def test_update_portfolio_with_stop_loss_orders(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 90, 4, 90)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 4, 50)
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 60, 4, 60)
fill_limit_or_stop_order(stop_loss, 59, 61)
portfolio_inst.update_portfolio_available(stop_loss, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
assert round(
portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE),
1) == 6
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 800
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 10
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1000
# cancel limits
portfolio_inst.update_portfolio_available(limit_buy, False)
portfolio_inst.update_portfolio_available(limit_sell, False)
# filling stop loss
# typical stop loss behavior --> update available before update portfolio
portfolio_inst.update_portfolio(stop_loss)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 6
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 1240
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 6
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1240
def test_update_portfolio(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 70, 10, 70)
# update portfolio with creations
portfolio_inst.update_portfolio_available(limit_buy, True)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 10
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 300
fill_limit_or_stop_order(limit_buy, 69, 71)
portfolio_inst.update_portfolio(limit_buy)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 20
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 300
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 20
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 300
# Test buy order
market_sell = SellMarketOrder(trader_inst)
market_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_MARKET],
"BTC/USD", 80, 8, 80)
# update portfolio with creations
portfolio_inst.update_portfolio_available(market_sell, True)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 12
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 300
fill_market_order(market_sell, 80)
# when filling market sell
portfolio_inst.update_portfolio(market_sell)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 12
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 940
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 12
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 940
def test_update_portfolio_with_multiple_filled_orders(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 90, 4, 90)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 60, 2, 60)
# Test buy order
limit_buy_2 = BuyLimitOrder(trader_inst)
limit_buy_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 4, 50)
# Test buy order
limit_buy_3 = BuyLimitOrder(trader_inst)
limit_buy_3.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 46, 2, 46)
# Test buy order
limit_buy_4 = BuyLimitOrder(trader_inst)
limit_buy_4.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 41, 1.78, 41)
# Test buy order
limit_buy_5 = BuyLimitOrder(trader_inst)
limit_buy_5.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 0.2122427, 3.72448, 0.2122427)
# Test buy order
limit_buy_6 = BuyLimitOrder(trader_inst)
limit_buy_6.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 430, 1.05, 430)
# Test sell order
limit_sell_2 = SellLimitOrder(trader_inst)
limit_sell_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 10, 2, 10)
# Test stop loss order
stop_loss_2 = StopLossOrder(trader_inst)
stop_loss_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 10, 2, 10)
# Test sell order
limit_sell_3 = SellLimitOrder(trader_inst)
limit_sell_3.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 20, 1, 20)
# Test stop loss order
stop_loss_3 = StopLossOrder(trader_inst)
stop_loss_3.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 20, 1, 20)
# Test sell order
limit_sell_4 = SellLimitOrder(trader_inst)
limit_sell_4.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 50, 0.2, 50)
# Test stop loss order
stop_loss_4 = StopLossOrder(trader_inst)
stop_loss_4.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 45, 0.2, 45)
# Test sell order
limit_sell_5 = SellLimitOrder(trader_inst)
limit_sell_5.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 11, 0.7, 11)
# Test stop loss order
stop_loss_5 = StopLossOrder(trader_inst)
stop_loss_5.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 9, 0.7, 9)
portfolio_inst.update_portfolio_available(stop_loss_2, True)
portfolio_inst.update_portfolio_available(stop_loss_3, True)
portfolio_inst.update_portfolio_available(stop_loss_4, True)
portfolio_inst.update_portfolio_available(stop_loss_5, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(limit_sell_2, True)
portfolio_inst.update_portfolio_available(limit_sell_3, True)
portfolio_inst.update_portfolio_available(limit_sell_4, True)
portfolio_inst.update_portfolio_available(limit_sell_5, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
portfolio_inst.update_portfolio_available(limit_buy_2, True)
portfolio_inst.update_portfolio_available(limit_buy_3, True)
portfolio_inst.update_portfolio_available(limit_buy_4, True)
portfolio_inst.update_portfolio_available(limit_buy_5, True)
portfolio_inst.update_portfolio_available(limit_buy_6, True)
assert round(
portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE),
1) == 2.1
assert round(
portfolio_inst.get_currency_portfolio("USD", Portfolio.AVAILABLE),
7) == 62.7295063
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 10
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1000
# cancels
portfolio_inst.update_portfolio_available(stop_loss_3, False)
portfolio_inst.update_portfolio_available(stop_loss_5, False)
portfolio_inst.update_portfolio_available(limit_sell_2, False)
portfolio_inst.update_portfolio_available(limit_buy, False)
portfolio_inst.update_portfolio_available(limit_buy_3, False)
portfolio_inst.update_portfolio_available(limit_buy_5, False)
portfolio_inst.update_portfolio_available(limit_sell_4, False)
# filling
fill_limit_or_stop_order(stop_loss_2, 9, 11)
fill_limit_or_stop_order(limit_sell, 89, 91)
fill_limit_or_stop_order(limit_sell_3, 19, 21)
fill_limit_or_stop_order(limit_buy_2, 49, 51)
fill_limit_or_stop_order(limit_sell_5, 9, 12)
fill_limit_or_stop_order(stop_loss_4, 44, 46)
fill_limit_or_stop_order(limit_buy_4, 40, 42)
fill_limit_or_stop_order(limit_buy_5, 0.2122426, 0.2122428)
fill_limit_or_stop_order(limit_buy_6, 429, 431)
portfolio_inst.update_portfolio(stop_loss_2)
portfolio_inst.update_portfolio(limit_buy_4)
portfolio_inst.update_portfolio(limit_sell)
portfolio_inst.update_portfolio(limit_sell_3)
portfolio_inst.update_portfolio(limit_buy_2)
portfolio_inst.update_portfolio(limit_sell_5)
portfolio_inst.update_portfolio(stop_loss_4)
portfolio_inst.update_portfolio(limit_buy_5)
portfolio_inst.update_portfolio(limit_buy_6)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 12.65448
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 692.22
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.TOTAL) == 12.65448
assert round(
portfolio_inst.get_currency_portfolio("USD", Portfolio.TOTAL),
7) == 691.4295063
def test_update_portfolio_with_some_filled_orders(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 90, 4, 90)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 60, 2, 60)
# Test buy order
limit_buy_2 = BuyLimitOrder(trader_inst)
limit_buy_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 4, 50)
# Test sell order
limit_sell_2 = SellLimitOrder(trader_inst)
limit_sell_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 10, 2, 10)
# Test stop loss order
stop_loss_2 = StopLossOrder(trader_inst)
stop_loss_2.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 10, 2, 10)
# Test sell order
limit_sell_3 = SellLimitOrder(trader_inst)
limit_sell_3.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 20, 1, 20)
# Test stop loss order
stop_loss_3 = StopLossOrder(trader_inst)
stop_loss_3.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 20, 1, 20)
portfolio_inst.update_portfolio_available(stop_loss_2, True)
portfolio_inst.update_portfolio_available(stop_loss_3, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(limit_sell_2, True)
portfolio_inst.update_portfolio_available(limit_sell_3, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
portfolio_inst.update_portfolio_available(limit_buy_2, True)
assert round(
portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE),
1) == 3
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 680
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 10
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1000
# cancels
portfolio_inst.update_portfolio_available(stop_loss_3, False)
portfolio_inst.update_portfolio_available(limit_sell_2, False)
portfolio_inst.update_portfolio_available(limit_buy, False)
# filling
fill_limit_or_stop_order(stop_loss_2, 9, 11)
fill_limit_or_stop_order(limit_sell, 89, 91)
fill_limit_or_stop_order(limit_sell_3, 19, 21)
fill_limit_or_stop_order(limit_buy_2, 49, 51)
portfolio_inst.update_portfolio(stop_loss_2)
portfolio_inst.update_portfolio(limit_sell)
portfolio_inst.update_portfolio(limit_sell_3)
portfolio_inst.update_portfolio(limit_buy_2)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 7
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 1200
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 7
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1200
def test_update_portfolio_with_filled_orders(self):
config, portfolio_inst, exchange_inst, trader_inst = self.init_default(
)
# force fees => should have consequences
exchange_inst.config[CONFIG_SIMULATOR][CONFIG_SIMULATOR_FEES] = {
CONFIG_SIMULATOR_FEES_MAKER: 0.05,
CONFIG_SIMULATOR_FEES_TAKER: 0.1
}
# Test buy order
market_sell = SellMarketOrder(trader_inst)
market_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_MARKET],
"BTC/USD", 70, 3, 70)
fill_market_order(market_sell, 70)
# Test sell order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 100, 4.2, 100)
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 80, 4.2, 80)
limit_sell.add_linked_order(stop_loss)
stop_loss.add_linked_order(limit_sell)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 2, 50)
fill_limit_or_stop_order(limit_buy, 49, 51)
# update portfolio with creations
portfolio_inst.update_portfolio_available(market_sell, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(stop_loss, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 2.8
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when cancelling limit sell, market sell and stop orders
portfolio_inst.update_portfolio_available(stop_loss, False)
portfolio_inst.update_portfolio_available(limit_sell, False)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 7
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when filling limit buy
portfolio_inst.update_portfolio(limit_buy)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 11.999
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 900
# when filling market sell
portfolio_inst.update_portfolio(market_sell)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 1109.79
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.TOTAL) == 1109.79
