def test_submit_order_with_valid_order_successfully_submits(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),
)
# Act
strategy.submit_order(order)
self.exchange.process(0)
# Assert
assert order in strategy.cache.orders()
assert strategy.cache.orders()[0].status == OrderStatus.FILLED
assert order.client_order_id not in strategy.cache.orders_working()
assert not strategy.cache.is_order_working(order.client_order_id)
assert strategy.cache.is_order_completed(order.client_order_id)
def test_cancel_order_when_completed_does_not_submit_command(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.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_expired(order))
# Act
strategy.cancel_order(order)
self.exchange.process(0)
# Assert
assert strategy.cache.orders()[0].status == OrderStatus.EXPIRED
assert order not in strategy.cache.orders_working()
assert strategy.cache.order_exists(order.client_order_id)
assert not strategy.cache.is_order_working(order.client_order_id)
assert strategy.cache.is_order_completed(order.client_order_id)
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_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_cancel_order(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.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.005"),
)
strategy.submit_order(order)
# Act
strategy.cancel_order(order)
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[0].state())
self.assertEqual(order.cl_ord_id, strategy.execution.orders_completed()[0].cl_ord_id)
self.assertTrue(order.cl_ord_id not in strategy.execution.orders_working())
self.assertTrue(strategy.execution.order_exists(order.cl_ord_id))
self.assertFalse(strategy.execution.is_order_working(order.cl_ord_id))
self.assertTrue(strategy.execution.is_order_completed(order.cl_ord_id))
def test_can_cancel_all_orders(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.003, 3))
order2 = strategy.order_factory.stop(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.005, 3))
position_id = strategy.position_id_generator.generate()
strategy.submit_order(order1, position_id)
strategy.submit_order(order2, position_id)
# Act
strategy.cancel_all_orders()
# Assert
self.assertEqual(order1, strategy.orders()[order1.id])
self.assertEqual(order2, strategy.orders()[order2.id])
self.assertEqual(OrderState.CANCELLED,
strategy.orders()[order1.id].state)
self.assertEqual(OrderState.CANCELLED,
strategy.orders()[order2.id].state)
self.assertTrue(order1.id in strategy.orders_completed())
self.assertTrue(order2.id in strategy.orders_completed())
def test_modify_order(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.limit(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.001"),
)
strategy.submit_order(order)
# Act
strategy.modify_order(order, Quantity(110000), Price("90.002"))
# Assert
self.assertEqual(order, strategy.execution.orders()[0])
self.assertEqual(OrderState.WORKING, strategy.execution.orders()[0].state())
self.assertEqual(Quantity(110000), strategy.execution.orders()[0].quantity)
self.assertEqual(Price("90.002"), strategy.execution.orders()[0].price)
self.assertTrue(strategy.execution.is_flat())
self.assertTrue(strategy.execution.order_exists(order.cl_ord_id))
self.assertTrue(strategy.execution.is_order_working(order.cl_ord_id))
self.assertFalse(strategy.execution.is_order_completed(order.cl_ord_id))
def test_modify_order_when_no_changes_does_not_submit_command(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.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.001"),
)
strategy.submit_order(order)
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(100000),
price=Price.from_str("90.001"),
)
# Assert
assert self.exec_engine.command_count == 1
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_can_get_order(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))
strategy.submit_order(order, strategy.position_id_generator.generate())
# Act
result = strategy.order(order.id)
# Assert
self.assertTrue(strategy.order_exists(order.id))
self.assertEqual(order, result)
def test_strategy_can_submit_order(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))
# Act
strategy.submit_order(order, strategy.position_id_generator.generate())
# Assert
self.assertEqual(order, strategy.orders()[order.id])
self.assertEqual(OrderState.FILLED, strategy.orders()[order.id].state)
self.assertTrue(order.id not in strategy.orders_working())
self.assertTrue(order.id in strategy.orders_completed())
self.assertTrue(strategy.order_exists(order.id))
self.assertFalse(strategy.is_order_working(order.id))
self.assertTrue(strategy.is_order_completed(order.id))
def test_cancel_all_orders(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.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.007"),
)
order2 = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2)
self.exchange.process(0)
# Act
strategy.cancel_all_orders(USDJPY_SIM.id)
self.exchange.process(0)
# Assert
assert order1 in self.cache.orders()
assert order2 in self.cache.orders()
assert self.cache.orders()[0].status == OrderStatus.CANCELED
assert self.cache.orders()[1].status == OrderStatus.CANCELED
assert order1 in self.cache.orders_completed()
assert order2 in strategy.cache.orders_completed()
def test_modify_order(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.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.000"),
)
strategy.submit_order(order)
self.exchange.process(0)
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(110000),
price=Price.from_str("90.001"),
)
self.exchange.process(0)
# Assert
assert strategy.cache.orders()[0] == order
assert strategy.cache.orders()[0].status == OrderStatus.ACCEPTED
assert strategy.cache.orders()[0].quantity == Quantity.from_int(110000)
assert strategy.cache.orders()[0].price == Price.from_str("90.001")
assert strategy.cache.order_exists(order.client_order_id)
assert strategy.cache.is_order_working(order.client_order_id)
assert not strategy.cache.is_order_completed(order.client_order_id)
assert strategy.portfolio.is_flat(order.instrument_id)
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_cancel_all_orders(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.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.003"),
)
order2 = strategy.order_factory.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.005"),
)
strategy.submit_order(order1)
strategy.submit_order(order2)
# Act
strategy.cancel_all_orders(USDJPY_FXCM)
# Assert
self.assertTrue(order1 in strategy.execution.orders())
self.assertTrue(order2 in strategy.execution.orders())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[0].state())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[1].state())
self.assertTrue(order1 in strategy.execution.orders_completed())
self.assertTrue(order2 in strategy.execution.orders_completed())
def test_can_modify_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.limit(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.001, 3))
strategy.submit_order(order, strategy.position_id_generator.generate())
# Act
strategy.modify_order(order, Quantity(110000), Price(90.002, 3))
# Assert
self.assertEqual(order, strategy.orders()[order.id])
self.assertEqual(OrderState.WORKING, strategy.orders()[order.id].state)
self.assertEqual(Quantity(110000),
strategy.orders()[order.id].quantity)
self.assertEqual(Price(90.002, 3), strategy.orders()[order.id].price)
self.assertTrue(strategy.is_flat())
self.assertTrue(strategy.order_exists(order.id))
self.assertTrue(strategy.is_order_working(order.id))
self.assertFalse(strategy.is_order_completed(order.id))
class TestLiveExecutionPerformance(PerformanceHarness):
def setup(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.trader_id = TraderId("TESTER", "000")
self.logger = Logger(self.clock, bypass_logging=True)
self.account_id = AccountId("BINANCE", "001")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
client_id=ClientId("BINANCE"),
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
@pytest.fixture(autouse=True)
@pytest.mark.benchmark(disable_gc=True, warmup=True)
def setup_benchmark(self, benchmark):
self.benchmark = benchmark
def submit_order(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
def test_execute_command(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity("1.00000000"),
)
command = SubmitOrder(
order.instrument_id.venue.client_id,
self.trader_id,
self.account_id,
self.strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
def execute_command():
self.exec_engine.execute(command)
self.benchmark.pedantic(execute_command, iterations=10_000, rounds=1)
# ~0.0ms / ~0.2μs / 218ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
def submit_order():
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
self.benchmark.pedantic(submit_order, iterations=10_000, rounds=1)
self.loop.run_until_complete(run_test())
# ~0.0ms / ~25.3μs / 25326ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order_end_to_end(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
for _ in range(10000):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
stats_file = "perf_live_execution.prof"
cProfile.runctx(
"self.loop.run_until_complete(run_test())", globals(), locals(), stats_file
)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
class LiveExecutionPerformanceTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock, bypass_logging=True)
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("BINANCE", "001")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
venue=Venue("BINANCE"),
account_id=self.account_id,
exec_engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
def submit_order(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
def test_execute_command(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
command = SubmitOrder(
order.symbol.venue,
self.trader_id,
self.account_id,
self.strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
def execute_command():
self.exec_engine.execute(command)
PerformanceHarness.profile_function(execute_command, 10000, 1)
# ~0.0ms / ~0.3μs / 253ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
def submit_order():
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
PerformanceHarness.profile_function(submit_order, 10000, 1)
self.loop.run_until_complete(run_test())
# ~0.0ms / ~24.5μs / 24455ns minimum of 10,000 runs @ 1 iteration each run.
def test_submit_order_end_to_end(self):
self.exec_engine.start()
time.sleep(0.1)
async def run_test():
for _ in range(10000):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
self.strategy.submit_order(order)
stats_file = "perf_live_execution.prof"
cProfile.runctx("self.loop.run_until_complete(run_test())", globals(), locals(), stats_file)
s = pstats.Stats(stats_file)
s.strip_dirs().sort_stats("time").print_stats()
class TestLiveExecutionPerformance(PerformanceHarness):
def setup(self):
# Fixture Setup
self.loop = asyncio.get_event_loop()
self.loop.set_debug(True)
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock, bypass=True)
self.trader_id = TestIdStubs.trader_id()
self.account_id = AccountId(BINANCE.value, "001")
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestComponentStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = LiveDataEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = LiveRiskEngine(
loop=self.loop,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
client_id=ClientId("BINANCE"),
venue=BINANCE,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestEventStubs.margin_account_state())
self.exec_engine.register_client(self.exec_client)
self.strategy = TradingStrategy()
self.strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
@pytest.fixture(autouse=True)
@pytest.mark.benchmark(disable_gc=True, warmup=True)
def setup_benchmark(self, benchmark):
self.benchmark = benchmark
def submit_order(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.00000000"),
)
self.strategy.submit_order(order)
@pytest.mark.skip(reason="For development only, event loop issue")
def test_execute_command(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.00000000"),
)
command = SubmitOrder(
None,
self.trader_id,
self.strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
def execute_command():
self.exec_engine.execute(command)
self.benchmark.pedantic(execute_command, iterations=100, rounds=100, warmup_rounds=5)
# ~0.0ms / ~0.2μs / 218ns minimum of 10,000 runs @ 1 iteration each run.
@pytest.mark.asyncio
async def test_submit_order(self):
self.exec_engine.start()
await asyncio.sleep(1)
def submit_order():
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.00000000"),
)
self.strategy.submit_order(order)
self.benchmark.pedantic(submit_order, iterations=100, rounds=100, warmup_rounds=5)
# ~0.0ms / ~25.3μs / 25326ns minimum of 10,000 runs @ 1 iteration each run.
@pytest.mark.asyncio
async def test_submit_order_end_to_end(self):
self.exec_engine.start()
await asyncio.sleep(1)
def run():
for _ in range(1000):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.00000000"),
)
self.strategy.submit_order(order)
self.benchmark.pedantic(run, rounds=10, warmup_rounds=5)
