Ejemplo n.º 1
0
    def test_order_rejection(self):
        blotter = Blotter()
        # Reject a nonexistent order -> no order appears in new_order,
        # no exceptions raised out
        blotter.reject(56)
        self.assertEqual(blotter.new_orders, [])

        # Basic tests of open order behavior
        open_order_id = blotter.order(24, 100, MarketOrder())
        second_order_id = blotter.order(24, 50, MarketOrder())
        self.assertEqual(len(blotter.open_orders[24]), 2)
        open_order = blotter.open_orders[24][0]
        self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
        self.assertEqual(open_order.id, open_order_id)
        self.assertIn(open_order, blotter.new_orders)

        # Reject that order immediately (same bar, i.e. still in new_orders)
        blotter.reject(open_order_id)
        self.assertEqual(len(blotter.new_orders), 2)
        self.assertEqual(len(blotter.open_orders[24]), 1)
        still_open_order = blotter.new_orders[0]
        self.assertEqual(still_open_order.id, second_order_id)
        self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
        rejected_order = blotter.new_orders[1]
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, '')

        # Do it again, but reject it at a later time (after tradesimulation
        # pulls it from new_orders)
        blotter = Blotter()
        new_open_id = blotter.order(24, 10, MarketOrder())
        new_open_order = blotter.open_orders[24][0]
        self.assertEqual(new_open_id, new_open_order.id)
        # Pretend that the trade simulation did this.
        blotter.new_orders = []

        rejection_reason = "Not enough cash on hand."
        blotter.reject(new_open_id, reason=rejection_reason)
        rejected_order = blotter.new_orders[0]
        self.assertEqual(rejected_order.id, new_open_id)
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, rejection_reason)

        # You can't reject a filled order.
        blotter = Blotter()   # Reset for paranoia
        blotter.current_dt = datetime.datetime.now()
        filled_id = blotter.order(24, 100, MarketOrder())
        aapl_trade = create_trade(24, 50.0, 400, datetime.datetime.now())
        filled_order = None
        for txn, updated_order in blotter.process_trade(aapl_trade):
            filled_order = updated_order

        self.assertEqual(filled_order.id, filled_id)
        self.assertIn(filled_order, blotter.new_orders)
        self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
        self.assertNotIn(filled_order, blotter.open_orders[24])

        blotter.reject(filled_id)
        updated_order = blotter.orders[filled_id]
        self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
Ejemplo n.º 2
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    def test_order_rejection(self):
        blotter = Blotter()
        # Reject a nonexistent order -> no order appears in new_order,
        # no exceptions raised out
        blotter.reject(56)
        self.assertEqual(blotter.new_orders, [])

        # Basic tests of open order behavior
        open_order_id = blotter.order(24, 100, MarketOrder())
        second_order_id = blotter.order(24, 50, MarketOrder())
        self.assertEqual(len(blotter.open_orders[24]), 2)
        open_order = blotter.open_orders[24][0]
        self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
        self.assertEqual(open_order.id, open_order_id)
        self.assertIn(open_order, blotter.new_orders)

        # Reject that order immediately (same bar, i.e. still in new_orders)
        blotter.reject(open_order_id)
        self.assertEqual(len(blotter.new_orders), 2)
        self.assertEqual(len(blotter.open_orders[24]), 1)
        still_open_order = blotter.new_orders[0]
        self.assertEqual(still_open_order.id, second_order_id)
        self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
        rejected_order = blotter.new_orders[1]
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, '')

        # Do it again, but reject it at a later time (after tradesimulation
        # pulls it from new_orders)
        blotter = Blotter()
        new_open_id = blotter.order(24, 10, MarketOrder())
        new_open_order = blotter.open_orders[24][0]
        self.assertEqual(new_open_id, new_open_order.id)
        # Pretend that the trade simulation did this.
        blotter.new_orders = []

        rejection_reason = "Not enough cash on hand."
        blotter.reject(new_open_id, reason=rejection_reason)
        rejected_order = blotter.new_orders[0]
        self.assertEqual(rejected_order.id, new_open_id)
        self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
        self.assertEqual(rejected_order.reason, rejection_reason)

        # You can't reject a filled order.
        blotter = Blotter()  # Reset for paranoia
        blotter.current_dt = datetime.datetime.now()
        filled_id = blotter.order(24, 100, MarketOrder())
        aapl_trade = create_trade(24, 50.0, 400, datetime.datetime.now())
        filled_order = None
        for txn, updated_order in blotter.process_trade(aapl_trade):
            filled_order = updated_order

        self.assertEqual(filled_order.id, filled_id)
        self.assertIn(filled_order, blotter.new_orders)
        self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
        self.assertNotIn(filled_order, blotter.open_orders[24])

        blotter.reject(filled_id)
        updated_order = blotter.orders[filled_id]
        self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
Ejemplo n.º 3
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def create_trade_history(
    sid,
    prices,
    amounts,
    interval,
    sim_params,
    trading_calendar,
    source_id="test_factory",
):
    trades = []
    current = sim_params.first_open

    oneday = timedelta(days=1)
    use_midnight = interval >= oneday
    for price, amount in zip(prices, amounts):
        if use_midnight:
            trade_dt = current.replace(hour=0, minute=0)
        else:
            trade_dt = current
        trade = create_trade(sid, price, amount, trade_dt, source_id)
        trades.append(trade)
        current = get_next_trading_dt(current, interval, trading_calendar)

    assert len(trades) == len(prices)
    return trades
Ejemplo n.º 4
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    def test_order_hold(self):
        """
        Held orders act almost identically to open orders, except for the
        status indication. When a fill happens, the order should switch
        status to OPEN/FILLED as necessary
        """
        blotter = Blotter()
        # Nothing happens on held of a non-existent order
        blotter.hold(56)
        self.assertEqual(blotter.new_orders, [])

        open_id = blotter.order(24, 100, MarketOrder())
        open_order = blotter.open_orders[24][0]
        self.assertEqual(open_order.id, open_id)

        blotter.hold(open_id)
        self.assertEqual(len(blotter.new_orders), 1)
        self.assertEqual(len(blotter.open_orders[24]), 1)
        held_order = blotter.new_orders[0]
        self.assertEqual(held_order.status, ORDER_STATUS.HELD)
        self.assertEqual(held_order.reason, '')

        blotter.cancel(held_order.id)
        self.assertEqual(len(blotter.new_orders), 1)
        self.assertEqual(len(blotter.open_orders[24]), 0)
        cancelled_order = blotter.new_orders[0]
        self.assertEqual(cancelled_order.id, held_order.id)
        self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)

        for trade_amt in (100, 400):
            # Verify that incoming fills will change the order status.
            order_size = 100
            expected_filled = trade_amt * 0.25
            expected_open = order_size - expected_filled
            expected_status = ORDER_STATUS.OPEN if expected_open else \
                ORDER_STATUS.FILLED

            blotter = Blotter()
            blotter.current_dt = datetime.datetime.now()
            open_id = blotter.order(24, order_size, MarketOrder())
            open_order = blotter.open_orders[24][0]
            self.assertEqual(open_id, open_order.id)
            blotter.hold(open_id)
            held_order = blotter.new_orders[0]

            aapl_trade = create_trade(24, 50.0, trade_amt,
                                      datetime.datetime.now())
            filled_order = None
            for txn, updated_order in blotter.process_trade(aapl_trade):
                filled_order = updated_order
            self.assertEqual(filled_order.id, held_order.id)
            self.assertEqual(filled_order.status, expected_status)
            self.assertEqual(filled_order.filled, expected_filled)
            self.assertEqual(filled_order.open_amount, expected_open)
Ejemplo n.º 5
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    def test_order_hold(self):
        """
        Held orders act almost identically to open orders, except for the
        status indication. When a fill happens, the order should switch
        status to OPEN/FILLED as necessary
        """
        blotter = Blotter()
        # Nothing happens on held of a non-existent order
        blotter.hold(56)
        self.assertEqual(blotter.new_orders, [])

        open_id = blotter.order(24, 100, MarketOrder())
        open_order = blotter.open_orders[24][0]
        self.assertEqual(open_order.id, open_id)

        blotter.hold(open_id)
        self.assertEqual(len(blotter.new_orders), 1)
        self.assertEqual(len(blotter.open_orders[24]), 1)
        held_order = blotter.new_orders[0]
        self.assertEqual(held_order.status, ORDER_STATUS.HELD)
        self.assertEqual(held_order.reason, '')

        blotter.cancel(held_order.id)
        self.assertEqual(len(blotter.new_orders), 1)
        self.assertEqual(len(blotter.open_orders[24]), 0)
        cancelled_order = blotter.new_orders[0]
        self.assertEqual(cancelled_order.id, held_order.id)
        self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)

        for trade_amt in (100, 400):
            # Verify that incoming fills will change the order status.
            order_size = 100
            expected_filled = trade_amt * 0.25
            expected_open = order_size - expected_filled
            expected_status = ORDER_STATUS.OPEN if expected_open else \
                ORDER_STATUS.FILLED

            blotter = Blotter()
            blotter.current_dt = datetime.datetime.now()
            open_id = blotter.order(24, order_size, MarketOrder())
            open_order = blotter.open_orders[24][0]
            self.assertEqual(open_id, open_order.id)
            blotter.hold(open_id)
            held_order = blotter.new_orders[0]

            aapl_trade = create_trade(24, 50.0, trade_amt,
                                      datetime.datetime.now())
            filled_order = None
            for txn, updated_order in blotter.process_trade(aapl_trade):
                filled_order = updated_order
            self.assertEqual(filled_order.id, held_order.id)
            self.assertEqual(filled_order.status, expected_status)
            self.assertEqual(filled_order.filled, expected_filled)
            self.assertEqual(filled_order.open_amount, expected_open)
Ejemplo n.º 6
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def create_trade_history(sid, prices, amounts, interval, sim_params,
                         source_id="test_factory"):
    trades = []
    current = sim_params.first_open

    for price, amount in zip(prices, amounts):
        trade = create_trade(sid, price, amount, current, source_id)
        trades.append(trade)
        current = get_next_trading_dt(current, interval)

    assert len(trades) == len(prices)
    return trades
Ejemplo n.º 7
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def create_trade_history(sid,
                         prices,
                         amounts,
                         interval,
                         sim_params,
                         source_id="test_factory"):
    trades = []
    current = sim_params.first_open

    for price, amount in zip(prices, amounts):
        trade = create_trade(sid, price, amount, current, source_id)
        trades.append(trade)
        current = get_next_trading_dt(current, interval)

    assert len(trades) == len(prices)
    return trades
Ejemplo n.º 8
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def create_trade_history(sid, prices, amounts, interval, sim_params,
                         source_id="test_factory"):
    trades = []
    current = sim_params.first_open

    oneday = timedelta(days=1)
    use_midnight = interval >= oneday
    for price, amount in zip(prices, amounts):
        if use_midnight:
            trade_dt = current.replace(hour=0, minute=0)
        else:
            trade_dt = current
        trade = create_trade(sid, price, amount, trade_dt, source_id)
        trades.append(trade)
        current = get_next_trading_dt(current, interval)

    assert len(trades) == len(prices)
    return trades