Record new feed messages and update feed handler replay tests; add CI

.github/workflows/python-tests.yml

@@ -0,0 +1,37 @@
+name: Unit Tests
+
+on:
+  push:
+    branches:
+      - main
+  pull_request:
+    branches:
+      - main
+
+jobs:
+  test:
+    runs-on: ubuntu-latest
+
+    steps:
+    # Checkout the repository
+    - name: Checkout Code
+      uses: actions/checkout@v3
+
+    # Set up Python
+    - name: Set up Python 3.x
+      uses: actions/setup-python@v4
+      with:
+        python-version: '3.x'
+
+    # Install dependencies
+    - name: Install dependencies
+      run: |
+        python -m venv venv
+        source venv/bin/activate
+        pip install -r requirements.txt
+
+    # Run the unit tests
+    - name: Run unit tests
+      run: |
+        source venv/bin/activate
+        python -m unittest discover -s test

test/test_book.py

@@ -3,7 +3,7 @@
 
 
 def o(addr, subacc, cid, is_bid, quantums, subticks):
-    return Order(OrderId(addr, subacc, cid), is_bid, quantums, quantums, subticks)
+    return Order(OrderId(addr, subacc, cid, 0), is_bid, quantums, quantums, subticks)
 
 
 class TestLimitOrderBook(unittest.TestCase):
@@ -53,11 +53,11 @@ def test_order_removal(self):
             self.lob.add_order(order)
 
         # Remove an order and check the state
-        self.lob.remove_order(OrderId("address1", 1, 101))
-        self.assertTrue(OrderId("address1", 1, 101) not in self.lob._bids[50])
+        self.lob.remove_order(OrderId("address1", 1, 101, 0))
+        self.assertTrue(OrderId("address1", 1, 101, 0) not in self.lob._bids[50])
 
-        self.lob.remove_order(OrderId("address3", 1, 103))
-        self.assertTrue(OrderId("address3", 1, 103) not in self.lob._asks[51])
+        self.lob.remove_order(OrderId("address3", 1, 103, 0))
+        self.assertTrue(OrderId("address3", 1, 103, 0) not in self.lob._asks[51])
 
         # Verify remaining orders maintain the correct order
         remaining_bid = self.lob._bids[50].head.data

test/test_feed_handler.py

@@ -74,14 +74,14 @@ def test_replay_state(self):
 
         # Check best bid and ask prices and sizes
         best_bid: lob.Order = next(self.snapshot_state.books[0].bids())
-        self.assertEqual(130932877, best_bid.order_id.client_id)
-        self.assertEqual(500000000, best_bid.quantums)
-        self.assertEqual(6037200000, best_bid.subticks)
+        self.assertEqual(900722659, best_bid.order_id.client_id)
+        self.assertEqual(839000000, best_bid.quantums)
+        self.assertEqual(10033200000, best_bid.subticks)
 
         best_ask: lob.Order = next(self.snapshot_state.books[0].asks())
-        self.assertEqual(130932874, best_ask.order_id.client_id)
-        self.assertEqual(30000000, best_ask.quantums)
-        self.assertEqual(6037300000, best_ask.subticks)
+        self.assertEqual(1393832, best_ask.order_id.client_id)
+        self.assertEqual(896000000, best_ask.quantums)
+        self.assertEqual(10033300000, best_ask.subticks)
 
 
 def asks_bids_from_feed(