async def handle_trade_update_for_order(data: Dict) -> bool:
symbol = data["symbol"]
last_order = trading_data.open_orders.get(symbol)[0] # type: ignore
if last_order is not None:
event = data["event"]
tlog(f"trade update for {symbol} data={data} with event {event}")
if event == "partial_fill":
await update_partially_filled_order(
trading_data.open_order_strategy[symbol], Order(data["order"]))
elif event == "fill":
await update_filled_order(trading_data.open_order_strategy[symbol],
Order(data["order"]))
elif event in ("canceled", "rejected"):
trading_data.partial_fills.pop(symbol, None)
trading_data.open_orders.pop(symbol, None)
trading_data.open_order_strategy.pop(symbol, None)
return True
else:
tlog(
f"[ERROR][{data['event']} trade update for {symbol} WITHOUT ORDER, should not arrive here"
)
return False
async def handle_trade_update_wo_order(data: Dict) -> bool:
symbol = data["symbol"]
event = data["event"]
tlog(
f"trade update without order for {symbol} data={data} with event {event}"
)
algo_run_id = await NewTrade.get_latest_algo_run_id(symbol=symbol)
tlog(f"found algo_run_id {algo_run_id}")
for s in trading_data.strategies:
if s.algo_run.run_id == algo_run_id:
trading_data.last_used_strategy[symbol] = s
tlog(f"found strategy {str(s)}")
break
if event == "partial_fill" and symbol in trading_data.last_used_strategy:
await update_partially_filled_order(
trading_data.last_used_strategy[symbol], Order(data["order"])
)
elif event == "fill" and symbol in trading_data.last_used_strategy:
await update_filled_order(
trading_data.last_used_strategy[symbol], Order(data["order"])
)
elif event in ("canceled", "rejected"):
trading_data.partial_fills.pop(symbol, None)
return True
async def handle_trade_update(conn, channel, data):
if data.event in ['canceled', 'rejected', 'fill']:
del self._open_orders[data.order['client_order_id']]
else:
self._open_orders[data.order['client_order_id']] = (
self._order2zp(Order(data.order))
)
async def handle_trade_update_wo_order(data: Dict) -> bool:
symbol = data["symbol"]
event = data["event"]
tlog(
f"trade update without order for {symbol} data={data} with event {event}"
)
if event == "partial_fill":
await update_partially_filled_order(
trading_data.last_used_strategy[symbol], Order(data["order"]))
elif event == "fill":
await update_filled_order(trading_data.last_used_strategy[symbol],
Order(data["order"]))
elif event in ("canceled", "rejected"):
trading_data.partial_fills.pop(symbol, None)
return True
async def handle_trade_update(conn, channel, data):
# Check for any pending orders
waiting_order = self._orders_pending_submission.get(
data.order['client_order_id'])
if waiting_order is not None:
if data.event == 'fill':
# Submit the waiting order
self.order(*waiting_order)
self._orders_pending_submission.pop(
data.order['client_order_id'], None)
elif data.event in ['canceled', 'rejected']:
# Remove the waiting order
self._orders_pending_submission.pop(
data.order['client_order_id'], None)
if data.event in ['canceled', 'rejected', 'fill']:
self._open_orders.pop(data.order['client_order_id'], None)
else:
self._open_orders[data.order['client_order_id']] = (
self._order2zp(Order(data.order)))
def test_orders():
backend = alpaca.Backend('key-id', 'secret-key')
with patch.object(backend, '_api') as _api:
_api.list_assets.return_value = [
Asset({
'id': 'bcfdb21a-760c-44a6-a3af-6264851b5c1b',
'asset_class': 'us_equity',
'exchange': 'NYSE',
'symbol': 'X',
'status': 'inactive',
'tradable': True
}),
Asset({
'id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'asset_class': 'us_equity',
'exchange': 'NASDAQ',
'symbol': 'AAPL',
'status': 'active',
'tradable': True
}),
Asset({
'id': '8688f60a-04c9-4740-8468-c0b994499f41',
'asset_class': 'us_equity',
'exchange': 'NYSE',
'symbol': 'BAC',
'status': 'active',
'tradable': True
}),
]
res = backend._symbols2assets(['AAPL'])
assert len(res) == 1
_api.get_account.return_value = Account({
'account_blocked': False,
'buying_power': '43.38',
'cash': '35036.18',
'cash_withdrawable': '43.38',
'created_at': '2018-08-27T18:33:56.812574Z',
'currency': 'USD',
'id': 'da66e4e6-db7e-4c2e-83ae-2e0cce995cf2',
'pattern_day_trader': False,
'portfolio_value': '49723.85',
'status': 'ACTIVE',
'trading_blocked': False,
'transfers_blocked': False
})
res = backend.account
assert res.buying_power < 100
_api.list_positions.return_value = [
Position({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'avg_entry_price': '198',
'change_today': '0',
'cost_basis': '200',
'current_price': '200',
'exchange': 'NASDAQ',
'lastday_price': '200',
'market_value': '200',
'qty': '1',
'side': 'long',
'symbol': 'AAPL',
'unrealized_intraday_pl': '0',
'unrealized_intraday_plpc': '0',
'unrealized_pl': '2',
'unrealized_plpc': '0.01111'
}),
]
algo = Mock()
algo._backend = backend
algo.symbol = lambda x: backend._symbols2assets([x])[0]
with LiveTraderAPI(algo):
res = backend.portfolio
assert res.cash > 30e3
assert len(res.positions) == 1
_api.list_orders.return_value = [
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_open',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': None,
'filled_at': None,
'filled_avg_price': None,
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_failed',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': '2018-08-29T13:31:02.779465Z',
'filled_at': None,
'filled_avg_price': None,
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
Order({
'asset_class': 'us_equity',
'asset_id': '93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at': None,
'client_order_id': 'my_id_filled',
'created_at': '2018-08-29T13:31:02.779465Z',
'expired_at': None,
'failed_at': None,
'filled_at': '2018-08-29T13:31:02.779465Z',
'filled_avg_price': '200',
'filled_qty': '0',
'id': '6abca255-bc5a-4688-a547-4bfd2c33a979',
'limit_price': '1.3',
'order_type': 'limit',
'qty': '3846',
'side': 'buy',
'status': 'new',
'stop_price': None,
'submitted_at': '2018-08-29T13:31:02.779394Z',
'symbol': 'AAPL',
'time_in_force': 'day',
'type': 'limit',
'updated_at': '2018-08-30T19:59:00.737786Z'
}),
]
res = backend.orders
# make sure order status is set correctly
assert res['my_id_open']._status == ZP_ORDER_STATUS.OPEN
assert res['my_id_failed']._status == ZP_ORDER_STATUS.REJECTED
assert res['my_id_filled']._status == ZP_ORDER_STATUS.FILLED
_api.submit_order.return_value = Order({
'asset_class':
'us_equity',
'asset_id':
'93f58d0b-6c53-432d-b8ce-2bad264dbd94',
'canceled_at':
None,
'client_order_id':
'439dca01703b4674a61a72713a612d24',
'created_at':
'2018-08-29T13:31:01.710698Z',
'expired_at':
None,
'failed_at':
None,
'filled_at':
None,
'filled_avg_price':
None,
'filled_qty':
'0',
'id':
'2c366657-fdbd-4554-a14d-b19df2bf430c',
'limit_price':
'2.05',
'order_type':
'limit',
'qty':
'1',
'side':
'buy',
'status':
'new',
'stop_price':
None,
'submitted_at':
'2018-08-29T13:31:01.710651Z',
'symbol':
'AAPL',
'time_in_force':
'day',
'type':
'limit',
'updated_at':
'2018-08-30T19:59:00.553942Z'
})
aapl = algo.symbol('AAPL')
# this response is not correct logically, but fine for testing
res = backend.order(aapl, 1, MarketOrder())
assert res.limit > 1
# different order types should go through
backend.order(aapl, 1, LimitOrder(limit_price=100))
backend.order(aapl, 1, StopOrder(stop_price=200))
backend.order(aapl, 1,
StopLimitOrder(limit_price=100, stop_price=200))
backend.cancel_order('some-id')
# order submission fail
_api.submit_order.side_effect = APIError({'message': 'test'})
res = backend.order(aapl, -1, MarketOrder())
assert res is None