def test_transactions_not_created_for_incompl_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert not broker.transactions
assert len(broker.orders) == 1
assert broker.orders[order.id].open
ib_order_id = order.broker_order_id
ib_contract = self._create_contract(str(asset.symbol))
action, qty, order_type, limit_price, stop_price = \
'SELL', 4, 'STP LMT', 4.3, 2
ib_order = self._create_order(action, qty, order_type, limit_price,
stop_price)
ib_state = self._create_order_state('PreSubmitted')
broker._tws.openOrder(ib_order_id, ib_contract, ib_order, ib_state)
broker._tws.orderStatus(ib_order_id,
status='Cancelled',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=32,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
broker._tws.orderStatus(ib_order_id,
status='Inactive',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=1111,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
def test_order_ref_serdes(self):
# Even though _creater_order_ref and _parse_order_ref is private
# it is helpful to test as it plays a key role to re-create orders
order = self._create_order("BUY", 66, "STP LMT", 13.4, 44.2)
serialized = IBBroker._create_order_ref(order)
deserialized = IBBroker._parse_order_ref(serialized)
assert deserialized['action'] == order.action
assert deserialized['qty'] == order.totalQuantity
assert deserialized['order_type'] == order.orderType
assert deserialized['limit_price'] == order.lmtPrice
assert deserialized['stop_price'] == order.auxPrice
assert (deserialized['dt'] - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_transactions_created_for_complete_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
broker._tws.orderStatus(order.broker_order_id,
'Filled',
filled=int(fabs(amount)),
remaining=0,
avg_fill_price=111,
perm_id=0,
parent_id=1,
last_fill_price=112,
client_id=1111,
why_held='')
contract = self._create_contract(str(asset.symbol))
(shares, cum_qty, price, avg_price, exec_time, exec_id) = \
(int(fabs(amount)), int(fabs(amount)), 12.3, 12.31,
pd.to_datetime('now', utc=True), order_count)
exec_detail = self._create_exec_detail(order.broker_order_id,
shares, cum_qty, price,
avg_price, exec_time,
exec_id)
broker._tws.execDetails(0, contract, exec_detail)
order_count += 1
assert len(broker.transactions) == order_count
transactions = [
tx for tx in broker.transactions.values()
if tx.order_id == order.id
]
assert len(transactions) == 1
assert broker.transactions[exec_id].asset == asset
assert broker.transactions[exec_id].amount == order.amount
assert (broker.transactions[exec_id].dt -
pd.to_datetime('now', utc=True) < pd.Timedelta('10s'))
assert broker.transactions[exec_id].price == price
assert broker.orders[order.id].commission == 0
def test_orders_loaded_from_exec_details(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
(req_id, ib_order_id, shares, cum_qty, price, avg_price, exec_time,
exec_id) = (7, 3, 12, 40, 12.43, 12.50, '20160101 14:20', 4)
ib_contract = self._create_contract(str(asset.symbol))
exec_detail = self._create_exec_detail(ib_order_id, shares,
cum_qty, price, avg_price,
exec_time, exec_id)
broker._tws.execDetails(req_id, ib_contract, exec_detail)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == -40
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_orders_updated_from_order_status(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
# orderStatus calls only work if a respective order has been created
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
ib_order_id = order.broker_order_id
status = 'Filled'
filled = 14
remaining = 9
avg_fill_price = 12.4
perm_id = 99
parent_id = 88
last_fill_price = 12.3
client_id = 1111
why_held = ''
broker._tws.orderStatus(ib_order_id, status, filled, remaining,
avg_fill_price, perm_id, parent_id,
last_fill_price, client_id, why_held)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.status == ORDER_STATUS.FILLED
assert not zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == amount
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_new_order_appears_in_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert len(broker.orders) == 1
assert broker.orders[order.id] == order
assert order.open
assert order.asset == asset
assert order.amount == amount
assert order.limit == limit_price
assert order.stop == stop_price
assert (order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_multiple_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
order_count += 1
assert order_count == len(broker.orders)
assert broker.orders[order.id] == order
is_buy = amount > 0
assert order.stop == order_style.get_stop_price(is_buy)
assert order.limit == order_style.get_limit_price(is_buy)
def test_get_spot_value(self, tws):
dt = None # dt is not used in real broker
data_freq = 'minute'
asset = self.asset_finder.retrieve_asset(1)
bars = {
'last_trade_price': [12, 10, 11, 14],
'last_trade_size': [1, 2, 3, 4],
'total_volume': [10, 10, 10, 10],
'vwap': [12.1, 10.1, 11.1, 14.1],
'single_trade_flag': [0, 1, 0, 1]
}
last_trade_times = [
pd.to_datetime('2017-06-16 10:30:00', utc=True),
pd.to_datetime('2017-06-16 10:30:11', utc=True),
pd.to_datetime('2017-06-16 10:30:30', utc=True),
pd.to_datetime('2017-06-17 10:31:9', utc=True)
]
index = pd.DatetimeIndex(last_trade_times)
broker = IBBroker(sentinel.tws_uri)
tws.return_value.bars = {
asset.symbol: pd.DataFrame(index=index, data=bars)
}
price = broker.get_spot_value(asset, 'price', dt, data_freq)
last_trade = broker.get_spot_value(asset, 'last_traded', dt, data_freq)
open_ = broker.get_spot_value(asset, 'open', dt, data_freq)
high = broker.get_spot_value(asset, 'high', dt, data_freq)
low = broker.get_spot_value(asset, 'low', dt, data_freq)
close = broker.get_spot_value(asset, 'close', dt, data_freq)
volume = broker.get_spot_value(asset, 'volume', dt, data_freq)
# Only the last minute is taken into account, therefore
# the first bar is ignored
assert price == bars['last_trade_price'][-1]
assert last_trade == last_trade_times[-1]
assert open_ == bars['last_trade_price'][1]
assert high == max(bars['last_trade_price'][1:])
assert low == min(bars['last_trade_price'][1:])
assert close == bars['last_trade_price'][-1]
assert volume == sum(bars['last_trade_size'][1:])
def test_get_realtime_bars_produces_correct_df(self):
bars = self._tws_bars()
with patch('sharadar.live.brokers.ib_broker.TWSConnection'):
broker = IBBroker(sentinel.tws_uri)
broker._tws.bars = bars
assets = (self.asset_finder.retrieve_asset(1),
self.asset_finder.retrieve_asset(2))
realtime_history = broker.get_realtime_bars(assets, '1m')
asset_spy = self.asset_finder.retrieve_asset(1)
asset_xiv = self.asset_finder.retrieve_asset(2)
assert asset_spy in realtime_history
assert asset_xiv in realtime_history
spy = realtime_history[asset_spy]
xiv = realtime_history[asset_xiv]
assert list(spy.columns) == ['open', 'high', 'low', 'close', 'volume']
assert list(xiv.columns) == ['open', 'high', 'low', 'close', 'volume']
# There are 159 minutes between the first (XIV @ 2017-09-27 9:32:00)
# and the last bar (SPY @ 2017-09-27 12:10:00)
assert len(realtime_history) == 159
spy_non_na = spy.dropna()
xiv_non_na = xiv.dropna()
assert len(spy_non_na) == 4
assert len(xiv_non_na) == 3
assert spy_non_na.iloc[0].name == pd.to_datetime('2017-09-27 10:30:00',
utc=True)
assert spy_non_na.iloc[0].open == 12.40
assert spy_non_na.iloc[0].high == 12.41
assert spy_non_na.iloc[0].low == 12.40
assert spy_non_na.iloc[0].close == 12.41
assert spy_non_na.iloc[0].volume == 20
assert spy_non_na.iloc[1].name == pd.to_datetime('2017-09-27 10:31:00',
utc=True)
assert spy_non_na.iloc[1].open == 12.44
assert spy_non_na.iloc[1].high == 12.44
assert spy_non_na.iloc[1].low == 12.44
assert spy_non_na.iloc[1].close == 12.44
assert spy_non_na.iloc[1].volume == 20
assert spy_non_na.iloc[-1].name == pd.to_datetime(
'2017-09-27 12:10:00', utc=True)
assert spy_non_na.iloc[-1].open == 12.99
assert spy_non_na.iloc[-1].high == 12.99
assert spy_non_na.iloc[-1].low == 12.99
assert spy_non_na.iloc[-1].close == 12.99
assert spy_non_na.iloc[-1].volume == 15
assert xiv_non_na.iloc[0].name == pd.to_datetime('2017-09-27 9:32:00',
utc=True)
assert xiv_non_na.iloc[0].open == 100.4
assert xiv_non_na.iloc[0].high == 100.41
assert xiv_non_na.iloc[0].low == 100.4
assert xiv_non_na.iloc[0].close == 100.41
assert xiv_non_na.iloc[0].volume == 200