def test_serialize_and_deserialize_stop_market_order_initialized_events(self):
# Arrange
options = {
"trigger_price": "1.0005",
}
event = OrderInitialized(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.SELL,
OrderType.STOP_MARKET,
Quantity(100000, precision=0),
TimeInForce.DAY,
post_only=False,
reduce_only=True,
options=options,
order_list_id=OrderListId("1"),
contingency_type=ContingencyType.OTO,
linked_order_ids=[ClientOrderId("O-123457"), ClientOrderId("O-123458")],
parent_order_id=ClientOrderId("O-123455"),
tags=None,
event_id=UUID4(),
ts_init=0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options
def test_serialize_and_deserialize_market_order_initialized_events(self):
# Arrange
event = OrderInitialized(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.SELL,
OrderType.MARKET,
Quantity(100000, precision=0),
TimeInForce.FOK,
reduce_only=True,
options={},
order_list_id=OrderListId("1"),
parent_order_id=ClientOrderId("O-123455"),
child_order_ids=[
ClientOrderId("O-123457"),
ClientOrderId("O-123458")
],
contingency=ContingencyType.OTO,
contingency_ids=[
ClientOrderId("O-123457"),
ClientOrderId("O-123458")
],
tags="ENTRY",
event_id=UUID4(),
ts_init=0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
def test_order_initialized_event_to_from_dict_and_str_repr(self):
# Arrange
uuid = UUID4()
event = OrderInitialized(
trader_id=TraderId("TRADER-001"),
strategy_id=StrategyId("SCALPER-001"),
instrument_id=InstrumentId(Symbol("BTC/USDT"), Venue("BINANCE")),
client_order_id=ClientOrderId("O-2020872378423"),
order_side=OrderSide.BUY,
order_type=OrderType.LIMIT,
quantity=Quantity.from_str("0.561000"),
time_in_force=TimeInForce.DAY,
reduce_only=True,
options={"price": "15200.10"},
order_list_id=OrderListId("1"),
parent_order_id=None,
child_order_ids=[ClientOrderId("O-2020872378424")],
contingency=ContingencyType.OTO,
contingency_ids=[ClientOrderId("O-2020872378424")],
tags="ENTRY",
event_id=uuid,
ts_init=0,
)
# Act, Assert
assert OrderInitialized.from_dict(
OrderInitialized.to_dict(event)) == event
assert (
str(event) ==
f"OrderInitialized(instrument_id=BTC/USDT.BINANCE, client_order_id=O-2020872378423, side=BUY, type=LIMIT, quantity=0.561000, time_in_force=DAY, reduce_only=True, options={{'price': '15200.10'}}, order_list_id=1, parent_order_id=None, child_order_ids=['O-2020872378424'], contingency=OTO, contingency_ids=['O-2020872378424'], tags=ENTRY)" # noqa
)
assert (
repr(event) ==
f"OrderInitialized(trader_id=TRADER-001, strategy_id=SCALPER-001, instrument_id=BTC/USDT.BINANCE, client_order_id=O-2020872378423, side=BUY, type=LIMIT, quantity=0.561000, time_in_force=DAY, reduce_only=True, options={{'price': '15200.10'}}, order_list_id=1, parent_order_id=None, child_order_ids=['O-2020872378424'], contingency=OTO, contingency_ids=['O-2020872378424'], tags=ENTRY, event_id={uuid}, ts_init=0)" # noqa
)
def test_add_order_status_reports(self):
# Arrange
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,
)
venue_order_id = VenueOrderId("2")
report_id2 = UUID4()
report = OrderStatusReport(
account_id=AccountId("IB", "U123456789"),
instrument_id=AUDUSD_IDEALPRO,
client_order_id=ClientOrderId("O-123456"),
order_list_id=OrderListId("1"),
venue_order_id=venue_order_id,
order_side=OrderSide.SELL,
order_type=OrderType.STOP_LIMIT,
contingency_type=ContingencyType.OCO,
time_in_force=TimeInForce.DAY,
expire_time=None,
order_status=OrderStatus.REJECTED,
price=Price.from_str("0.90090"),
trigger_price=Price.from_str("0.90100"),
trigger_type=TriggerType.DEFAULT,
limit_offset=None,
trailing_offset=Decimal("0.00010"),
offset_type=TrailingOffsetType.PRICE,
quantity=Quantity.from_int(1_000_000),
filled_qty=Quantity.from_int(0),
display_qty=None,
avg_px=None,
post_only=True,
reduce_only=False,
cancel_reason="SOME_REASON",
report_id=report_id2,
ts_accepted=1_000_000,
ts_triggered=0,
ts_last=2_000_000,
ts_init=3_000_000,
)
# Act
mass_status.add_order_reports([report])
# Assert
assert mass_status.order_reports()[venue_order_id] == report
assert (
repr(mass_status)
== f"ExecutionMassStatus(client_id=IB, account_id=IB-U123456789, venue=IDEALPRO, order_reports={{VenueOrderId('2'): OrderStatusReport(account_id=IB-U123456789, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456, order_list_id=1, venue_order_id=2, order_side=SELL, order_type=STOP_LIMIT, contingency_type=OCO, time_in_force=DAY, expire_time=None, order_status=REJECTED, price=0.90090, trigger_price=0.90100, trigger_type=DEFAULT, limit_offset=None, trailing_offset=0.00010, offset_type=PRICE, quantity=1_000_000, filled_qty=0, leaves_qty=1_000_000, display_qty=None, avg_px=None, post_only=True, reduce_only=False, cancel_reason=SOME_REASON, report_id={report_id2}, ts_accepted=1000000, ts_triggered=0, ts_last=2000000, ts_init=3000000)}}, trade_reports={{}}, position_reports={{}}, report_id={report_id1}, ts_init=0)" # noqa
)
assert (
repr(report)
== f"OrderStatusReport(account_id=IB-U123456789, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456, order_list_id=1, venue_order_id=2, order_side=SELL, order_type=STOP_LIMIT, contingency_type=OCO, time_in_force=DAY, expire_time=None, order_status=REJECTED, price=0.90090, trigger_price=0.90100, trigger_type=DEFAULT, limit_offset=None, trailing_offset=0.00010, offset_type=PRICE, quantity=1_000_000, filled_qty=0, leaves_qty=1_000_000, display_qty=None, avg_px=None, post_only=True, reduce_only=False, cancel_reason=SOME_REASON, report_id={report_id2}, ts_accepted=1000000, ts_triggered=0, ts_last=2000000, ts_init=3000000)" # noqa
)
def test_submit_order_list_when_trading_halted_then_denies_orders(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss = strategy.order_factory.stop_market( # <-- duplicate
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
take_profit = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
bracket = OrderList(
list_id=OrderListId("1"),
orders=[entry, stop_loss, take_profit],
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Halt trading
self.risk_engine.set_trading_state(TradingState.HALTED)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.risk_engine.command_count == 1 # <-- command never reaches engine
def test_serialize_and_deserialize_stop_limit_order_initialized_events(
self):
# Arrange
options = {
"ExpireTime": None,
"Price": "1.0005",
"Trigger": "1.0010",
"PostOnly": True,
"Hidden": False,
}
event = OrderInitialized(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.SELL,
OrderType.STOP_LIMIT,
Quantity(100000, precision=0),
TimeInForce.DAY,
reduce_only=True,
options=options,
order_list_id=OrderListId("1"),
parent_order_id=ClientOrderId("O-123455"),
child_order_ids=[
ClientOrderId("O-123457"),
ClientOrderId("O-123458")
],
contingency=ContingencyType.OTO,
contingency_ids=[
ClientOrderId("O-123457"),
ClientOrderId("O-123458")
],
tags="entry,bulk",
event_id=UUID4(),
ts_init=0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options
assert deserialized.tags == "entry,bulk"
def test_instantiate_order_status_report(self):
# Arrange, Act
report_id = UUID4()
report = OrderStatusReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_IDEALPRO,
client_order_id=ClientOrderId("O-123456"),
order_list_id=OrderListId("1"),
venue_order_id=VenueOrderId("2"),
order_side=OrderSide.SELL,
order_type=OrderType.STOP_LIMIT,
contingency_type=ContingencyType.OCO,
time_in_force=TimeInForce.DAY,
expire_time=None,
order_status=OrderStatus.REJECTED,
price=Price.from_str("0.90090"),
trigger_price=Price.from_str("0.90100"),
trigger_type=TriggerType.DEFAULT,
limit_offset=None,
trailing_offset=Decimal("0.00010"),
offset_type=TrailingOffsetType.PRICE,
quantity=Quantity.from_int(1_000_000),
filled_qty=Quantity.from_int(0),
display_qty=None,
avg_px=None,
post_only=True,
reduce_only=False,
cancel_reason="SOME_REASON",
report_id=report_id,
ts_accepted=1_000_000,
ts_triggered=1_500_000,
ts_last=2_000_000,
ts_init=3_000_000,
)
# Assert
assert (
str(report)
== f"OrderStatusReport(account_id=SIM-001, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456, order_list_id=1, venue_order_id=2, order_side=SELL, order_type=STOP_LIMIT, contingency_type=OCO, time_in_force=DAY, expire_time=None, order_status=REJECTED, price=0.90090, trigger_price=0.90100, trigger_type=DEFAULT, limit_offset=None, trailing_offset=0.00010, offset_type=PRICE, quantity=1_000_000, filled_qty=0, leaves_qty=1_000_000, display_qty=None, avg_px=None, post_only=True, reduce_only=False, cancel_reason=SOME_REASON, report_id={report_id}, ts_accepted=1000000, ts_triggered=1500000, ts_last=2000000, ts_init=3000000)" # noqa
)
assert (
repr(report)
== f"OrderStatusReport(account_id=SIM-001, instrument_id=AUD/USD.IDEALPRO, client_order_id=O-123456, order_list_id=1, venue_order_id=2, order_side=SELL, order_type=STOP_LIMIT, contingency_type=OCO, time_in_force=DAY, expire_time=None, order_status=REJECTED, price=0.90090, trigger_price=0.90100, trigger_type=DEFAULT, limit_offset=None, trailing_offset=0.00010, offset_type=PRICE, quantity=1_000_000, filled_qty=0, leaves_qty=1_000_000, display_qty=None, avg_px=None, post_only=True, reduce_only=False, cancel_reason=SOME_REASON, report_id={report_id}, ts_accepted=1000000, ts_triggered=1500000, ts_last=2000000, ts_init=3000000)" # noqa
)
def test_handle_order_status_report(self):
# Arrange
order_report = OrderStatusReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456"),
order_list_id=OrderListId("1"),
venue_order_id=VenueOrderId("2"),
order_side=OrderSide.SELL,
order_type=OrderType.STOP_LIMIT,
contingency_type=ContingencyType.OCO,
time_in_force=TimeInForce.DAY,
expire_time=None,
order_status=OrderStatus.REJECTED,
price=Price.from_str("0.90090"),
trigger_price=Price.from_str("0.90100"),
trigger_type=TriggerType.DEFAULT,
limit_offset=None,
trailing_offset=Decimal("0.00010"),
offset_type=TrailingOffsetType.PRICE,
quantity=Quantity.from_int(1_000_000),
filled_qty=Quantity.from_int(0),
display_qty=None,
avg_px=None,
post_only=True,
reduce_only=False,
cancel_reason="SOME_REASON",
report_id=UUID4(),
ts_accepted=1_000_000,
ts_triggered=1_500_000,
ts_last=2_000_000,
ts_init=3_000_000,
)
# Act
self.exec_engine.reconcile_report(order_report)
# Assert
assert self.exec_engine.report_count == 1
def test_bracket_limit_order_list(self):
# Arrange, Act
bracket = self.order_factory.bracket_limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
Price.from_str("0.99990"),
Price.from_str("1.00010"),
TimeInForce.GTC,
)
# Assert
assert bracket.id == OrderListId("1")
assert bracket.instrument_id == AUDUSD_SIM.id
assert len(bracket.orders) == 3
assert bracket.orders[0].type == OrderType.LIMIT
assert bracket.orders[1].type == OrderType.STOP_MARKET
assert bracket.orders[2].type == OrderType.LIMIT
assert bracket.orders[0].instrument_id == AUDUSD_SIM.id
assert bracket.orders[1].instrument_id == AUDUSD_SIM.id
assert bracket.orders[2].instrument_id == AUDUSD_SIM.id
assert bracket.orders[0].client_order_id == ClientOrderId(
"O-19700101-000000-000-001-1")
assert bracket.orders[1].client_order_id == ClientOrderId(
"O-19700101-000000-000-001-2")
assert bracket.orders[2].client_order_id == ClientOrderId(
"O-19700101-000000-000-001-3")
assert bracket.orders[0].side == OrderSide.BUY
assert bracket.orders[1].side == OrderSide.SELL
assert bracket.orders[2].side == OrderSide.SELL
assert bracket.orders[0].quantity == Quantity.from_int(100000)
assert bracket.orders[1].quantity == Quantity.from_int(100000)
assert bracket.orders[2].quantity == Quantity.from_int(100000)
assert bracket.orders[1].price == Price.from_str("0.99990")
assert bracket.orders[2].price == Price.from_str("1.00010")
assert bracket.orders[1].time_in_force == TimeInForce.GTC
assert bracket.orders[2].time_in_force == TimeInForce.GTC
assert bracket.orders[1].expire_time is None
assert bracket.orders[2].expire_time is None
assert bracket.orders[0].contingency == ContingencyType.OTO
assert bracket.orders[1].contingency == ContingencyType.OCO
assert bracket.orders[2].contingency == ContingencyType.OCO
assert bracket.orders[0].contingency_ids == [
ClientOrderId("O-19700101-000000-000-001-2"),
ClientOrderId("O-19700101-000000-000-001-3"),
]
assert bracket.orders[1].contingency_ids == [
ClientOrderId("O-19700101-000000-000-001-3")
]
assert bracket.orders[2].contingency_ids == [
ClientOrderId("O-19700101-000000-000-001-2")
]
assert bracket.orders[0].child_order_ids == [
ClientOrderId("O-19700101-000000-000-001-2"),
ClientOrderId("O-19700101-000000-000-001-3"),
]
assert bracket.orders[1].parent_order_id == ClientOrderId(
"O-19700101-000000-000-001-1")
assert bracket.orders[2].parent_order_id == ClientOrderId(
"O-19700101-000000-000-001-1")
assert bracket.ts_init == 0
"price": "1.0010",
}
event = OrderInitialized(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.SELL,
OrderType.LIMIT,
Quantity(100000, precision=0),
TimeInForce.DAY,
post_only=True,
reduce_only=False,
options=options,
order_list_id=OrderListId("1"),
contingency_type=ContingencyType.OTO,
linked_order_ids=[ClientOrderId("O-123457"), ClientOrderId("O-123458")],
parent_order_id=ClientOrderId("O-123455"),
tags=None,
event_id=UUID4(),
ts_init=0,
)
# Act
serialized = self.serializer.serialize(event)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == event
assert deserialized.options == options