def test_path_order_runs_though_broker():
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(base_instrument=USD, wallets=wallets)
exchange.reset()
portfolio.reset()
broker.reset()
base_wallet = portfolio.get_wallet(exchange.id, USD)
quantity = (1 / 10) * base_wallet.balance
order = Order(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=quantity,
portfolio=portfolio)
order = order.add_recipe(
Recipe(side=TradeSide.SELL,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=StopLoss(direction=StopDirection.EITHER,
up_percent=0.02,
down_percent=0.10)))
broker.submit(order)
while len(broker.unexecuted) > 0:
broker.update()
portfolio.update()
obs = exchange.next_observation(1)
pytest.fail("Failed.")
def get_order(self, action: int, exchange: 'Exchange',
portfolio: 'Portfolio') -> Order:
if action == 0:
return None
(pair, stop_loss, take_profit, size) = self._actions[action]
base_instrument = pair.base if self._trade_side == TradeSide.BUY else pair.quote
base_wallet = portfolio.get_wallet(exchange.id,
instrument=base_instrument)
price = exchange.quote_price(pair)
size = min(base_wallet.balance.size, (base_wallet.balance.size * size))
if size < 10**-base_instrument.precision:
return None
buy_quantity = size * base_instrument
order = Order(side=self._trade_side,
trade_type=self._trade_type,
pair=pair,
price=price,
quantity=buy_quantity,
portfolio=portfolio)
risk_criteria = StopLoss(direction='either',
up_percent=take_profit,
down_percent=stop_loss)
risk_management = Recipe(side=TradeSide.SELL if self._trade_side
== TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order.add_recipe(risk_management)
if self._order_listener is not None:
order.attach(self._order_listener)
return order
