def place_order(self, is_buy, trading_pair, amount, order_type, price,
nonce, post_resp, ws_resp):
global EXCHANGE_ORDER_ID
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
exch_order_id = f"BITTREX_{EXCHANGE_ORDER_ID}"
EXCHANGE_ORDER_ID += 1
self._t_nonce_mock.return_value = nonce
resp = post_resp.copy()
resp["id"] = exch_order_id
side = 'buy' if is_buy else 'sell'
resp["direction"] = side.upper()
resp["type"] = order_type.name.upper()
if order_type == OrderType.LIMIT:
del resp["limit"]
self.web_app.update_response("post", API_BASE_URL, "/v3/orders",
resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
resp = ws_resp.copy()
resp["content"]["o"]["OU"] = exch_order_id
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=1.0)
return order_id, exch_order_id
def test_cancel_order(self):
self.assertGreater(self.market.get_balance("USDC"), 16000)
trading_pair = "WETH-USDC"
bid_price: Decimal = self.market.get_price(trading_pair, True)
amount: Decimal = Decimal("40.0")
# Intentionally setting price far away from best ask
client_order_id = self.place_order(True, "WETH-USDC", amount,
OrderType.LIMIT_MAKER,
bid_price * Decimal('0.5'), 10001,
FixtureDydx.BUY_LIMIT_ORDER,
FixtureDydx.WS_AFTER_BUY_1)
self.run_parallel(asyncio.sleep(1.0))
self.market.cancel(trading_pair, client_order_id)
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url, FixtureDydx.WS_AFTER_CANCEL_BUY, delay=0.1)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
order_cancelled_event: OrderCancelledEvent = order_cancelled_event
self.run_parallel(asyncio.sleep(6.0))
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(client_order_id, order_cancelled_event.order_id)
def test_limit_makers_unfilled(self):
if API_MOCK_ENABLED:
return
trading_pair = "ETH-USDC"
bid_price: Decimal = self.market.get_price(trading_pair,
True) * Decimal("0.5")
ask_price: Decimal = self.market.get_price(trading_pair, False) * 2
amount: Decimal = 10 / bid_price
quantized_amount: Decimal = self.market.quantize_order_amount(
trading_pair, amount)
# Intentionally setting invalid price to prevent getting filled
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price * Decimal("0.7"))
quantize_ask_price: Decimal = self.market.quantize_order_price(
trading_pair, ask_price * Decimal("1.5"))
order_id, exch_order_id = self.place_order(
True, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_bid_price, 10001, FixtureCoinbasePro.OPEN_BUY_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
order_id_2, exch_order_id_2 = self.place_order(
False, trading_pair, quantized_amount, OrderType.LIMIT_MAKER,
quantize_ask_price, 10002,
FixtureCoinbasePro.OPEN_SELL_LIMIT_ORDER,
FixtureCoinbasePro.WS_ORDER_OPEN)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(SellOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id_2, order_created_event.order_id)
self.run_parallel(asyncio.sleep(1))
if API_MOCK_ENABLED:
self.web_app.update_response("delete", API_BASE_URL,
f"/orders/{exch_order_id}",
exch_order_id)
self.web_app.update_response("delete", API_BASE_URL,
f"/orders/{exch_order_id_2}",
exch_order_id_2)
[cancellation_results] = self.run_parallel(self.market.cancel_all(5))
if API_MOCK_ENABLED:
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=0.1)
resp = FixtureCoinbasePro.WS_ORDER_CANCELLED.copy()
resp["order_id"] = exch_order_id_2
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=0.11)
for cr in cancellation_results:
self.assertEqual(cr.success, True)
def test_prevent_duplicated_orders(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
buy_id: Optional[str] = None
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market], config_path, strategy_name)
recorder.start()
try:
# Perform the same order twice which should produce the same exchange_order_id
# Try to buy 1 LINK from the exchange, and watch for completion event.
bid_price: Decimal = self.market.get_price("LINK-ETH", True)
amount: Decimal = 1
buy_id = self.place_order(True, "LINK-ETH", amount, OrderType.LIMIT, bid_price, self.get_current_nonce(),
FixtureBinance.BUY_LIMIT_ORDER, FixtureBinance.WS_AFTER_BUY_1,
FixtureBinance.WS_AFTER_BUY_2)
[buy_order_completed_event] = self.run_parallel(self.market_logger.wait_for(BuyOrderCompletedEvent))
self.market_logger.clear()
# Simulate that order is still in in_flight_orders
order_json = {"client_order_id": buy_id,
"exchange_order_id": str(FixtureBinance.WS_AFTER_BUY_2['t']),
"trading_pair": "LINK-ETH",
"order_type": "MARKET",
"trade_type": "BUY",
"price": bid_price,
"amount": amount,
"last_state": "NEW",
"executed_amount_base": "0",
"executed_amount_quote": "0",
"fee_asset": "LINK",
"fee_paid": "0.0"}
self.market.restore_tracking_states({buy_id: order_json})
self.market.in_flight_orders.get(buy_id).trade_id_set.add(str(FixtureBinance.WS_AFTER_BUY_2['t']))
# Simulate incoming responses as if buy_id is executed again
data = self.fixture(FixtureBinance.WS_AFTER_BUY_2, c=buy_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.11)
# Will wait, but no order filled event should be triggered because order is ignored
self.run_parallel(asyncio.sleep(1))
# Query the persisted trade logs
trade_fills: List[TradeFill] = recorder.get_trades_for_config(config_path)
buy_fills: List[TradeFill] = [t for t in trade_fills if t.trade_type == "BUY"]
exchange_trade_id = FixtureBinance.WS_AFTER_BUY_2['t']
self.assertEqual(len([bf for bf in buy_fills if int(bf.exchange_trade_id) == exchange_trade_id]), 1)
buy_id = None
finally:
if buy_id is not None:
self.market.cancel("LINK-ETH", buy_id)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
os.unlink(self.db_path)
def cancel_order(self, trading_pair, order_id, exchange_order_id,
fixture_ws):
if API_MOCK_ENABLED:
self.web_app.update_response("delete", API_BASE_URL,
f"/orders/{exchange_order_id}",
exchange_order_id)
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
resp = fixture_ws.copy()
resp["order_id"] = exchange_order_id
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=0.1)
def place_order(self, is_buy, trading_pair, amount, order_type, price, nonce, fixture_resp,
fixture_ws_1 = None, fixture_ws_2 = None):
order_id = None
if API_MOCK_ENABLED:
resp = self.order_response(fixture_resp, nonce, 'buy' if is_buy else 'sell', trading_pair)
self.web_app.update_response("post", self.base_api_url, "/api/v3/order", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type, price)
if API_MOCK_ENABLED and fixture_ws_1 is not None and fixture_ws_2 is not None:
exchange_order_id = str(resp['orderId'])
data = self.fixture(fixture_ws_1, c=order_id, i=exchange_order_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.1)
data = self.fixture(fixture_ws_2, c=order_id, i=exchange_order_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url, data, delay=0.11)
return order_id
def test_limit_makers_unfilled(self):
self.assertGreater(self.market.get_balance("USDC"), 16000)
trading_pair = "WETH-USDC"
amount: Decimal = Decimal("40.0")
bid_price: Decimal = self.market.get_price(trading_pair, True)
buy_order_id: str = self.place_order(True, "WETH-USDC", amount,
OrderType.LIMIT_MAKER,
bid_price * Decimal('0.5'), 10001,
FixtureDydx.BUY_LIMIT_MAKER_ORDER,
FixtureDydx.WS_AFTER_BUY_1)
self.run_parallel(asyncio.sleep(6.0))
self.market.cancel(trading_pair, buy_order_id)
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url, FixtureDydx.WS_AFTER_CANCEL_BUY, delay=0.1)
[order_cancelled_event] = self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
def place_order(self, is_buy, trading_pair, amount, order_type, price,
nonce, fixture_resp, fixture_ws):
order_id, exch_order_id = None, None
if API_MOCK_ENABLED:
self._t_nonce_mock.return_value = nonce
side = 'buy' if is_buy else 'sell'
resp = fixture_resp.copy()
exch_order_id = resp["id"]
resp["side"] = side
self.web_app.update_response("post", API_BASE_URL, "/orders", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED:
resp = fixture_ws.copy()
resp["order_id"] = exch_order_id
resp["side"] = side
MockWebSocketServerFactory.send_json_threadsafe(WS_BASE_URL,
resp,
delay=0.1)
return order_id, exch_order_id
def place_order(self,
is_buy,
trading_pair,
amount,
order_type,
price,
nonce,
fixture_resp,
fixture_ws_1=None,
fixture_ws_2=None,
fixture_ws_3=None):
order_id = None
if API_MOCK_ENABLED:
resp = self.order_response(fixture_resp, nonce,
'buy' if is_buy else 'sell',
trading_pair)
self.web_app.update_response("post", self.base_api_url,
"/v2/orders", resp)
if is_buy:
order_id = self.market.buy(trading_pair, amount, order_type, price)
else:
order_id = self.market.sell(trading_pair, amount, order_type,
price)
if API_MOCK_ENABLED and fixture_ws_1 is not None:
self.web_app.update_response("get",
self.base_api_url,
"/v2/fills",
FixtureDydx.FILLS,
params={
"orderId": order_id,
"limit": 100
})
data = self.fixture(fixture_ws_1, id=order_id)
MockWebSocketServerFactory.send_json_threadsafe(self._ws_user_url,
data,
delay=0.1)
if fixture_ws_2 is not None:
data = self.fixture(fixture_ws_2, id=order_id)
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url, data, delay=0.11)
if fixture_ws_3 is not None:
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url, fixture_ws_3, delay=0.1)
return order_id
def test_order_saving_and_restoration(self):
config_path: str = "test_config"
strategy_name: str = "test_strategy"
sql: SQLConnectionManager = SQLConnectionManager(
SQLConnectionType.TRADE_FILLS, db_path=self.db_path)
order_id: Optional[str] = None
trading_pair: str = "WETH-USDC"
recorder: MarketsRecorder = MarketsRecorder(sql, [self.market],
config_path, strategy_name)
recorder.start()
try:
self.assertEqual(0, len(self.market.tracking_states))
self.assertGreater(self.market.get_balance("USDC"), 16000)
amount: Decimal = Decimal("40.0")
current_bid_price: Decimal = self.market.get_price(
trading_pair, True)
bid_price: Decimal = Decimal("0.5") * current_bid_price
quantize_bid_price: Decimal = self.market.quantize_order_price(
trading_pair, bid_price)
order_id = self.place_order(True, trading_pair, amount,
OrderType.LIMIT, quantize_bid_price,
10001, FixtureDydx.BUY_LIMIT_ORDER,
FixtureDydx.WS_AFTER_BUY_1)
[order_created_event] = self.run_parallel(
self.market_logger.wait_for(BuyOrderCreatedEvent))
order_created_event: BuyOrderCreatedEvent = order_created_event
self.assertEqual(order_id, order_created_event.order_id)
# Verify tracking states
self.assertEqual(1, len(self.market.tracking_states))
self.assertEqual(order_id,
list(self.market.tracking_states.keys())[0])
# Verify orders from recorder
recorded_orders: List[
Order] = recorder.get_orders_for_config_and_market(
config_path, self.market)
self.assertEqual(1, len(recorded_orders))
self.assertEqual(order_id, recorded_orders[0].id)
# Verify saved market states
saved_market_states: MarketState = recorder.get_market_states(
config_path, self.market)
self.assertIsNotNone(saved_market_states)
self.assertIsInstance(saved_market_states.saved_state, dict)
self.assertGreater(len(saved_market_states.saved_state), 0)
# Close out the current market and start another market.
self.clock.remove_iterator(self.market)
for event_tag in self.market_events:
self.market.remove_listener(event_tag, self.market_logger)
self.market: DydxExchange = DydxExchange(
dydx_eth_private_key=PRIVATE_KEY,
dydx_node_address=NODE_ADDRESS,
poll_interval=10.0,
trading_pairs=[trading_pair],
trading_required=True)
for event_tag in self.market_events:
self.market.add_listener(event_tag, self.market_logger)
recorder.stop()
recorder = MarketsRecorder(sql, [self.market], config_path,
strategy_name)
recorder.start()
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.clock.add_iterator(self.market)
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
self.market.restore_tracking_states(
saved_market_states.saved_state)
self.assertEqual(1, len(self.market.limit_orders))
self.assertEqual(1, len(self.market.tracking_states))
# Cancel the order and verify that the change is saved.
self.run_parallel(asyncio.sleep(5.0))
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url,
FixtureDydx.WS_AFTER_CANCEL_BUY,
delay=0.1)
self.run_parallel(self.market_logger.wait_for(OrderCancelledEvent))
order_id = None
self.assertEqual(0, len(self.market.limit_orders))
self.assertEqual(0, len(self.market.tracking_states))
saved_market_states = recorder.get_market_states(
config_path, self.market)
self.assertEqual(0, len(saved_market_states.saved_state))
finally:
if order_id is not None:
self.market.cancel(trading_pair, order_id)
if API_MOCK_ENABLED:
MockWebSocketServerFactory.send_json_threadsafe(
self._ws_user_url,
FixtureDydx.WS_AFTER_CANCEL_BUY,
delay=0.1)
self.run_parallel(
self.market_logger.wait_for(OrderCancelledEvent))
recorder.stop()
