def testLimitOrderTriggerSell(self):
barsBuilder = broker_backtesting_test.BarsBuilder(INSTRUMENT, bar.Frequency.MINUTE)
# Bar is below
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 5, 5, 5)
),
None
)
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 6, 4, 5)
),
None
)
# High touches
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 10, 4, 9)
),
10
)
# High penetrates
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 11, 4, 9)
),
10
)
# Open touches
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(10, 10, 10, 10)
),
10
)
# Open is above
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(11, 12, 4, 9)
),
11
)
# Bar gaps above
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(12, 13, 11, 12)
),
12
)
def testLimitOrderTriggerBuy(self):
barsBuilder = broker_backtesting_test.BarsBuilder(INSTRUMENT, bar.Frequency.MINUTE)
# Bar is above
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 15, 15, 15)
),
None
)
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 11, 15)
),
None
)
# Low touches
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 10, 11)
),
10
)
# Low penetrates
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 9, 11)
),
10
)
# Open touches
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(10, 10, 10, 10)
),
10
)
# Open is below
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(9, 12, 4, 9)
),
9
)
# Bar gaps below
self.assertEqual(
fillstrategy.get_limit_price_trigger(
broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(8, 9, 6, 9)
),
8
)
def testLimitOrderTriggerSell(self):
barsBuilder = broker_backtesting_test.BarsBuilder(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
# Bar is below
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 5, 5, 5)), None)
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 6, 4, 5)), None)
# High touches
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 10, 4, 9)), 10)
# High penetrates
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(5, 11, 4, 9)), 10)
# Open touches
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(10, 10, 10, 10)), 10)
# Open is above
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(11, 12, 4, 9)), 11)
# Bar gaps above
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.SELL, 10, False, barsBuilder.nextBar(12, 13, 11, 12)), 12)
def testLimitOrderTriggerBuy(self):
barsBuilder = broker_backtesting_test.BarsBuilder(BaseTestCase.TestInstrument, bar.Frequency.MINUTE)
# Bar is above
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 15, 15, 15)), None)
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 11, 15)), None)
# Low touches
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 10, 11)), 10)
# Low penetrates
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(15, 16, 9, 11)), 10)
# Open touches
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(10, 10, 10, 10)), 10)
# Open is below
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(9, 12, 4, 9)), 9)
# Bar gaps below
self.assertEqual(fillstrategy.get_limit_price_trigger(broker.Order.Action.BUY, 10, False, barsBuilder.nextBar(8, 9, 6, 9)), 8)