Merge e1b8cd7 into dabcaab

betcode-org · Dec 6, 2020 · 0bffb1c · 0bffb1c
2 parents dabcaab + e1b8cd7
commit 0bffb1c
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Showing 2 changed files with 15 additions and 2 deletions.
diff --git a/flumine/markets/middleware.py b/flumine/markets/middleware.py
@@ -102,8 +102,8 @@ def _process_runner_removal(
                     ):
                         # todo place market
                         for match in order.simulated.matched:
-                            match[1] = round(
-                                match[1] * (1 - (removal_adjustment_factor / 100)), 2
+                            match[1] = self._calculate_reduction_factor(
+                                match[1], removal_adjustment_factor
                             )
                         _, order.simulated.average_price_matched = wap(
                             order.simulated.matched
@@ -115,6 +115,11 @@ def _process_runner_removal(
                             extra=order.info,
                         )
 
+    @staticmethod
+    def _calculate_reduction_factor(price: float, adjustment_factor: float) -> float:
+        price_adjusted = round(price * (1 - (adjustment_factor / 100)), 2)
+        return max(price_adjusted, 1.01)  # min: 1.01
+
     @staticmethod
     def _process_simulated_orders(market, market_analytics: dict) -> None:
         for order in market.blotter.live_orders:

diff --git a/tests/test_middleware.py b/tests/test_middleware.py
@@ -135,6 +135,14 @@ def test__process_runner_removal_none(self):
         self.middleware._process_runner_removal(mock_market, 12345, 0, None)
         self.assertEqual(mock_order.simulated.matched, [[123, 8.6, 10]])
 
+    def test__calculate_reduction_factor(self):
+        self.assertEqual(self.middleware._calculate_reduction_factor(10, 10), 9)
+        self.assertEqual(self.middleware._calculate_reduction_factor(1000, 0), 1000)
+        self.assertEqual(self.middleware._calculate_reduction_factor(1000, 5), 950)
+        self.assertEqual(self.middleware._calculate_reduction_factor(3.2, 75.18), 1.01)
+        self.assertEqual(self.middleware._calculate_reduction_factor(10, 75.18), 2.48)
+        self.assertEqual(self.middleware._calculate_reduction_factor(1.01, 75.18), 1.01)
+
     def test__process_simulated_orders(self):
         mock_market_book = mock.Mock()
         mock_order = mock.Mock()