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Run with: python -m pytest matcher/test_matcher.py -v
"""
import sys
import os
import time
import unittest
from unittest.mock import Mock, patch
from collections import defaultdict
# Add parent directory to path for imports
sys.path.insert(0, os.path.dirname(os.path.dirname(os.path.abspath(__file__))))
# Mock database before importing matcher
sys.modules['matcher.database'] = Mock()
class TestNormalizeOrder(unittest.TestCase):
"""Tests for order normalization."""
def setUp(self):
# Import after mocking
from matcher.matcher import normalize_order
self.normalize_order = normalize_order
def test_normalize_basic_order(self):
"""Test normalizing a basic order."""
raw = {
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.5,
'cl_ord_id': 'order-1'
}
order = self.normalize_order(raw)
self.assertEqual(order['symbol'], 'ALPHA')
self.assertEqual(order['side'], 'BUY')
self.assertEqual(order['quantity'], 100)
self.assertEqual(order['price'], 50.5)
self.assertEqual(order['cl_ord_id'], 'order-1')
def test_normalize_fix_tags(self):
"""Test normalizing FIX-style order with tag numbers."""
raw = {
'55': 'BETA',
'54': '1', # Buy
'38': '200',
'44': '25.0',
'11': 'fix-order-1'
}
order = self.normalize_order(raw)
self.assertEqual(order['symbol'], 'BETA')
self.assertEqual(order['side'], 'BUY')
self.assertEqual(order['quantity'], 200)
self.assertEqual(order['price'], 25.0)
def test_normalize_sell_side(self):
"""Test normalizing sell orders."""
for side_value in ['2', 'sell', 'SELL', 's']:
raw = {'symbol': 'TEST', 'side': side_value, 'quantity': 50, 'price': 10}
order = self.normalize_order(raw)
self.assertEqual(order['side'], 'SELL', f"Failed for side={side_value}")
def test_normalize_market_order(self):
"""Test normalizing market order type."""
raw = {
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'ord_type': '1' # Market
}
order = self.normalize_order(raw)
self.assertEqual(order['ord_type'], 'MARKET')
def test_normalize_ioc_order(self):
"""Test normalizing IOC time-in-force."""
raw = {
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50,
'time_in_force': '3' # IOC
}
order = self.normalize_order(raw)
self.assertEqual(order['time_in_force'], 'IOC')
class TestMatchOrder(unittest.TestCase):
"""Tests for order matching logic."""
def setUp(self):
"""Set up fresh order books for each test."""
# Import and reset order books
import matcher.matcher as matcher_module
self.matcher = matcher_module
self.matcher.order_books = defaultdict(lambda: {"bids": [], "asks": []})
self.matcher.trades_log.clear()
def test_no_match_empty_book(self):
"""Test that orders rest when book is empty."""
order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'DAY',
'timestamp': time.time()
}
self.matcher.match_order(order, producer=None)
# Order should be added to bids
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 1)
self.assertEqual(self.matcher.order_books['ALPHA']['bids'][0]['quantity'], 100)
def test_full_match(self):
"""Test full match between buy and sell."""
# Add a resting sell order
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 100,
'price': 50.0,
'timestamp': time.time()
})
# Incoming buy matches
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'DAY',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_trade'):
self.matcher.match_order(buy_order, producer=None)
# Trade should be recorded
self.assertEqual(len(self.matcher.trades_log), 1)
trade = self.matcher.trades_log[0]
self.assertEqual(trade['quantity'], 100)
self.assertEqual(trade['price'], 50.0)
# Both sides of book should be empty
self.assertEqual(len(self.matcher.order_books['ALPHA']['asks']), 0)
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 0)
def test_partial_fill(self):
"""Test partial fill when order qty exceeds available."""
# Resting sell for 50
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 50,
'price': 50.0,
'timestamp': time.time()
})
# Buy for 100
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'DAY',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_trade'), \
patch.object(self.matcher, 'save_order'):
self.matcher.match_order(buy_order, producer=None)
# Trade for 50
self.assertEqual(len(self.matcher.trades_log), 1)
self.assertEqual(self.matcher.trades_log[0]['quantity'], 50)
# Remaining 50 rests on bid side
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 1)
self.assertEqual(self.matcher.order_books['ALPHA']['bids'][0]['quantity'], 50)
def test_no_match_price_mismatch(self):
"""Test no match when prices don't cross."""
# Sell at 55
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 100,
'price': 55.0,
'timestamp': time.time()
})
# Buy at 50 - won't match
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'DAY',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_order'):
self.matcher.match_order(buy_order, producer=None)
# No trades
self.assertEqual(len(self.matcher.trades_log), 0)
# Both orders rest
self.assertEqual(len(self.matcher.order_books['ALPHA']['asks']), 1)
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 1)
def test_market_order_matches_any_price(self):
"""Test market order matches at any price."""
# Sell at 100
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 100,
'price': 100.0,
'timestamp': time.time()
})
# Market buy
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': None, # No price for market order
'ord_type': 'MARKET',
'time_in_force': 'DAY',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_trade'):
self.matcher.match_order(buy_order, producer=None)
# Should match at 100
self.assertEqual(len(self.matcher.trades_log), 1)
self.assertEqual(self.matcher.trades_log[0]['price'], 100.0)
def test_ioc_order_cancels_remainder(self):
"""Test IOC order cancels unfilled portion."""
# Sell only 30
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 30,
'price': 50.0,
'timestamp': time.time()
})
# IOC buy for 100
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'IOC',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_trade'):
self.matcher.match_order(buy_order, producer=None)
# Trade for 30
self.assertEqual(len(self.matcher.trades_log), 1)
self.assertEqual(self.matcher.trades_log[0]['quantity'], 30)
# Remaining 70 cancelled, not added to book
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 0)
def test_fok_order_rejected_insufficient_qty(self):
"""Test FOK order rejected when full qty not available."""
# Only 30 available
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-1',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 30,
'price': 50.0,
'timestamp': time.time()
})
# FOK buy for 100
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'ord_type': 'LIMIT',
'time_in_force': 'FOK',
'timestamp': time.time()
}
self.matcher.match_order(buy_order, producer=None)
# No trades - order rejected
self.assertEqual(len(self.matcher.trades_log), 0)
# Sell order still there
self.assertEqual(len(self.matcher.order_books['ALPHA']['asks']), 1)
def test_price_time_priority(self):
"""Test orders match in price-time priority."""
# Two sell orders at different prices
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-high',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 50,
'price': 52.0,
'timestamp': time.time()
})
self.matcher.order_books['ALPHA']['asks'].append({
'cl_ord_id': 'sell-low',
'symbol': 'ALPHA',
'side': 'SELL',
'quantity': 50,
'price': 50.0,
'timestamp': time.time() + 1
})
# Buy should match lower price first
buy_order = {
'cl_ord_id': 'buy-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 50,
'price': 55.0,
'ord_type': 'LIMIT',
'time_in_force': 'DAY',
'timestamp': time.time()
}
with patch.object(self.matcher, 'save_trade'):
self.matcher.match_order(buy_order, producer=None)
# Matched at 50 (better price)
self.assertEqual(self.matcher.trades_log[0]['price'], 50.0)
self.assertEqual(self.matcher.trades_log[0]['sell_id'], 'sell-low')
class TestCancelOrder(unittest.TestCase):
"""Tests for order cancellation."""
def setUp(self):
import matcher.matcher as matcher_module
self.matcher = matcher_module
self.matcher.order_books = defaultdict(lambda: {"bids": [], "asks": []})
def test_cancel_existing_order(self):
"""Test cancelling an existing order."""
# Add order to book
self.matcher.order_books['ALPHA']['bids'].append({
'cl_ord_id': 'order-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'timestamp': time.time()
})
cancel_msg = {
'type': 'cancel',
'orig_cl_ord_id': 'order-1',
'symbol': 'ALPHA'
}
with patch.object(self.matcher, 'cancel_order'):
self.matcher.handle_cancel(cancel_msg, producer=None)
# Order should be removed
self.assertEqual(len(self.matcher.order_books['ALPHA']['bids']), 0)
class TestAmendOrder(unittest.TestCase):
"""Tests for order amendment."""
def setUp(self):
import matcher.matcher as matcher_module
self.matcher = matcher_module
self.matcher.order_books = defaultdict(lambda: {"bids": [], "asks": []})
def test_amend_price(self):
"""Test amending order price."""
# Add order
self.matcher.order_books['ALPHA']['bids'].append({
'cl_ord_id': 'order-1',
'symbol': 'ALPHA',
'side': 'BUY',
'quantity': 100,
'price': 50.0,
'timestamp': time.time()
})
amend_msg = {
'type': 'amend',
'orig_cl_ord_id': 'order-1',
'symbol': 'ALPHA',
'price': 55.0
}
self.matcher.handle_amend(amend_msg, producer=None)
# Price should be updated
self.assertEqual(self.matcher.order_books['ALPHA']['bids'][0]['price'], 55.0)
if __name__ == '__main__':
unittest.main()
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