def test_add_trade_reports(self):
report_id1 = UUID4()
mass_status = ExecutionMassStatus(
client_id=ClientId("IB"),
account_id=AccountId("IB", "U123456789"),
venue=Venue("IDEALPRO"),
report_id=report_id1,
ts_init=0,
)
report_id2 = UUID4()
report1 = TradeReport(
account_id=AccountId("IB", "U123456789"),
instrument_id=AUDUSD_IDEALPRO,
client_order_id=ClientOrderId("O-123456789"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("2"),
trade_id=TradeId("3"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(100),
last_px=Price.from_str("100.50"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
report_id=report_id2,
ts_event=0,
ts_init=0,
)
report_id3 = UUID4()
report2 = TradeReport(
account_id=AccountId("IB", "U123456789"),
instrument_id=AUDUSD_IDEALPRO,
client_order_id=ClientOrderId("O-123456790"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("2"),
trade_id=TradeId("4"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(100),
last_px=Price.from_str("100.60"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
report_id=report_id3,
ts_event=0,
ts_init=0,
)
# Act
mass_status.add_trade_reports([report1, report2])
# Assert
assert mass_status.trade_reports()[VenueOrderId("1")] == [report1, report2]
def test_instantiate_trade_report(self):
# Arrange, Act
report_id = UUID4()
report = TradeReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_IDEALPRO,
client_order_id=ClientOrderId("O-123456789"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("2"),
trade_id=TradeId("3"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(10000000),
last_px=Price.from_str("100.50"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
report_id=report_id,
ts_event=0,
ts_init=0,
)
# Assert
assert (
str(report)
== f"TradeReport(account_id=SIM-001, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456789, venue_order_id=1, venue_position_id=2, trade_id=3, order_side=BUY, last_qty=10_000_000, last_px=100.50, commission=4.50 USD, liquidity_side=TAKER, report_id={report_id}, ts_event=0, ts_init=0)" # noqa
)
assert (
repr(report)
== f"TradeReport(account_id=SIM-001, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456789, venue_order_id=1, venue_position_id=2, trade_id=3, order_side=BUY, last_qty=10_000_000, last_px=100.50, commission=4.50 USD, liquidity_side=TAKER, report_id={report_id}, ts_event=0, ts_init=0)" # noqa
)
async def generate_trades_list(
self,
venue_order_id: VenueOrderId,
symbol: Symbol,
since: datetime = None # type: ignore
) -> List[TradeReport]:
filled = self.client().betting.list_cleared_orders(
bet_ids=[venue_order_id], )
if not filled["clearedOrders"]:
self._log.warn(f"Found no existing order for {venue_order_id}")
return []
fill = filled["clearedOrders"][0]
ts_event = int(pd.Timestamp(fill["lastMatchedDate"]).to_datetime64())
return [
TradeReport(
client_order_id=self.
venue_order_id_to_client_order_id[venue_order_id],
venue_order_id=VenueOrderId(fill["betId"]),
venue_position_id=None, # Can be None
trade_id=TradeId(fill["lastMatchedDate"]),
last_qty=Quantity.from_str(str(
fill["sizeSettled"])), # TODO: Incorrect precision?
last_px=Price.from_str(str(
fill["priceMatched"])), # TODO: Incorrect precision?
commission=None, # Can be None
liquidity_side=LiquiditySide.NONE,
ts_event=ts_event,
ts_init=ts_event,
)
]
def parse_trade_report_http(
account_id: AccountId,
instrument_id: InstrumentId,
data: BinanceFuturesAccountTrade,
report_id: UUID4,
ts_init: int,
) -> TradeReport:
return TradeReport(
account_id=account_id,
instrument_id=instrument_id,
venue_order_id=VenueOrderId(str(data.orderId)),
venue_position_id=PositionId(
f"{instrument_id}-{data.positionSide.value}"),
trade_id=TradeId(str(data.id)),
order_side=OrderSide[data.side.value],
last_qty=Quantity.from_str(data.qty),
last_px=Price.from_str(data.price),
commission=Money(data.commission,
Currency.from_str(data.commissionAsset)),
liquidity_side=LiquiditySide.MAKER
if data.maker else LiquiditySide.TAKER,
report_id=report_id,
ts_event=millis_to_nanos(data.time),
ts_init=ts_init,
)
async def test_reconcile_state_no_cached_with_partially_filled_order_and_trade(
self):
# Arrange
venue_order_id = VenueOrderId("1")
order_report = OrderStatusReport(
account_id=self.account_id,
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456"),
venue_order_id=venue_order_id,
order_side=OrderSide.BUY,
order_type=OrderType.LIMIT,
time_in_force=TimeInForce.GTC,
order_status=OrderStatus.PARTIALLY_FILLED,
price=Price.from_str("1.00000"),
quantity=Quantity.from_int(10_000),
filled_qty=Quantity.from_int(5_000),
avg_px=Decimal("1.00000"),
post_only=True,
report_id=UUID4(),
ts_accepted=0,
ts_triggered=0,
ts_last=0,
ts_init=0,
)
trade_report = TradeReport(
account_id=self.account_id,
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456"),
venue_order_id=venue_order_id,
venue_position_id=None,
trade_id=TradeId("1"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(5_000),
last_px=Price.from_str("1.00000"),
commission=Money(0, USD),
liquidity_side=LiquiditySide.MAKER,
report_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.client.add_order_status_report(order_report)
self.client.add_trade_reports(venue_order_id, [trade_report])
# Act
result = await self.exec_engine.reconcile_state()
# Assert
assert result
assert len(self.cache.orders()) == 1
assert self.cache.orders()[0].status == OrderStatus.PARTIALLY_FILLED
def parse_trade_report(
account_id: AccountId,
instrument: Instrument,
data: Dict[str, Any],
report_id: UUID4,
ts_init: int,
) -> TradeReport:
return TradeReport(
account_id=account_id,
instrument_id=instrument.id,
venue_order_id=VenueOrderId(str(data["orderId"])),
trade_id=TradeId(str(data["tradeId"])),
order_side=OrderSide.BUY if data["side"] == "buy" else OrderSide.SELL,
last_qty=instrument.make_qty(data["size"]),
last_px=instrument.make_price(data["price"]),
commission=Money(data["fee"], Currency.from_str(data["feeCurrency"])),
liquidity_side=LiquiditySide.TAKER
if data["liquidity"] == "taker" else LiquiditySide.MAKER,
report_id=report_id,
ts_event=int(pd.to_datetime(data["time"], utc=True).to_datetime64()),
ts_init=ts_init,
)
def parse_trade_report_http(
account_id: AccountId,
instrument_id: InstrumentId,
data: Dict[str, Any],
report_id: UUID4,
ts_init: int,
) -> TradeReport:
return TradeReport(
account_id=account_id,
instrument_id=instrument_id,
venue_order_id=VenueOrderId(str(data["orderId"])),
trade_id=TradeId(str(data["id"])),
order_side=OrderSide.BUY if data["isBuyer"] else OrderSide.SELL,
last_qty=Quantity.from_str(data["qty"]),
last_px=Price.from_str(data["price"]),
commission=Money(data["commission"],
Currency.from_str(data["commissionAsset"])),
liquidity_side=LiquiditySide.MAKER
if data["isMaker"] else LiquiditySide.TAKER,
report_id=report_id,
ts_event=millis_to_nanos(data["time"]),
ts_init=ts_init,
)
def test_handle_trade_report(self):
# Arrange
trade_report = TradeReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456789"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("2"),
trade_id=TradeId("3"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(100),
last_px=Price.from_str("100.50"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
report_id=UUID4(),
ts_event=0,
ts_init=0,
)
# Act
self.exec_engine.reconcile_report(trade_report)
# Assert
assert self.exec_engine.report_count == 1