def test_flatten_position(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,
)
order = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
strategy.submit_order(order)
self.exchange.process(0)
position = self.cache.positions_open()[0]
# Act
strategy.flatten_position(position)
self.exchange.process(0)
# Assert
assert order.status == OrderStatus.FILLED
assert strategy.portfolio.is_completely_flat()
def test_flatten_position_when_position_already_flat_does_nothing(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,
)
order1 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2,
PositionId("1-001")) # Generated by exchange
self.exchange.process(0)
position = strategy.cache.positions_closed()[0]
# Act
strategy.flatten_position(position)
self.exchange.process(0)
# Assert
assert strategy.portfolio.is_completely_flat()
def test_can_flatten_position(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
position_id = strategy.position_id_generator.generate()
strategy.submit_order(order, position_id)
# Act
strategy.flatten_position(position_id)
# Assert
self.assertEqual(order, strategy.orders()[order.id])
self.assertEqual(OrderState.FILLED, strategy.orders()[order.id].state)
self.assertEqual(MarketPosition.FLAT,
strategy.positions()[position_id].market_position)
self.assertTrue(strategy.positions()[position_id].is_closed)
self.assertTrue(position_id in strategy.positions_closed())
self.assertTrue(strategy.is_flat())
def test_flatten_position(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)
order = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
strategy.submit_order(order)
filled = TestStubs.event_order_filled(
order,
position_id=PositionId("B-USD/JPY-1"),
strategy_id=strategy.id,
)
position = Position(filled)
# Act
strategy.flatten_position(position)
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[0].state())
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[0].side)
self.assertTrue(strategy.execution.positions()[0].is_closed())
self.assertTrue(PositionId("B-USD/JPY-1") in strategy.execution.position_closed_ids())
self.assertTrue(strategy.execution.is_completely_flat())
