def test_blotter_eod_cancellation(self):
blotter = Blotter('minute',
self.env.asset_finder,
cancel_policy=EODCancel())
asset_24 = blotter.asset_finder.retrieve_asset(24)
# Make two orders for the same sid, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(asset_24, 100, MarketOrder())
blotter.order(asset_24, -100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 2)
order_ids = [order.id for order in blotter.open_orders[asset_24]]
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(DAY_END)
for order_id in order_ids:
order = blotter.orders[order_id]
self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
def test_blotter_never_cancel(self):
blotter = Blotter('minute', cancel_policy=NeverCancel())
blotter.order(self.asset_24, 100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(SESSION_END)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
def test_blotter_never_cancel(self):
blotter = Blotter('minute', cancel_policy=NeverCancel())
blotter.order(self.asset_24, 100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(SESSION_END)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
def test_blotter_never_cancel(self):
blotter = Blotter("minute", self.env.asset_finder, cancel_policy=NeverCancel())
blotter.order(blotter.asset_finder.retrieve_asset(24), 100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(DAY_END)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
def test_blotter_never_cancel(self):
blotter = Blotter('minute', self.env.asset_finder,
cancel_policy=NeverCancel())
blotter.order(blotter.asset_finder.retrieve_asset(24), 100,
MarketOrder())
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(DAY_END)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
def test_blotter_eod_cancellation(self):
blotter = Blotter('minute', cancel_policy=EODCancel())
# Make two orders for the same asset, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(self.asset_24, 100, MarketOrder())
blotter.order(self.asset_24, -100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 2)
order_ids = [order.id for order in blotter.open_orders[self.asset_24]]
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(SESSION_END)
for order_id in order_ids:
order = blotter.orders[order_id]
self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
def test_blotter_eod_cancellation(self):
blotter = Blotter("minute", self.env.asset_finder, cancel_policy=EODCancel())
asset_24 = blotter.asset_finder.retrieve_asset(24)
# Make two orders for the same sid, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(asset_24, 100, MarketOrder())
blotter.order(asset_24, -100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 2)
order_ids = [order.id for order in blotter.open_orders[asset_24]]
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(DAY_END)
for order_id in order_ids:
order = blotter.orders[order_id]
self.assertEqual(order.status, ORDER_STATUS.CANCELLED)