Benchmark order matching (#23)

* Benchmark order matching

* Add benchmark to github action

* Add benchmark to github action

* fix actions setup

* fix actions setup

* Save histogram

* Save histogram

.github/workflows/workflow.yaml

@@ -29,6 +29,38 @@ jobs:
       - name: Run test suite
         run: pytest --cov=order_matching
 
+  benchmark:
+    name: Run benchmark
+    runs-on: ubuntu-latest
+    steps:
+      - name: Check out repository code
+        uses: actions/checkout@v3
+      - name: Setup Python
+        uses: actions/setup-python@v4
+        with:
+          python-version: "3.10"
+          cache: "pip"
+          cache-dependency-path: pyproject.toml
+      - name: Install dependencies
+        run: pip install -e .[test]
+      - name: Run benchmark
+        run: ./benchmark.sh
+      - name: Download previous benchmark data
+        uses: actions/cache@v3
+        with:
+          path: ./cache
+          key: ${{ runner.os }}-benchmark
+      - name: Store benchmark result
+        uses: benchmark-action/github-action-benchmark@v1
+        with:
+          tool: 'pytest'
+          output-file-path: benchmark.json
+          external-data-json-path: ./cache/benchmark-data.json
+          fail-on-alert: false
+          github-token: ${{ secrets.GITHUB_TOKEN }}
+          comment-on-alert: true
+          alert-comment-cc-users: '@${GITHUB_ACTOR},@khrapovs'
+
   code-quality:
     name: Code quality checks
     runs-on: ubuntu-latest
@@ -69,7 +101,7 @@ jobs:
 
   build:
     name: Build wheels
-    needs: [ test, code-quality, docs ]
+    needs: [ test, benchmark, code-quality, docs ]
     runs-on: ubuntu-latest
     steps:
       - uses: actions/checkout@v3

.gitignore

@@ -2,6 +2,9 @@
 .mypy_cache/
 .pytest_cache/
 .ruff_cache/
+.benchmarks/
+benchmark.json
+benchmark_history.svg
 __pycache__/*
 venv/
 site/

README.md

@@ -82,6 +82,10 @@ Run tests:
 pip install -e ".[test]"
 pytest
 ```
+Run benchmark and see the result either in the terminal or as a plot in `benchmark_history.svg`:
+```shell
+./benchmark.sh
+```
 Build and serve documentation website:
 ```shell
 pip install -e ".[doc]"

benchmark.sh

@@ -0,0 +1,11 @@
+#!/bin/bash
+
+# Run pytest benchmark. Results are saved in .benchmarks
+pytest tests/test_matching_engine.py::TestMatchingEngine::test_matching_with_benchmark \
+  --dist no \
+  --benchmark-enable \
+  --benchmark-autosave \
+  --benchmark-json=benchmark.json
+
+# Compare saved results
+pytest-benchmark compare --histogram=benchmark_history

pyproject.toml

@@ -28,7 +28,8 @@ Documentation = "https://order-book-matching-engine.readthedocs.io/"
 test = [
     "pytest",
     "pytest-cov",
-    "pytest-xdist"
+    "pytest-xdist",
+    "pytest-benchmark[histogram]"
 ]
 doc = [
     "mkdocs-material",
@@ -54,7 +55,7 @@ requires = [
 build-backend = "setuptools.build_meta"
 
 [tool.pytest.ini_options]
-addopts = "--cov-config=.coveragerc --doctest-modules --doctest-glob='*.md' -n=auto"
+addopts = "--cov-config=.coveragerc --doctest-modules --doctest-glob='*.md' -n=auto --benchmark-disable"
 testpaths = ["tests", "src", "README.md"]
 
 [tool.setuptools_scm]

tests/conftest.py

@@ -0,0 +1,29 @@
+import pandas as pd
+import pytest
+
+from order_matching.order import LimitOrder
+from order_matching.orders import Orders
+from order_matching.random import get_faker, get_random_generator
+from order_matching.side import Side
+
+
+@pytest.fixture
+def random_orders() -> Orders:
+    faker = get_faker()
+    rng = get_random_generator(seed=42)
+    orders_per_timestamp, number_of_time_points = 100, 10
+    time_intervals = rng.uniform(low=0, high=1, size=number_of_time_points)
+    random_timestamps = pd.Timestamp(2023, 1, 1) + pd.to_timedelta(time_intervals.cumsum(), unit="D")
+    orders = list()
+    for timestamp in random_timestamps:
+        prices = rng.lognormal(mean=1, size=orders_per_timestamp).round(decimals=1)
+        sizes = rng.lognormal(mean=1, size=orders_per_timestamp).round(decimals=4)
+        sides = rng.choice([Side.SELL, Side.BUY], size=orders_per_timestamp)
+        new_orders = [
+            LimitOrder(
+                side=side, price=price, size=size, timestamp=timestamp, order_id=faker.uuid4(), trader_id=faker.uuid4()
+            )
+            for side, price, size in zip(sides, prices, sizes, strict=True)
+        ]
+        orders.extend(new_orders)
+    return Orders(orders)

tests/test_matching_engine.py

@@ -1,6 +1,7 @@
 from copy import deepcopy
 
 import pandas as pd
+from pytest_benchmark.fixture import BenchmarkFixture
 
 from order_matching.matching_engine import MatchingEngine
 from order_matching.order import LimitOrder, MarketOrder
@@ -742,3 +743,7 @@ def test_cancellation_of_expired_orders(self) -> None:
 
         assert matching_engine.unprocessed_orders.bids == dict()
         assert matching_engine.unprocessed_orders.offers == dict()
+
+    def test_matching_with_benchmark(self, random_orders: Orders, benchmark: BenchmarkFixture) -> None:
+        order_book = MatchingEngine()
+        benchmark(order_book.match, orders=random_orders, timestamp=random_orders.orders[-1].timestamp)