def test_execute_fill_event_add_to_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 400)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 400)
def test_execute_signal_invert_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 400, 'SHORT', 2)
self.pf.execute_fill_event(sellevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'SHORT')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.balance, 9800)
def execute_order(self, order_event):
headers = {
"Content-Type": "application/x-www-form-urlencoded",
"Authorization": "Bearer " + self.access_token
}
params = urllib.urlencode({
"instrument": order_event.instrument,
"units": order_event.units,
"type": order_event.order_type,
"side": order_event.side
})
self.conn.request("POST",
"/v1/accounts/%s/orders" % str(self.account_id),
params, headers)
response = self.conn.getresponse().read()
if response:
try:
msg = json.loads(response)
except Exception as e:
self.logger.critical(
"Caught exception when converting message to json %s\n" +
str(e))
return
if msg.has_key("price") and (msg.has_key("tradeOpened")
or msg.has_key("tradeClosed")):
self.logger.debug(msg)
instrument = msg["instrument"]
price = msg["price"]
if msg["tradeOpened"].has_key("units"):
units = msg["tradeOpened"]["units"]
side = msg["tradeOpened"]["side"]
if side == "buy":
fevent = FillEvent(instrument, units, "LONG", price)
elif side == "sell":
fevent = FillEvent(instrument, units, "SHORT", price)
else:
raise ValueError("side should be 'buy' or 'sell' "\
"but is %s", side)
self.event_queue.put(fevent)
else:
for close in msg["tradesClosed"]:
units = close["units"]
side = close["side"]
if side == "buy":
fevent = FillEvent(instrument, units, "LONG",
price)
elif side == "sell":
fevent = FillEvent(instrument, units, "SHORT",
price)
else:
raise ValueError("side should be 'buy' or 'sell' "\
"but is %s", side)
self.event_queue.put(fevent)
def execute_order(self, order_event):
instrument = order_event.instrument
units = order_event.units
order_type = order_event.order_type
side = order_event.side
self.logger.debug("Would have executed: %s ", order_event)
if side == "buy":
price = self.ticker.cur_prices[instrument].ask
fevent = FillEvent(instrument, units, "LONG", price)
elif side == "sell":
price = self.ticker.cur_prices[instrument].bid
fevent = FillEvent(instrument, units, "SHORT", price)
else:
raise ValueError("side should be 'buy' or 'sell' "\
"but is %s", side)
self.event_queue.put(fevent)
def test_execute_fill_event_new_position_short(self):
sellevent = FillEvent("EUR_USD", 100, 'SHORT', 3)
self.leverage_pf.execute_fill_event(sellevent)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].side, 'SHORT')
self.assertEqual(self.leverage_pf.positions["EUR_USD"].market,
'EUR_USD')
self.assertEqual(self.leverage_pf.positions["EUR_USD"].units, 100)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].exposure, 2000)
self.assertEqual(self.leverage_pf.positions["EUR_USD"].avg_price, 3)
def test_execute_fill_event_new_position_long(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
self.assertEqual(self.pf.positions["EUR_USD"].side, 'LONG')
self.assertEqual(self.pf.positions["EUR_USD"].market, 'EUR_USD')
self.assertEqual(self.pf.positions["EUR_USD"].units, 200)
self.assertEqual(self.pf.positions["EUR_USD"].exposure, 200)
self.assertEqual(self.pf.positions["EUR_USD"].avg_price, 4)
self.assertEqual(self.pf.positions["EUR_USD"].cur_price, 3)
def test_execute_signal_remove_position(self):
buyevent = FillEvent("EUR_USD", 200, 'LONG', 4)
self.pf.execute_fill_event(buyevent)
sellevent = FillEvent("EUR_USD", 200, 'SHORT', 4)
self.pf.execute_fill_event(sellevent)
self.assertNotIn('EUR_USD', self.pf.positions.keys())