def setUp(self):
# Fixture Setup
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(id_tag_trader=IdTag('001'),
id_tag_strategy=IdTag('001'),
clock=TestClock(),
guid_factory=TestGuidFactory())
def position(number=1, entry_price=None) -> Position:
if entry_price is None:
entry_price = Price("1.00000")
generator = PositionIdGenerator(id_tag_trader=IdTag("001"))
for _i in range(number):
generator.generate(TestStubs.symbol_audusd_fxcm())
order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
clock=LiveClock(),
)
order = order_factory.market(
TestStubs.symbol_audusd_fxcm(),
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId(TestStubs.symbol_audusd_fxcm().value)
order_filled = TestStubs.event_order_filled(
order,
position_id=position_id,
fill_price=entry_price,
)
position = Position(event=order_filled)
return position
def setUp(self):
# Fixture Setup
self.clock = TestClock()
uuid_factor = TestUUIDFactory()
logger = TestLogger(self.clock)
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
clock=TestClock(),
)
state = AccountState(
AccountId.from_string("BITMEX-1513111-SIMULATED"),
BTC,
Money(10., BTC),
Money(0., BTC),
Money(0., BTC),
uuid4(),
UNIX_EPOCH
)
self.account = Account(state)
self.portfolio = Portfolio(self.clock, uuid_factor, logger)
self.portfolio.register_account(self.account)
def setUp(self):
# Fixture Setup
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
clock=TestClock())
def setUp(self):
# Fixture Setup
self.generator = ClientOrderIdGenerator(IdTag("001"), IdTag("001"),
LiveClock())
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.guid_factory = TestGuidFactory()
logger = TestLogger()
self.trader_id = TraderId('TESTER', '000')
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
id_tag_trader=self.trader_id.order_id_tag,
id_tag_strategy=IdTag('001'),
clock=self.clock)
self.portfolio = Portfolio(currency=Currency.USD,
clock=self.clock,
guid_factory=self.guid_factory,
logger=logger)
self.analyzer = PerformanceAnalyzer()
self.exec_db = InMemoryExecutionDatabase(trader_id=self.trader_id,
logger=logger)
self.exec_engine = ExecutionEngine(trader_id=self.trader_id,
account_id=self.account_id,
database=self.exec_db,
portfolio=self.portfolio,
clock=self.clock,
guid_factory=self.guid_factory,
logger=logger)
self.exec_engine.handle_event(TestStubs.account_event())
self.exec_client = MockExecutionClient(self.exec_engine, logger)
self.exec_engine.register_client(self.exec_client)
def test_initialize_trader(self):
# Arrange
# Act
trader_id = self.trader.id
# Assert
self.assertEqual(TraderId("TESTER", "000"), trader_id)
self.assertEqual(IdTag("000"), trader_id.tag)
self.assertEqual(ComponentState.INITIALIZED, self.trader.state)
self.assertEqual(2, len(self.trader.strategy_states()))
def test_can_initialize_trader(self):
# Arrange
# Act
trader_id = self.trader.id
# Assert
self.assertEqual(TraderId('TESTER', '000'), trader_id)
self.assertEqual(IdTag('000'), trader_id.order_id_tag)
self.assertFalse(self.trader.is_running)
self.assertEqual(0, len(self.trader.started_datetimes))
self.assertEqual(0, len(self.trader.stopped_datetimes))
self.assertEqual(2, len(self.trader.strategy_status()))
def test_equality_of_subclass(self):
# Arrange
id1 = Venue("BINANCE")
id2 = Venue("BINANCE")
id3 = InstrumentId(Symbol("BINANCE"), Venue("BINANCE")) # Invalid
id4 = IdTag("BINANCE")
# Act
# Assert
assert id1 == id1
assert id2 == id2
assert id1 == id2
assert id2 == id1
assert id1 != id3
assert id2 != id3
assert id2 != id4
assert id4 != id1
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=self.trader_id.tag,
id_tag_strategy=IdTag("001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("FXCM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def setUp(self):
self.generator = OrderIdGenerator(IdTag("001"), IdTag("001"), LiveClock())
def position_which_is_closed(position_id, close_price=None) -> Position:
if close_price is None:
close_price = Price("1.0001")
order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
)
order = order_factory.market(
TestStubs.symbol_audusd_fxcm(),
OrderSide.SELL,
Quantity(100000),
)
filled1 = OrderFilled(
TestStubs.account_id(),
order.cl_ord_id,
OrderId("1"),
ExecutionId(order.cl_ord_id.value.replace('O', 'E')),
position_id,
StrategyId("S", "1"),
order.symbol,
order.side,
order.quantity,
Quantity(),
close_price,
Money(0, USD),
LiquiditySide.TAKER,
USD, # Stub event
USD, # Stub event
UNIX_EPOCH + timedelta(minutes=5),
uuid4(),
UNIX_EPOCH + timedelta(minutes=5),
)
filled2 = OrderFilled(
TestStubs.account_id(),
order.cl_ord_id,
OrderId("2"),
ExecutionId(order.cl_ord_id.value.replace('O', 'E')),
position_id,
StrategyId("S", "1"),
order.symbol,
OrderSide.BUY,
order.quantity,
Quantity(),
close_price,
Money(0, USD),
LiquiditySide.TAKER,
USD, # Stub event
USD, # Stub event
UNIX_EPOCH + timedelta(minutes=5),
uuid4(),
UNIX_EPOCH + timedelta(minutes=5),
)
position = Position(filled1)
position.apply(filled2)
return position
def setUp(self):
# Fixture Setup
self.position_id_generator = PositionIdGenerator(
id_tag_trader=IdTag("001"),
clock=TestClock(),
)
def setUp(self):
# Fixture Setup
self.generator = OrderIdGenerator(IdTag("001"), IdTag("001"),
LiveClock())
def setup(self):
# Fixture Setup
self.order_id_generator = ClientOrderIdGenerator(
id_tag_trader=IdTag("001"),
id_tag_strategy=IdTag("001"),
clock=TestClock())
def setUp(self):
# Fixture Setup
self.order_id_generator = OrderIdGenerator(
id_tag_trader=IdTag('001'),
id_tag_strategy=IdTag('001'),
clock=TestClock())
def setUp(self):
# Fixture Setup
self.position_id_generator = PositionIdGenerator(
id_tag_trader=IdTag('001'),
id_tag_strategy=IdTag('001'),
clock=TestClock())
def setUp(self):
self.generator = OrderIdGenerator(IdTag('001'), IdTag('001'))