class ExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("SIM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def test_registered_venues_returns_expected(self):
# Arrange
# Act
result = self.exec_engine.registered_venues
# Assert
self.assertEqual([Venue("SIM")], result)
def test_deregister_client_removes_client(self):
# Arrange
# Act
self.exec_engine.deregister_client(self.exec_client)
# Assert
self.assertEqual([], self.exec_engine.registered_venues)
def test_register_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
self.trader_id,
self.clock,
self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertIn(strategy.id, self.exec_engine.registered_strategies)
def test_deregister_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
# Act
self.exec_engine.deregister_strategy(strategy)
# Assert
self.assertNotIn(strategy.id, self.exec_engine.registered_strategies)
def test_reset_retains_registered_strategies(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(
strategy) # Also registers with portfolio
# Act
self.exec_engine.reset()
# Assert
self.assertIn(strategy.id, self.exec_engine.registered_strategies)
def test_integrity_check_calls_check_on_cache(self):
# Arrange
# Act
self.exec_engine.integrity_check()
# Assert
self.assertTrue(True) # No exceptions raised
def test_submit_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_order_fill_event(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(
TestStubs.event_order_filled(order, AUDUSD_SIM))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
# Assert
self.assertTrue(self.cache.position_exists(expected_position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertIn(expected_position_id, self.cache.position_ids())
self.assertNotIn(
expected_position_id,
self.cache.position_closed_ids(strategy_id=strategy.id))
self.assertNotIn(expected_position_id,
self.cache.position_closed_ids())
self.assertIn(expected_position_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertIn(expected_position_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_handle_position_opening_with_position_id_none(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(
TestStubs.event_order_filled(order, AUDUSD_SIM))
expected_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id
# Assert
self.assertTrue(self.cache.position_exists(expected_id))
self.assertTrue(self.cache.is_position_open(expected_id))
self.assertFalse(self.cache.is_position_closed(expected_id))
self.assertEqual(Position, type(self.cache.position(expected_id)))
self.assertIn(expected_id, self.cache.position_ids())
self.assertNotIn(
expected_id,
self.cache.position_closed_ids(strategy_id=strategy.id))
self.assertNotIn(expected_id, self.cache.position_closed_ids())
self.assertIn(expected_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertIn(expected_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_add_to_existing_position_on_order_fill(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
expected_position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM,
expected_position_id))
# Assert
self.assertTrue(
self.cache.position_exists(
TestStubs.event_order_filled(
order1,
AUDUSD_SIM,
).position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertEqual(
0, len(self.cache.positions_closed(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_closed()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
# # Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertFalse(self.cache.is_position_open(position_id))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertEqual(position_id, self.cache.position(position_id).id)
self.assertEqual(position_id,
self.cache.positions(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions()[0].id)
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_open()))
self.assertEqual(
position_id,
self.cache.positions_closed(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions_closed()[0].id)
self.assertNotIn(position_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertNotIn(position_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(0, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_opened(self):
# Arrange
self.exec_engine.start()
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy2.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.null(),
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position1_id = PositionId('P-1')
position2_id = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position1_id))
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position2_id))
# Assert
self.assertTrue(self.cache.position_exists(position1_id))
self.assertTrue(self.cache.position_exists(position2_id))
self.assertTrue(self.cache.is_position_open(position1_id))
self.assertTrue(self.cache.is_position_open(position2_id))
self.assertFalse(self.cache.is_position_closed(position1_id))
self.assertFalse(self.cache.is_position_closed(position2_id))
self.assertEqual(Position, type(self.cache.position(position1_id)))
self.assertEqual(Position, type(self.cache.position(position2_id)))
self.assertIn(position1_id,
self.cache.position_ids(strategy_id=strategy1.id))
self.assertIn(position2_id,
self.cache.position_ids(strategy_id=strategy2.id))
self.assertIn(position1_id, self.cache.position_ids())
self.assertIn(position2_id, self.cache.position_ids())
self.assertEqual(2, len(self.cache.position_open_ids()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(2, len(self.cache.positions_open()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertIn(position1_id,
self.cache.position_open_ids(strategy_id=strategy1.id))
self.assertIn(position2_id,
self.cache.position_open_ids(strategy_id=strategy2.id))
self.assertIn(position1_id, self.cache.position_open_ids())
self.assertIn(position2_id, self.cache.position_open_ids())
self.assertNotIn(
position1_id,
self.cache.position_closed_ids(strategy_id=strategy1.id))
self.assertNotIn(
position2_id,
self.cache.position_closed_ids(strategy_id=strategy2.id))
self.assertNotIn(position1_id, self.cache.position_closed_ids())
self.assertNotIn(position2_id, self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(2, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
self.exec_engine.start()
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = strategy2.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id1 = PositionId('P-1')
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
position_id1,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order3 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.null(),
order3,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id2 = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order3)
self.exec_engine.process(TestStubs.event_order_submitted(order3))
self.exec_engine.process(TestStubs.event_order_accepted(order3))
self.exec_engine.process(
TestStubs.event_order_filled(order3, AUDUSD_SIM, position_id2))
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.cache.position_exists(position_id1))
self.assertTrue(self.cache.position_exists(position_id2))
self.assertIn(position_id1,
self.cache.position_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_ids())
self.assertIn(position_id2, self.cache.position_ids())
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, len(self.cache.positions_closed()))
self.assertEqual(2, len(self.cache.positions()))
self.assertNotIn(
position_id1,
self.cache.position_open_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_open_ids(strategy_id=strategy2.id))
self.assertNotIn(position_id1, self.cache.position_open_ids())
self.assertIn(position_id2, self.cache.position_open_ids())
self.assertIn(position_id1,
self.cache.position_closed_ids(strategy_id=strategy1.id))
self.assertNotIn(
position_id2,
self.cache.position_closed_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_closed_ids())
self.assertNotIn(position_id2, self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position_sell(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.SIM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.SIM-1F")
# Assert
position_flipped = self.cache.position(position_id_flipped)
self.assertEqual(-50000, position_flipped.relative_quantity)
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertIn(position_id, self.cache.position_ids())
self.assertIn(position_id,
self.cache.position_ids(strategy_id=strategy.id))
self.assertIn(position_id_flipped, self.cache.position_ids())
self.assertIn(position_id_flipped,
self.cache.position_ids(strategy_id=strategy.id))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position_buy(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.SIM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.SIM-1F")
# Assert
position_flipped = self.cache.position(position_id_flipped)
self.assertEqual(50000, position_flipped.relative_quantity)
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertIn(position_id, self.cache.position_ids())
self.assertIn(position_id,
self.cache.position_ids(strategy_id=strategy.id))
self.assertIn(position_id_flipped, self.cache.position_ids())
self.assertIn(position_id_flipped,
self.cache.position_ids(strategy_id=strategy.id))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
class TestRiskEngine:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.database = MockExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = ExecutionEngine(
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_engine.register_client(self.exec_client)
self.exec_engine.register_risk_engine(self.risk_engine)
def test_registered_clients_returns_expected_list(self):
# Arrange
# Act
result = self.risk_engine.registered_clients
# Assert
assert result == [Venue('SIM')]
def test_set_block_all_orders_changes_flag_value(self):
# Arrange
# Act
self.risk_engine.set_block_all_orders()
# Assert
assert self.risk_engine.block_all_orders
def test_given_random_command_logs_and_continues(self):
# Arrange
random = TradingCommand(
self.venue,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(random)
def test_given_random_event_logs_and_continues(self):
# Arrange
random = Event(
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.process(random)
def test_submit_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order']
def test_submit_bracket_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("1.00000"),
take_profit=Price("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ['connect', 'submit_bracket_order']
def test_submit_order_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.set_block_all_orders()
# Act
self.exec_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ['connect']
assert self.exec_engine.event_count == 1
def test_amend_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
amend = AmendOrder(
self.venue,
self.trader_id,
self.account_id,
order.cl_ord_id,
order.quantity,
Price("1.00010"),
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(amend)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order', 'amend_order']
def test_cancel_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
cancel = CancelOrder(
self.venue,
self.trader_id,
self.account_id,
order.cl_ord_id,
order.id,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order', 'cancel_order']
def test_submit_bracket_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("1.00000"),
take_profit=Price("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.set_block_all_orders()
# Act
self.exec_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ['connect']
assert self.exec_engine.event_count == 3
class ExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=self.trader_id.tag,
id_tag_strategy=IdTag("001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("FXCM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def test_register_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertTrue(
strategy.id in self.exec_engine.registered_strategies())
def test_deregister_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
# Act
self.exec_engine.deregister_strategy(strategy)
# Assert
self.assertTrue(
strategy.id not in self.exec_engine.registered_strategies())
def test_is_flat_when_strategy_registered_returns_true(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertTrue(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(self.exec_engine.cache.is_flat())
def test_is_flat_when_no_registered_strategies_returns_true(self):
# Arrange
# Act
# Assert
self.assertTrue(self.exec_engine.cache.is_flat())
def test_reset_execution_engine(self):
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(
strategy) # Also registers with portfolio
# Act
self.exec_engine.reset()
# Assert
self.assertTrue(
strategy.id in self.exec_engine.registered_strategies())
def test_submit_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.received_commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_order_fill_event(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(TestStubs.event_order_filled(order))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
# Assert
self.assertTrue(self.cache.position_exists(expected_position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertFalse(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.exec_engine.cache.is_flat())
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertTrue(expected_position_id in self.cache.position_ids())
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids())
self.assertTrue(expected_position_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_position_id in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_handle_position_opening_with_position_id_none(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(self.venue, self.trader_id, self.account_id,
strategy.id, PositionId.py_null(), order,
self.uuid_factory.generate(),
self.clock.utc_now())
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(TestStubs.event_order_filled(order))
expected_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id
# Assert
self.assertTrue(self.cache.position_exists(expected_id))
self.assertTrue(self.cache.is_position_open(expected_id))
self.assertFalse(self.cache.is_position_closed(expected_id))
self.assertFalse(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.exec_engine.cache.is_flat())
self.assertEqual(Position, type(self.cache.position(expected_id)))
self.assertTrue(expected_id in self.cache.position_ids())
self.assertTrue(expected_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(expected_id not in self.cache.position_closed_ids())
self.assertTrue(expected_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_id in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_add_to_existing_position_on_order_fill(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(TestStubs.event_order_filled(order1))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
expected_position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, expected_position_id))
# Assert
self.assertTrue(
self.cache.position_exists(
TestStubs.event_order_filled(order1).position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.cache.is_flat())
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertEqual(
0, len(self.cache.positions_closed(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_closed()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id))
# # Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertFalse(self.cache.is_position_open(position_id))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(self.cache.is_flat())
self.assertEqual(position_id, self.cache.position(position_id).id)
self.assertEqual(position_id,
self.cache.positions(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions()[0].id)
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_open()))
self.assertEqual(
position_id,
self.cache.positions_closed(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions_closed()[0].id)
self.assertTrue(position_id not in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(position_id not in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(0, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_opened(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy2.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.py_null(),
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position1_id = PositionId('P-1')
position2_id = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position1_id))
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position2_id))
# Assert
self.assertTrue(self.cache.position_exists(position1_id))
self.assertTrue(self.cache.position_exists(position2_id))
self.assertTrue(self.cache.is_position_open(position1_id))
self.assertTrue(self.cache.is_position_open(position2_id))
self.assertFalse(self.cache.is_position_closed(position1_id))
self.assertFalse(self.cache.is_position_closed(position2_id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy1.id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id))
self.assertFalse(self.cache.is_flat())
self.assertEqual(Position, type(self.cache.position(position1_id)))
self.assertEqual(Position, type(self.cache.position(position2_id)))
self.assertTrue(position1_id in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_ids())
self.assertTrue(position2_id in self.cache.position_ids())
self.assertEqual(2, len(self.cache.position_open_ids()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(2, len(self.cache.positions_open()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertTrue(position1_id in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_open_ids())
self.assertTrue(position2_id in self.cache.position_open_ids())
self.assertTrue(position1_id not in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id not in self.cache.position_closed_ids())
self.assertTrue(position2_id not in self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(2, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = strategy2.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id1 = PositionId('P-1')
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
position_id1,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order3 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.py_null(),
order3,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id2 = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id1))
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id1))
self.exec_engine.execute(submit_order3)
self.exec_engine.process(TestStubs.event_order_submitted(order3))
self.exec_engine.process(TestStubs.event_order_accepted(order3))
self.exec_engine.process(
TestStubs.event_order_filled(order3, position_id2))
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.cache.position_exists(position_id1))
self.assertTrue(self.cache.position_exists(position_id2))
self.assertTrue(self.cache.is_flat(strategy_id=strategy1.id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id))
self.assertFalse(self.cache.is_flat())
self.assertTrue(position_id1 in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_ids())
self.assertTrue(position_id2 in self.cache.position_ids())
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, len(self.cache.positions_closed()))
self.assertEqual(2, len(self.cache.positions()))
self.assertTrue(position_id1 not in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 not in self.cache.position_open_ids())
self.assertTrue(position_id2 in self.cache.position_open_ids())
self.assertTrue(position_id1 in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_closed_ids())
self.assertTrue(position_id2 not in self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.FXCM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.FXCM-1F")
order_id_flipped = ClientOrderId(order2.cl_ord_id.value + 'F')
# Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertFalse(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(position_id in self.cache.position_ids())
self.assertTrue(position_id in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(position_id_flipped in self.cache.position_ids())
self.assertTrue(position_id_flipped in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(order_id_flipped,
self.cache.position_exists_for_order(order_id_flipped))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())