def test_time_bar_from_ask(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
input_type=BarAggregationRequest.Ask)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=30, ask_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=70, ask_size=300)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(1, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000000000, timestamp=9000059999, type=Bar.Time, size=60, open=30, high=30, low=30,
close=30, vol=100, adj_close=0), items[0])
self.event_bus.reset()
self.time += 49999
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=20, ask_size=100)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000060000, timestamp=9000119999, type=Bar.Time, size=60, open=70, high=70, low=20,
close=20, vol=400, adj_close=0), items[0])
def test_stop_order_handler(self):
handler = StopOrderHandler(self.config)
bar1 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=16, high=18, low=15, close=17, vol=1000)
# BUY
order1 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=Stop,
qty=1000, stop_price=18.5)
fill_info = handler.process_w_price_qty(order1, 18, 1000)
self.assertFalse(handler.stop_limit_ready(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order1, 19, 1000)
self.assertTrue(handler.stop_limit_ready(order1.cl_id, order1.cl_ord_id))
self.assertEquals(19, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# BUY with bar
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1", action=Buy,
type=Stop,
qty=1000, stop_price=18.5)
fill_info = handler.process(order2, bar2)
self.assertFalse(handler.stop_limit_ready(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order2, bar1)
self.assertTrue(handler.stop_limit_ready(order2.cl_id, order2.cl_ord_id))
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL
order3 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="3", inst_id="1",
action=Sell, type=Stop,
qty=1000, stop_price=18.5)
fill_info = handler.process_w_price_qty(order3, 19, 1000)
self.assertFalse(handler.stop_limit_ready(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order3, 18, 1000)
self.assertTrue(handler.stop_limit_ready(order3.cl_id, order3.cl_ord_id))
self.assertEquals(18, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL with bar
order4 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="4", inst_id="1",
action=Sell, type=Stop,
qty=1000, stop_price=18.5)
fill_info = handler.process(order4, bar1)
self.assertFalse(handler.stop_limit_ready(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order4, bar2)
self.assertTrue(handler.stop_limit_ready(order4.cl_id, order4.cl_ord_id))
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
def test_on_limit_order_fill_with_new_data(self):
orders = self.simulator._get_orders()
self.assertEqual(0, len(orders))
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
self.simulator.on_new_ord_req(nos)
cl_ord_id = ModelFactory.build_cl_ord_id(nos.cl_id, nos.cl_ord_id)
orders = self.simulator._get_orders()
self.assertEqual(1, len(orders))
self.assertEqual(1, len(orders[nos.inst_id]))
self.assertIsNotNone(orders[nos.inst_id][cl_ord_id])
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 0, 0,
Submitted)
bar1 = ModelFactory.build_bar(timestamp=0,
inst_id="HSI@SEHK",
open=20,
high=21,
low=19,
close=20.5,
vol=1000)
bar2 = ModelFactory.build_bar(timestamp=1,
inst_id="HSI@SEHK",
open=16,
high=18,
low=15,
close=17,
vol=1000)
self.exec_handler.reset()
self.simulator.on_bar(bar1)
self.assertEqual(0, len(self.exec_handler.exec_reports))
self.exec_handler.reset()
self.simulator.on_bar(bar2)
self.assertEqual(1, len(self.exec_handler.exec_reports))
exec_report = self.exec_handler.exec_reports[0]
self.assert_exec_report(exec_report, nos.cl_id, nos.cl_ord_id, 1000,
18.5, Filled)
def test_save_and_load(self):
inputs = []
for x in range(0, 10):
data = sorted([random.randint(0, 100) for i in range(0, 4)])
bar = ModelFactory.build_bar(timestamp=x,
inst_id="3",
open=data[1],
high=data[3],
low=data[0],
close=data[2],
vol=random.randint(100, 1000))
inputs.append(bar)
self.db.save_bar(bar)
self.db.stop()
self.db = InMemoryDataStore()
self.db.start(self.app_context)
bars = self.db.load_all('bars')
bars = sorted(bars, key=lambda x: x.timestamp, reverse=False)
self.assertEquals(10, len(bars))
for x in range(0, 10):
self.assertEquals(inputs[x], bars[x])
def test_tick_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
output_bar_type=Bar.Tick, output_size=3)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=80, size=100)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 60000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000060000, timestamp=9000180000, type=Bar.Tick, size=3, open=20, high=80,
low=10,
close=10, vol=500, adj_close=0), items[0])
def test_limit_order_handler(self):
handler = LimitOrderHandler(self.config)
bar1 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=16, high=18, low=15, close=17, vol=1000)
# BUY
order = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=Limit,
qty=1000, limit_price=18.5)
fill_info = handler.process_w_price_qty(order, 20, 1000)
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order, 18, 1000)
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# BUY with bar
fill_info = handler.process(order, bar1)
self.assertEquals(None, fill_info)
fill_info = handler.process(order, bar2)
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1",
action=Sell, type=Limit,
qty=1000,
limit_price=18.5)
fill_info = handler.process_w_price_qty(order2, 18, 1000)
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 20, 1000)
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL with bar
fill_info = handler.process(order2, bar2)
self.assertEquals(None, fill_info)
fill_info = handler.process(order2, bar1)
self.assertEquals(18.5, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
def _build_bar(self, row, timestamp) -> Bar:
return ModelFactory.build_bar(
inst_id=row['InstId'],
type=Bar.Time,
provider_id=row['ProviderId'],
timestamp=timestamp,
open=row['Open'],
high=row['High'],
low=row['Low'],
close=row['Close'],
vol=row['Volume'],
adj_close=row['Adj Close'] if 'Adj Close' in row else None,
size=row['BarSize'])
def test_bar_processor(self):
config = SimConfig()
processor = BarProcessor()
order = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=Limit,
qty=1000, limit_price=18.5)
bar = ModelFactory.build_bar(timestamp=0, inst_id="1", open=18, high=19, low=17, close=17.5, vol=1000)
self.assertEqual(17.5, processor.get_price(order, bar, config))
self.assertEqual(1000, processor.get_qty(order, bar, config))
config2 = SimConfig(fill_on_bar_mode=SimConfig.FillMode.NEXT_OPEN)
self.assertEqual(18, processor.get_price(order, bar, config2))
self.assertEqual(1000, processor.get_qty(order, bar, config2))
def test_time_bar_from_mid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
input_type=BarAggregationRequest.Middle)
agg.start(None)
self.assertEqual(0, len(self.event_bus.items))
self.time += 59999
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", ask=30, ask_size=100, bid=18, bid_size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000000000, timestamp=9000059999, type=Bar.Time, size=60, open=24, high=24, low=24,
close=24, vol=150, adj_close=0), items[0])
def sample_bar(self):
bar = ModelFactory.build_bar("HSI@SEHK",
Bar.Time,
86400,
provider_id='IB',
timestamp=12312,
utc_time=12312,
begin_time=12300,
open=123,
high=300,
low=30,
close=156,
vol=500,
adj_close=324,
open_interest=123)
return bar
def test_time_bar_from_trade(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input)
agg.start(None)
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=20, size=200)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
# expect get a aggregated bar at 9000059999
self.time += 49999
t = ModelFactory.build_trade(timestamp=self.time, inst_id="1", price=10, size=200)
self.update(self.input, t)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000000000, timestamp=9000059999, type=Bar.Time, size=60, open=20, high=20, low=10,
close=10, vol=400), items[0])
def test_time_bar_from_bid(self):
agg = BarAggregator(data_bus=self.event_bus, clock=self.simluation_clock, inst_id="1", input=self.input,
input_type=BarAggregationRequest.Bid)
agg.start()
self.assertEqual(0, len(self.event_bus.items))
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", bid=30, bid_size=100)
self.update(self.input, t)
self.assertEqual(1, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", bid=10, bid_size=200)
self.update(self.input, t)
self.assertEqual(2, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 10000
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", bid=70, bid_size=300)
self.update(self.input, t)
self.assertEqual(3, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 29998
t = ModelFactory.build_quote(timestamp=self.time, inst_id="1", bid=50, bid_size=400)
self.update(self.input, t)
self.assertEqual(4, agg.count())
self.assertTrue(len(self.event_bus.items) == 0)
self.time += 3
self.simluation_clock.update_time(self.time)
items = self.event_bus.items
self.assertEqual(1, len(items))
self.assertEqual(0, agg.count())
self.assertEqual(
ModelFactory.build_bar(inst_id="1", begin_time=9000000000, timestamp=9000059999, type=Bar.Time, size=60, open=30, high=70, low=10,
close=50, vol=1000, adj_close=0), items[0])
def test_simulation_clock_current_date_time_with_bar(self):
timestamp = ClockTest.ts + 10
bar = ModelFactory.build_bar(inst_id="test", timestamp=timestamp)
self.simluation_clock.on_bar(bar)
self.assertEquals(timestamp, self.simluation_clock.now())
def test_trailing_stop_order_handler(self):
handler = TrailingStopOrderHandler(self.config)
bar1 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=16, high=18, low=15, close=17, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=17, high=19, low=16, close=18, vol=1000)
bar3 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=18, high=20, low=17, close=19, vol=1000)
bar4 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=19, high=21, low=18, close=20, vol=1000)
bar5 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=20, high=22, low=19, close=21, vol=1000)
# BUY with bar
order1 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=TrailingStop,
qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
fill_info = handler.process(order1, bar2)
self.assertEquals(21, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar3)
self.assertEquals(21, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar1)
self.assertEquals(20, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar3)
self.assertEquals(20, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# BUY
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1", action=Buy,
type=TrailingStop,
qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
fill_info = handler.process_w_price_qty(order2, 16, 1000)
self.assertEquals(21, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 17, 1000)
self.assertEquals(21, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 15, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 19, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 20, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL with bar
order3 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="3", inst_id="1",
action=Sell,
type=TrailingStop, qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
fill_info = handler.process(order3, bar4)
self.assertEquals(16, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar3)
self.assertEquals(16, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar5)
self.assertEquals(17, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar3)
self.assertEquals(17, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(17, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL
order4 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="4", inst_id="1",
action=Sell,
type=TrailingStop, qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
fill_info = handler.process_w_price_qty(order4, 21, 1000)
self.assertEquals(16, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 20, 1000)
self.assertEquals(16, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 22, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 18, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 17, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(17, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)