'
mocker.patch('time.time', return_value=timestamp)
product_ids = ['ETH-USD']
async with gdax.orderbook.OrderBook(
product_ids,
api_key='a',
api_secret=base64.b64encode(b'a' * 64),
passphrase='b',
) as orderbook:
msg = {
'type': 'subscribe',
'product_ids': product_ids,
'signature': '5qne58tAXSW3OJlU/GoC+/mTLF1xgT8vucjJWFZzhsU=',
'timestamp': timestamp,
'key': 'a',
'passphrase': 'b',
}
assert orderbook._authenticated
mock_connect.return_value.aenter.send_json.assert_called_with(msg)
@patch('gdax.trader.Trader.get_product_order_book')
async def test_basic_message(self, mock_book, mock_connect):
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
message_expected = {
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "BTC-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
}
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected),
]
async with gdax.orderbook.OrderBook('BTC-USD') as orderbook:
assert orderbook.product_ids == ['BTC-USD']
message = await orderbook.handle_message()
assert message == message_expected
@patch('gdax.trader.Trader.get_product_order_book')
async def test_logfile(self, mock_book, mock_connect):
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
message_expected = {
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
}
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
]
product_id = 'ETH-USD'
book = {
'bids': [[Decimal("849.6"), Decimal("100"), id2]],
'asks': [[Decimal("849.61"), Decimal("0.02"), id1]],
'sequence': 1,
}
mock_book.return_value = book
calls = [call(f'B {product_id} '
f'{json.dumps(book, cls=gdax.utils.DecimalEncoder)}\n')]
with patch('aiofiles.open',
new_callable=AsyncContextManagerMock) as mock_open:
mock_open.return_value.aenter.write = CoroutineMock()
mock_write = mock_open.return_value.aenter.write
async with gdax.orderbook.OrderBook(
[product_id],
trade_log_file_path='trades.txt') as orderbook:
mock_write.assert_has_calls(calls)
await orderbook.handle_message()
calls.append(call(f'W {json.dumps(message_expected)}\n'))
mock_write.assert_has_calls(calls)
@patch('gdax.trader.Trader.get_product_order_book')
async def test_orderbook_advanced(self, mock_book, mock_connect):
product_id = 'BTC-USD'
mock_book.return_value = _book()
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
messages_expected = [
{ # ignored
"type": "received",
"product_id": product_id,
"sequence": sequence - 1,
},
{ # ignored
"type": "received",
"order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
"order_type": "limit",
"size": "0.10000000",
"price": "2602.22000000",
"side": "sell",
"product_id": product_id,
"sequence": sequence + 1,
"time": "2017-06-25T11:23:14.792000Z"
},
{
"type": "match",
"trade_id": 17545513,
"maker_order_id": asks1[1][2],
"taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
"side": "sell",
"size": "0.01",
"price": "2596.77",
"product_id": product_id,
"sequence": sequence + 2,
"time": "2017-06-29T01:45:36.865000Z"
},
{
"type": "match",
"trade_id": 17545514,
"maker_order_id": id2,
"taker_order_id": "bf07445d-03e3-4293-b5e6-26e34ce643b0",
"side": "buy",
"size": "0.41152763",
"price": "2595.62",
"product_id": product_id,
"sequence": sequence + 3,
"time": "2017-06-29T01:45:36.865000Z"
},
{
"type": "open",
"side": "sell",
"price": "2602.22000000",
"order_id": "26c22ff5-01b1-4ca3-859c-6349d6eb06b4",
"remaining_size": "0.10000000",
"product_id": product_id,
"sequence": sequence + 4,
"time": "2017-06-25T11:23:14.792000Z"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook(product_id) as orderbook:
# ignore because of sequence number
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[0]
assert orderbook.get_current_book(product_id) == current_book
# ignore because receive
message = await orderbook.handle_message()
assert message == messages_expected[1]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) == current_book
# match
price = Decimal('2596.74')
price2 = Decimal('2596.77')
current_book = orderbook.get_current_book(product_id)
assert orderbook.get_min_ask_depth(product_id) == \
Decimal('0.2')
assert orderbook.get_ask(product_id) == price
assert orderbook.get_asks(product_id, price2) == \
asks1_internal[price2]
message = await orderbook.handle_message()
assert message == messages_expected[2]
assert orderbook.get_min_ask_depth(product_id) == \
Decimal('0.2')
assert orderbook.get_ask(product_id) == price
asks = copy.deepcopy(asks1_internal[price2])
asks[0]['size'] = Decimal('0.06670504')
assert orderbook.get_asks(product_id, price2) == \
asks
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
price3 = Decimal('2595.62')
price4 = Decimal('2595.70')
# match 2
current_book = orderbook.get_current_book(product_id)
assert orderbook.get_bids(product_id, price3) == \
bids1_internal[price3]
assert orderbook.get_bids(product_id, price4) == \
bids1_internal[price4]
assert orderbook.get_bid(product_id) == price4
message = await orderbook.handle_message()
assert message == messages_expected[3]
bids1_internal[price3][0]['size'] = Decimal('1.0')
assert orderbook.get_bids(product_id, price3) == \
bids1_internal[price3]
assert orderbook.get_bids(product_id, price4) == \
bids1_internal[price4]
assert orderbook.get_bid(product_id) == price4
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# open
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[4]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# TODO
@patch('gdax.trader.Trader.get_product_order_book')
async def test_error_message(self, mock_book, mock_connect):
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
messages_expected = [
{
"type": "error",
"message": "test error",
},
{
"type": "unknownmsgtype",
'product_id': 'ETH-USD',
'sequence': 2,
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook() as orderbook:
with pytest.raises(gdax.orderbook.OrderBookError):
await orderbook.handle_message()
with pytest.raises(gdax.orderbook.OrderBookError):
await orderbook.handle_message()
@patch('gdax.trader.Trader.get_product_order_book')
async def test_disconnect(self, mock_book, mock_connect):
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
messages_expected = [
json.dumps({
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
}),
aiohttp.ServerDisconnectedError('error'),
json.dumps({
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
})
]
mock_connect.return_value.aenter.receive_str.side_effect = \
messages_expected
async with gdax.orderbook.OrderBook() as orderbook:
message = await orderbook.handle_message()
assert message == json.loads(messages_expected[0])
message = await orderbook.handle_message()
assert message is None
message = await orderbook.handle_message()
assert message == json.loads(messages_expected[2])
@patch('gdax.trader.Trader.get_product_order_book')
async def test_out_of_order(self, mock_book, mock_connect):
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
mock_book.return_value = {'bids': [], 'asks': [], 'sequence': 1}
messages_expected = [
{
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
},
{
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 4,
"time": "2017-06-25T11:23:14.775000Z"
},
{
"type": "done",
"side": "sell",
"order_id": "4eef1226-4b38-422c-a5b1-56def7107f9a",
"reason": "canceled",
"product_id": "ETH-USD",
"price": "2601.76000000",
"remaining_size": "3.09000000",
"sequence": 2,
"time": "2017-06-25T11:23:14.775000Z"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook() as orderbook:
message = await orderbook.handle_message()
assert message == messages_expected[0]
message = await orderbook.handle_message()
assert message is None
message = await orderbook.handle_message()
assert message == messages_expected[2]
@patch('gdax.trader.Trader.get_product_order_book')
async def test_orderbook_change(self, mock_book, mock_connect):
product_id = 'BTC-USD'
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
messages_expected = [
{
"type": "change",
"time": "2014-11-07T08:19:27.028459Z",
"sequence": sequence + 1,
"order_id": id2,
"product_id": product_id,
"new_size": "101",
"old_size": "100",
"price": "2595.52",
"side": "buy"
},
{
"type": "change",
"time": "2014-11-07T08:19:27.028459Z",
"sequence": sequence + 2,
"order_id": asks1[1][2],
"product_id": product_id,
"new_size": "0.1",
"old_size": "0.07670504",
"price": "2596.77",
"side": "sell"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
mock_book.return_value = _book()
async with gdax.orderbook.OrderBook(product_id) as orderbook:
# change1
current_book = orderbook.get_current_book(product_id)
price = Decimal("2595.52")
assert orderbook.get_bids(product_id, price) == \
bids1_internal[price]
message = await orderbook.handle_message()
assert message == messages_expected[0]
bids = copy.deepcopy(bids1_internal[price])
bids[0]['size'] = Decimal('101')
assert orderbook.get_bids(product_id, price) == \
bids
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# change2
current_book = orderbook.get_current_book(product_id)
price2 = Decimal("2596.77")
assert orderbook.get_asks(product_id, price2) == \
asks1_internal[price2]
message = await orderbook.handle_message()
assert message == messages_expected[1]
asks = copy.deepcopy(asks1_internal[price2])
asks[0]['size'] = Decimal('0.1')
assert orderbook.get_asks(product_id, price2) == \
asks
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
@patch('gdax.trader.Trader.get_product_order_book')
async def test_orderbook_done(self, mock_book, mock_connect):
product_id = 'BTC-USD'
mock_book.return_value = _book()
mock_connect.return_value.aenter.receive_str = CoroutineMock()
mock_connect.return_value.aenter.send_json = CoroutineMock()
messages_expected = [
{
"type": "done",
"side": "sell",
"order_id": asks1[0][2],
"reason": "canceled",
"product_id": product_id,
"price": "2596.74",
"remaining_size": "0.00000000",
"sequence": sequence + 1,
"time": "2017-06-25T11:23:14.775000Z"
},
{
"type": "done",
"side": "buy",
"order_id": bids1[4][2],
"reason": "canceled",
"product_id": product_id,
"price": "2595.70",
"remaining_size": "0.00000000",
"sequence": sequence + 2,
"time": "2017-06-25T11:23:16.937000Z"
},
{
"type": "done",
"side": "sell",
"order_id": asks1[1][2],
"reason": "canceled",
"product_id": product_id,
# no price specified
"remaining_size": "0.20000000",
"sequence": sequence + 3,
"time": "2017-06-25T11:23:15.937000Z"
},
]
mock_connect.return_value.aenter.receive_str.side_effect = [
json.dumps(message_expected)
for message_expected in messages_expected
]
async with gdax.orderbook.OrderBook(product_id) as orderbook:
# done
current_book = orderbook.get_current_book(product_id)
price = Decimal('2596.74')
price2 = Decimal('2596.77')
assert orderbook.get_asks(product_id, price) == \
asks1_internal[price]
assert orderbook.get_ask(product_id) == price
message = await orderbook.handle_message()
assert message == messages_expected[0]
assert orderbook.get_asks(product_id, price) is None
assert orderbook.get_ask(product_id) == price2
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# done2
current_book = orderbook.get_current_book(product_id)
price2 = Decimal('2595.70')
price3 = Decimal('2595.62')
assert orderbook.get_bids(product_id, price2) == \
bids1_internal[price2]
assert orderbook.get_bid(product_id) == price2
message = await orderbook.handle_message()
assert message == messages_expected[1]
assert orderbook.get_bids(product_id, price2) is None
assert orderbook.get_bid(product_id) == price3
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) != current_book
# done3, market order ignored
current_book = orderbook.get_current_book(product_id)
message = await orderbook.handle_message()
assert message == messages_expected[2]
current_book['sequence'] += 1
assert orderbook.get_current_book(product_id) == current_book