def test_quote_processor(self):
config = SimConfig()
processor = QuoteProcessor()
order = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
quote = Quote(bid=18, ask=19, bid_size=200, ask_size=500)
self.assertEqual(19, processor.get_price(order, quote, config))
self.assertEqual(500, processor.get_qty(order, quote, config))
order2 = NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
self.assertEqual(18, processor.get_price(order2, quote, config))
self.assertEqual(200, processor.get_qty(order2, quote, config))
class SimOrderHandler(object):
__metaclass__ = abc.ABCMeta
def __init__(self, config):
self._config = config
self._bar_processor = BarProcessor()
self._trade_processor = TradeProcessor()
self._quote_processor = QuoteProcessor()
def process(self, new_ord_req, event, new_order=False):
if event:
if isinstance(event, Bar):
fill_qty = self._bar_processor.get_qty(new_ord_req, event, self._config)
return self.process_w_bar(new_ord_req, event, fill_qty, new_order)
elif isinstance(event, Quote):
fill_price = self._quote_processor.get_price(new_ord_req, event, self._config, new_order)
fill_qty = self._quote_processor.get_qty(new_ord_req, event, self._config)
if fill_price <= 0.0 or fill_qty <= 0:
return None
return self.process_w_price_qty(new_ord_req, fill_price, fill_qty)
elif isinstance(event, Trade):
fill_price = self._trade_processor.get_price(new_ord_req, event, self._config, new_order)
fill_qty = self._trade_processor.get_qty(new_ord_req, event, self._config)
if fill_price <= 0.0 or fill_qty <= 0:
return None
return self.process_w_price_qty(new_ord_req, fill_price, fill_qty)
return None
@abc.abstractmethod
def process_w_bar(self, new_ord_req, bar, new_order=False):
raise NotImplementedError()
@abc.abstractmethod
def process_w_price_qty(self, new_ord_req, price, qty):
raise NotImplementedError()
def test_quote_processor(self):
config = SimConfig()
processor = QuoteProcessor()
order = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=Limit,
qty=1000, limit_price=18.5)
quote = ModelFactory.build_quote(timestamp=0, inst_id="1", bid=18, ask=19, bid_size=200, ask_size=500)
self.assertEqual(19, processor.get_price(order, quote, config))
self.assertEqual(500, processor.get_qty(order, quote, config))
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1",
action=Sell, type=Limit,
qty=1000,
limit_price=18.5)
self.assertEqual(18, processor.get_price(order2, quote, config))
self.assertEqual(200, processor.get_qty(order2, quote, config))
class SimOrderHandler(object):
__metaclass__ = abc.ABCMeta
def __init__(self, config):
self._config = config
self._bar_processor = BarProcessor()
self._trade_processor = TradeProcessor()
self._quote_processor = QuoteProcessor()
def process(self, new_ord_req, event, new_order=False):
if event:
if isinstance(event, Bar):
fill_qty = self._bar_processor.get_qty(new_ord_req, event,
self._config)
return self.process_w_bar(new_ord_req, event, fill_qty,
new_order)
elif isinstance(event, Quote):
fill_price = self._quote_processor.get_price(
new_ord_req, event, self._config, new_order)
fill_qty = self._quote_processor.get_qty(
new_ord_req, event, self._config)
if fill_price <= 0.0 or fill_qty <= 0:
return None
return self.process_w_price_qty(new_ord_req, fill_price,
fill_qty)
elif isinstance(event, Trade):
fill_price = self._trade_processor.get_price(
new_ord_req, event, self._config, new_order)
fill_qty = self._trade_processor.get_qty(
new_ord_req, event, self._config)
if fill_price <= 0.0 or fill_qty <= 0:
return None
return self.process_w_price_qty(new_ord_req, fill_price,
fill_qty)
return None
@abc.abstractmethod
def process_w_bar(self, new_ord_req, bar, new_order=False):
raise NotImplementedError()
@abc.abstractmethod
def process_w_price_qty(self, new_ord_req, price, qty):
raise NotImplementedError()