def testPartialFill(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 2, 11)
self.assertEqual(order.getRemaining(), 11)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
order.addExecutionInfo(
broker.OrderExecutionInfo(1, 8, 0, datetime.datetime.now()))
self.assertTrue(order.isPartiallyFilled())
self.assertEqual(order.getRemaining(), 3)
self.assertEqual(order.getFilled(), 8)
self.assertEqual(order.getAvgFillPrice(), 1)
self.assertEqual(order.getExecutionInfo().getQuantity(), 8)
self.assertEqual(order.getExecutionInfo().getPrice(), 1)
order.addExecutionInfo(
broker.OrderExecutionInfo(1.5, 1, 0, datetime.datetime.now()))
self.assertTrue(order.isPartiallyFilled())
self.assertEqual(order.getRemaining(), 2)
self.assertEqual(order.getFilled(), 9)
self.assertEqual(round(order.getAvgFillPrice(), 4),
round(1.055555556, 4))
self.assertEqual(order.getExecutionInfo().getQuantity(), 1)
self.assertEqual(order.getExecutionInfo().getPrice(), 1.5)
order.addExecutionInfo(
broker.OrderExecutionInfo(1.123, 2, 0, datetime.datetime.now()))
self.assertTrue(order.isFilled())
self.assertEqual(order.getRemaining(), 0)
self.assertEqual(order.getFilled(), 11)
self.assertEqual(round(order.getAvgFillPrice(), 4),
round(1.067818182, 4))
self.assertEqual(order.getExecutionInfo().getQuantity(), 2)
self.assertEqual(order.getExecutionInfo().getPrice(), 1.123)
def _onUserTrades(self, trades):
for trade in trades:
order = self.__activeOrders.get(trade.getOrderId())
if order is not None:
fee = trade.getFee()
fillPrice = trade.getBTCUSD()
btcAmount = trade.getBTC()
dateTime = trade.getDateTime()
# Update cash and shares.
self.refreshAccountBalance()
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
fillPrice, abs(btcAmount), fee, dateTime)
order.addExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
common.logger.info(
"Trade %d refered to order %d that is not active" %
(trade.getId(), trade.getOrderId()))
def __getFilledMarketOrder(self, quantity, price):
order = backtesting.MarketOrder(broker.Order.Action.BUY,
BaseTestCase.TestInstrument, quantity,
False, broker.IntegerTraits())
order.setState(broker.Order.State.ACCEPTED)
order.addExecutionInfo(
broker.OrderExecutionInfo(price, quantity, 0,
datetime.datetime.now()))
return order
def testCompleteFillInvalidSize(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 1, 1)
with self.assertRaises(Exception):
order.addExecutionInfo(
broker.OrderExecutionInfo(1, 1.001, 0,
datetime.datetime.now()))
self.assertTrue(order.isAccepted())
self.assertEqual(order.getRemaining(), 1)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
def testCompleteFill(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 1, 1)
self.assertEqual(order.getRemaining(), 1)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
order.addExecutionInfo(
broker.OrderExecutionInfo(0.9, 1, 0, datetime.datetime.now()))
self.assertTrue(order.isFilled())
self.assertEqual(order.getRemaining(), 0)
self.assertEqual(order.getFilled(), 1)
self.assertEqual(order.getAvgFillPrice(), 0.9)
def _onUserTrades(self, trades):
ret = False
for trade in trades:
order = self.__activeOrders.get(trade.getOrderId())
if order is not None:
filled = order.getFilled()
avgPrice = order.getAvgFillPrice()
newQuantity = trade.getBTC() - filled
if order.isBuy():
newQuantity -= trade.getFee()
newQuantity = liveUtils.CoinRound(newQuantity)
if newQuantity == 0:
continue
ret = True
newFillPrice = trade.getBTCUSD()
if avgPrice is not None:
newFillPrice = (newFillPrice * trade.getBTC() -
order.getFilled() * avgPrice) / newQuantity
newFee = trade.getFee() - order.getCommissions()
newDateTime = trade.getDateTime()
logger.info('newTrade: price:%f btc:%f fee:%s time:%s' %
(newFillPrice, newQuantity, newFee, newDateTime))
# Update cash and shares.
self.refreshAccountBalance()
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
newFillPrice, abs(newQuantity), newFee, newDateTime)
order.addExecutionInfo(orderExecutionInfo)
if trade.isFilled():
order.setState(order.State.FILLED)
# order.updateExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
logger.info("Trade refered to order %d that is not active" %
(trade.getOrderId()))
return ret
def commitOrderExecution(self, order, dateTime, fillInfo):
"""Tries to commit an order execution. """
price = fillInfo.getPrice()
quantity = fillInfo.getQuantity()
if order.isBuy():
cost = price * quantity * -1
assert (cost < 0)
sharesDelta = quantity
elif order.isSell():
cost = price * quantity
assert (cost > 0)
sharesDelta = quantity * -1
else: # Unknown action
assert (False)
commission = self.getCommission().calculate(order, price, quantity)
cost -= commission
resultingCash = self.getCash() + cost
# Check that we're ok on cash after the commission.
if resultingCash >= 0 or self.__allowNegativeCash:
# Update the order before updating internal state since addExecutionInfo may raise.
# addExecutionInfo should switch the order state.
orderExecutionInfo = broker.OrderExecutionInfo(
price, quantity, commission, dateTime)
order.addExecutionInfo(orderExecutionInfo)
# Commit the order execution.
self.__cash = resultingCash
updatedShares = order.getInstrumentTraits().roundQuantity(
self.getShares(order.getInstrument()) + sharesDelta)
if updatedShares == 0:
del self.__shares[order.getInstrument()]
else:
self.__shares[order.getInstrument()] = updatedShares
# Let the strategy know that the order was filled.
self.__fillStrategy.onOrderFilled(self, order)
# Notify the order update
if order.isFilled():
self._unregisterOrder(order)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.FILLED,
orderExecutionInfo))
elif order.isPartiallyFilled():
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.PARTIALLY_FILLED,
orderExecutionInfo))
else:
assert (False)
else:
self.__logger.debug(
"Not enough cash to fill %s order [%s] for %s share/s" %
(order.getInstrument(), order.getId(), order.getRemaining()))