class Test(unittest.TestCase):
def setUp(self):
datafile = '%s/data/AC___CCB-10d.csv' % os.path.dirname(__file__)
self._feed = Feed(Instrument('AC',datafile))
def tearDown(self):
pass
###########################################################################
## Test a basic long market entry order
def on_bars_1(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_markorder = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['AC'], 100)
def on_order_update_1(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
def testMarketOrder(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_1)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_1)
mf.start()
###########################################################################
## Test a long limit entry order
def on_bars_2(self,bars):
if not self._placed_lo:
self._lo = self._broker.createLimitOrder(Order.Action.BUY, 'AC', 2.210, 100)
self._lo.setGoodTillCanceled(True)
self._broker.placeOrder(self._lo)
self._placed_lo = True
else:
if self._lo.getState() == Order.State.FILLED:
# when the order is filled we should have 100 units of AC
self.assertEqual(self._broker.getPositions()['AC'], 100)
def on_order_update_2(self, broker, order):
# our limit should trigger on 1/25 because the low goes to 2.205
self.assertEqual(order.getExecutionInfo().getPrice(),2.210)
self.assertEqual(order.getExecutionInfo().getDateTime(),datetime.datetime(2012,1,25,0,0))
def testLimitOrder(self):
self._placed_lo = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_2)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_2)
mf.start()
###########################################################################
## Test a short market entry order
def on_bars_3(self,bars):
if not self._placed_smo:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_smo = True
else:
# we expect by the next Bar that we own the 100 units of AC
self.assertEqual(self._broker.getPositions()['AC'], -100)
def on_order_update_3(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
def testMarketOrderShort(self):
self._placed_smo = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_3)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_3)
mf.start()
###########################################################################
## Test a stop-loss exit from a market entry long
def on_bars_4(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.BUY, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_markorder = True
# now we also need to place our stop-loss
o1 = self._broker.createStopOrder(Order.Action.SELL, 'AC', 2.2075, 100)
o1.setGoodTillCanceled(True)
self._broker.placeOrder(o1)
def on_order_update_4(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
if order.getType() == Order.Type.MARKET:
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
self.assertEqual(self._broker.getPositions()['AC'], 100)
elif order.getType() == Order.Type.STOP:
self.assertEqual(order.getExecutionInfo().getPrice(),2.2075)
self.assertEqual(self._broker.getPositions()['AC'], 0)
else:
self.assertTrue(False)
def testMarketOrderStopLimit(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_4)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_4)
mf.start()
###########################################################################
## Test a stop-loss exit from a market entry short
def on_bars_5(self,bars):
if not self._placed_markorder:
o = self._broker.createMarketOrder(Order.Action.SELL_SHORT, 'AC', 100, False)
self._broker.placeOrder(o)
self._placed_markorder = True
# now we also need to place our stop-loss
o1 = self._broker.createStopOrder(Order.Action.BUY_TO_COVER, 'AC', 2.265, 100)
o1.setGoodTillCanceled(True)
self._broker.placeOrder(o1)
def on_order_update_5(self, broker, order):
# 2.215 is open price on day 2 - we expect to execute there
if order.getType() == Order.Type.MARKET:
self.assertEqual(order.getExecutionInfo().getPrice(),2.215)
self.assertEqual(self._broker.getPositions()['AC'], -100)
elif order.getType() == Order.Type.STOP:
# this scenario gaps up on day stop hit so price is open price, not stop price
self.assertEqual(order.getExecutionInfo().getPrice(),2.275)
self.assertEqual(self._broker.getPositions()['AC'], 0)
else:
self.assertTrue(False)
def testMarketOrderShortStopLimit(self):
self._placed_markorder = False
mf = MultiFeed()
mf.register_feed(self._feed)
self._broker = BacktestingBroker(10000, mf)
mf.subscribe(self.on_bars_5)
self._broker.getOrderUpdatedEvent().subscribe(self.on_order_update_5)
mf.start()
