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Merge pull request #73 from masanorihirano/release/0.0.16
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Release/0.0.16
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@masanorihirano
masanorihirano authored Apr 24, 2023
2 parents df5ac51 + b043d25 commit e91eb7e
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Showing 4 changed files with 271 additions and 7 deletions.
4 changes: 2 additions & 2 deletions pams/market.py
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Original file line number Diff line number Diff line change
Expand Up @@ -806,11 +806,11 @@ def remain_executable_orders(self) -> bool:
if sell_book[None] < buy_book[None]:
additional_required_orders = buy_book[None] - sell_book[None]
sell_book.pop(None)
return len(sell_book) > additional_required_orders
return len(sell_book) >= additional_required_orders
else:
additional_required_orders = sell_book[None] - buy_book[None]
buy_book.pop(None)
return len(buy_book) > additional_required_orders
return len(buy_book) >= additional_required_orders
else:
sell_book.pop(None)
buy_book.pop(None)
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2 changes: 1 addition & 1 deletion pams/version.py
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Original file line number Diff line number Diff line change
@@ -1 +1 @@
__version__ = "0.0.15"
__version__ = "0.0.16"
2 changes: 1 addition & 1 deletion pyproject.toml
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Original file line number Diff line number Diff line change
@@ -1,6 +1,6 @@
[tool.poetry]
name = "pams"
version = "0.0.15"
version = "0.0.16"
description = "PAMS: Platform for Artificial Market Simulations"
authors = ["Masanori HIRANO <[email protected]>"]
license = "MIT"
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270 changes: 267 additions & 3 deletions tests/pams/test_market.py
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Original file line number Diff line number Diff line change
Expand Up @@ -127,7 +127,7 @@ def test_init__(self) -> None:
assert m.get_n_sell_orders() == [0, 1, 0]
assert m.get_n_sell_order() == 0
assert m.get_mid_prices() == [None, None, None]
assert m.get_mid_price() == None
assert m.get_mid_price() is None
assert m.get_vwap() == 1.0
order3 = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=1.2
Expand Down Expand Up @@ -463,11 +463,14 @@ def test_execution(self) -> None:
if len(logs) == 0:
raise AssertionError
start_time = time.time()
n_logs = 0
total_volume = 0
for _ in range(5000):
kind = LIMIT_ORDER if random.random() < 0.7 else MARKET_ORDER
kind = LIMIT_ORDER if random.random() < 0.6 else MARKET_ORDER
price = random.random() * 10 if kind == LIMIT_ORDER else None
ttl = random.randint(1, 100) if bool(random.getrandbits(1)) else None
volume = random.randint(1, 10)
total_volume += volume
order = Order(
agent_id=0,
market_id=0,
Expand All @@ -479,9 +482,270 @@ def test_execution(self) -> None:
)
market._add_order(order)
log = market._execution()
assert len(log) <= volume
n_logs += len(log)
market._update_time(1.0)
assert n_logs <= total_volume
end_time = time.time()
time_per_step = (end_time - start_time) / 10000
print("time/step", time_per_step)
assert time_per_step < 0.005

def test_execution_order_pattern1(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert not market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 0

def test_execution_order_pattern2(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert not market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 0

def test_execution_order_pattern3(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=MARKET_ORDER, volume=1
)
market._add_order(order)
order = Order(agent_id=0, market_id=0, is_buy=True, kind=MARKET_ORDER, volume=1)
market._add_order(order)
assert not market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 0

def test_execution_order_pattern4(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=MARKET_ORDER, volume=1
)
market._add_order(order)
order = Order(agent_id=0, market_id=0, is_buy=True, kind=MARKET_ORDER, volume=1)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 2

def test_execution_order_pattern5(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=2, price=8
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 2

def test_execution_order_pattern6(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=8
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=2, price=11
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 2

def test_execution_order_pattern7(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=8
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=11
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 1

def test_execution_order_pattern8(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=MARKET_ORDER, volume=1
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=11
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 1

def test_execution_order_pattern9(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=8
)
market._add_order(order)
order = Order(agent_id=0, market_id=0, is_buy=True, kind=MARKET_ORDER, volume=1)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 1

def test_execution_order_pattern10(self) -> None:
market = self.base_class(
market_id=0,
prng=random.Random(42),
logger=Logger(),
simulator=Simulator(prng=random.Random(42)),
name="test",
)
market._update_time(1.0)
market._is_running = True
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=MARKET_ORDER, volume=2
)
market._add_order(order)
order = Order(agent_id=0, market_id=0, is_buy=True, kind=MARKET_ORDER, volume=1)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=True, kind=LIMIT_ORDER, volume=1, price=9
)
market._add_order(order)
order = Order(
agent_id=0, market_id=0, is_buy=False, kind=LIMIT_ORDER, volume=1, price=10
)
market._add_order(order)
assert market.remain_executable_orders()
logs = market._execution()
assert len(logs) == 2

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