def __init__(self, app_context=None, sim_config=None, slippage=None):
self.app_context = app_context
self.__sim_config = sim_config if sim_config else SimConfig()
self.__slippage = slippage if slippage else NoSlippage()
self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage)
self.__limit_ord_handler = LimitOrderHandler(self.__sim_config)
self.__stop_limit_ord_handler = StopLimitOrderHandler(self.__sim_config)
self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage)
self.__trailing_stop_ord_handler = TrailingStopOrderHandler(self.__sim_config, self.__slippage)
def __init__(self, app_context=None, sim_config=None, slippage=None):
self.app_context = app_context
self.__sim_config = sim_config if sim_config else SimConfig()
self.__slippage = slippage if slippage else NoSlippage()
self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage)
self.__limit_ord_handler = LimitOrderHandler(self.__sim_config)
self.__stop_limit_ord_handler = StopLimitOrderHandler(self.__sim_config)
self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage)
self.__trailing_stop_ord_handler = TrailingStopOrderHandler(self.__sim_config, self.__slippage)
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)
class DefaultFillStrategy(FillStrategy):
def __init__(self, app_context=None, sim_config=None, slippage=None):
self.app_context = app_context
self.__sim_config = sim_config if sim_config else SimConfig()
self.__slippage = slippage if slippage else NoSlippage()
self.__market_ord_handler = MarketOrderHandler(self.__sim_config,
self.__slippage)
self.__limit_ord_handler = LimitOrderHandler(self.__sim_config)
self.__stop_limit_ord_handler = StopLimitOrderHandler(
self.__sim_config)
self.__stop_ord_handler = StopOrderHandler(self.__sim_config,
self.__slippage)
self.__trailing_stop_ord_handler = TrailingStopOrderHandler(
self.__sim_config, self.__slippage)
def process_new_order(self, new_ord_req):
fill_info = None
config = self.__sim_config
quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id)
trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id)
bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id)
if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote:
fill_info = self.process_w_market_data(new_ord_req, quote, True)
elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade:
fill_info = self.process_w_market_data(new_ord_req, trade, True)
elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar:
fill_info = self.process_w_market_data(new_ord_req, bar, True)
return fill_info
def process_w_market_data(self, new_ord_req, event, new_order=False):
config = self.__sim_config
if not event \
or (isinstance(event, Bar) and not config.fill_on_bar) \
or (isinstance(event, Trade) and not config.fill_on_trade) \
or (isinstance(event, Quote) and not config.fill_on_quote):
return None
if new_ord_req.type == OrdType.MARKET:
return self.__market_ord_handler.process(new_ord_req, event,
new_order)
elif new_ord_req.type == OrdType.LIMIT:
return self.__limit_ord_handler.process(new_ord_req, event,
new_order)
elif new_ord_req.type == OrdType.STOP_LIMIT:
return self.__stop_limit_ord_handler.process(
new_ord_req, event, new_order)
elif new_ord_req.type == OrdType.STOP:
return self.__stop_ord_handler.process(new_ord_req, event,
new_order)
elif new_ord_req.type == OrdType.TRAILING_STOP:
return self.__trailing_stop_ord_handler.process(
new_ord_req, event, new_order)
assert False
def process_w_price_qty(self, new_ord_req, price, qty):
if new_ord_req.type == OrdType.MARKET:
return self.__market_ord_handler.process_w_price_qty(
new_ord_req, price, qty)
elif new_ord_req.type == OrdType.LIMIT:
return self.__limit_ord_handler.process_w_price_qty(
new_ord_req, price, qty)
elif new_ord_req.type == OrdType.STOP_LIMIT:
return self.__stop_limit_ord_handler.process_w_price_qty(
new_ord_req, price, qty)
elif new_ord_req.type == OrdType.STOP:
return self.__stop_ord_handler.process_w_price_qty(
new_ord_req, price, qty)
elif new_ord_req.type == OrdType.TRAILING_STOP:
return self.__trailing_stop_ord_handler.process_w_price_qty(
new_ord_req, price, qty)
return None
def test_trailing_stop_order_handler(self):
handler = TrailingStopOrderHandler(self.config)
bar1 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000)
bar2 = Bar(inst_id=1, open=17, high=19, low=16, close=18, vol=1000)
bar3 = Bar(inst_id=1, open=18, high=20, low=17, close=19, vol=1000)
bar4 = Bar(inst_id=1, open=19, high=21, low=18, close=20, vol=1000)
bar5 = Bar(inst_id=1, open=20, high=22, low=19, close=21, vol=1000)
# BUY with bar
order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.TRAILING_STOP,
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 = NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.BUY, type=OrdType.TRAILING_STOP,
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 = NewOrderRequest(cl_id='test', cl_ord_id=3, inst_id=1, action=OrdAction.SELL,
type=OrdType.TRAILING_STOP, 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 = NewOrderRequest(cl_id='test', cl_ord_id=4, inst_id=1, action=OrdAction.SELL,
type=OrdType.TRAILING_STOP, 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)
class DefaultFillStrategy(FillStrategy):
def __init__(self, app_context=None, sim_config=None, slippage=None):
self.app_context = app_context
self.__sim_config = sim_config if sim_config else SimConfig()
self.__slippage = slippage if slippage else NoSlippage()
self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage)
self.__limit_ord_handler = LimitOrderHandler(self.__sim_config)
self.__stop_limit_ord_handler = StopLimitOrderHandler(self.__sim_config)
self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage)
self.__trailing_stop_ord_handler = TrailingStopOrderHandler(self.__sim_config, self.__slippage)
def process_new_order(self, new_ord_req):
fill_info = None
config = self.__sim_config
quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id)
trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id)
bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id)
if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote:
fill_info = self.process_w_market_data(new_ord_req, quote, True)
elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade:
fill_info = self.process_w_market_data(new_ord_req, trade, True)
elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar:
fill_info = self.process_w_market_data(new_ord_req, bar, True)
return fill_info
def process_w_market_data(self, new_ord_req, event, new_order=False):
config = self.__sim_config
if not event \
or (isinstance(event, Bar) and not config.fill_on_bar) \
or (isinstance(event, Trade) and not config.fill_on_trade) \
or (isinstance(event, Quote) and not config.fill_on_quote):
return None
if new_ord_req.type == OrdType.MARKET:
return self.__market_ord_handler.process(new_ord_req, event, new_order)
elif new_ord_req.type == OrdType.LIMIT:
return self.__limit_ord_handler.process(new_ord_req, event, new_order)
elif new_ord_req.type == OrdType.STOP_LIMIT:
return self.__stop_limit_ord_handler.process(new_ord_req, event, new_order)
elif new_ord_req.type == OrdType.STOP:
return self.__stop_ord_handler.process(new_ord_req, event, new_order)
elif new_ord_req.type == OrdType.TRAILING_STOP:
return self.__trailing_stop_ord_handler.process(new_ord_req, event, new_order)
assert False
def process_w_price_qty(self, new_ord_req, price, qty):
if new_ord_req.type == OrdType.MARKET:
return self.__market_ord_handler.process_w_price_qty(new_ord_req, price, qty)
elif new_ord_req.type == OrdType.LIMIT:
return self.__limit_ord_handler.process_w_price_qty(new_ord_req, price, qty)
elif new_ord_req.type == OrdType.STOP_LIMIT:
return self.__stop_limit_ord_handler.process_w_price_qty(new_ord_req, price, qty)
elif new_ord_req.type == OrdType.STOP:
return self.__stop_ord_handler.process_w_price_qty(new_ord_req, price, qty)
elif new_ord_req.type == OrdType.TRAILING_STOP:
return self.__trailing_stop_ord_handler.process_w_price_qty(new_ord_req, price, qty)
return None
