def test_can_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
order2 = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
position_id1 = strategy.position_id_generator.generate()
position_id2 = strategy.position_id_generator.generate()
strategy.submit_order(order1, position_id1)
strategy.submit_order(order2, position_id2)
# Act
strategy.flatten_all_positions()
# Assert
self.assertEqual(order1, strategy.orders()[order1.id])
self.assertEqual(order2, strategy.orders()[order2.id])
self.assertEqual(OrderState.FILLED, strategy.orders()[order1.id].state)
self.assertEqual(OrderState.FILLED, strategy.orders()[order2.id].state)
self.assertEqual(MarketPosition.FLAT,
strategy.positions()[position_id1].market_position)
self.assertEqual(MarketPosition.FLAT,
strategy.positions()[position_id2].market_position)
self.assertTrue(strategy.positions()[position_id1].is_closed)
self.assertTrue(strategy.positions()[position_id2].is_closed)
self.assertTrue(position_id1 in strategy.positions_closed())
self.assertTrue(position_id2 in strategy.positions_closed())
self.assertTrue(strategy.is_flat())
def test_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
strategy.submit_order(order1)
strategy.submit_order(order2)
filled1 = TestStubs.event_order_filled(
order1,
position_id=PositionId("B-USD/JPY-1"),
strategy_id=strategy.id,
)
filled2 = TestStubs.event_order_filled(
order2,
position_id=PositionId("B-USD/JPY-2"),
strategy_id=strategy.id,
)
position1 = Position(filled1)
position2 = Position(filled2)
# Act
strategy.flatten_all_positions(USDJPY_FXCM)
# Assert
self.assertTrue(order1 in strategy.execution.orders())
self.assertTrue(order2 in strategy.execution.orders())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[0].state())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[1].state())
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[0].side)
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[1].side)
self.assertTrue(position1.id in strategy.execution.position_closed_ids())
self.assertTrue(position2.id in strategy.execution.position_closed_ids())
self.assertTrue(strategy.execution.is_completely_flat())
def test_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Start strategy and submit orders to open positions
strategy.start()
order1 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2)
self.exchange.process(0)
# Act
strategy.flatten_all_positions(USDJPY_SIM.id)
self.exchange.process(0)
# Assert
assert order1.status == OrderStatus.FILLED
assert order2.status == OrderStatus.FILLED
assert strategy.portfolio.is_completely_flat()
