def test_submit_order(self): # Arrange strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), ) submit_order = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy.id, PositionId.py_null(), order, self.uuid_factory.generate(), self.clock.utc_now(), ) # Act self.exec_engine.execute(submit_order) # Assert self.assertIn(submit_order, self.exec_client.received_commands) self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_position_opening_with_position_id_none(self): # Arrange strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) self.exec_engine.register_strategy(strategy) order = strategy.order_factory.market( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), ) submit_order = SubmitOrder(self.venue, self.trader_id, self.account_id, strategy.id, PositionId.py_null(), order, self.uuid_factory.generate(), self.clock.utc_now()) self.exec_engine.execute(submit_order) # Act self.exec_engine.process(TestStubs.event_order_submitted(order)) self.exec_engine.process(TestStubs.event_order_accepted(order)) self.exec_engine.process(TestStubs.event_order_filled(order)) expected_id = PositionId( "O-19700101-000000-000-001-1") # Stubbed from order id # Assert self.assertTrue(self.cache.position_exists(expected_id)) self.assertTrue(self.cache.is_position_open(expected_id)) self.assertFalse(self.cache.is_position_closed(expected_id)) self.assertFalse( self.exec_engine.cache.is_flat(strategy_id=strategy.id)) self.assertFalse(self.exec_engine.cache.is_flat()) self.assertEqual(Position, type(self.cache.position(expected_id))) self.assertTrue(expected_id in self.cache.position_ids()) self.assertTrue(expected_id not in self.cache.position_closed_ids( strategy_id=strategy.id)) self.assertTrue(expected_id not in self.cache.position_closed_ids()) self.assertTrue(expected_id in self.cache.position_open_ids( strategy_id=strategy.id)) self.assertTrue(expected_id in self.cache.position_open_ids()) self.assertEqual(1, self.cache.positions_total_count()) self.assertEqual(1, self.cache.positions_open_count()) self.assertEqual(0, self.cache.positions_closed_count()) self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_add_order(self): # Arrange order = self.strategy.order_factory.market( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), ) position_id = PositionId.py_null() # Act self.database.add_order(order, position_id) # Assert self.assertEqual(order, self.database.load_order(order.cl_ord_id))
def test_flip_position_on_opposite_filled_same_position(self): # Arrange strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) self.exec_engine.register_strategy(strategy) order1 = strategy.order_factory.market( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), ) order2 = strategy.order_factory.market( AUDUSD_FXCM, OrderSide.SELL, Quantity(150000), ) submit_order1 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy.id, PositionId.py_null(), order1, self.uuid_factory.generate(), self.clock.utc_now(), ) position_id = PositionId("P-000-AUD/USD.FXCM-1") self.exec_engine.execute(submit_order1) self.exec_engine.process(TestStubs.event_order_submitted(order1)) self.exec_engine.process(TestStubs.event_order_accepted(order1)) self.exec_engine.process( TestStubs.event_order_filled(order1, position_id)) submit_order2 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy.id, position_id, order2, self.uuid_factory.generate(), self.clock.utc_now(), ) # Act self.exec_engine.execute(submit_order2) self.exec_engine.process(TestStubs.event_order_submitted(order2)) self.exec_engine.process(TestStubs.event_order_accepted(order2)) self.exec_engine.process( TestStubs.event_order_filled(order2, position_id)) position_id_flipped = PositionId("P-000-AUD/USD.FXCM-1F") order_id_flipped = ClientOrderId(order2.cl_ord_id.value + 'F') # Assert self.assertTrue(self.cache.position_exists(position_id)) self.assertTrue(self.cache.position_exists(position_id_flipped)) self.assertTrue(self.cache.is_position_closed(position_id)) self.assertTrue(self.cache.is_position_open(position_id_flipped)) self.assertFalse(self.cache.is_flat(strategy_id=strategy.id)) self.assertTrue(position_id in self.cache.position_ids()) self.assertTrue(position_id in self.cache.position_ids( strategy_id=strategy.id)) self.assertTrue(position_id_flipped in self.cache.position_ids()) self.assertTrue(position_id_flipped in self.cache.position_ids( strategy_id=strategy.id)) self.assertTrue(order_id_flipped, self.cache.position_exists_for_order(order_id_flipped)) self.assertEqual(2, self.cache.positions_total_count()) self.assertEqual(1, self.cache.positions_open_count()) self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self): # Arrange strategy1 = TradingStrategy(order_id_tag="001") strategy1.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) strategy2 = TradingStrategy(order_id_tag="002") strategy2.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) self.exec_engine.register_strategy(strategy1) self.exec_engine.register_strategy(strategy2) order1 = strategy1.order_factory.stop( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), Price("1.00000"), ) order2 = strategy1.order_factory.stop( AUDUSD_FXCM, OrderSide.SELL, Quantity(100000), Price("1.00000"), ) order3 = strategy2.order_factory.stop( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), Price("1.00000"), ) submit_order1 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy1.id, PositionId.py_null(), order1, self.uuid_factory.generate(), self.clock.utc_now(), ) position_id1 = PositionId('P-1') submit_order2 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy1.id, position_id1, order2, self.uuid_factory.generate(), self.clock.utc_now(), ) submit_order3 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy2.id, PositionId.py_null(), order3, self.uuid_factory.generate(), self.clock.utc_now(), ) position_id2 = PositionId('P-2') # Act self.exec_engine.execute(submit_order1) self.exec_engine.process(TestStubs.event_order_submitted(order1)) self.exec_engine.process(TestStubs.event_order_accepted(order1)) self.exec_engine.process( TestStubs.event_order_filled(order1, position_id1)) self.exec_engine.execute(submit_order2) self.exec_engine.process(TestStubs.event_order_submitted(order2)) self.exec_engine.process(TestStubs.event_order_accepted(order2)) self.exec_engine.process( TestStubs.event_order_filled(order2, position_id1)) self.exec_engine.execute(submit_order3) self.exec_engine.process(TestStubs.event_order_submitted(order3)) self.exec_engine.process(TestStubs.event_order_accepted(order3)) self.exec_engine.process( TestStubs.event_order_filled(order3, position_id2)) # Assert # Already tested .is_position_active and .is_position_closed above self.assertTrue(self.cache.position_exists(position_id1)) self.assertTrue(self.cache.position_exists(position_id2)) self.assertTrue(self.cache.is_flat(strategy_id=strategy1.id)) self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id)) self.assertFalse(self.cache.is_flat()) self.assertTrue(position_id1 in self.cache.position_ids( strategy_id=strategy1.id)) self.assertTrue(position_id2 in self.cache.position_ids( strategy_id=strategy2.id)) self.assertTrue(position_id1 in self.cache.position_ids()) self.assertTrue(position_id2 in self.cache.position_ids()) self.assertEqual( 0, len(self.cache.positions_open(strategy_id=strategy1.id))) self.assertEqual( 1, len(self.cache.positions_open(strategy_id=strategy2.id))) self.assertEqual(1, len(self.cache.positions_open())) self.assertEqual(1, len(self.cache.positions_closed())) self.assertEqual(2, len(self.cache.positions())) self.assertTrue(position_id1 not in self.cache.position_open_ids( strategy_id=strategy1.id)) self.assertTrue(position_id2 in self.cache.position_open_ids( strategy_id=strategy2.id)) self.assertTrue(position_id1 not in self.cache.position_open_ids()) self.assertTrue(position_id2 in self.cache.position_open_ids()) self.assertTrue(position_id1 in self.cache.position_closed_ids( strategy_id=strategy1.id)) self.assertTrue(position_id2 not in self.cache.position_closed_ids( strategy_id=strategy2.id)) self.assertTrue(position_id1 in self.cache.position_closed_ids()) self.assertTrue(position_id2 not in self.cache.position_closed_ids()) self.assertEqual(2, self.cache.positions_total_count()) self.assertEqual(1, self.cache.positions_open_count()) self.assertEqual(1, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self): # Arrange strategy = TradingStrategy(order_id_tag="001") strategy.register_trader( TraderId("TESTER", "000"), clock=self.clock, uuid_factory=TestUUIDFactory(), logger=self.logger, ) self.exec_engine.register_strategy(strategy) order1 = strategy.order_factory.stop( AUDUSD_FXCM, OrderSide.BUY, Quantity(100000), Price("1.00000"), ) order2 = strategy.order_factory.stop( AUDUSD_FXCM, OrderSide.SELL, Quantity(100000), Price("1.00000"), ) submit_order1 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy.id, PositionId.py_null(), order1, self.uuid_factory.generate(), self.clock.utc_now(), ) position_id = PositionId("P-1") self.exec_engine.execute(submit_order1) self.exec_engine.process(TestStubs.event_order_submitted(order1)) self.exec_engine.process(TestStubs.event_order_accepted(order1)) self.exec_engine.process( TestStubs.event_order_filled(order1, position_id)) submit_order2 = SubmitOrder( self.venue, self.trader_id, self.account_id, strategy.id, position_id, order2, self.uuid_factory.generate(), self.clock.utc_now(), ) # Act self.exec_engine.execute(submit_order2) self.exec_engine.process(TestStubs.event_order_submitted(order2)) self.exec_engine.process(TestStubs.event_order_accepted(order2)) self.exec_engine.process( TestStubs.event_order_filled(order2, position_id)) # # Assert self.assertTrue(self.cache.position_exists(position_id)) self.assertFalse(self.cache.is_position_open(position_id)) self.assertTrue(self.cache.is_position_closed(position_id)) self.assertTrue(self.cache.is_flat(strategy_id=strategy.id)) self.assertTrue(self.cache.is_flat()) self.assertEqual(position_id, self.cache.position(position_id).id) self.assertEqual(position_id, self.cache.positions(strategy_id=strategy.id)[0].id) self.assertEqual(position_id, self.cache.positions()[0].id) self.assertEqual( 0, len(self.cache.positions_open(strategy_id=strategy.id))) self.assertEqual(0, len(self.cache.positions_open())) self.assertEqual( position_id, self.cache.positions_closed(strategy_id=strategy.id)[0].id) self.assertEqual(position_id, self.cache.positions_closed()[0].id) self.assertTrue(position_id not in self.cache.position_open_ids( strategy_id=strategy.id)) self.assertTrue(position_id not in self.cache.position_open_ids()) self.assertEqual(1, self.cache.positions_total_count()) self.assertEqual(0, self.cache.positions_open_count()) self.assertEqual(1, self.cache.positions_closed_count())