Order Marking Engine
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import json
import copy
from collections import defaultdict
# Implement the class below, keeping the constructor's signature unchanged; it should take no arguments.
class Company:
def __init__(self, name):
self.name = name
self.own = 0
self.sell = 0
self.buy = 0
def __eq__(self, other):
return self.name == other.name
def __hash__(self):
return hash(self.name)
def __str__(self):
return self.name
def __repr__(self):
return self.name
class MarkingPositionMonitor:
def __init__(self):
self.company_dict = {}
self.order_dict = {}
def on_event(self, message):
m_dict = json.loads(message)
if m_dict["type"] == "NEW":
company_name = m_dict["symbol"]
order_id = m_dict["order_id"]
self.order_dict[order_id] = m_dict
# create company instance in dict if not exist.
if company_name not in self.company_dict:
self.company_dict[company_name] = Company(company_name)
# immediately change the quantity.
if m_dict["side"] == "SELL":
self.company_dict[company_name].sell += int(m_dict["quantity"])
# new order to buy does not affect marking postion.
if m_dict["side"] == "BUY":
self.company_dict[company_name].buy += int(m_dict["quantity"])
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "ORDER_REJECT":
# read the history order message detail from order_id
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
if order_detail["type"] == "NEW":
# immediately change sell quantity
if order_detail["side"] == "SELL":
self.company_dict[company_name].sell -= int(order_detail["quantity"])
if order_detail["side"] == "BUY":
self.company_dict[company_name].buy -= int(order_detail["quantity"])
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "ORDER_ACK":
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
# acknowledge order, no further action need to take though.
if order_detail["side"] == "SELL":
pass
if order_detail["side"] == "BUY":
pass
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "CANCEL":
# try to cancel stated; no immediate effect.
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
if order_detail["type"] == "NEW":
if order_detail["side"] == "SELL":
pass
if order_detail["side"] == "BUY":
pass
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "CANCEL_ACK":
# cancellation acknowledged; the order is no longer in the market; immediate effect.
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
if order_detail["type"] == "NEW":
# immediately change the quantity; immediate effect.
if order_detail["side"] == "SELL":
self.company_dict[company_name].sell -= int(order_detail["quantity"])
if order_detail["side"] == "BUY":
self.company_dict[company_name].buy -= int(order_detail["quantity"])
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "CANCEL_REJECT":
# reject cancellation; no effect.
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
if order_detail["type"] == "NEW":
if order_detail["side"] == "SELL":
pass
if order_detail["side"] == "BUY":
pass
return self.company_dict[company_name].own - self.company_dict[company_name].sell
if m_dict["type"] == "FILL":
order_id = m_dict["order_id"]
order_detail = self.order_dict[order_id]
company_name = order_detail["symbol"]
if order_detail["type"] == "NEW":
if "filled_quantity" not in order_detail:
order_detail["filled_quantity"] = 0
if order_detail["side"] == "SELL":
order_detail["filled_quantity"] = m_dict["filled_quantity"]
if order_detail["side"] == "BUY":
self.company_dict[company_name].own -= order_detail["filled_quantity"] # minus bought quantity from this order
order_detail["filled_quantity"] = m_dict["filled_quantity"]
self.company_dict[company_name].own += order_detail["filled_quantity"] # add current bought quantity from this order
return self.company_dict[company_name].own - self.company_dict[company_name].sell
return 0 # return 0 for not handled operations
def assertEqual(a, b):
if a != b:
print("False! ", a, b)
else:
print(a)
if __name__ == '__main__':
print("###### test 1 ########")
M = MarkingPositionMonitor()
str = json.dumps({"type": "NEW", "symbol": "IMIMP", "order_id": 1, "side": "SELL", "quantity": 800, "time": "2017-03-15T10:15:10.975187"})
# print(M.on_event(str)) #800 1
assertEqual(M.on_event(str), -800) # 1
str = json.dumps({"type": "ORDER_REJECT", "order_id": 1, "reason": "SYMBOL_UNKNOWN", "time": "2017-03-15T10:15:10.975332"})
# print(M.on_event(str)) #0 2
assertEqual(M.on_event(str), 0) # 2
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 2, "side": "BUY", "quantity": 2000, "time": "2017-03-15T10:15:10.975492"})
# print(M.on_event(str)) #0 3
assertEqual(M.on_event(str), 0) # 3
str = json.dumps({"type": "ORDER_ACK", "order_id": 2, "time": "2017-03-15T10:15:10.975606"})
# print(M.on_event(str)) #0 4
assertEqual(M.on_event(str), 0) # 4
str = json.dumps({"type": "FILL", "order_id": 2, "filled_quantity": 2000, "remaining_quantity": 0, "time": "2017-03-15T10:15:10.975717"})
#print(M.on_event(str)) #2000 5
assertEqual(M.on_event(str), 2000) # 5
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 3, "side": "SELL", "quantity": 700, "time": "2017-03-15T10:15:10.975860"})
#print(M.on_event(str)) #1300 6
assertEqual(M.on_event(str), 1300) # 6
str = json.dumps({"type": "ORDER_ACK", "order_id": 3, "time": "2017-03-15T10:15:10.975966"})
#print(M.on_event(str)) #1300 7
assertEqual(M.on_event(str), 1300) # 7
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 4, "side": "SELL", "quantity": 1500, "time": "2017-03-15T10:15:10.976067"})
#print(M.on_event(str)) #-200 8
assertEqual(M.on_event(str), -200) # 8
str = json.dumps({"type": "ORDER_ACK", "order_id": 4, "time": "2017-03-15T10:15:10.976170"})
#print(M.on_event(str)) #-200 9
assertEqual(M.on_event(str), -200) # 9
str = json.dumps({"type": "CANCEL", "order_id": 3, "time": "2017-03-15T10:15:10.976431"})
#print(M.on_event(str)) #-200 10
assertEqual(M.on_event(str), -200) # 10
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 5, "side": "SELL", "quantity": 900, "time": "2017-03-15T10:15:10.976536"})
#print(M.on_event(str)) #-1100 11
assertEqual(M.on_event(str), -1100) # 11
str = json.dumps({"type": "CANCEL_ACK", "order_id": 3, "time": "2017-03-15T10:15:10.976653"})
#print(M.on_event(str)) #-400 12
assertEqual(M.on_event(str), -400) # 12
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 6, "side": "SELL", "quantity": 800, "time": "2017-03-15T10:15:10.976778"})
#print(M.on_event(str)) #-1200 13
assertEqual(M.on_event(str), -1200) # 13
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 7, "side": "BUY", "quantity": 1700, "time": "2017-03-15T10:15:10.976893"})
#print(M.on_event(str)) #-1200 14
assertEqual(M.on_event(str), -1200) # 14
str = json.dumps({"type": "ORDER_ACK", "order_id": 5, "time": "2017-03-15T10:15:10.977002"})
#print(M.on_event(str)) #-1200 15
assertEqual(M.on_event(str), -1200) # 15
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 8, "side": "SELL", "quantity": 1300, "time": "2017-03-15T10:15:10.977103"})
#print(M.on_event(str)) #-2500 16
assertEqual(M.on_event(str), -2500) # 16
str = json.dumps({"type": "ORDER_ACK", "order_id": 6, "time": "2017-03-15T10:15:10.977206"})
#print(M.on_event(str)) #-2500 17
assertEqual(M.on_event(str), -2500) # 17
str = json.dumps({"type": "CANCEL", "order_id": 7, "time": "2017-03-15T10:15:10.977295"})
#print(M.on_event(str)) #-2500 18
assertEqual(M.on_event(str), -2500) # 18
str = json.dumps({"type": "ORDER_REJECT", "order_id": 7, "reason": "FIRM_RISK_LIMIT_EXCEEDED", "time": "2017-03-15T10:15:10.977395"})
#print(M.on_event(str)) #-2500 19
assertEqual(M.on_event(str), -2500) # 19
str = json.dumps({"type": "CANCEL", "order_id": 6, "time": "2017-03-15T10:15:10.977515"})
#print(M.on_event(str)) #-2500 20
assertEqual(M.on_event(str), -2500) # 20
str = json.dumps({"type": "ORDER_REJECT", "order_id": 8, "reason": "FIRM_RISK_LIMIT_EXCEEDED", "time": "2017-03-15T10:15:10.977665"})
#print(M.on_event(str)) #-1200 21
assertEqual(M.on_event(str), -1200) # 21
# my additional cases
str = json.dumps({"type": "NEW", "symbol": "SPY", "order_id": 9, "side": "BUY", "quantity": 1000, "time": "2017-03-15T11:15:10.977103"})
assertEqual(M.on_event(str), -1200) # 22
str = json.dumps({"type": "ORDER_ACK", "order_id": 9, "time": "2017-03-15T11:15:10.977206"})
assertEqual(M.on_event(str), -1200) # 23
str = json.dumps({"type": "FILL", "order_id": 9, "filled_quantity": 200, "remaining_quantity": 700,
"time": "2017-03-15T11:15:10.975717"})
assertEqual(M.on_event(str), -1000) # 24
str = json.dumps({"type": "FILL", "order_id": 9, "filled_quantity": 1000, "remaining_quantity": 0,
"time": "2017-03-15T11:15:10.975717"})
assertEqual(M.on_event(str), -200) # 25
print("###### test 2 ########")
M2 = MarkingPositionMonitor()
with open("input002.txt", "r") as f1, open("output002.txt", "r") as f2:
input = f1.readlines()
f1.close()
output = f2.readlines()
f2.close()
input_lines = [x.strip() for x in input]
output_lines = [int(x.strip()) for x in output]
for i in range(len(input_lines)):
assertEqual(M2.on_event(input_lines[i]), output_lines[i])
