def test_can_parse_tick_from_string(self):
# Arrange
tick = Tick(AUDUSD_FXCM,
Price(1.00000, 5),
Price(1.00001, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
result = Tick.py_from_string(AUDUSD_FXCM.value + ',' + str(tick))
# Assert
self.assertEqual(tick, result)
def test_can_receive_tick_data(self):
# Arrange
data_receiver = ObjectStorer()
self.data_client.request_ticks(AUDUSD_FXCM,
UNIX_EPOCH.date(),
UNIX_EPOCH.date(),
limit=0,
callback=data_receiver.store)
time.sleep(0.2)
tick = Tick(AUDUSD_FXCM, Price(1.00000, 5), Price(1.00001, 5),
Volume(1), Volume(1), UNIX_EPOCH)
ticks = [tick, tick, tick, tick, tick]
tick_data = self.data_mapper.map_ticks(ticks)
data = self.data_serializer.serialize(tick_data)
data_response = DataResponse(data, 'Tick[]', 'BSON',
self.data_client.last_request_id,
GUID(uuid.uuid4()), UNIX_EPOCH)
# Act
self.data_server.send_response(data_response,
self.data_client.client_id)
time.sleep(0.1)
response = data_receiver.get_store()[0]
# Assert
self.assertEqual(ticks, response)
def test_position_filled_with_buy_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled = OrderFilled(
self.account_id,
order.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order.symbol,
order.side,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order_filled)
# Assert
self.assertEqual(OrderId('O-19700101-000000-001-001-1'), position.from_order_id)
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(OrderSide.BUY, position.entry_direction)
self.assertEqual(MarketPosition.LONG, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertIsNone(position.open_duration)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(1, position.event_count)
self.assertEqual([order.id], position.get_order_ids())
self.assertEqual([ExecutionId('E123456')], position.get_execution_ids())
self.assertEqual(ExecutionId('E123456'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertTrue(position.is_long)
self.assertFalse(position.is_short)
self.assertFalse(position.is_closed)
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, Currency.USD), position.realized_pnl)
self.assertEqual(0.0004899999999998794, position.unrealized_points(last))
self.assertEqual(0.0004899951000488789, position.unrealized_return(last))
self.assertEqual(Money(49.00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(0.0004899999999998794, position.total_points(last))
self.assertEqual(0.0004899951000488789, position.total_return(last))
self.assertEqual(Money(49.00, Currency.USD), position.total_pnl(last))
def test_position_filled_with_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
order_filled = OrderFilled(
self.account_id,
order.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order.symbol,
order.side,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order_filled)
# Assert
self.assertEqual(Quantity(100000), position.quantity)
self.assertEqual(Quantity(100000), position.peak_quantity)
self.assertEqual(MarketPosition.SHORT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(1, position.event_count)
self.assertEqual(ExecutionId('E123456'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertFalse(position.is_long)
self.assertTrue(position.is_short)
self.assertFalse(position.is_closed)
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, Currency.USD), position.realized_pnl)
self.assertEqual(-0.00046999999999997044, position.unrealized_points(last))
self.assertEqual(-0.0004699953000469699, position.unrealized_return(last))
self.assertEqual(Money(-47.00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(-0.00046999999999997044, position.total_points(last))
self.assertEqual(-0.0004699953000469699, position.total_return(last))
self.assertEqual(Money(-47.00, Currency.USD), position.total_pnl(last))
def test_can_get_tick(self):
strategy = TradingStrategy(order_id_tag='001')
tick = Tick(Symbol('AUDUSD', Venue('FXCM')), Price(1.00000, 5),
Price(1.00001, 5), Volume(1), Volume(1),
datetime(2018, 1, 1, 19, 59, 1, 0, timezone.utc))
strategy.handle_tick(tick)
# Act
result = strategy.tick(AUDUSD_FXCM, 0)
# Assert
self.assertEqual(tick, result)
def test_can_get_exchange_rate_with_no_conversion(self):
# Arrange
tick = Tick(AUDUSD_FXCM,
Price(0.80000, 5),
Price(0.80010, 5),
Volume(1),
Volume(1),
datetime(2018, 1, 1, 19, 59, 1, 0, timezone.utc))
self.client._handle_tick(tick)
# Act
result = self.client.get_exchange_rate(Currency.AUD, Currency.USD)
# Assert
self.assertEqual(0.80005, result)
def test_get_exchange_rate_returns_correct_rate(self):
# Arrange
tick = Tick(USDJPY_FXCM,
Price(110.80000, 5),
Price(110.80010, 5),
Volume(1),
Volume(1),
datetime(2018, 1, 1, 19, 59, 1, 0, timezone.utc))
self.client._handle_tick(tick)
# Act
result = self.client.get_exchange_rate(Currency.JPY, Currency.USD)
# Assert
self.assertEqual(0.009025266685348969, result)
def test_tick_str_and_repr(self):
# Arrange
tick = Tick(AUDUSD_FXCM,
Price(1.00000, 5),
Price(1.00001, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
result0 = str(tick)
result1 = repr(tick)
# Assert
self.assertEqual('1.00000,1.00001,1,1,1970-01-01T00:00:00.000Z', result0)
self.assertTrue(result1.startswith('<Tick(AUDUSD.FXCM,1.00000,1.00001,1,1,1970-01-01T00:00:00.000Z) object at'))
self.assertTrue(result1.endswith('>'))
def test_can_serialize_and_deserialize_ticks(self):
# Arrange
tick = Tick(AUDUSD_FXCM, Price(1.00000, 5), Price(1.00001, 5),
Volume(1), Volume(1), UNIX_EPOCH)
data = self.mapper.map_ticks([tick])
# Act
serialized = self.serializer.serialize(data)
print(type(data))
print(data)
print(type(serialized))
deserialized = self.serializer.deserialize(serialized)
print(deserialized)
# Assert
self.assertEqual(data, deserialized)
def test_can_receive_published_tick_data(self):
# Arrange
data_receiver = ObjectStorer()
tick = Tick(AUDUSD_FXCM, Price(1.00000, 5), Price(1.00001, 5),
Volume(1), Volume(1), UNIX_EPOCH)
# Act
self.data_client.subscribe_ticks(AUDUSD_FXCM,
handler=data_receiver.store)
time.sleep(0.1)
self.tick_publisher.publish(AUDUSD_FXCM.value,
Utf8TickSerializer.py_serialize(tick))
time.sleep(0.1)
# Assert
self.assertEqual(1, len(data_receiver.get_store()))
self.assertEqual(tick, data_receiver.get_store()[0])
def test_position_long_with_multiple_filled_orders_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order3 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(200000))
order1_filled = OrderFilled(
self.account_id,
order1.id,
ExecutionId('E1'),
PositionIdBroker('T123456'),
order1.symbol,
order1.side,
order1.quantity,
Price(1.00000, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order2_filled = OrderFilled(
self.account_id,
order2.id,
ExecutionId('E2'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
order2.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order3_filled = OrderFilled(
self.account_id,
order3.id,
ExecutionId('E3'),
PositionIdBroker('T123456'),
order3.symbol,
order3.side,
order3.quantity,
Price(1.00010, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position = Position(PositionId('P-123456'), order1_filled)
position.apply(order2_filled)
position.apply(order3_filled)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(MarketPosition.FLAT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.000005, position.average_open_price)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.id, order2.id, order3.id], position.get_order_ids())
self.assertEqual(ExecutionId('E3'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.0001, position.average_close_price)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_closed)
self.assertEqual(9.499999999995623e-05, position.realized_points)
self.assertEqual(9.499952500233122e-05, position.realized_return)
self.assertEqual(Money(19.000, Currency.USD), position.realized_pnl)
self.assertEqual(0.0, position.unrealized_points(last))
self.assertEqual(0.0, position.unrealized_return(last))
self.assertEqual(Money(00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(9.499999999995623e-05, position.total_points(last))
self.assertEqual(9.499952500233122e-05, position.total_return(last))
self.assertEqual(Money(19.000, Currency.USD), position.total_pnl(last))
def test_position_filled_with_sell_order_then_buy_order_returns_expected_attributes(self):
# Arrange
order1 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
order2 = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled1 = OrderFilled(
self.account_id,
order1.id,
ExecutionId('E123456'),
PositionIdBroker('T123456'),
order1.symbol,
order1.side,
order1.quantity,
Price(1.00000, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
position = Position(PositionId('P-123456'), order_filled1)
order_filled2 = OrderPartiallyFilled(
self.account_id,
order2.id,
ExecutionId('E1234561'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
Quantity(50000),
Quantity(50000),
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
order_filled3 = OrderPartiallyFilled(
self.account_id,
order2.id,
ExecutionId('E1234562'),
PositionIdBroker('T123456'),
order2.symbol,
order2.side,
Quantity(100000),
Quantity(),
Price(1.00003, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position.apply(order_filled2)
position.apply(order_filled3)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(MarketPosition.FLAT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(1.0, position.average_open_price)
self.assertEqual(3, position.event_count)
self.assertEqual([order1.id, order2.id], position.get_order_ids())
self.assertEqual(ExecutionId('E1234562'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertEqual(UNIX_EPOCH, position.closed_time)
self.assertEqual(1.00003, position.average_close_price)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_closed)
self.assertEqual(-2.999999999997449e-05, position.realized_points)
self.assertEqual(-2.999999999997449e-05, position.realized_return)
self.assertEqual(Money(-3.000, Currency.USD), position.realized_pnl)
self.assertEqual(0.0, position.unrealized_points(last))
self.assertEqual(0.0, position.unrealized_return(last))
self.assertEqual(Money(00, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(-2.999999999997449e-05, position.total_points(last))
self.assertEqual(-2.999999999997449e-05, position.total_return(last))
self.assertEqual(Money(-3.000, Currency.USD), position.total_pnl(last))
def test_position_filled_with_buy_order_then_sell_order_returns_expected_attributes(self):
# Arrange
order = self.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
order_filled1 = OrderFilled(
self.account_id,
order.id,
ExecutionId('E1'),
PositionIdBroker('T123456'),
order.symbol,
OrderSide.BUY,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH,
GUID(uuid.uuid4()),
UNIX_EPOCH)
position = Position(PositionId('P-123456'), order_filled1)
order_filled2 = OrderFilled(
self.account_id,
order.id,
ExecutionId('E2'),
PositionIdBroker('T123456'),
order.symbol,
OrderSide.SELL,
order.quantity,
Price(1.00001, 5),
Currency.USD,
UNIX_EPOCH + timedelta(minutes=1),
GUID(uuid.uuid4()),
UNIX_EPOCH)
last = Tick(AUDUSD_FXCM,
Price(1.00050, 5),
Price(1.00048, 5),
Volume(1),
Volume(1),
UNIX_EPOCH)
# Act
position.apply(order_filled2)
# Assert
self.assertEqual(Quantity(), position.quantity)
self.assertEqual(MarketPosition.FLAT, position.market_position)
self.assertEqual(UNIX_EPOCH, position.opened_time)
self.assertEqual(timedelta(minutes=1), position.open_duration)
self.assertEqual(1.00001, position.average_open_price)
self.assertEqual(2, position.event_count)
self.assertEqual(ExecutionId('E2'), position.last_execution_id)
self.assertEqual(PositionIdBroker('T123456'), position.id_broker)
self.assertEqual(datetime.datetime(1970, 1, 1, 0, 1, tzinfo=datetime.timezone.utc), position.closed_time)
self.assertEqual(1.00001, position.average_close_price)
self.assertFalse(position.is_long)
self.assertFalse(position.is_short)
self.assertTrue(position.is_closed)
self.assertEqual(0.0, position.realized_points)
self.assertEqual(0.0, position.realized_return)
self.assertEqual(Money(0, Currency.USD), position.realized_pnl)
self.assertEqual(0.0, position.unrealized_points(last))
self.assertEqual(0.0, position.unrealized_return(last))
self.assertEqual(Money(0, Currency.USD), position.unrealized_pnl(last))
self.assertEqual(0.0, position.total_points(last))
self.assertEqual(0.0, position.total_return(last))
self.assertEqual(Money(0, Currency.USD), position.total_pnl(last))