def test_cancel(self):
blotter = SimulationBlotter(self.sim_params)
oid_1 = blotter.order(self.asset_24, 100, MarketOrder())
oid_2 = blotter.order(self.asset_24, 200, MarketOrder())
oid_3 = blotter.order(self.asset_24, 300, MarketOrder())
# Create an order for another asset to verify that we don't remove it
# when we do cancel_all on 24.
blotter.order(self.asset_25, 150, MarketOrder())
self.assertEqual(len(blotter.open_orders), 2)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 3)
self.assertEqual(
[o.amount for o in blotter.open_orders[self.asset_24]],
[100, 200, 300],
)
blotter.cancel(oid_2)
self.assertEqual(len(blotter.open_orders), 2)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 2)
self.assertEqual(
[o.amount for o in blotter.open_orders[self.asset_24]],
[100, 300],
)
self.assertEqual(
[o.id for o in blotter.open_orders[self.asset_24]],
[oid_1, oid_3],
)
blotter.cancel_all_orders_for_asset(self.asset_24)
self.assertEqual(len(blotter.open_orders), 1)
self.assertEqual(list(blotter.open_orders), [self.asset_25])
def test_cancel(self):
blotter = SimulationBlotter()
oid_1 = blotter.order(self.asset_24, 100, MarketOrder())
oid_2 = blotter.order(self.asset_24, 200, MarketOrder())
oid_3 = blotter.order(self.asset_24, 300, MarketOrder())
# Create an order for another asset to verify that we don't remove it
# when we do cancel_all on 24.
blotter.order(self.asset_25, 150, MarketOrder())
self.assertEqual(len(blotter.open_orders), 2)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 3)
self.assertEqual(
[o.amount for o in blotter.open_orders[self.asset_24]],
[100, 200, 300],
)
blotter.cancel(oid_2)
self.assertEqual(len(blotter.open_orders), 2)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 2)
self.assertEqual(
[o.amount for o in blotter.open_orders[self.asset_24]],
[100, 300],
)
self.assertEqual(
[o.id for o in blotter.open_orders[self.asset_24]],
[oid_1, oid_3],
)
blotter.cancel_all_orders_for_asset(self.asset_24)
self.assertEqual(len(blotter.open_orders), 1)
self.assertEqual(list(blotter.open_orders), [self.asset_25])
def test_cancel(self):
blotter = SimulationBlotter()
oid_1 = blotter.order(self.asset_24, 100, MarketOrder())
oid_2 = blotter.order(self.asset_24, 200, MarketOrder())
oid_3 = blotter.order(self.asset_24, 300, MarketOrder())
# Create an order for another asset to verify that we don't remove it
# when we do cancel_all on 24.
blotter.order(self.asset_25, 150, MarketOrder())
assert len(blotter.open_orders) == 2
assert len(blotter.open_orders[self.asset_24]) == 3
assert [o.amount for o in blotter.open_orders[self.asset_24]
] == [100, 200, 300]
blotter.cancel(oid_2)
assert len(blotter.open_orders) == 2
assert len(blotter.open_orders[self.asset_24]) == 2
assert [o.amount
for o in blotter.open_orders[self.asset_24]] == [100, 300]
assert [o.id
for o in blotter.open_orders[self.asset_24]] == [oid_1, oid_3]
blotter.cancel_all_orders_for_asset(self.asset_24)
assert len(blotter.open_orders) == 1
assert list(blotter.open_orders) == [self.asset_25]
def test_order_hold(self):
"""
Held orders act almost identically to open orders, except for the
status indication. When a fill happens, the order should switch
status to OPEN/FILLED as necessary
"""
blotter = SimulationBlotter(self.sim_params,
equity_slippage=VolumeShareSlippage())
# Nothing happens on held of a non-existent order
blotter.hold(56)
self.assertEqual(blotter.new_orders, [])
open_id = blotter.order(self.asset_24, 100, MarketOrder())
open_order = blotter.open_orders[self.asset_24][0]
self.assertEqual(open_order.id, open_id)
blotter.hold(open_id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 1)
held_order = blotter.new_orders[0]
self.assertEqual(held_order.status, ORDER_STATUS.HELD)
self.assertEqual(held_order.reason, '')
blotter.cancel(held_order.id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 0)
cancelled_order = blotter.new_orders[0]
self.assertEqual(cancelled_order.id, held_order.id)
self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
for data in ([100, self.sim_params.sessions[0]],
[400, self.sim_params.sessions[1]]):
# Verify that incoming fills will change the order status.
trade_amt = data[0]
dt = data[1]
order_size = 100
expected_filled = int(trade_amt *
DEFAULT_EQUITY_VOLUME_SLIPPAGE_BAR_LIMIT)
expected_open = order_size - expected_filled
expected_status = ORDER_STATUS.OPEN if expected_open else \
ORDER_STATUS.FILLED
blotter = SimulationBlotter(self.sim_params,
equity_slippage=VolumeShareSlippage())
open_id = blotter.order(self.asset_24, order_size, MarketOrder())
open_order = blotter.open_orders[self.asset_24][0]
self.assertEqual(open_id, open_order.id)
blotter.hold(open_id)
held_order = blotter.new_orders[0]
filled_order = None
blotter.current_dt = dt
bar_data = self.create_bardata(simulation_dt_func=lambda: dt, )
txns, _, _ = blotter.get_transactions(bar_data)
for txn in txns:
filled_order = blotter.orders[txn.order_id]
self.assertEqual(filled_order.id, held_order.id)
self.assertEqual(filled_order.status, expected_status)
self.assertEqual(filled_order.filled, expected_filled)
self.assertEqual(filled_order.open_amount, expected_open)
def test_order_hold(self):
"""
Held orders act almost identically to open orders, except for the
status indication. When a fill happens, the order should switch
status to OPEN/FILLED as necessary
"""
blotter = SimulationBlotter(equity_slippage=VolumeShareSlippage())
# Nothing happens on held of a non-existent order
blotter.hold(56)
self.assertEqual(blotter.new_orders, [])
open_id = blotter.order(self.asset_24, 100, MarketOrder())
open_order = blotter.open_orders[self.asset_24][0]
self.assertEqual(open_order.id, open_id)
blotter.hold(open_id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 1)
held_order = blotter.new_orders[0]
self.assertEqual(held_order.status, ORDER_STATUS.HELD)
self.assertEqual(held_order.reason, '')
blotter.cancel(held_order.id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[self.asset_24]), 0)
cancelled_order = blotter.new_orders[0]
self.assertEqual(cancelled_order.id, held_order.id)
self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
for data in ([100, self.sim_params.sessions[0]],
[400, self.sim_params.sessions[1]]):
# Verify that incoming fills will change the order status.
trade_amt = data[0]
dt = data[1]
order_size = 100
expected_filled = int(trade_amt *
DEFAULT_EQUITY_VOLUME_SLIPPAGE_BAR_LIMIT)
expected_open = order_size - expected_filled
expected_status = ORDER_STATUS.OPEN if expected_open else \
ORDER_STATUS.FILLED
blotter = SimulationBlotter(equity_slippage=VolumeShareSlippage())
open_id = blotter.order(self.asset_24, order_size, MarketOrder())
open_order = blotter.open_orders[self.asset_24][0]
self.assertEqual(open_id, open_order.id)
blotter.hold(open_id)
held_order = blotter.new_orders[0]
filled_order = None
blotter.current_dt = dt
bar_data = self.create_bardata(
simulation_dt_func=lambda: dt,
)
txns, _, _ = blotter.get_transactions(bar_data)
for txn in txns:
filled_order = blotter.orders[txn.order_id]
self.assertEqual(filled_order.id, held_order.id)
self.assertEqual(filled_order.status, expected_status)
self.assertEqual(filled_order.filled, expected_filled)
self.assertEqual(filled_order.open_amount, expected_open)