def setUp(self) -> None:
super().setUp()
self.log_records = []
self.connector = ConnectorBase()
self.connector._set_current_timestamp(1640000000.0)
self.tracker = ClientOrderTracker(connector=self.connector)
self.tracker.logger().setLevel(1)
self.tracker.logger().addHandler(self)
def setUp(self) -> None:
super().setUp()
self.log_records = []
self.connector = MockExchange()
self.connector._set_current_timestamp(1640000000.0)
self.tracker = ClientOrderTracker(connector=self.connector)
self.tracker.logger().setLevel(1)
self.tracker.logger().addHandler(self)
self._initialize_event_loggers()
def __init__(
self,
client_config_map: "ClientConfigAdapter",
bitmex_api_key: str = None,
bitmex_api_secret: str = None,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DOMAIN,
):
self._bitmex_time_synchronizer = TimeSynchronizer()
self._auth: BitmexAuth = BitmexAuth(api_key=bitmex_api_key,
api_secret=bitmex_api_secret)
self._trading_pairs = trading_pairs
self._trading_required = trading_required
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._domain = domain
self._api_factory = web_utils.build_api_factory(auth=self._auth)
self._rest_assistant: Optional[RESTAssistant] = None
self._ws_assistant: Optional[WSAssistant] = None
ExchangeBase.__init__(self, client_config_map=client_config_map)
self._user_stream_tracker = BitmexUserStreamTracker(
auth=self._auth,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory,
time_synchronizer=self._bitmex_time_synchronizer)
self._order_book_tracker = BitmexOrderBookTracker(
trading_pairs=trading_pairs,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory)
self._ev_loop = asyncio.get_event_loop()
self._poll_notifier = asyncio.Event()
self._order_not_found_records = defaultdict(int)
self._last_timestamp = 0
self._trading_rules = {}
self._in_flight_orders = {}
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._user_stream_tracker_task = None
self._last_poll_timestamp = 0
self._client_order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
self._trading_pair_to_multipliers = {}
self._trading_pair_price_estimate_for_quantize = {}
self._token_multiplier = {}
def __init__(self,
binance_api_key: str,
binance_api_secret: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DEFAULT_DOMAIN,
):
self._domain = domain
self._binance_time_synchronizer = TimeSynchronizer()
super().__init__()
self._trading_required = trading_required
self._auth = BinanceAuth(
api_key=binance_api_key,
secret_key=binance_api_secret,
time_provider=self._binance_time_synchronizer)
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._api_factory = web_utils.build_api_factory(
throttler=self._throttler,
time_synchronizer=self._binance_time_synchronizer,
domain=self._domain,
auth=self._auth)
self._rest_assistant = None
self._order_book_tracker = OrderBookTracker(
data_source=BinanceAPIOrderBookDataSource(
trading_pairs=trading_pairs,
domain=self._domain,
api_factory=self._api_factory,
throttler=self._throttler),
trading_pairs=trading_pairs,
domain=self._domain)
self._user_stream_tracker = UserStreamTracker(
data_source=BinanceAPIUserStreamDataSource(
auth=self._auth,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory,
time_synchronizer=self._binance_time_synchronizer))
self._ev_loop = asyncio.get_event_loop()
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._order_not_found_records = {} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._trade_fees = {} # Dict[trading_pair:str, (maker_fee_percent:Decimal, taken_fee_percent:Decimal)]
self._last_update_trade_fees_timestamp = 0
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._last_trades_poll_binance_timestamp = 0
self._order_tracker: ClientOrderTracker = ClientOrderTracker(connector=self)
def __init__(self,
kucoin_api_key: str,
kucoin_passphrase: str,
kucoin_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DEFAULT_DOMAIN):
self._domain = domain
self._time_synchronizer = TimeSynchronizer()
super().__init__()
self._auth = KucoinAuth(
api_key=kucoin_api_key,
passphrase=kucoin_passphrase,
secret_key=kucoin_secret_key,
time_provider=self._time_synchronizer)
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._api_factory = web_utils.build_api_factory(
throttler=self._throttler,
time_synchronizer=self._time_synchronizer,
domain=self._domain,
auth=self._auth)
self._last_poll_timestamp = 0
self._last_timestamp = 0
self._trading_pairs = trading_pairs
self._order_book_tracker = OrderBookTracker(
data_source=KucoinAPIOrderBookDataSource(
trading_pairs=trading_pairs,
domain=self._domain,
api_factory=self._api_factory,
throttler=self._throttler,
time_synchronizer=self._time_synchronizer),
trading_pairs=trading_pairs,
domain=self._domain)
self._user_stream_tracker = UserStreamTracker(
data_source=KucoinAPIUserStreamDataSource(
domain=self._domain,
api_factory=self._api_factory,
throttler=self._throttler))
self._poll_notifier = asyncio.Event()
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._trading_fees_polling_task = None
self._trading_required = trading_required
self._trading_rules = {}
self._trading_fees = {}
self._order_tracker: ClientOrderTracker = ClientOrderTracker(connector=self)
def __init__(
self,
client_config_map: "ClientConfigAdapter",
bybit_api_key: str,
bybit_api_secret: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DEFAULT_DOMAIN,
):
self._domain = domain
self._time_synchronizer = TimeSynchronizer()
super().__init__(client_config_map)
self._trading_required = trading_required
self._auth = BybitAuth(api_key=bybit_api_key,
secret_key=bybit_api_secret,
time_provider=self._time_synchronizer)
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._api_factory = web_utils.build_api_factory(
throttler=self._throttler,
time_synchronizer=self._time_synchronizer,
domain=self._domain,
auth=self._auth)
self._rest_assistant = None
self._order_book_tracker = OrderBookTracker(
data_source=BybitAPIOrderBookDataSource(
trading_pairs=trading_pairs,
domain=self._domain,
api_factory=self._api_factory,
throttler=self._throttler),
trading_pairs=trading_pairs,
domain=self._domain)
self._user_stream_tracker = UserStreamTracker(
data_source=BybitAPIUserStreamDataSource(
auth=self._auth,
domain=self._domain,
throttler=self._throttler,
api_factory=self._api_factory,
time_synchronizer=self._time_synchronizer))
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._trading_rules = {}
self._trade_fees = {}
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
def test_cached_order_ttl_exceeded(self):
tracker = ClientOrderTracker(self.connector)
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
price=Decimal("1.0"),
)
tracker._cached_orders[order.client_order_id] = order
self.ev_loop.run_until_complete(asyncio.sleep(0.2))
self.assertNotIn(order.client_order_id, tracker.cached_orders)
def __init__(
self,
client_config_map: "ClientConfigAdapter",
connector_name: str,
chain: str,
network: str,
wallet_address: str,
trading_pairs: List[str] = [],
additional_spenders: List[str] = [], # not implemented
trading_required: bool = True):
"""
:param connector_name: name of connector on gateway
:param chain: refers to a block chain, e.g. ethereum or avalanche
:param network: refers to a network of a particular blockchain e.g. mainnet or kovan
:param wallet_address: the address of the eth wallet which has been added on gateway
:param trading_pairs: a list of trading pairs
:param trading_required: Whether actual trading is needed. Useful for some functionalities or commands like the balance command
"""
self._connector_name = connector_name
self._name = "_".join([connector_name, chain, network])
super().__init__(client_config_map)
self._chain = chain
self._network = network
self._trading_pairs = trading_pairs
self._tokens = set()
[
self._tokens.update(set(trading_pair.split("-")))
for trading_pair in trading_pairs
]
self._wallet_address = wallet_address
self._trading_required = trading_required
self._ev_loop = asyncio.get_event_loop()
self._last_poll_timestamp = 0.0
self._last_balance_poll_timestamp = time.time()
self._last_est_gas_cost_reported = 0
self._allowances = {}
self._chain_info = {}
self._status_polling_task = None
self._get_chain_info_task = None
self._auto_approve_task = None
self._get_gas_estimate_task = None
self._poll_notifier = None
self._native_currency = None
self._network_transaction_fee: Optional[TokenAmount] = None
self._order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
def __init__(
self,
ascend_ex_api_key: str,
ascend_ex_secret_key: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
):
"""
:param ascend_ex_api_key: The API key to connect to private AscendEx APIs.
:param ascend_ex_secret_key: The API secret.
:param trading_pairs: The market trading pairs which to track order book data.
:param trading_required: Whether actual trading is needed.
"""
super().__init__()
self._trading_required = trading_required
self._trading_pairs = trading_pairs
self._shared_client = aiohttp.ClientSession()
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._order_book_tracker = AscendExOrderBookTracker(
shared_client=self._shared_client, throttler=self._throttler, trading_pairs=self._trading_pairs
)
self._ascend_ex_auth = AscendExAuth(ascend_ex_api_key, ascend_ex_secret_key)
self._user_stream_tracker = AscendExUserStreamTracker(
shared_client=self._shared_client,
throttler=self._throttler,
ascend_ex_auth=self._ascend_ex_auth,
trading_pairs=self._trading_pairs,
)
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._trading_rules = {} # Dict[trading_pair:str, AscendExTradingRule]
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._account_group = None # required in order to make post requests
self._account_uid = None # required in order to produce deterministic order ids
self._throttler = AsyncThrottler(rate_limits=CONSTANTS.RATE_LIMITS)
self._in_flight_order_tracker: ClientOrderTracker = ClientOrderTracker(connector=self)
self._order_without_exchange_id_records = {}
def __init__(self,
coinflex_api_key: str,
coinflex_api_secret: str,
trading_pairs: Optional[List[str]] = None,
trading_required: bool = True,
domain: str = CONSTANTS.DEFAULT_DOMAIN):
self._domain = domain
super().__init__()
self._trading_required = trading_required
self._auth = CoinflexAuth(api_key=coinflex_api_key,
secret_key=coinflex_api_secret)
self._throttler = AsyncThrottler(CONSTANTS.RATE_LIMITS)
self._api_factory = web_utils.build_api_factory(auth=self._auth)
self._order_book_tracker = CoinflexOrderBookTracker(
trading_pairs=trading_pairs,
domain=domain,
api_factory=self._api_factory,
throttler=self._throttler)
self._user_stream_tracker = CoinflexUserStreamTracker(
auth=self._auth,
domain=domain,
throttler=self._throttler,
api_factory=self._api_factory)
self._ev_loop = asyncio.get_event_loop()
self._poll_notifier = asyncio.Event()
self._last_timestamp = 0
self._order_not_found_records = {
} # Dict[client_order_id:str, count:int]
self._trading_rules = {} # Dict[trading_pair:str, TradingRule]
self._trade_fees = {
} # Dict[trading_pair:str, (maker_fee_percent:Decimal, taken_fee_percent:Decimal)]
self._last_update_trade_fees_timestamp = 0
self._status_polling_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._last_poll_timestamp = 0
self._last_trades_poll_coinflex_timestamp = 0
self._order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
def __init__(self, client_config_map: "ClientConfigAdapter"):
super().__init__(client_config_map)
self._last_poll_timestamp = 0
self._last_timestamp = 0
self._trading_rules = {}
self._trading_fees = {}
self._status_polling_task = None
self._user_stream_tracker_task = None
self._user_stream_event_listener_task = None
self._trading_rules_polling_task = None
self._trading_fees_polling_task = None
self._time_synchronizer = TimeSynchronizer()
self._throttler = AsyncThrottler(self.rate_limits_rules)
self._poll_notifier = asyncio.Event()
# init Auth and Api factory
self._auth: AuthBase = self.authenticator
self._web_assistants_factory: WebAssistantsFactory = self._create_web_assistants_factory(
)
# init OrderBook Data Source and Tracker
self._orderbook_ds: OrderBookTrackerDataSource = self._create_order_book_data_source(
)
self._set_order_book_tracker(
OrderBookTracker(data_source=self._orderbook_ds,
trading_pairs=self.trading_pairs,
domain=self.domain))
# init UserStream Data Source and Tracker
self._userstream_ds = self._create_user_stream_data_source()
self._user_stream_tracker = UserStreamTracker(
data_source=self._userstream_ds)
self._order_tracker: ClientOrderTracker = ClientOrderTracker(
connector=self)
class ClientOrderTrackerUnitTest(unittest.TestCase):
# logging.Level required to receive logs from the exchange
level = 0
@classmethod
def setUpClass(cls) -> None:
super().setUpClass()
cls.ev_loop = asyncio.get_event_loop()
cls.base_asset = "COINALPHA"
cls.quote_asset = "HBOT"
cls.trading_pair = f"{cls.base_asset}-{cls.quote_asset}"
cls.trade_fee_percent = Decimal("0.001")
def setUp(self) -> None:
super().setUp()
self.log_records = []
self.connector = MockExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()))
self.connector._set_current_timestamp(1640000000.0)
self.tracker = ClientOrderTracker(connector=self.connector)
self.tracker.logger().setLevel(1)
self.tracker.logger().addHandler(self)
self._initialize_event_loggers()
def _initialize_event_loggers(self):
self.buy_order_completed_logger = EventLogger()
self.buy_order_created_logger = EventLogger()
self.order_cancelled_logger = EventLogger()
self.order_failure_logger = EventLogger()
self.order_filled_logger = EventLogger()
self.sell_order_completed_logger = EventLogger()
self.sell_order_created_logger = EventLogger()
events_and_loggers = [
(MarketEvent.BuyOrderCompleted, self.buy_order_completed_logger),
(MarketEvent.BuyOrderCreated, self.buy_order_created_logger),
(MarketEvent.OrderCancelled, self.order_cancelled_logger),
(MarketEvent.OrderFailure, self.order_failure_logger),
(MarketEvent.OrderFilled, self.order_filled_logger),
(MarketEvent.SellOrderCompleted, self.sell_order_completed_logger),
(MarketEvent.SellOrderCreated, self.sell_order_created_logger)
]
for event, logger in events_and_loggers:
self.connector.add_listener(event, logger)
def handle(self, record):
self.log_records.append(record)
def _is_logged(self, log_level: str, message: str) -> bool:
return any(
record.levelname == log_level and record.getMessage() == message
for record in self.log_records)
def async_run_with_timeout(self, coroutine: Awaitable, timeout: float = 1):
ret = self.ev_loop.run_until_complete(
asyncio.wait_for(coroutine, timeout))
return ret
def test_start_tracking_order(self):
self.assertEqual(0, len(self.tracker.active_orders))
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
def test_stop_tracking_order(self):
self.assertEqual(0, len(self.tracker.active_orders))
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
self.tracker.stop_tracking_order(order.client_order_id)
self.assertEqual(0, len(self.tracker.active_orders))
self.assertEqual(1, len(self.tracker.cached_orders))
def test_cached_order_max_cache_size(self):
for i in range(ClientOrderTracker.MAX_CACHE_SIZE + 1):
order: InFlightOrder = InFlightOrder(
client_order_id=f"someClientOrderId_{i}",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker._cached_orders[order.client_order_id] = order
self.assertEqual(ClientOrderTracker.MAX_CACHE_SIZE,
len(self.tracker.cached_orders))
# First entry gets removed when the no. of cached order exceeds MAX_CACHE_SIZE
self.assertNotIn("someClientOrderId_0", self.tracker._cached_orders)
def test_cached_order_ttl_not_exceeded(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker._cached_orders[order.client_order_id] = order
self.assertIn(order.client_order_id, self.tracker._cached_orders)
@patch(
"hummingbot.connector.client_order_tracker.ClientOrderTracker.CACHED_ORDER_TTL",
0.1)
def test_cached_order_ttl_exceeded(self):
tracker = ClientOrderTracker(self.connector)
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
tracker._cached_orders[order.client_order_id] = order
self.ev_loop.run_until_complete(asyncio.sleep(0.2))
self.assertNotIn(order.client_order_id, tracker.cached_orders)
def test_fetch_tracked_order_not_found(self):
self.assertIsNone(
self.tracker.fetch_tracked_order("someNonExistantOrderId"))
def test_fetch_tracked_order(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
fetched_order: InFlightOrder = self.tracker.fetch_tracked_order(
order.client_order_id)
self.assertTrue(fetched_order == order)
def test_fetch_cached_order_not_found(self):
self.assertIsNone(
self.tracker.fetch_cached_order("someNonExistantOrderId"))
def test_fetch_cached_order(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker._cached_orders[order.client_order_id] = order
self.assertEqual(1, len(self.tracker.cached_orders))
fetched_order: InFlightOrder = self.tracker.fetch_cached_order(
order.client_order_id)
self.assertTrue(fetched_order == order)
def test_fetch_order_by_client_order_id(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
fetched_order: InFlightOrder = self.tracker.fetch_order(
order.client_order_id)
self.assertTrue(fetched_order == order)
def test_fetch_order_by_exchange_order_id(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
fetched_order: InFlightOrder = self.tracker.fetch_order(
exchange_order_id=order.exchange_order_id)
self.assertTrue(fetched_order == order)
def test_fetch_order_does_not_match_orders_with_undefined_exchange_id(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
self.assertEqual(1, len(self.tracker.active_orders))
fetched_order = self.tracker.fetch_order("invalid_order_id")
self.assertIsNone(fetched_order)
def test_process_order_update_invalid_order_update(self):
order_creation_update: OrderUpdate = OrderUpdate(
# client_order_id="someClientOrderId", # client_order_id intentionally omitted
# exchange_order_id="someExchangeOrderId", # client_order_id intentionally omitted
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(update_future)
self.assertTrue(
self._is_logged(
"ERROR",
"OrderUpdate does not contain any client_order_id or exchange_order_id",
))
def test_process_order_update_order_not_found(self):
order_creation_update: OrderUpdate = OrderUpdate(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(update_future)
self.assertTrue(
self._is_logged(
"DEBUG",
f"Order is not/no longer being tracked ({order_creation_update})",
))
def test_process_order_update_trigger_order_creation_event(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
order_creation_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(update_future)
updated_order: InFlightOrder = self.tracker.fetch_tracked_order(
order.client_order_id)
# Check order update has been successfully applied
self.assertEqual(updated_order.exchange_order_id,
order_creation_update.exchange_order_id)
self.assertTrue(updated_order.exchange_order_id_update_event.is_set())
self.assertEqual(updated_order.current_state,
order_creation_update.new_state)
self.assertTrue(updated_order.is_open)
# Check that Logger has logged the correct log
self.assertTrue(
self._is_logged(
"INFO",
f"Created {order.order_type.name} {order.trade_type.name} order {order.client_order_id} for "
f"{order.amount} {order.trading_pair}.",
))
# Check that Buy/SellOrderCreatedEvent has been triggered.
self.assertEqual(1, len(self.buy_order_created_logger.event_log))
event_logged = self.buy_order_created_logger.event_log[0]
self.assertEqual(event_logged.amount, order.amount)
self.assertEqual(event_logged.exchange_order_id,
order_creation_update.exchange_order_id)
self.assertEqual(event_logged.order_id, order.client_order_id)
self.assertEqual(event_logged.price, order.price)
self.assertEqual(event_logged.trading_pair, order.trading_pair)
self.assertEqual(event_logged.type, order.order_type)
def test_process_order_update_trigger_order_creation_event_without_client_order_id(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id=
"someExchangeOrderId", # exchange_order_id is provided when initialized. See AscendEx.
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
order_creation_update: OrderUpdate = OrderUpdate(
# client_order_id=order.client_order_id, # client_order_id purposefully ommited
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(update_future)
updated_order: InFlightOrder = self.tracker.fetch_tracked_order(
order.client_order_id)
# Check order update has been successfully applied
self.assertEqual(updated_order.exchange_order_id,
order_creation_update.exchange_order_id)
self.assertTrue(updated_order.exchange_order_id_update_event.is_set())
self.assertEqual(updated_order.current_state,
order_creation_update.new_state)
self.assertTrue(updated_order.is_open)
# Check that Logger has logged the correct log
self.assertTrue(
self._is_logged(
"INFO",
f"Created {order.order_type.name} {order.trade_type.name} order {order.client_order_id} for "
f"{order.amount} {order.trading_pair}.",
))
# Check that Buy/SellOrderCreatedEvent has been triggered.
self.assertEqual(1, len(self.buy_order_created_logger.event_log))
event_logged = self.buy_order_created_logger.event_log[0]
self.assertEqual(event_logged.amount, order.amount)
self.assertEqual(event_logged.exchange_order_id,
order_creation_update.exchange_order_id)
self.assertEqual(event_logged.order_id, order.client_order_id)
self.assertEqual(event_logged.price, order.price)
self.assertEqual(event_logged.trading_pair, order.trading_pair)
self.assertEqual(event_logged.type, order.order_type)
def test_process_order_update_trigger_order_cancelled_event(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
order_cancelled_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.CANCELED,
)
update_future = self.tracker.process_order_update(
order_cancelled_update)
self.async_run_with_timeout(update_future)
self.assertTrue(
self._is_logged(
"INFO",
f"Successfully canceled order {order.client_order_id}."))
self.assertEqual(0, len(self.tracker.active_orders))
self.assertEqual(1, len(self.tracker.cached_orders))
self.assertEqual(1, len(self.order_cancelled_logger.event_log))
event_triggered = self.order_cancelled_logger.event_log[0]
self.assertIsInstance(event_triggered, OrderCancelledEvent)
self.assertEqual(event_triggered.exchange_order_id,
order.exchange_order_id)
self.assertEqual(event_triggered.order_id, order.client_order_id)
def test_process_order_update_trigger_order_failure_event(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
order_failure_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.FAILED,
)
update_future = self.tracker.process_order_update(order_failure_update)
self.async_run_with_timeout(update_future)
self.assertTrue(
self._is_logged(
"INFO",
f"Order {order.client_order_id} has failed. Order Update: {order_failure_update}"
))
self.assertEqual(0, len(self.tracker.active_orders))
self.assertEqual(1, len(self.tracker.cached_orders))
self.assertEqual(1, len(self.order_failure_logger.event_log))
event_triggered = self.order_failure_logger.event_log[0]
self.assertIsInstance(event_triggered, MarketOrderFailureEvent)
self.assertEqual(event_triggered.order_id, order.client_order_id)
self.assertEqual(event_triggered.order_type, order.order_type)
def test_process_order_update_trigger_completed_event_and_not_fill_event(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
initial_order_filled_amount = order.amount / Decimal("2.0")
order_update_1: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.PARTIALLY_FILLED,
)
update_future = self.tracker.process_order_update(order_update_1)
self.async_run_with_timeout(update_future)
# Check order update has been successfully applied
updated_order: InFlightOrder = self.tracker.fetch_tracked_order(
order.client_order_id)
self.assertEqual(updated_order.exchange_order_id,
order_update_1.exchange_order_id)
self.assertTrue(updated_order.exchange_order_id_update_event.is_set())
self.assertEqual(updated_order.current_state, order_update_1.new_state)
self.assertTrue(updated_order.is_open)
subsequent_order_filled_amount = order.amount - initial_order_filled_amount
order_update_2: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=2,
new_state=OrderState.FILLED,
)
# Force order to not wait for filled events from TradeUpdate objects
order.completely_filled_event.set()
update_future = self.tracker.process_order_update(order_update_2)
self.async_run_with_timeout(update_future)
# Check order is not longer being actively tracked
self.assertIsNone(
self.tracker.fetch_tracked_order(order.client_order_id))
cached_order: InFlightOrder = self.tracker.fetch_cached_order(
order.client_order_id)
self.assertEqual(cached_order.current_state, order_update_2.new_state)
self.assertTrue(cached_order.is_done)
# Check that Logger has logged the appropriate logs
self.assertFalse(
self._is_logged(
"INFO",
f"The {order.trade_type.name.upper()} order {order.client_order_id} amounting to "
f"{initial_order_filled_amount}/{order.amount} {order.base_asset} has been filled.",
))
self.assertFalse(
self._is_logged(
"INFO",
f"The {order.trade_type.name.upper()} order {order.client_order_id} amounting to "
f"{initial_order_filled_amount + subsequent_order_filled_amount}/{order.amount} {order.base_asset} "
f"has been filled.",
))
self.assertTrue(
self._is_logged(
"INFO",
f"{order.trade_type.name.upper()} order {order.client_order_id} completely filled."
))
self.assertEqual(0, len(self.order_filled_logger.event_log))
self.assertEqual(1, len(self.buy_order_completed_logger.event_log))
def test_process_trade_update_trigger_filled_event_flat_fee(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
trade_filled_price: Decimal = Decimal("0.5")
trade_filled_amount: Decimal = order.amount / Decimal("2.0")
fee_paid: Decimal = self.trade_fee_percent * trade_filled_amount
trade_update: TradeUpdate = TradeUpdate(
trade_id=1,
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=order.trading_pair,
fill_price=trade_filled_price,
fill_base_amount=trade_filled_amount,
fill_quote_amount=trade_filled_price * trade_filled_amount,
fee=AddedToCostTradeFee(flat_fees=[
TokenAmount(token=self.quote_asset, amount=fee_paid)
]),
fill_timestamp=1,
)
self.tracker.process_trade_update(trade_update)
self.assertTrue(
self._is_logged(
"INFO",
f"The {order.trade_type.name.upper()} order {order.client_order_id} amounting to "
f"{trade_filled_amount}/{order.amount} {order.base_asset} has been filled.",
))
self.assertEqual(1, len(self.order_filled_logger.event_log))
order_filled_event: OrderFilledEvent = self.order_filled_logger.event_log[
0]
self.assertEqual(order_filled_event.order_id, order.client_order_id)
self.assertEqual(order_filled_event.price, trade_update.fill_price)
self.assertEqual(order_filled_event.amount,
trade_update.fill_base_amount)
self.assertEqual(
order_filled_event.trade_fee,
AddedToCostTradeFee(
flat_fees=[TokenAmount(self.quote_asset, fee_paid)]))
def test_process_trade_update_does_not_trigger_filled_event_update_status_when_completely_filled(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
fee_paid: Decimal = self.trade_fee_percent * order.amount
trade_update: TradeUpdate = TradeUpdate(
trade_id=1,
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=order.trading_pair,
fill_price=order.price,
fill_base_amount=order.amount,
fill_quote_amount=order.price * order.amount,
fee=AddedToCostTradeFee(flat_fees=[
TokenAmount(token=self.quote_asset, amount=fee_paid)
]),
fill_timestamp=1,
)
self.tracker.process_trade_update(trade_update)
fetched_order: InFlightOrder = self.tracker.fetch_order(
order.client_order_id)
self.assertTrue(fetched_order.is_filled)
self.assertIn(fetched_order.client_order_id,
self.tracker.active_orders)
self.assertNotIn(fetched_order.client_order_id,
self.tracker.cached_orders)
self.assertTrue(
self._is_logged(
"INFO",
f"The {order.trade_type.name.upper()} order {order.client_order_id} amounting to "
f"{order.amount}/{order.amount} {order.base_asset} has been filled.",
))
self.assertEqual(1, len(self.order_filled_logger.event_log))
self.assertEqual(0, len(self.buy_order_completed_logger.event_log))
order_filled_event: OrderFilledEvent = self.order_filled_logger.event_log[
0]
self.assertIsNotNone(order_filled_event)
self.assertEqual(order_filled_event.order_id, order.client_order_id)
self.assertEqual(order_filled_event.price, trade_update.fill_price)
self.assertEqual(order_filled_event.amount,
trade_update.fill_base_amount)
self.assertEqual(
order_filled_event.trade_fee,
AddedToCostTradeFee(
flat_fees=[TokenAmount(self.quote_asset, fee_paid)]))
def test_updating_order_states_with_both_process_order_update_and_process_trade_update(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
)
self.tracker.start_tracking_order(order)
order_creation_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(update_future)
open_order: InFlightOrder = self.tracker.fetch_tracked_order(
order.client_order_id)
# Check order_creation_update has been successfully applied
self.assertEqual(open_order.exchange_order_id,
order_creation_update.exchange_order_id)
self.assertTrue(open_order.exchange_order_id_update_event.is_set())
self.assertEqual(open_order.current_state,
order_creation_update.new_state)
self.assertTrue(open_order.is_open)
self.assertEqual(0, len(open_order.order_fills))
trade_filled_price: Decimal = order.price
trade_filled_amount: Decimal = order.amount
fee_paid: Decimal = self.trade_fee_percent * trade_filled_amount
trade_update: TradeUpdate = TradeUpdate(
trade_id=1,
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=order.trading_pair,
fill_price=trade_filled_price,
fill_base_amount=trade_filled_amount,
fill_quote_amount=trade_filled_price * trade_filled_amount,
fee=AddedToCostTradeFee(flat_fees=[
TokenAmount(token=self.quote_asset, amount=fee_paid)
]),
fill_timestamp=2,
)
self.tracker.process_trade_update(trade_update)
self.assertEqual(1, len(self.tracker.active_orders))
self.assertEqual(0, len(self.tracker.cached_orders))
def test_process_order_not_found_invalid_order(self):
self.assertEqual(0, len(self.tracker.active_orders))
unknown_order_id = "UNKNOWN_ORDER_ID"
self.async_run_with_timeout(
self.tracker.process_order_not_found(unknown_order_id))
self._is_logged(
"DEBUG",
f"Order is not/no longer being tracked ({unknown_order_id})")
def test_process_order_not_found_does_not_exceed_limit(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
self.async_run_with_timeout(
self.tracker.process_order_not_found(order.client_order_id))
self.assertIn(order.client_order_id, self.tracker.active_orders)
self.assertIn(order.client_order_id,
self.tracker._order_not_found_records)
self.assertEqual(
1, self.tracker._order_not_found_records[order.client_order_id])
def test_process_order_not_found_exceeded_limit(self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.0,
price=Decimal("1.0"),
initial_state=OrderState.OPEN,
)
self.tracker.start_tracking_order(order)
self.tracker._order_not_found_records[order.client_order_id] = 10
self.async_run_with_timeout(
self.tracker.process_order_not_found(order.client_order_id))
self.assertNotIn(order.client_order_id, self.tracker.active_orders)
def test_restore_tracking_states_only_registers_open_orders(self):
orders = []
orders.append(
InFlightOrder(
client_order_id="OID1",
exchange_order_id="EOID1",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.223,
price=Decimal("1.0"),
))
orders.append(
InFlightOrder(client_order_id="OID2",
exchange_order_id="EOID2",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
creation_timestamp=1640001112.223,
price=Decimal("1.0"),
initial_state=OrderState.CANCELED))
orders.append(
InFlightOrder(client_order_id="OID3",
exchange_order_id="EOID3",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
price=Decimal("1.0"),
creation_timestamp=1640001112.223,
initial_state=OrderState.FILLED))
orders.append(
InFlightOrder(client_order_id="OID4",
exchange_order_id="EOID4",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
price=Decimal("1.0"),
creation_timestamp=1640001112.223,
initial_state=OrderState.FAILED))
tracking_states = {
order.client_order_id: order.to_json()
for order in orders
}
self.tracker.restore_tracking_states(tracking_states)
self.assertIn("OID1", self.tracker.active_orders)
self.assertNotIn("OID2", self.tracker.all_orders)
self.assertNotIn("OID3", self.tracker.all_orders)
self.assertNotIn("OID4", self.tracker.all_orders)
def test_update_to_close_order_is_not_processed_until_order_completelly_filled(
self):
order: InFlightOrder = InFlightOrder(
client_order_id="someClientOrderId",
trading_pair=self.trading_pair,
order_type=OrderType.LIMIT,
trade_type=TradeType.BUY,
amount=Decimal("1000.0"),
price=Decimal("1.0"),
creation_timestamp=1640001112.223,
)
self.tracker.start_tracking_order(order)
order_creation_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=1,
new_state=OrderState.OPEN,
)
trade_update: TradeUpdate = TradeUpdate(
trade_id="1",
client_order_id=order.client_order_id,
exchange_order_id=order.exchange_order_id,
trading_pair=order.trading_pair,
fill_price=Decimal("1100"),
fill_base_amount=order.amount,
fill_quote_amount=order.amount * Decimal("1100"),
fee=AddedToCostTradeFee(flat_fees=[
TokenAmount(token=self.quote_asset, amount=Decimal("10"))
]),
fill_timestamp=10,
)
order_completion_update: OrderUpdate = OrderUpdate(
client_order_id=order.client_order_id,
exchange_order_id="someExchangeOrderId",
trading_pair=self.trading_pair,
update_timestamp=2,
new_state=OrderState.FILLED,
)
# We invert the orders update processing on purpose, to force the test scenario without using sleeps
self.connector._set_current_timestamp(1640001100)
completion_update_future = self.tracker.process_order_update(
order_completion_update)
self.connector._set_current_timestamp(1640001105)
creation_update_future = self.tracker.process_order_update(
order_creation_update)
self.async_run_with_timeout(creation_update_future)
order: InFlightOrder = self.tracker.fetch_order(
client_order_id=order.client_order_id)
# Check order_creation_update has been successfully applied
self.assertFalse(order.is_done)
self.assertFalse(order.is_filled)
self.assertFalse(order.completely_filled_event.is_set())
fill_timetamp = 1640001115
self.connector._set_current_timestamp(fill_timetamp)
self.tracker.process_trade_update(trade_update)
self.assertTrue(order.completely_filled_event.is_set())
self.connector._set_current_timestamp(1640001120)
self.async_run_with_timeout(completion_update_future)
self.assertTrue(order.is_filled)
fill_event: OrderFilledEvent = self.order_filled_logger.event_log[0]
self.assertEqual(fill_timetamp, fill_event.timestamp)
complete_event: BuyOrderCompletedEvent = self.buy_order_completed_logger.event_log[
0]
self.assertGreaterEqual(complete_event.timestamp, 1640001120)
