class ExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("SIM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def test_registered_venues_returns_expected(self):
# Arrange
# Act
result = self.exec_engine.registered_venues
# Assert
self.assertEqual([Venue("SIM")], result)
def test_deregister_client_removes_client(self):
# Arrange
# Act
self.exec_engine.deregister_client(self.exec_client)
# Assert
self.assertEqual([], self.exec_engine.registered_venues)
def test_register_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
self.trader_id,
self.clock,
self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertIn(strategy.id, self.exec_engine.registered_strategies)
def test_deregister_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
# Act
self.exec_engine.deregister_strategy(strategy)
# Assert
self.assertNotIn(strategy.id, self.exec_engine.registered_strategies)
def test_reset_retains_registered_strategies(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(
strategy) # Also registers with portfolio
# Act
self.exec_engine.reset()
# Assert
self.assertIn(strategy.id, self.exec_engine.registered_strategies)
def test_integrity_check_calls_check_on_cache(self):
# Arrange
# Act
self.exec_engine.integrity_check()
# Assert
self.assertTrue(True) # No exceptions raised
def test_submit_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_order_fill_event(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(
TestStubs.event_order_filled(order, AUDUSD_SIM))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
# Assert
self.assertTrue(self.cache.position_exists(expected_position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertIn(expected_position_id, self.cache.position_ids())
self.assertNotIn(
expected_position_id,
self.cache.position_closed_ids(strategy_id=strategy.id))
self.assertNotIn(expected_position_id,
self.cache.position_closed_ids())
self.assertIn(expected_position_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertIn(expected_position_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_handle_position_opening_with_position_id_none(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(
TestStubs.event_order_filled(order, AUDUSD_SIM))
expected_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id
# Assert
self.assertTrue(self.cache.position_exists(expected_id))
self.assertTrue(self.cache.is_position_open(expected_id))
self.assertFalse(self.cache.is_position_closed(expected_id))
self.assertEqual(Position, type(self.cache.position(expected_id)))
self.assertIn(expected_id, self.cache.position_ids())
self.assertNotIn(
expected_id,
self.cache.position_closed_ids(strategy_id=strategy.id))
self.assertNotIn(expected_id, self.cache.position_closed_ids())
self.assertIn(expected_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertIn(expected_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_add_to_existing_position_on_order_fill(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
expected_position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM,
expected_position_id))
# Assert
self.assertTrue(
self.cache.position_exists(
TestStubs.event_order_filled(
order1,
AUDUSD_SIM,
).position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertEqual(
0, len(self.cache.positions_closed(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_closed()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
# # Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertFalse(self.cache.is_position_open(position_id))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertEqual(position_id, self.cache.position(position_id).id)
self.assertEqual(position_id,
self.cache.positions(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions()[0].id)
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_open()))
self.assertEqual(
position_id,
self.cache.positions_closed(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions_closed()[0].id)
self.assertNotIn(position_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertNotIn(position_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(0, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_opened(self):
# Arrange
self.exec_engine.start()
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy2.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.null(),
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position1_id = PositionId('P-1')
position2_id = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position1_id))
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position2_id))
# Assert
self.assertTrue(self.cache.position_exists(position1_id))
self.assertTrue(self.cache.position_exists(position2_id))
self.assertTrue(self.cache.is_position_open(position1_id))
self.assertTrue(self.cache.is_position_open(position2_id))
self.assertFalse(self.cache.is_position_closed(position1_id))
self.assertFalse(self.cache.is_position_closed(position2_id))
self.assertEqual(Position, type(self.cache.position(position1_id)))
self.assertEqual(Position, type(self.cache.position(position2_id)))
self.assertIn(position1_id,
self.cache.position_ids(strategy_id=strategy1.id))
self.assertIn(position2_id,
self.cache.position_ids(strategy_id=strategy2.id))
self.assertIn(position1_id, self.cache.position_ids())
self.assertIn(position2_id, self.cache.position_ids())
self.assertEqual(2, len(self.cache.position_open_ids()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(2, len(self.cache.positions_open()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertIn(position1_id,
self.cache.position_open_ids(strategy_id=strategy1.id))
self.assertIn(position2_id,
self.cache.position_open_ids(strategy_id=strategy2.id))
self.assertIn(position1_id, self.cache.position_open_ids())
self.assertIn(position2_id, self.cache.position_open_ids())
self.assertNotIn(
position1_id,
self.cache.position_closed_ids(strategy_id=strategy1.id))
self.assertNotIn(
position2_id,
self.cache.position_closed_ids(strategy_id=strategy2.id))
self.assertNotIn(position1_id, self.cache.position_closed_ids())
self.assertNotIn(position2_id, self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(2, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
self.exec_engine.start()
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = strategy2.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id1 = PositionId('P-1')
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
position_id1,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order3 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.null(),
order3,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id2 = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order3)
self.exec_engine.process(TestStubs.event_order_submitted(order3))
self.exec_engine.process(TestStubs.event_order_accepted(order3))
self.exec_engine.process(
TestStubs.event_order_filled(order3, AUDUSD_SIM, position_id2))
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.cache.position_exists(position_id1))
self.assertTrue(self.cache.position_exists(position_id2))
self.assertIn(position_id1,
self.cache.position_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_ids())
self.assertIn(position_id2, self.cache.position_ids())
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, len(self.cache.positions_closed()))
self.assertEqual(2, len(self.cache.positions()))
self.assertNotIn(
position_id1,
self.cache.position_open_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_open_ids(strategy_id=strategy2.id))
self.assertNotIn(position_id1, self.cache.position_open_ids())
self.assertIn(position_id2, self.cache.position_open_ids())
self.assertIn(position_id1,
self.cache.position_closed_ids(strategy_id=strategy1.id))
self.assertNotIn(
position_id2,
self.cache.position_closed_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_closed_ids())
self.assertNotIn(position_id2, self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position_sell(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.SIM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.SIM-1F")
# Assert
position_flipped = self.cache.position(position_id_flipped)
self.assertEqual(-50000, position_flipped.relative_quantity)
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertIn(position_id, self.cache.position_ids())
self.assertIn(position_id,
self.cache.position_ids(strategy_id=strategy.id))
self.assertIn(position_id_flipped, self.cache.position_ids())
self.assertIn(position_id_flipped,
self.cache.position_ids(strategy_id=strategy.id))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position_buy(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.SIM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.SIM-1F")
# Assert
position_flipped = self.cache.position(position_id_flipped)
self.assertEqual(50000, position_flipped.relative_quantity)
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertIn(position_id, self.cache.position_ids())
self.assertIn(position_id,
self.cache.position_ids(strategy_id=strategy.id))
self.assertIn(position_id_flipped, self.cache.position_ids())
self.assertIn(position_id_flipped,
self.cache.position_ids(strategy_id=strategy.id))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
class TestRiskEngine:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.database = MockExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = ExecutionEngine(
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_engine.register_client(self.exec_client)
self.exec_engine.register_risk_engine(self.risk_engine)
def test_registered_clients_returns_expected_list(self):
# Arrange
# Act
result = self.risk_engine.registered_clients
# Assert
assert result == [Venue('SIM')]
def test_set_block_all_orders_changes_flag_value(self):
# Arrange
# Act
self.risk_engine.set_block_all_orders()
# Assert
assert self.risk_engine.block_all_orders
def test_given_random_command_logs_and_continues(self):
# Arrange
random = TradingCommand(
self.venue,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(random)
def test_given_random_event_logs_and_continues(self):
# Arrange
random = Event(
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.process(random)
def test_submit_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order']
def test_submit_bracket_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("1.00000"),
take_profit=Price("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ['connect', 'submit_bracket_order']
def test_submit_order_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.set_block_all_orders()
# Act
self.exec_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ['connect']
assert self.exec_engine.event_count == 1
def test_amend_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
amend = AmendOrder(
self.venue,
self.trader_id,
self.account_id,
order.cl_ord_id,
order.quantity,
Price("1.00010"),
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(amend)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order', 'amend_order']
def test_cancel_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
cancel = CancelOrder(
self.venue,
self.trader_id,
self.account_id,
order.cl_ord_id,
order.id,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ['connect', 'submit_order', 'cancel_order']
def test_submit_bracket_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("1.00000"),
take_profit=Price("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.set_block_all_orders()
# Act
self.exec_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ['connect']
assert self.exec_engine.event_count == 3
class TradingStrategyTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine = DataEngine(
tick_capacity=1000,
bar_capacity=1000,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.set_use_previous_close(False)
self.analyzer = PerformanceAnalyzer()
trader_id = TraderId('TESTER', '000')
account_id = TestStubs.account_id()
self.exec_db = BypassExecutionDatabase(
trader_id=trader_id,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
database=self.exec_db,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
usdjpy = InstrumentLoader.default_fx_ccy(TestStubs.symbol_usdjpy_fxcm())
self.market = SimulatedMarket(
venue=Venue("FXCM"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
exec_cache=self.exec_engine.cache,
instruments={usdjpy.symbol: usdjpy},
config=BacktestConfig(),
fill_model=FillModel(),
commission_model=GenericCommissionModel(),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_client = BacktestExecClient(
market=self.market,
account_id=account_id,
engine=self.exec_engine,
logger=self.logger,
)
self.exec_engine.register_client(self.exec_client)
self.market.register_client(self.exec_client)
self.exec_engine.process(TestStubs.event_account_state())
self.market.process_tick(TestStubs.quote_tick_3decimal(usdjpy.symbol)) # Prepare market
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
trader_id=TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.strategy.register_data_engine(self.data_engine)
self.strategy.register_execution_engine(self.exec_engine)
print("\n")
def test_strategy_equality(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy2 = TradingStrategy(order_id_tag="AUD/USD-001")
strategy3 = TradingStrategy(order_id_tag="AUD/USD-002")
# Act
result1 = strategy1 == strategy1
result2 = strategy1 == strategy2
result3 = strategy2 == strategy3
result4 = strategy1 != strategy1
result5 = strategy1 != strategy2
result6 = strategy2 != strategy3
# Assert
self.assertTrue(result1)
self.assertFalse(result2)
self.assertFalse(result3)
self.assertFalse(result4)
self.assertTrue(result5)
self.assertTrue(result6)
def test_strategy_is_hashable(self):
# Arrange
# Act
result = self.strategy.__hash__()
# Assert
# If this passes then result must be an int
self.assertTrue(result != 0)
def test_strategy_str_and_repr(self):
# Arrange
strategy = TradingStrategy(order_id_tag="GBP/USD-MM")
# Act
result1 = str(strategy)
result2 = repr(strategy)
# Assert
self.assertEqual("TradingStrategy(TradingStrategy-GBP/USD-MM)", result1)
self.assertTrue(result2.startswith("<TradingStrategy(TradingStrategy-GBP/USD-MM) object at"))
self.assertTrue(result2.endswith(">"))
def test_get_strategy_id(self):
# Arrange
# Act
# Assert
self.assertEqual(StrategyId("TradingStrategy", "001"), self.strategy.id)
def test_get_current_time(self):
# Arrange
# Act
result = self.strategy.clock.utc_now()
# Assert
self.assertEqual(pytz.utc, result.tzinfo)
def test_initialization(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
strategy = TestStrategy1(bar_type)
# Act
# Assert
self.assertFalse(strategy.indicators_initialized())
def test_get_tick_count_for_unknown_symbol_returns_zero(self):
# Arrange
# Act
result = self.strategy.quote_tick_count(AUDUSD_FXCM)
# Assert
self.assertEqual(0, result)
def test_get_ticks_for_unknown_symbol_raises_exception(self):
# Arrange
# Act
# Assert
self.assertRaises(KeyError, self.strategy.quote_ticks, AUDUSD_FXCM)
def test_get_bar_count_for_unknown_bar_type_returns_zero(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
# Act
result = self.strategy.bar_count(bar_type)
# Assert
self.assertEqual(0, result)
def test_get_bars_for_unknown_bar_type_raises_exception(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
# Act
# Assert
self.assertRaises(KeyError, self.strategy.bars, bar_type)
def test_bars(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
self.data_engine.handle_bar(bar_type, bar)
# Act
result = self.strategy.bars(bar_type)
# Assert
self.assertTrue(bar, result[0])
def test_getting_bar_for_unknown_bar_type_raises_exception(self):
# Arrange
unknown_bar_type = TestStubs.bartype_gbpusd_1sec_mid()
# Act
# Assert
self.assertRaises(KeyError, self.strategy.bar, unknown_bar_type, 0)
def test_getting_bar_at_out_of_range_index_raises_exception(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
self.data_engine.handle_bar(bar_type, bar)
# Act
# Assert
self.assertRaises(IndexError, self.strategy.bar, bar_type, -2)
def test_get_bar(self):
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
self.data_engine.handle_bar(bar_type, bar)
# Act
result = self.strategy.bar(bar_type, 0)
# Assert
self.assertEqual(bar, result)
def test_getting_tick_with_unknown_tick_type_raises_exception(self):
# Act
# Assert
self.assertRaises(KeyError, self.strategy.quote_tick, AUDUSD_FXCM, 0)
def test_get_quote_tick(self):
tick = QuoteTick(
AUDUSD_FXCM,
Price("1.00000"),
Price("1.00001"),
Quantity(1),
Quantity(1),
datetime(2018, 1, 1, 19, 59, 1, 0, pytz.utc),
)
self.data_engine.handle_quote_tick(tick)
# Act
result = self.strategy.quote_tick(tick.symbol, 0)
# Assert
self.assertEqual(tick, result)
def test_get_trade_tick(self):
tick = TradeTick(
AUDUSD_FXCM,
Price("1.00000"),
Quantity(10000),
Maker.BUYER,
MatchId("123456789"),
datetime(2018, 1, 1, 19, 59, 1, 0, pytz.utc),
)
self.data_engine.handle_trade_tick(tick)
# Act
result = self.strategy.trade_tick(tick.symbol, 0)
# Assert
self.assertEqual(tick, result)
def test_start_strategy(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.register_strategy(strategy)
self.exec_engine.register_strategy(strategy)
result1 = strategy.state()
# Act
strategy.start()
result2 = strategy.state()
# Assert
self.assertEqual(ComponentState.INITIALIZED, result1)
self.assertEqual(ComponentState.RUNNING, result2)
self.assertTrue("custom start logic" in strategy.object_storer.get_store())
def test_stop_strategy(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.register_strategy(strategy)
self.exec_engine.register_strategy(strategy)
# Act
strategy.start()
strategy.stop()
# Assert
self.assertEqual(ComponentState.STOPPED, strategy.state())
self.assertTrue("custom stop logic" in strategy.object_storer.get_store())
def test_reset_strategy(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
strategy.handle_bar(bar_type, bar)
# Act
strategy.reset()
# Assert
self.assertEqual(ComponentState.INITIALIZED, strategy.state())
self.assertEqual(0, strategy.ema1.count)
self.assertEqual(0, strategy.ema2.count)
self.assertTrue("custom reset logic" in strategy.object_storer.get_store())
def test_register_indicator_with_strategy(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
# Act
result = strategy.registered_indicators()
# Assert
self.assertEqual([strategy.ema1, strategy.ema2], result)
def test_register_strategy_with_exec_client(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertIsNotNone(strategy.execution)
def test_stopping_a_strategy_cancels_a_running_time_alert(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.register_strategy(strategy)
self.exec_engine.register_strategy(strategy)
alert_time = datetime.now(pytz.utc) + timedelta(milliseconds=200)
strategy.clock.set_time_alert("test_alert1", alert_time)
# Act
strategy.start()
time.sleep(0.1)
strategy.stop()
# Assert
self.assertEqual(2, strategy.object_storer.count)
def test_stopping_a_strategy_cancels_a_running_timer(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.data_engine.register_strategy(strategy)
self.exec_engine.register_strategy(strategy)
start_time = datetime.now(pytz.utc) + timedelta(milliseconds=100)
strategy.clock.set_timer("test_timer3", timedelta(milliseconds=100), start_time, stop_time=None)
# Act
strategy.start()
time.sleep(0.1)
strategy.stop()
# Assert
self.assertEqual(2, strategy.object_storer.count)
def test_strategy_can_submit_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
# Act
strategy.submit_order(order)
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[0].state())
self.assertTrue(order.cl_ord_id not in strategy.execution.orders_working())
self.assertFalse(strategy.execution.is_order_working(order.cl_ord_id))
self.assertTrue(strategy.execution.is_order_completed(order.cl_ord_id))
def test_cancel_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.005"),
)
strategy.submit_order(order)
# Act
strategy.cancel_order(order)
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[0].state())
self.assertEqual(order.cl_ord_id, strategy.execution.orders_completed()[0].cl_ord_id)
self.assertTrue(order.cl_ord_id not in strategy.execution.orders_working())
self.assertTrue(strategy.execution.order_exists(order.cl_ord_id))
self.assertFalse(strategy.execution.is_order_working(order.cl_ord_id))
self.assertTrue(strategy.execution.is_order_completed(order.cl_ord_id))
def test_modify_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.limit(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.001"),
)
strategy.submit_order(order)
# Act
strategy.modify_order(order, Quantity(110000), Price("90.002"))
# Assert
self.assertEqual(order, strategy.execution.orders()[0])
self.assertEqual(OrderState.WORKING, strategy.execution.orders()[0].state())
self.assertEqual(Quantity(110000), strategy.execution.orders()[0].quantity)
self.assertEqual(Price("90.002"), strategy.execution.orders()[0].price)
self.assertTrue(strategy.execution.is_flat())
self.assertTrue(strategy.execution.order_exists(order.cl_ord_id))
self.assertTrue(strategy.execution.is_order_working(order.cl_ord_id))
self.assertFalse(strategy.execution.is_order_completed(order.cl_ord_id))
def test_cancel_all_orders(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.003"),
)
order2 = strategy.order_factory.stop(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("90.005"),
)
strategy.submit_order(order1)
strategy.submit_order(order2)
# Act
strategy.cancel_all_orders(USDJPY_FXCM)
# Assert
self.assertTrue(order1 in strategy.execution.orders())
self.assertTrue(order2 in strategy.execution.orders())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[0].state())
self.assertEqual(OrderState.CANCELLED, strategy.execution.orders()[1].state())
self.assertTrue(order1 in strategy.execution.orders_completed())
self.assertTrue(order2 in strategy.execution.orders_completed())
def test_flatten_position(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
strategy.submit_order(order)
filled = TestStubs.event_order_filled(
order,
position_id=PositionId("B-USD/JPY-1"),
strategy_id=strategy.id,
)
position = Position(filled)
# Act
strategy.flatten_position(position)
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[0].state())
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[0].side)
self.assertTrue(strategy.execution.positions()[0].is_closed())
self.assertTrue(PositionId("B-USD/JPY-1") in strategy.execution.position_closed_ids())
self.assertTrue(strategy.execution.is_completely_flat())
def test_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
strategy.submit_order(order1)
strategy.submit_order(order2)
filled1 = TestStubs.event_order_filled(
order1,
position_id=PositionId("B-USD/JPY-1"),
strategy_id=strategy.id,
)
filled2 = TestStubs.event_order_filled(
order2,
position_id=PositionId("B-USD/JPY-2"),
strategy_id=strategy.id,
)
position1 = Position(filled1)
position2 = Position(filled2)
# Act
strategy.flatten_all_positions(USDJPY_FXCM)
# Assert
self.assertTrue(order1 in strategy.execution.orders())
self.assertTrue(order2 in strategy.execution.orders())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[0].state())
self.assertEqual(OrderState.FILLED, strategy.execution.orders()[1].state())
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[0].side)
self.assertEqual(PositionSide.FLAT, strategy.execution.positions()[1].side)
self.assertTrue(position1.id in strategy.execution.position_closed_ids())
self.assertTrue(position2.id in strategy.execution.position_closed_ids())
self.assertTrue(strategy.execution.is_completely_flat())
def test_update_indicators(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
bar = Bar(
Price("1.00001"),
Price("1.00004"),
Price("1.00002"),
Price("1.00003"),
Quantity(100000),
datetime(1970, 1, 1, 00, 00, 0, 0, pytz.utc),
)
# Act
strategy.handle_bar(bar_type, bar)
# Assert
self.assertEqual(1, strategy.ema1.count)
self.assertEqual(1, strategy.ema2.count)
def test_can_track_orders_for_an_opened_position(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
strategy.submit_order(order)
# Act
# Assert
self.assertTrue(order in strategy.execution.orders())
self.assertTrue(PositionId("B-USD/JPY-1") in strategy.execution.position_ids())
self.assertEqual(0, len(strategy.execution.orders_working()))
self.assertTrue(order in strategy.execution.orders_completed())
self.assertEqual(0, len(strategy.execution.positions_closed()))
self.assertTrue(order in strategy.execution.orders_completed())
self.assertTrue(PositionId("B-USD/JPY-1") in strategy.execution.position_open_ids())
self.assertFalse(strategy.execution.is_completely_flat())
def test_can_track_orders_for_a_closing_position(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TestStrategy1(bar_type)
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
USDJPY_FXCM,
OrderSide.SELL,
Quantity(100000),
)
strategy.submit_order(order1)
strategy.submit_order(order2, PositionId("B-USD/JPY-1")) # Position identifier generated by exchange
# Act
print(self.exec_engine.cache.orders())
# Assert
self.assertEqual(0, len(self.exec_engine.cache.orders_working()))
self.assertTrue(order1 in self.exec_engine.cache.orders_completed())
self.assertTrue(order2 in self.exec_engine.cache.orders_completed())
self.assertEqual(1, len(self.exec_engine.cache.positions_closed()))
self.assertEqual(0, len(self.exec_engine.cache.positions_open()))
self.assertTrue(self.exec_engine.cache.is_completely_flat())
class PortfolioTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
clock = TestClock()
logger = Logger(clock, level_stdout=LogLevel.DEBUG)
trader_id = TraderId("TESTER-000")
self.order_factory = OrderFactory(
trader_id=trader_id,
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
cache_db = BypassCacheDatabase(
trader_id=trader_id,
logger=logger,
)
self.cache = Cache(
database=cache_db,
logger=logger,
)
self.portfolio = Portfolio(
cache=self.cache,
clock=clock,
logger=logger,
)
self.exec_engine = ExecutionEngine(
portfolio=self.portfolio,
cache=self.cache,
clock=clock,
logger=logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
cache=self.cache,
clock=clock,
logger=logger,
)
# Wire up components
self.exec_engine.register_risk_engine(self.risk_engine)
# Prepare components
self.cache.add_instrument(AUDUSD_SIM)
self.cache.add_instrument(GBPUSD_SIM)
self.cache.add_instrument(BTCUSDT_BINANCE)
self.cache.add_instrument(BTCUSD_BITMEX)
self.cache.add_instrument(ETHUSD_BITMEX)
def test_account_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.account(SIM))
def test_account_when_account_returns_the_account_facade(self):
# Arrange
account_state = AccountState(
account_id=AccountId("BINANCE", "1513111"),
account_type=AccountType.CASH,
base_currency=None,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
)
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(account_state)
# Act
result = self.portfolio.account(BINANCE)
# Assert
self.assertEqual("BINANCE", result.id.issuer)
def test_net_position_when_no_positions_returns_zero(self):
# Arrange
# Act
# Assert
self.assertEqual(Decimal(0),
self.portfolio.net_position(AUDUSD_SIM.id))
def test_is_net_long_when_no_positions_returns_false(self):
# Arrange
# Act
# Assert
self.assertEqual(False, self.portfolio.is_net_long(AUDUSD_SIM.id))
def test_is_net_short_when_no_positions_returns_false(self):
# Arrange
# Act
# Assert
self.assertEqual(False, self.portfolio.is_net_short(AUDUSD_SIM.id))
def test_is_flat_when_no_positions_returns_true(self):
# Arrange
# Act
# Assert
self.assertEqual(True, self.portfolio.is_flat(AUDUSD_SIM.id))
def test_is_completely_flat_when_no_positions_returns_true(self):
# Arrange
# Act
# Assert
self.assertEqual(True, self.portfolio.is_flat(AUDUSD_SIM.id))
def test_unrealized_pnl_for_instrument_when_no_instrument_returns_none(
self):
# Arrange
# Act
# Assert
self.assertIsNone(self.portfolio.unrealized_pnl(USDJPY_SIM.id))
def test_unrealized_pnl_for_venue_when_no_account_returns_empty_dict(self):
# Arrange
# Act
# Assert
self.assertEqual({}, self.portfolio.unrealized_pnls(SIM))
def test_initial_margins_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.initial_margins(SIM))
def test_maint_margins_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.maint_margins(SIM))
def test_open_value_when_no_account_returns_none(self):
# Arrange
# Act
# Assert
self.assertEqual(None, self.portfolio.net_exposures(SIM))
def test_update_tick(self):
# Arrange
tick = TestStubs.quote_tick_5decimal(GBPUSD_SIM.id)
# Act
self.portfolio.update_tick(tick)
# Assert
self.assertIsNone(self.portfolio.unrealized_pnl(GBPUSD_SIM.id))
def test_update_orders_working(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "01234"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
# Create two working orders
order1 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
order2 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
self.exec_engine.cache.add_order(order1, PositionId.null())
self.exec_engine.cache.add_order(order2, PositionId.null())
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.exec_engine.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.exec_engine.cache.update_order(order1)
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("25000.00"),
)
self.exec_engine.process(filled1)
# Update the last quote
last = QuoteTick(
BTCUSDT_BINANCE.id,
Price.from_str("25001.00"),
Price.from_str("25002.00"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
# Act
self.portfolio.update_tick(last)
self.portfolio.initialize_orders()
# Assert
self.assertEqual({}, self.portfolio.initial_margins(BINANCE))
def test_update_positions(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "01234"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10.50000000"),
)
self.exec_engine.cache.add_order(order1, PositionId.null())
self.exec_engine.cache.add_order(order2, PositionId.null())
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.exec_engine.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.exec_engine.cache.update_order(order1)
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("25000.00"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("25000.00"),
)
position1 = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position1.apply(fill2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.00000000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("25000.00"),
)
position2 = Position(instrument=BTCUSDT_BINANCE, fill=fill3)
# Update the last quote
last = QuoteTick(
BTCUSDT_BINANCE.id,
Price.from_str("25001.00"),
Price.from_str("25002.00"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
# Act
self.cache.add_position(position1)
self.cache.add_position(position2)
self.portfolio.initialize_positions()
self.portfolio.update_tick(last)
# Assert
self.assertTrue(self.portfolio.is_net_long(BTCUSDT_BINANCE.id))
def test_opening_one_long_position_updates_portfolio(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "01234"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.000000"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("10500.00"),
)
last = QuoteTick(
BTCUSDT_BINANCE.id,
Price.from_str("10510.00"),
Price.from_str("10511.00"),
Quantity.from_str("1.000000"),
Quantity.from_str("1.000000"),
0,
0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual(
{USDT: Money(105100.00000000, USDT)},
self.portfolio.net_exposures(BINANCE),
)
self.assertEqual(
{USDT: Money(100.00000000, USDT)},
self.portfolio.unrealized_pnls(BINANCE),
)
self.assertEqual(
{USDT: Money(105.10000000, USDT)},
self.portfolio.maint_margins(BINANCE),
)
self.assertEqual(
Money(105100.00000000, USDT),
self.portfolio.net_exposure(BTCUSDT_BINANCE.id),
)
self.assertEqual(
Money(100.00000000, USDT),
self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id),
)
self.assertEqual(
Decimal("10.00000000"),
self.portfolio.net_position(order.instrument_id),
)
self.assertTrue(self.portfolio.is_net_long(order.instrument_id))
self.assertFalse(self.portfolio.is_net_short(order.instrument_id))
self.assertFalse(self.portfolio.is_flat(order.instrument_id))
self.assertFalse(self.portfolio.is_completely_flat())
def test_opening_one_short_position_updates_portfolio(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "01234"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("0.515"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("15000.00"),
)
last = QuoteTick(
BTCUSDT_BINANCE.id,
Price.from_str("15510.15"),
Price.from_str("15510.25"),
Quantity.from_str("12.62"),
Quantity.from_str("3.1"),
0,
0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual(
{USDT: Money(7987.77875000, USDT)},
self.portfolio.net_exposures(BINANCE),
)
self.assertEqual(
{USDT: Money(-262.77875000, USDT)},
self.portfolio.unrealized_pnls(BINANCE),
)
self.assertEqual(
{USDT: Money(7.98777875, USDT)},
self.portfolio.maint_margins(BINANCE),
)
self.assertEqual(
Money(7987.77875000, USDT),
self.portfolio.net_exposure(BTCUSDT_BINANCE.id),
)
self.assertEqual(
Money(-262.77875000, USDT),
self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id),
)
self.assertEqual(
Decimal("-0.515"),
self.portfolio.net_position(order.instrument_id),
)
self.assertFalse(self.portfolio.is_net_long(order.instrument_id))
self.assertTrue(self.portfolio.is_net_short(order.instrument_id))
self.assertFalse(self.portfolio.is_flat(order.instrument_id))
self.assertFalse(self.portfolio.is_completely_flat())
def test_opening_positions_with_multi_asset_account(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.id,
Price.from_str("376.05"),
Price.from_str("377.10"),
Quantity.from_str("16"),
Quantity.from_str("25"),
0,
0,
)
last_btcusd = QuoteTick(
BTCUSD_BITMEX.id,
Price.from_str("10500.05"),
Price.from_str("10501.51"),
Quantity.from_str("2.54"),
Quantity.from_str("0.91"),
0,
0,
)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(10000),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("376.05"),
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
# Act
self.cache.add_position(position)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
self.assertEqual(
{ETH: Money(26.59220848, ETH)},
self.portfolio.net_exposures(BITMEX),
)
self.assertEqual(
{ETH: Money(0.20608962, ETH)},
self.portfolio.maint_margins(BITMEX),
)
self.assertEqual(
Money(26.59220848, ETH),
self.portfolio.net_exposure(ETHUSD_BITMEX.id),
)
self.assertEqual(
Money(0.00000000, ETH),
self.portfolio.unrealized_pnl(ETHUSD_BITMEX.id),
)
def test_unrealized_pnl_when_insufficient_data_for_xrate_returns_none(
self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
self.exec_engine.cache.add_order(order, PositionId.null())
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("376.05"),
)
self.exec_engine.process(fill)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Act
result = self.portfolio.unrealized_pnls(BITMEX)
# # Assert
self.assertEqual({}, result)
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-001"),
last_px=Price.from_str("376.05"),
)
last_ethusd = QuoteTick(
ETHUSD_BITMEX.id,
Price.from_str("376.05"),
Price.from_str("377.10"),
Quantity.from_str("16"),
Quantity.from_str("25"),
0,
0,
)
last_xbtusd = QuoteTick(
BTCUSD_BITMEX.id,
Price.from_str("50000.00"),
Price.from_str("50000.00"),
Quantity.from_str("1"),
Quantity.from_str("1"),
0,
0,
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
self.cache.add_position(position)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_xbtusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_xbtusd)
# Act
result = self.portfolio.net_exposures(BITMEX)
# Assert
self.assertEqual({BTC: Money(0.00200000, BTC)}, result)
def test_opening_several_positions_updates_portfolio(self):
# Arrange
state = AccountState(
account_id=AccountId("SIM", "01234"),
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
last_audusd = QuoteTick(
AUDUSD_SIM.id,
Price.from_str("0.80501"),
Price.from_str("0.80505"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.id,
Price.from_str("1.30315"),
Price.from_str("1.30317"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
self.exec_engine.cache.add_order(order1, PositionId.null())
self.exec_engine.cache.add_order(order2, PositionId.null())
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=GBPUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
self.exec_engine.cache.update_order(order1)
self.exec_engine.cache.update_order(order2)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=GBPUSD_SIM, fill=fill2)
position_opened1 = TestStubs.event_position_opened(position1)
position_opened2 = TestStubs.event_position_opened(position2)
# Act
self.cache.add_position(position1)
self.cache.add_position(position2)
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
self.assertEqual(
{USD: Money(210816.00, USD)},
self.portfolio.net_exposures(SIM),
)
self.assertEqual(
{USD: Money(10816.00, USD)},
self.portfolio.unrealized_pnls(SIM),
)
self.assertEqual({USD: Money(3912.06, USD)},
self.portfolio.maint_margins(SIM)),
self.assertEqual(
Money(80501.00, USD),
self.portfolio.net_exposure(AUDUSD_SIM.id),
)
self.assertEqual(
Money(130315.00, USD),
self.portfolio.net_exposure(GBPUSD_SIM.id),
)
self.assertEqual(
Money(-19499.00, USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.id),
)
self.assertEqual(
Money(30315.00, USD),
self.portfolio.unrealized_pnl(GBPUSD_SIM.id),
)
self.assertEqual(Decimal(100000),
self.portfolio.net_position(AUDUSD_SIM.id))
self.assertEqual(Decimal(100000),
self.portfolio.net_position(GBPUSD_SIM.id))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_flat(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_completely_flat())
def test_modifying_position_updates_portfolio(self):
# Arrange
state = AccountState(
account_id=AccountId("SIM", "01234"),
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
last_audusd = QuoteTick(
AUDUSD_SIM.id,
Price.from_str("0.80501"),
Price.from_str("0.80505"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
self.cache.add_quote_tick(last_audusd)
self.portfolio.update_tick(last_audusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.exec_engine.cache.add_position(position)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(50000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(
TestStubs.event_position_changed(position))
# Assert
self.assertEqual(
{USD: Money(40250.50, USD)},
self.portfolio.net_exposures(SIM),
)
self.assertEqual(
{USD: Money(-9749.50, USD)},
self.portfolio.unrealized_pnls(SIM),
)
self.assertEqual(
{USD: Money(1208.32, USD)},
self.portfolio.maint_margins(SIM),
)
self.assertEqual(
Money(40250.50, USD),
self.portfolio.net_exposure(AUDUSD_SIM.id),
)
self.assertEqual(
Money(-9749.50, USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.id),
)
self.assertEqual(Decimal(50000),
self.portfolio.net_position(AUDUSD_SIM.id))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_flat(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_completely_flat())
self.assertEqual({}, self.portfolio.unrealized_pnls(BINANCE))
self.assertIsNone(self.portfolio.net_exposures(BINANCE))
def test_closing_position_updates_portfolio(self):
# Arrange
state = AccountState(
account_id=AccountId("SIM", "01234"),
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.exec_engine.cache.add_position(position)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-123456"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00010"),
)
position.apply(order2_filled)
self.exec_engine.cache.update_position(position)
# Act
self.portfolio.update_position(
TestStubs.event_position_closed(position))
# Assert
self.assertEqual({}, self.portfolio.net_exposures(SIM))
self.assertEqual({}, self.portfolio.unrealized_pnls(SIM))
self.assertEqual({}, self.portfolio.maint_margins(SIM))
self.assertEqual(Money(0, USD),
self.portfolio.net_exposure(AUDUSD_SIM.id))
self.assertEqual(Money(0, USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.id))
self.assertEqual(Decimal(0),
self.portfolio.net_position(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_net_long(AUDUSD_SIM.id))
self.assertFalse(self.portfolio.is_net_short(AUDUSD_SIM.id))
self.assertTrue(self.portfolio.is_flat(AUDUSD_SIM.id))
self.assertTrue(self.portfolio.is_completely_flat())
def test_several_positions_with_different_instruments_updates_portfolio(
self):
# Arrange
state = AccountState(
account_id=AccountId("SIM", "01234"),
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=uuid4(),
updated_ns=0,
timestamp_ns=0,
)
self.exec_engine.process(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=PositionId("P-1"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=PositionId("P-2"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=GBPUSD_SIM,
position_id=PositionId("P-3"),
strategy_id=StrategyId("S-1"),
last_px=Price.from_str("1.00100"),
)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=AUDUSD_SIM, fill=fill2)
position3 = Position(instrument=GBPUSD_SIM, fill=fill3)
last_audusd = QuoteTick(
AUDUSD_SIM.id,
Price.from_str("0.80501"),
Price.from_str("0.80505"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
last_gbpusd = QuoteTick(
GBPUSD_SIM.id,
Price.from_str("1.30315"),
Price.from_str("1.30317"),
Quantity.from_int(1),
Quantity.from_int(1),
0,
0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
self.cache.add_position(position1)
self.cache.add_position(position2)
self.cache.add_position(position3)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position1))
self.portfolio.update_position(
TestStubs.event_position_opened(position2))
self.portfolio.update_position(
TestStubs.event_position_opened(position3))
position3.apply(fill4)
self.cache.update_position(position3)
self.portfolio.update_position(
TestStubs.event_position_closed(position3))
# Assert
self.assertEqual(
{USD: Money(-38998.00, USD)},
self.portfolio.unrealized_pnls(SIM),
)
self.assertEqual(
{USD: Money(161002.00, USD)},
self.portfolio.net_exposures(SIM),
)
self.assertEqual({USD: Money(3912.06, USD)},
self.portfolio.maint_margins(SIM)),
self.assertEqual(
Money(161002.00, USD),
self.portfolio.net_exposure(AUDUSD_SIM.id),
)
self.assertEqual(
Money(-38998.00, USD),
self.portfolio.unrealized_pnl(AUDUSD_SIM.id),
)
self.assertEqual(Money(0, USD),
self.portfolio.unrealized_pnl(GBPUSD_SIM.id))
self.assertEqual(Decimal(200000),
self.portfolio.net_position(AUDUSD_SIM.id))
self.assertEqual(Decimal(0),
self.portfolio.net_position(GBPUSD_SIM.id))
self.assertTrue(self.portfolio.is_net_long(AUDUSD_SIM.id))
self.assertTrue(self.portfolio.is_flat(GBPUSD_SIM.id))
self.assertFalse(self.portfolio.is_completely_flat())
class TestTradingStrategy:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(
clock=self.clock,
level_stdout=LogLevel.DEBUG,
)
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = RiskEngine(
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exchange = SimulatedExchange(
venue=Venue("SIM"),
venue_type=VenueType.ECN,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
default_leverage=Decimal(50),
leverages={},
is_frozen_account=False,
cache=self.cache,
instruments=[USDJPY_SIM],
modules=[],
fill_model=FillModel(),
clock=self.clock,
logger=self.logger,
latency_model=LatencyModel(0),
)
self.data_client = BacktestMarketDataClient(
client_id=ClientId("SIM"),
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=self.account_id,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exchange.register_client(self.exec_client)
self.data_engine.register_client(self.data_client)
self.exec_engine.register_client(self.exec_client)
self.exchange.reset()
# Add instruments
self.data_engine.process(AUDUSD_SIM)
self.data_engine.process(GBPUSD_SIM)
self.data_engine.process(USDJPY_SIM)
self.cache.add_instrument(AUDUSD_SIM)
self.cache.add_instrument(GBPUSD_SIM)
self.cache.add_instrument(USDJPY_SIM)
self.exchange.process_tick(TestStubs.quote_tick_3decimal(
USDJPY_SIM.id)) # Prepare market
self.data_engine.start()
self.exec_engine.start()
def test_strategy_equality(self):
# Arrange
strategy1 = TradingStrategy(config=TradingStrategyConfig(
order_id_tag="AUD/USD-001"))
strategy2 = TradingStrategy(config=TradingStrategyConfig(
order_id_tag="AUD/USD-001"))
strategy3 = TradingStrategy(config=TradingStrategyConfig(
order_id_tag="AUD/USD-002"))
# Act, Assert
assert strategy1 == strategy1
assert strategy1 == strategy2
assert strategy2 != strategy3
def test_str_and_repr(self):
# Arrange
strategy = TradingStrategy(config=TradingStrategyConfig(
order_id_tag="GBP/USD-MM"))
# Act, Assert
assert str(strategy) == "TradingStrategy-GBP/USD-MM"
assert repr(strategy) == "TradingStrategy(TradingStrategy-GBP/USD-MM)"
def test_id(self):
# Arrange
strategy = TradingStrategy()
# Act, Assert
assert strategy.id == StrategyId("TradingStrategy-000")
def test_initialization(self):
# Arrange
strategy = TradingStrategy(config=TradingStrategyConfig(
order_id_tag="001"))
# Act, Assert
assert strategy.state == ComponentState.PRE_INITIALIZED
assert not strategy.indicators_initialized()
def test_on_save_when_not_overridden_does_nothing(self):
# Arrange
strategy = TradingStrategy()
# Act
strategy.on_save()
# Assert
assert True # Exception not raised
def test_on_load_when_not_overridden_does_nothing(self):
# Arrange
strategy = TradingStrategy()
# Act
strategy.on_load({})
# Assert
assert True # Exception not raised
def test_save_when_not_registered_logs_error(self):
# Arrange
config = TradingStrategyConfig()
strategy = TradingStrategy(config)
strategy.save()
# Assert
assert True # Exception not raised
def test_save_when_user_code_raises_error_logs_and_reraises(self):
# Arrange
strategy = KaboomStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Act, Assert
with pytest.raises(RuntimeError):
strategy.save()
def test_load_when_user_code_raises_error_logs_and_reraises(self):
# Arrange
strategy = KaboomStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Act, Assert
with pytest.raises(RuntimeError):
strategy.load({"something": b"123456"})
def test_load(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
state = {}
# Act
strategy.load(state)
# Assert
# TODO: Write a users custom save method
assert True
def test_reset(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bar = Bar(
bar_type,
Price.from_str("1.00001"),
Price.from_str("1.00004"),
Price.from_str("1.00002"),
Price.from_str("1.00003"),
Quantity.from_int(100000),
0,
0,
)
strategy.handle_bar(bar)
# Act
strategy.reset()
# Assert
assert "on_reset" in strategy.calls
assert strategy.is_initialized
assert strategy.ema1.count == 0
assert strategy.ema2.count == 0
def test_dispose(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
strategy.reset()
# Act
strategy.dispose()
# Assert
assert "on_dispose" in strategy.calls
assert strategy.is_disposed
def test_save_load(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Act
state = strategy.save()
strategy.load(state)
# Assert
assert state == {"UserState": b"1"}
assert "on_save" in strategy.calls
assert strategy.is_initialized
def test_register_indicator_for_quote_ticks_when_already_registered(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema1 = ExponentialMovingAverage(10, price_type=PriceType.MID)
ema2 = ExponentialMovingAverage(10, price_type=PriceType.MID)
# Act
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema1)
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema2)
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema2)
assert len(strategy.registered_indicators) == 2
assert ema1 in strategy.registered_indicators
assert ema2 in strategy.registered_indicators
def test_register_indicator_for_trade_ticks_when_already_registered(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema1 = ExponentialMovingAverage(10)
ema2 = ExponentialMovingAverage(10)
# Act
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema1)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema2)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema2)
assert len(strategy.registered_indicators) == 2
assert ema1 in strategy.registered_indicators
assert ema2 in strategy.registered_indicators
def test_register_indicator_for_bars_when_already_registered(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema1 = ExponentialMovingAverage(10)
ema2 = ExponentialMovingAverage(10)
bar_type = TestStubs.bartype_audusd_1min_bid()
# Act
strategy.register_indicator_for_bars(bar_type, ema1)
strategy.register_indicator_for_bars(bar_type, ema2)
strategy.register_indicator_for_bars(bar_type, ema2)
assert len(strategy.registered_indicators) == 2
assert ema1 in strategy.registered_indicators
assert ema2 in strategy.registered_indicators
def test_register_indicator_for_multiple_data_sources(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
bar_type = TestStubs.bartype_audusd_1min_bid()
# Act
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema)
strategy.register_indicator_for_quote_ticks(GBPUSD_SIM.id, ema)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema)
strategy.register_indicator_for_bars(bar_type, ema)
assert len(strategy.registered_indicators) == 1
assert ema in strategy.registered_indicators
def test_handle_quote_tick_updates_indicator_registered_for_quote_ticks(
self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10, price_type=PriceType.MID)
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema)
tick = TestStubs.quote_tick_5decimal(AUDUSD_SIM.id)
# Act
strategy.handle_quote_tick(tick)
strategy.handle_quote_tick(tick, True)
# Assert
assert ema.count == 2
def test_handle_quote_ticks_with_no_ticks_logs_and_continues(self):
# Arrange
strategy = KaboomStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10, price_type=PriceType.MID)
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema)
# Act
strategy.handle_quote_ticks([])
# Assert
assert ema.count == 0
def test_handle_quote_ticks_updates_indicator_registered_for_quote_ticks(
self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10, price_type=PriceType.MID)
strategy.register_indicator_for_quote_ticks(AUDUSD_SIM.id, ema)
tick = TestStubs.quote_tick_5decimal(AUDUSD_SIM.id)
# Act
strategy.handle_quote_ticks([tick])
# Assert
assert ema.count == 1
def test_handle_trade_tick_updates_indicator_registered_for_trade_ticks(
self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema)
tick = TestStubs.trade_tick_5decimal(AUDUSD_SIM.id)
# Act
strategy.handle_trade_tick(tick)
strategy.handle_trade_tick(tick, True)
# Assert
assert ema.count == 2
def test_handle_trade_ticks_updates_indicator_registered_for_trade_ticks(
self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema)
tick = TestStubs.trade_tick_5decimal(AUDUSD_SIM.id)
# Act
strategy.handle_trade_ticks([tick])
# Assert
assert ema.count == 1
def test_handle_trade_ticks_with_no_ticks_logs_and_continues(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_trade_ticks(AUDUSD_SIM.id, ema)
# Act
strategy.handle_trade_ticks([])
# Assert
assert ema.count == 0
def test_handle_bar_updates_indicator_registered_for_bars(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_bars(bar_type, ema)
bar = TestStubs.bar_5decimal()
# Act
strategy.handle_bar(bar)
strategy.handle_bar(bar, True)
# Assert
assert ema.count == 2
def test_handle_bars_updates_indicator_registered_for_bars(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_bars(bar_type, ema)
bar = TestStubs.bar_5decimal()
# Act
strategy.handle_bars([bar])
# Assert
assert ema.count == 1
def test_handle_bars_with_no_bars_logs_and_continues(self):
# Arrange
bar_type = TestStubs.bartype_gbpusd_1sec_mid()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
ema = ExponentialMovingAverage(10)
strategy.register_indicator_for_bars(bar_type, ema)
# Act
strategy.handle_bars([])
# Assert
assert ema.count == 0
def test_stop_cancels_a_running_time_alert(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
alert_time = datetime.now(pytz.utc) + timedelta(milliseconds=200)
strategy.clock.set_time_alert("test_alert1", alert_time)
# Act
strategy.start()
strategy.stop()
# Assert
assert len(strategy.clock.timer_names()) == 0
def test_stop_cancels_a_running_timer(self):
# Arrange
bar_type = TestStubs.bartype_audusd_1min_bid()
strategy = MockStrategy(bar_type)
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
start_time = datetime.now(pytz.utc) + timedelta(milliseconds=100)
strategy.clock.set_timer("test_timer",
timedelta(milliseconds=100),
start_time,
stop_time=None)
# Act
strategy.start()
strategy.stop()
# Assert
assert len(strategy.clock.timer_names()) == 0
def test_submit_order_with_valid_order_successfully_submits(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
# Act
strategy.submit_order(order)
self.exchange.process(0)
# Assert
assert order in strategy.cache.orders()
assert strategy.cache.orders()[0].status == OrderStatus.FILLED
assert order.client_order_id not in strategy.cache.orders_working()
assert not strategy.cache.is_order_working(order.client_order_id)
assert strategy.cache.is_order_completed(order.client_order_id)
def test_submit_order_list_with_valid_order_successfully_submits(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bracket = strategy.order_factory.bracket_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
stop_loss=Price.from_str("90.000"),
take_profit=Price.from_str("90.500"),
)
# Act
strategy.submit_order_list(bracket)
# Assert
assert bracket.orders[0] in strategy.cache.orders()
assert bracket.orders[1] in strategy.cache.orders()
assert bracket.orders[2] in strategy.cache.orders()
# TODO: Implement
# assert bracket.orders[0].status == OrderStatus.ACCEPTED
# assert entry in strategy.cache.orders_working()
# assert strategy.cache.is_order_working(entry.client_order_id)
# assert not strategy.cache.is_order_completed(entry.client_order_id)
def test_cancel_order(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order)
self.exchange.process(0)
# Act
strategy.cancel_order(order)
self.exchange.process(0)
# Assert
assert order in strategy.cache.orders()
assert strategy.cache.orders()[0].status == OrderStatus.CANCELED
assert order.client_order_id == strategy.cache.orders_completed(
)[0].client_order_id
assert order not in strategy.cache.orders_working()
assert strategy.cache.order_exists(order.client_order_id)
assert not strategy.cache.is_order_working(order.client_order_id)
assert strategy.cache.is_order_completed(order.client_order_id)
def test_cancel_order_when_pending_cancel_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_pending_cancel(order))
# Act
strategy.cancel_order(order)
self.exchange.process(0)
# Assert
assert strategy.cache.orders()[0].status == OrderStatus.PENDING_CANCEL
assert order in strategy.cache.orders_working()
assert strategy.cache.order_exists(order.client_order_id)
assert strategy.cache.is_order_working(order.client_order_id)
assert not strategy.cache.is_order_completed(order.client_order_id)
def test_cancel_order_when_completed_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_expired(order))
# Act
strategy.cancel_order(order)
self.exchange.process(0)
# Assert
assert strategy.cache.orders()[0].status == OrderStatus.EXPIRED
assert order not in strategy.cache.orders_working()
assert strategy.cache.order_exists(order.client_order_id)
assert not strategy.cache.is_order_working(order.client_order_id)
assert strategy.cache.is_order_completed(order.client_order_id)
def test_modify_order_when_pending_update_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.001"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_pending_update(order))
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(100000),
price=Price.from_str("90.000"),
)
self.exchange.process(0)
# Assert
assert self.exec_engine.command_count == 1
def test_modify_order_when_pending_cancel_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.001"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_pending_cancel(order))
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(100000),
price=Price.from_str("90.000"),
)
self.exchange.process(0)
# Assert
assert self.exec_engine.command_count == 1
def test_modify_order_when_completed_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.001"),
)
strategy.submit_order(order)
self.exchange.process(0)
self.exec_engine.process(TestStubs.event_order_expired(order))
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(100000),
price=Price.from_str("90.000"),
)
self.exchange.process(0)
# Assert
assert self.exec_engine.command_count == 1
def test_modify_order_when_no_changes_does_not_submit_command(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.001"),
)
strategy.submit_order(order)
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(100000),
price=Price.from_str("90.001"),
)
# Assert
assert self.exec_engine.command_count == 1
def test_modify_order(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.000"),
)
strategy.submit_order(order)
self.exchange.process(0)
# Act
strategy.modify_order(
order=order,
quantity=Quantity.from_int(110000),
price=Price.from_str("90.001"),
)
self.exchange.process(0)
# Assert
assert strategy.cache.orders()[0] == order
assert strategy.cache.orders()[0].status == OrderStatus.ACCEPTED
assert strategy.cache.orders()[0].quantity == Quantity.from_int(110000)
assert strategy.cache.orders()[0].price == Price.from_str("90.001")
assert strategy.cache.order_exists(order.client_order_id)
assert strategy.cache.is_order_working(order.client_order_id)
assert not strategy.cache.is_order_completed(order.client_order_id)
assert strategy.portfolio.is_flat(order.instrument_id)
def test_cancel_all_orders(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order1 = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.007"),
)
order2 = strategy.order_factory.stop_market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("90.006"),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2)
self.exchange.process(0)
# Act
strategy.cancel_all_orders(USDJPY_SIM.id)
self.exchange.process(0)
# Assert
assert order1 in self.cache.orders()
assert order2 in self.cache.orders()
assert self.cache.orders()[0].status == OrderStatus.CANCELED
assert self.cache.orders()[1].status == OrderStatus.CANCELED
assert order1 in self.cache.orders_completed()
assert order2 in strategy.cache.orders_completed()
def test_flatten_position_when_position_already_flat_does_nothing(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order1 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2,
PositionId("1-001")) # Generated by exchange
self.exchange.process(0)
position = strategy.cache.positions_closed()[0]
# Act
strategy.flatten_position(position)
self.exchange.process(0)
# Assert
assert strategy.portfolio.is_completely_flat()
def test_flatten_position(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
strategy.submit_order(order)
self.exchange.process(0)
position = self.cache.positions_open()[0]
# Act
strategy.flatten_position(position)
self.exchange.process(0)
# Assert
assert order.status == OrderStatus.FILLED
assert strategy.portfolio.is_completely_flat()
def test_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Start strategy and submit orders to open positions
strategy.start()
order1 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = strategy.order_factory.market(
USDJPY_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
strategy.submit_order(order1)
self.exchange.process(0)
strategy.submit_order(order2)
self.exchange.process(0)
# Act
strategy.flatten_all_positions(USDJPY_SIM.id)
self.exchange.process(0)
# Assert
assert order1.status == OrderStatus.FILLED
assert order2.status == OrderStatus.FILLED
assert strategy.portfolio.is_completely_flat()
class TestRiskEngine:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TraderId("TESTER-000")
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
self.portfolio = Portfolio(
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
portfolio=self.portfolio,
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_client = MockExecutionClient(
client_id=ClientId(self.venue.value),
venue_type=VenueType.ECN,
account_id=self.account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_risk_engine(self.risk_engine)
self.exec_engine.register_client(self.exec_client)
# Prepare data
self.exec_engine.cache.add_instrument(AUDUSD_SIM)
def test_set_block_all_orders_changes_flag_value(self):
# Arrange
# Act
self.risk_engine.set_block_all_orders()
# Assert
assert self.risk_engine.block_all_orders
def test_given_random_command_logs_and_continues(self):
# Arrange
random = TradingCommand(
self.trader_id,
StrategyId("SCALPER-001"),
AUDUSD_SIM.id,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(random)
def test_given_random_event_logs_and_continues(self):
# Arrange
random = Event(
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.process(random)
def test_submit_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ["connect", "submit_order"]
def test_submit_bracket_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ["connect", "submit_bracket_order"]
def test_submit_order_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.set_block_all_orders()
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ["connect"]
assert self.risk_engine.command_count == 1
def test_update_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
update = UpdateOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
order.venue_order_id,
order.quantity,
Price.from_str("1.00010"),
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(update)
# Assert
assert self.exec_client.calls == [
"connect", "submit_order", "update_order"
]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 2
def test_cancel_order_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
cancel = CancelOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
order.venue_order_id,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == [
"connect", "submit_order", "cancel_order"
]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 2
def test_submit_bracket_when_block_all_orders_true_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
bracket = strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitBracketOrder(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.set_block_all_orders()
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_client.calls == ["connect"]
assert self.risk_engine.command_count == 1
assert self.exec_engine.event_count == 3
class TestPortfolio:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.logger = Logger(self.clock)
self.trader_id = TestStubs.trader_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Prepare components
self.cache.add_instrument(AUDUSD_SIM)
self.cache.add_instrument(GBPUSD_SIM)
self.cache.add_instrument(BTCUSDT_BINANCE)
self.cache.add_instrument(BTCUSD_BITMEX)
self.cache.add_instrument(ETHUSD_BITMEX)
self.cache.add_instrument(BETTING_INSTRUMENT)
def test_account_when_no_account_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.account(SIM) is None
def test_account_when_account_returns_the_account_facade(self):
# Arrange
state = AccountState(
account_id=AccountId("BINANCE", "1513111"),
account_type=AccountType.CASH,
base_currency=None,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
)
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Act
result = self.portfolio.account(BINANCE)
# Assert
assert result.id.issuer == "BINANCE"
def test_balances_locked_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.balances_locked(SIM) is None
def test_margins_init_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.margins_init(SIM) is None
def test_margins_maint_when_no_account_for_venue_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.margins_maint(SIM) is None
def test_unrealized_pnl_for_instrument_when_no_instrument_returns_none(
self):
# Arrange, Act, Assert
assert self.portfolio.unrealized_pnl(USDJPY_SIM.id) is None
def test_unrealized_pnl_for_venue_when_no_account_returns_empty_dict(self):
# Arrange, Act, Assert
assert self.portfolio.unrealized_pnls(SIM) == {}
def test_net_position_when_no_positions_returns_zero(self):
# Arrange, Act, Assert
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
def test_net_exposures_when_no_positions_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.net_exposures(SIM) is None
def test_is_net_long_when_no_positions_returns_false(self):
# Arrange, Act, Assert
assert self.portfolio.is_net_long(AUDUSD_SIM.id) is False
def test_is_net_short_when_no_positions_returns_false(self):
# Arrange, Act, Assert
assert self.portfolio.is_net_short(AUDUSD_SIM.id) is False
def test_is_flat_when_no_positions_returns_true(self):
# Arrange, Act, Assert
assert self.portfolio.is_flat(AUDUSD_SIM.id) is True
def test_is_completely_flat_when_no_positions_returns_true(self):
# Arrange, Act, Assert
assert self.portfolio.is_flat(AUDUSD_SIM.id) is True
def test_open_value_when_no_account_returns_none(self):
# Arrange, Act, Assert
assert self.portfolio.net_exposures(SIM) is None
def test_update_tick(self):
# Arrange
tick = TestStubs.quote_tick_5decimal(GBPUSD_SIM.id)
# Act
self.portfolio.update_tick(tick)
# Assert
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) is None
def test_update_orders_working_cash_account(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "000")
state = AccountState(
account_id=account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create two working orders
order = self.order_factory.limit(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("1.0"),
Price.from_str("50000.00"),
)
self.cache.add_order(order, position_id=None)
# Act: push order state to ACCEPTED
self.exec_engine.process(
TestStubs.event_order_submitted(order, account_id=account_id))
self.exec_engine.process(
TestStubs.event_order_accepted(order, account_id=account_id))
# Assert
assert self.portfolio.balances_locked(
BINANCE)[USDT].as_decimal() == 50100
def test_update_orders_working_margin_account(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create two working orders
order1 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
order2 = self.order_factory.stop_market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.5"),
Price.from_str("25000.00"),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.cache.update_order(order1)
filled1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
self.exec_engine.process(filled1)
# Update the last quote
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("25001.00"),
ask=Price.from_str("25002.00"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
self.portfolio.update_tick(last)
self.portfolio.initialize_orders()
# Assert
assert self.portfolio.margins_init(BINANCE) == {}
def test_order_accept_updates_margin_init(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
state = AccountState(
account_id=AccountId("BETFAIR", "01234"),
account_type=AccountType.MARGIN,
base_currency=GBP,
reported=True,
balances=[
AccountBalance(
currency=GBP,
total=Money(1000, GBP),
free=Money(1000, GBP),
locked=Money(0, GBP),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
AccountFactory.register_calculated_account("BETFAIR")
self.portfolio.update_account(state)
# Create a passive order
order1 = self.order_factory.limit(
BETTING_INSTRUMENT.id,
OrderSide.BUY,
Quantity.from_str("100"),
Price.from_str("0.5"),
)
self.cache.add_order(order1, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(
TestStubs.event_order_accepted(order1,
venue_order_id=VenueOrderId("1")))
self.cache.update_order(order1)
# Act
self.portfolio.initialize_orders()
# Assert
assert self.portfolio.margins_init(BETFAIR)[
BETTING_INSTRUMENT.id] == Money(200, GBP)
def test_update_positions(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
# Create a closed position
order1 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.50000000"),
)
order2 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("10.50000000"),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
# Push states to ACCEPTED
order1.apply(TestStubs.event_order_submitted(order1))
self.cache.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.cache.update_order(order1)
fill1 = TestStubs.event_order_filled(
order1,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("25000.00"),
)
position1 = Position(instrument=BTCUSDT_BINANCE, fill=fill1)
position1.apply(fill2)
order3 = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.00000000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("25000.00"),
)
position2 = Position(instrument=BTCUSDT_BINANCE, fill=fill3)
# Update the last quote
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("25001.00"),
ask=Price.from_str("25002.00"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.initialize_positions()
self.portfolio.update_tick(last)
# Assert
assert self.portfolio.is_net_long(BTCUSDT_BINANCE.id)
def test_opening_one_long_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_str("10.000000"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("10500.00"),
)
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("10510.00"),
ask=Price.from_str("10511.00"),
bid_size=Quantity.from_str("1.000000"),
ask_size=Quantity.from_str("1.000000"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BINANCE) == {
USDT: Money(105100.00000000, USDT)
}
assert self.portfolio.unrealized_pnls(BINANCE) == {
USDT: Money(100.00000000, USDT)
}
assert self.portfolio.margins_maint(BINANCE) == {
BTCUSDT_BINANCE.id: Money(105.00000000, USDT)
}
assert self.portfolio.net_exposure(BTCUSDT_BINANCE.id) == Money(
105100.00000000, USDT)
assert self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id) == Money(
100.00000000, USDT)
assert self.portfolio.net_position(
order.instrument_id) == Decimal("10.00000000")
assert self.portfolio.is_net_long(order.instrument_id)
assert not self.portfolio.is_net_short(order.instrument_id)
assert not self.portfolio.is_flat(order.instrument_id)
assert not self.portfolio.is_completely_flat()
def test_opening_one_short_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("BINANCE")
account_id = AccountId("BINANCE", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
AccountBalance(
USDT,
Money(100000.00000000, USDT),
Money(0.00000000, USDT),
Money(100000.00000000, USDT),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
BTCUSDT_BINANCE.id,
OrderSide.SELL,
Quantity.from_str("0.515"),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=BTCUSDT_BINANCE,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("15000.00"),
)
last = QuoteTick(
instrument_id=BTCUSDT_BINANCE.id,
bid=Price.from_str("15510.15"),
ask=Price.from_str("15510.25"),
bid_size=Quantity.from_str("12.62"),
ask_size=Quantity.from_str("3.1"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last)
self.portfolio.update_tick(last)
position = Position(instrument=BTCUSDT_BINANCE, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BINANCE) == {
USDT: Money(7987.77875000, USDT)
}
assert self.portfolio.unrealized_pnls(BINANCE) == {
USDT: Money(-262.77875000, USDT)
}
assert self.portfolio.margins_maint(BINANCE) == {
BTCUSDT_BINANCE.id: Money(7.72500000, USDT)
}
assert self.portfolio.net_exposure(BTCUSDT_BINANCE.id) == Money(
7987.77875000, USDT)
assert self.portfolio.unrealized_pnl(BTCUSDT_BINANCE.id) == Money(
-262.77875000, USDT)
assert self.portfolio.net_position(
order.instrument_id) == Decimal("-0.515")
assert not self.portfolio.is_net_long(order.instrument_id)
assert self.portfolio.is_net_short(order.instrument_id)
assert not self.portfolio.is_flat(order.instrument_id)
assert not self.portfolio.is_completely_flat()
def test_opening_positions_with_multi_asset_account(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-currency account
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_btcusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("10500.05"),
ask=Price.from_str("10501.51"),
bid_size=Quantity.from_str("2.54"),
ask_size=Quantity.from_str("0.91"),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_btcusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_btcusd)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(10000),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-001"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
# Act
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Assert
assert self.portfolio.net_exposures(BITMEX) == {
ETH: Money(26.59220848, ETH)
}
assert self.portfolio.margins_maint(BITMEX) == {
ETHUSD_BITMEX.id: Money(0.20608962, ETH)
}
assert self.portfolio.net_exposure(ETHUSD_BITMEX.id) == Money(
26.59220848, ETH)
assert self.portfolio.unrealized_pnl(ETHUSD_BITMEX.id) == Money(
0.00000000, ETH)
def test_unrealized_pnl_when_insufficient_data_for_xrate_returns_none(
self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
state = AccountState(
account_id=AccountId("BITMEX", "01234"),
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
AccountBalance(
ETH,
Money(20.00000000, ETH),
Money(0.00000000, ETH),
Money(20.00000000, ETH),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
self.cache.add_order(order, position_id=None)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
self.exec_engine.process(fill)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
# Act
result = self.portfolio.unrealized_pnls(BITMEX)
# # Assert
assert result == {}
def test_market_value_when_insufficient_data_for_xrate_returns_none(self):
# Arrange
AccountFactory.register_calculated_account("BITMEX")
account_id = AccountId("BITMEX", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=BTC,
reported=True,
balances=[
AccountBalance(
BTC,
Money(10.00000000, BTC),
Money(0.00000000, BTC),
Money(10.00000000, BTC),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order = self.order_factory.market(
ETHUSD_BITMEX.id,
OrderSide.BUY,
Quantity.from_int(100),
)
fill = TestStubs.event_order_filled(
order=order,
instrument=ETHUSD_BITMEX,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("376.05"),
)
last_ethusd = QuoteTick(
instrument_id=ETHUSD_BITMEX.id,
bid=Price.from_str("376.05"),
ask=Price.from_str("377.10"),
bid_size=Quantity.from_str("16"),
ask_size=Quantity.from_str("25"),
ts_event=0,
ts_init=0,
)
last_xbtusd = QuoteTick(
instrument_id=BTCUSD_BITMEX.id,
bid=Price.from_str("50000.00"),
ask=Price.from_str("50000.00"),
bid_size=Quantity.from_str("1"),
ask_size=Quantity.from_str("1"),
ts_event=0,
ts_init=0,
)
position = Position(instrument=ETHUSD_BITMEX, fill=fill)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
self.cache.add_position(position, OMSType.HEDGING)
self.cache.add_quote_tick(last_ethusd)
self.cache.add_quote_tick(last_xbtusd)
self.portfolio.update_tick(last_ethusd)
self.portfolio.update_tick(last_xbtusd)
# Act
result = self.portfolio.net_exposures(BITMEX)
# Assert
assert result == {BTC: Money(0.00200000, BTC)}
def test_opening_several_positions_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
self.cache.add_order(order1, position_id=None)
self.cache.add_order(order2, position_id=None)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
self.cache.update_order(order1)
self.cache.update_order(order2)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=GBPUSD_SIM, fill=fill2)
position_opened1 = TestStubs.event_position_opened(position1)
position_opened2 = TestStubs.event_position_opened(position2)
# Act
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.portfolio.update_position(position_opened1)
self.portfolio.update_position(position_opened2)
# Assert
assert self.portfolio.net_exposures(SIM) == {
USD: Money(210816.00, USD)
}
assert self.portfolio.unrealized_pnls(SIM) == {
USD: Money(10816.00, USD)
}
assert self.portfolio.margins_maint(SIM) == {
AUDUSD_SIM.id: Money(3002.00, USD),
GBPUSD_SIM.id: Money(3002.00, USD),
}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(
80501.00, USD)
assert self.portfolio.net_exposure(GBPUSD_SIM.id) == Money(
130315.00, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(
-19499.00, USD)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(
30315.00, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(100000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(100000)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert not self.portfolio.is_flat(AUDUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
def test_modifying_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.portfolio.update_tick(last_audusd)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(50000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position.apply(order2_filled)
# Act
self.portfolio.update_position(
TestStubs.event_position_changed(position))
# Assert
assert self.portfolio.net_exposures(SIM) == {USD: Money(40250.50, USD)}
assert self.portfolio.unrealized_pnls(SIM) == {
USD: Money(-9749.50, USD)
}
assert self.portfolio.margins_maint(SIM) == {
AUDUSD_SIM.id: Money(1501.00, USD)
}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(
40250.50, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(
-9749.50, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(50000)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert not self.portfolio.is_flat(AUDUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
assert self.portfolio.unrealized_pnls(BINANCE) == {}
assert self.portfolio.net_exposures(BINANCE) is None
def test_closing_position_updates_portfolio(self):
# Arrange
AccountFactory.register_calculated_account("SIM")
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00000"),
)
position = Position(instrument=AUDUSD_SIM, fill=fill1)
self.cache.add_position(position, OMSType.HEDGING)
self.portfolio.update_position(
TestStubs.event_position_opened(position))
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order2_filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-123456"),
last_px=Price.from_str("1.00010"),
)
position.apply(order2_filled)
self.cache.update_position(position)
# Act
self.portfolio.update_position(
TestStubs.event_position_closed(position))
# Assert
assert self.portfolio.net_exposures(SIM) == {}
assert self.portfolio.unrealized_pnls(SIM) == {}
assert self.portfolio.margins_maint(SIM) == {}
assert self.portfolio.net_exposure(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.unrealized_pnl(AUDUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(0)
assert not self.portfolio.is_net_long(AUDUSD_SIM.id)
assert not self.portfolio.is_net_short(AUDUSD_SIM.id)
assert self.portfolio.is_flat(AUDUSD_SIM.id)
assert self.portfolio.is_completely_flat()
def test_several_positions_with_different_instruments_updates_portfolio(
self):
# Arrange
account_id = AccountId("SIM", "01234")
state = AccountState(
account_id=account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
reported=True,
balances=[
AccountBalance(
USD,
Money(1_000_000, USD),
Money(0, USD),
Money(1_000_000, USD),
),
],
info={},
event_id=UUID4(),
ts_event=0,
ts_init=0,
)
self.portfolio.update_account(state)
order1 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order3 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order4 = self.order_factory.market(
GBPUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
fill1 = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-1"),
last_px=Price.from_str("1.00000"),
)
fill2 = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-2"),
last_px=Price.from_str("1.00000"),
)
fill3 = TestStubs.event_order_filled(
order3,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00000"),
)
fill4 = TestStubs.event_order_filled(
order4,
instrument=GBPUSD_SIM,
strategy_id=StrategyId("S-1"),
account_id=account_id,
position_id=PositionId("P-3"),
last_px=Price.from_str("1.00100"),
)
position1 = Position(instrument=AUDUSD_SIM, fill=fill1)
position2 = Position(instrument=AUDUSD_SIM, fill=fill2)
position3 = Position(instrument=GBPUSD_SIM, fill=fill3)
last_audusd = QuoteTick(
instrument_id=AUDUSD_SIM.id,
bid=Price.from_str("0.80501"),
ask=Price.from_str("0.80505"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
last_gbpusd = QuoteTick(
instrument_id=GBPUSD_SIM.id,
bid=Price.from_str("1.30315"),
ask=Price.from_str("1.30317"),
bid_size=Quantity.from_int(1),
ask_size=Quantity.from_int(1),
ts_event=0,
ts_init=0,
)
self.cache.add_quote_tick(last_audusd)
self.cache.add_quote_tick(last_gbpusd)
self.portfolio.update_tick(last_audusd)
self.portfolio.update_tick(last_gbpusd)
self.cache.add_position(position1, OMSType.HEDGING)
self.cache.add_position(position2, OMSType.HEDGING)
self.cache.add_position(position3, OMSType.HEDGING)
# Act
self.portfolio.update_position(
TestStubs.event_position_opened(position1))
self.portfolio.update_position(
TestStubs.event_position_opened(position2))
self.portfolio.update_position(
TestStubs.event_position_opened(position3))
position3.apply(fill4)
self.cache.update_position(position3)
self.portfolio.update_position(
TestStubs.event_position_closed(position3))
# Assert
assert {
USD: Money(-38998.00, USD)
} == self.portfolio.unrealized_pnls(SIM)
assert {
USD: Money(161002.00, USD)
} == self.portfolio.net_exposures(SIM)
assert Money(161002.00,
USD) == self.portfolio.net_exposure(AUDUSD_SIM.id)
assert Money(-38998.00,
USD) == self.portfolio.unrealized_pnl(AUDUSD_SIM.id)
assert self.portfolio.unrealized_pnl(GBPUSD_SIM.id) == Money(0, USD)
assert self.portfolio.net_position(AUDUSD_SIM.id) == Decimal(200000)
assert self.portfolio.net_position(GBPUSD_SIM.id) == Decimal(0)
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert self.portfolio.is_flat(GBPUSD_SIM.id)
assert not self.portfolio.is_completely_flat()
class TestRiskEngine:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(
clock=self.clock,
level_stdout=LogLevel.DEBUG,
)
self.trader_id = TestIdStubs.trader_id()
self.account_id = TestIdStubs.account_id()
self.venue = Venue("SIM")
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestComponentStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
config = ExecEngineConfig()
config.allow_cash_positions = True # Retain original behaviour for now
self.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=config,
)
self.risk_engine = RiskEngine(
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
client_id=ClientId(self.venue.value),
venue=self.venue,
account_type=AccountType.MARGIN,
base_currency=USD,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestEventStubs.margin_account_state())
self.exec_engine.register_client(self.exec_client)
# Prepare data
self.cache.add_instrument(AUDUSD_SIM)
def test_config_risk_engine(self):
# Arrange
self.msgbus.deregister("RiskEngine.execute", self.risk_engine.execute)
config = RiskEngineConfig(
bypass=True, # <-- bypassing pre-trade risk checks for backtest
max_order_rate="5/00:00:01",
max_notional_per_order={"GBP/USD.SIM": 2_000_000},
)
# Act
risk_engine = RiskEngine(
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=config,
)
# Assert
assert risk_engine.max_order_rate() == (5, timedelta(seconds=1))
assert risk_engine.max_notionals_per_order() == {GBPUSD_SIM.id: Decimal("2000000")}
assert risk_engine.max_notional_per_order(GBPUSD_SIM.id) == 2_000_000
def test_risk_engine_on_stop(self):
# Arrange, Act
self.risk_engine.start()
self.risk_engine.stop()
# Assert
assert self.risk_engine.is_stopped
def test_process_event_then_handles(self):
# Arrange
event = Event(
event_id=self.uuid_factory.generate(),
ts_event=self.clock.timestamp_ns(),
ts_init=self.clock.timestamp_ns(),
)
# Act
self.risk_engine.process(event)
# Assert
assert self.risk_engine.event_count == 1
def test_trading_state_after_instantiation_returns_active(self):
# Arrange, Act
result = self.risk_engine.trading_state
# Assert
assert result == TradingState.ACTIVE
def test_set_trading_state_when_no_change_logs_warning(self):
# Arrange, Act
self.risk_engine.set_trading_state(TradingState.ACTIVE)
# Assert
assert self.risk_engine.trading_state == TradingState.ACTIVE
def test_set_trading_state_changes_value_and_publishes_event(self):
# Arrange
handler = []
self.msgbus.subscribe(topic="events.risk*", handler=handler.append)
# Act
self.risk_engine.set_trading_state(TradingState.HALTED)
# Assert
assert type(handler[0]) == TradingStateChanged
assert self.risk_engine.trading_state == TradingState.HALTED
def test_max_order_rate_when_no_risk_config_returns_100_per_second(self):
# Arrange, Act
result = self.risk_engine.max_order_rate()
assert result == (100, timedelta(seconds=1))
def test_max_notionals_per_order_when_no_risk_config_returns_empty_dict(self):
# Arrange, Act
result = self.risk_engine.max_notionals_per_order()
assert result == {}
def test_max_notional_per_order_when_no_risk_config_returns_none(self):
# Arrange, Act
result = self.risk_engine.max_notional_per_order(AUDUSD_SIM.id)
assert result is None
def test_set_max_notional_per_order_changes_setting(self):
# Arrange, Act
self.risk_engine.set_max_notional_per_order(AUDUSD_SIM.id, 1_000_000)
max_notionals = self.risk_engine.max_notionals_per_order()
max_notional = self.risk_engine.max_notional_per_order(AUDUSD_SIM.id)
# Assert
assert max_notionals == {AUDUSD_SIM.id: Decimal("1000000")}
assert max_notional == Decimal(1_000_000)
def test_given_random_command_then_logs_and_continues(self):
# Arrange
random = TradingCommand(
client_id=None,
trader_id=self.trader_id,
strategy_id=StrategyId("SCALPER-001"),
instrument_id=AUDUSD_SIM.id,
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
self.risk_engine.execute(random)
def test_given_random_event_then_logs_and_continues(self):
# Arrange
random = Event(
event_id=self.uuid_factory.generate(),
ts_event=self.clock.timestamp_ns(),
ts_init=self.clock.timestamp_ns(),
)
self.risk_engine.process(random)
# -- SUBMIT ORDER TESTS ------------------------------------------------------------------------
def test_submit_order_with_default_settings_then_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 1
assert self.exec_client.calls == ["_start", "submit_order"]
def test_submit_order_when_duplicate_id_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_order)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 1
assert self.exec_client.calls == ["_start", "submit_order"]
def test_submit_order_when_risk_bypassed_sends_to_execution_engine(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
trader_id=self.trader_id,
strategy_id=strategy.id,
position_id=None,
order=order,
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 1 # <-- initial account event
assert self.exec_client.calls == ["_start", "submit_order"]
def test_submit_order_when_position_already_closed_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order1 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
order3 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order1 = SubmitOrder(
trader_id=self.trader_id,
strategy_id=strategy.id,
position_id=None,
order=order1,
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_order1)
self.exec_engine.process(TestEventStubs.order_submitted(order1))
self.exec_engine.process(TestEventStubs.order_accepted(order1))
self.exec_engine.process(TestEventStubs.order_filled(order1, AUDUSD_SIM))
submit_order2 = SubmitOrder(
trader_id=self.trader_id,
strategy_id=strategy.id,
position_id=PositionId("P-19700101-000000-000-000-1"),
order=order2,
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_order2)
self.exec_engine.process(TestEventStubs.order_submitted(order2))
self.exec_engine.process(TestEventStubs.order_accepted(order2))
self.exec_engine.process(TestEventStubs.order_filled(order2, AUDUSD_SIM))
submit_order3 = SubmitOrder(
trader_id=self.trader_id,
strategy_id=strategy.id,
position_id=PositionId("P-19700101-000000-000-000-1"),
order=order3,
command_id=self.uuid_factory.generate(),
ts_init=self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order3)
# Assert
assert self.exec_engine.command_count == 2
assert self.exec_client.calls == ["_start", "submit_order", "submit_order"]
def test_submit_order_when_position_id_not_in_cache_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId("009"), # <-- not in the cache
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0
def test_submit_order_when_instrument_not_in_cache_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
GBPUSD_SIM.id, # <-- not in the cache
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_price_precision_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("0.9999999999999999"), # <- invalid price
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_negative_price_and_not_option_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("-1.0"), # <- invalid price
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_trigger_price_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
Price.from_str("0.999999999999999"), # <- invalid trigger
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_quantity_precision_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_str("1.111111111111111111"), # <- invalid quantity
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_quantity_exceeds_maximum_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(1_000_000_000), # <- invalid quantity fat finger!
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_invalid_quantity_less_than_minimum_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(1), # <- invalid quantity
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_market_order_and_no_market_then_logs_warning(self):
# Arrange
self.risk_engine.set_max_notional_per_order(AUDUSD_SIM.id, 1_000_000)
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(10000000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 1 # <-- command reaches engine with warning
def test_submit_order_when_market_order_and_over_max_notional_then_denies(self):
# Arrange
self.risk_engine.set_max_notional_per_order(AUDUSD_SIM.id, 1_000_000)
# Initialize market
quote = TestDataStubs.quote_tick_5decimal(AUDUSD_SIM.id)
self.cache.add_quote_tick(quote)
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(10000000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
def test_submit_order_when_reducing_and_buy_order_adds_then_denies(self):
# Arrange
self.risk_engine.set_max_notional_per_order(AUDUSD_SIM.id, 1_000_000)
# Initialize market
quote = TestDataStubs.quote_tick_5decimal(AUDUSD_SIM.id)
self.cache.add_quote_tick(quote)
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order1 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order1 = SubmitOrder(
self.trader_id,
strategy.id,
None,
order1,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_order1)
self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only
order2 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order2 = SubmitOrder(
self.trader_id,
strategy.id,
None,
order2,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.process(TestEventStubs.order_submitted(order1))
self.exec_engine.process(TestEventStubs.order_accepted(order1))
self.exec_engine.process(TestEventStubs.order_filled(order1, AUDUSD_SIM))
# Act
self.risk_engine.execute(submit_order2)
# Assert
assert self.portfolio.is_net_long(AUDUSD_SIM.id)
assert self.exec_engine.command_count == 1 # <-- command never reaches engine
def test_submit_order_when_reducing_and_sell_order_adds_then_denies(self):
# Arrange
self.risk_engine.set_max_notional_per_order(AUDUSD_SIM.id, 1_000_000)
# Initialize market
quote = TestDataStubs.quote_tick_5decimal(AUDUSD_SIM.id)
self.cache.add_quote_tick(quote)
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order1 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
submit_order1 = SubmitOrder(
self.trader_id,
strategy.id,
None,
order1,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_order1)
self.risk_engine.set_trading_state(TradingState.REDUCING) # <-- allow reducing orders only
order2 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity.from_int(100000),
)
submit_order2 = SubmitOrder(
self.trader_id,
strategy.id,
None,
order2,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.process(TestEventStubs.order_submitted(order1))
self.exec_engine.process(TestEventStubs.order_accepted(order1))
self.exec_engine.process(TestEventStubs.order_filled(order1, AUDUSD_SIM))
# Act
self.risk_engine.execute(submit_order2)
# Assert
assert self.portfolio.is_net_short(AUDUSD_SIM.id)
assert self.exec_engine.command_count == 1 # <-- command never reaches engine
def test_submit_order_when_trading_halted_then_denies_order(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Halt trading
self.risk_engine.set_trading_state(TradingState.HALTED)
# Act
self.risk_engine.execute(submit_order)
# Assert
assert self.risk_engine.command_count == 1 # <-- command never reaches engine
def test_submit_order_list_when_trading_halted_then_denies_orders(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss = strategy.order_factory.stop_market( # <-- duplicate
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
take_profit = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
bracket = OrderList(
list_id=OrderListId("1"),
orders=[entry, stop_loss, take_profit],
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Halt trading
self.risk_engine.set_trading_state(TradingState.HALTED)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.risk_engine.command_count == 1 # <-- command never reaches engine
# -- SUBMIT BRACKET ORDER TESTS ----------------------------------------------------------------
def test_submit_bracket_with_default_settings_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bracket = strategy.order_factory.bracket_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_engine.command_count == 1
assert self.exec_client.calls == ["_start", "submit_order_list"]
def test_submit_bracket_order_with_duplicate_entry_id_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bracket = strategy.order_factory.bracket_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_bracket)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_engine.command_count == 1 # <-- command never reaches engine
def test_submit_bracket_order_with_duplicate_stop_loss_id_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
entry1 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss = strategy.order_factory.stop_market( # <-- duplicate
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
take_profit1 = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
entry2 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
take_profit2 = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
bracket1 = OrderList(
list_id=OrderListId("1"),
orders=[entry1, stop_loss, take_profit1],
)
bracket2 = OrderList(
list_id=OrderListId("1"),
orders=[entry2, stop_loss, take_profit2],
)
submit_bracket1 = SubmitOrderList(
self.trader_id,
strategy.id,
bracket1,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
submit_bracket2 = SubmitOrderList(
self.trader_id,
strategy.id,
bracket2,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_bracket1)
# Act
self.risk_engine.execute(submit_bracket2)
# Assert
assert self.exec_engine.command_count == 1 # <-- command never reaches engine
def test_submit_bracket_order_with_duplicate_take_profit_id_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
entry1 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss1 = strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
take_profit = strategy.order_factory.limit( # <-- duplicate
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
entry2 = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss2 = strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
bracket1 = OrderList(
list_id=OrderListId("1"),
orders=[entry1, stop_loss1, take_profit],
)
bracket2 = OrderList(
list_id=OrderListId("1"),
orders=[entry2, stop_loss2, take_profit],
)
submit_bracket1 = SubmitOrderList(
self.trader_id,
strategy.id,
bracket1,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
submit_bracket2 = SubmitOrderList(
self.trader_id,
strategy.id,
bracket2,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_bracket1)
# Act
self.risk_engine.execute(submit_bracket2)
# Assert
assert self.exec_engine.command_count == 1 # <-- command never reaches engine
def test_submit_bracket_order_when_instrument_not_in_cache_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
bracket = strategy.order_factory.bracket_market(
GBPUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_engine.command_count == 0 # <-- command never reaches engine
# -- UPDATE ORDER TESTS ------------------------------------------------------------------------
def test_update_order_when_no_order_found_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
modify = ModifyOrder(
self.trader_id,
strategy.id,
AUDUSD_SIM.id,
ClientOrderId("invalid"),
VenueOrderId("1"),
Quantity.from_int(100000),
Price.from_str("1.00010"),
None,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(modify)
# Assert
assert self.exec_client.calls == ["_start"]
assert self.risk_engine.command_count == 1
assert self.exec_engine.command_count == 0
def test_update_order_when_already_closed_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00010"),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
self.exec_engine.process(TestEventStubs.order_submitted(order))
self.exec_engine.process(TestEventStubs.order_accepted(order))
self.exec_engine.process(TestEventStubs.order_filled(order, AUDUSD_SIM))
modify = ModifyOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
order.quantity,
Price.from_str("1.00010"),
None,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(modify)
# Assert
assert self.exec_client.calls == ["_start", "submit_order"]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 1
def test_update_order_when_in_flight_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00010"),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
self.exec_engine.process(TestEventStubs.order_submitted(order))
modify = ModifyOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
order.quantity,
Price.from_str("1.00010"),
None,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(modify)
# Assert
assert self.exec_client.calls == ["_start", "submit_order"]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 1
def test_modify_order_with_default_settings_then_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00010"),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
modify = ModifyOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
order.quantity,
Price.from_str("1.00010"),
None,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(modify)
# Assert
assert self.exec_client.calls == ["_start", "submit_order", "modify_order"]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 2
# -- CANCEL ORDER TESTS ------------------------------------------------------------------------
def test_cancel_order_when_order_does_not_exist_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
cancel = CancelOrder(
self.trader_id,
strategy.id,
AUDUSD_SIM.id,
ClientOrderId("1"),
VenueOrderId("1"),
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ["_start"]
assert self.risk_engine.command_count == 1
assert self.exec_engine.command_count == 0
def test_cancel_order_when_already_closed_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
self.exec_engine.process(TestEventStubs.order_submitted(order))
self.exec_engine.process(TestEventStubs.order_rejected(order))
cancel = CancelOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ["_start", "submit_order"]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 1
def test_cancel_order_when_already_pending_cancel_then_denies(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
cancel = CancelOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
self.exec_engine.process(TestEventStubs.order_submitted(order))
self.exec_engine.process(TestEventStubs.order_accepted(order))
self.risk_engine.execute(cancel)
self.exec_engine.process(TestEventStubs.order_pending_cancel(order))
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ["_start", "submit_order", "cancel_order"]
assert self.risk_engine.command_count == 3
assert self.exec_engine.command_count == 2
def test_cancel_order_with_default_settings_then_sends_to_client(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
cancel = CancelOrder(
self.trader_id,
strategy.id,
order.instrument_id,
order.client_order_id,
VenueOrderId("1"),
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit)
# Act
self.risk_engine.execute(cancel)
# Assert
assert self.exec_client.calls == ["_start", "submit_order", "cancel_order"]
assert self.risk_engine.command_count == 2
assert self.exec_engine.command_count == 2
class ExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=self.trader_id.tag,
id_tag_strategy=IdTag("001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("FXCM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def test_register_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertTrue(
strategy.id in self.exec_engine.registered_strategies())
def test_deregister_strategy(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
# Act
self.exec_engine.deregister_strategy(strategy)
# Assert
self.assertTrue(
strategy.id not in self.exec_engine.registered_strategies())
def test_is_flat_when_strategy_registered_returns_true(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
# Act
self.exec_engine.register_strategy(strategy)
# Assert
self.assertTrue(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(self.exec_engine.cache.is_flat())
def test_is_flat_when_no_registered_strategies_returns_true(self):
# Arrange
# Act
# Assert
self.assertTrue(self.exec_engine.cache.is_flat())
def test_reset_execution_engine(self):
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(
strategy) # Also registers with portfolio
# Act
self.exec_engine.reset()
# Assert
self.assertTrue(
strategy.id in self.exec_engine.registered_strategies())
def test_submit_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.received_commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_order_fill_event(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(TestStubs.event_order_filled(order))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
# Assert
self.assertTrue(self.cache.position_exists(expected_position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertFalse(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.exec_engine.cache.is_flat())
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertTrue(expected_position_id in self.cache.position_ids())
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids())
self.assertTrue(expected_position_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_position_id in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_handle_position_opening_with_position_id_none(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(self.venue, self.trader_id, self.account_id,
strategy.id, PositionId.py_null(), order,
self.uuid_factory.generate(),
self.clock.utc_now())
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(TestStubs.event_order_filled(order))
expected_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id
# Assert
self.assertTrue(self.cache.position_exists(expected_id))
self.assertTrue(self.cache.is_position_open(expected_id))
self.assertFalse(self.cache.is_position_closed(expected_id))
self.assertFalse(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.exec_engine.cache.is_flat())
self.assertEqual(Position, type(self.cache.position(expected_id)))
self.assertTrue(expected_id in self.cache.position_ids())
self.assertTrue(expected_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(expected_id not in self.cache.position_closed_ids())
self.assertTrue(expected_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_id in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_add_to_existing_position_on_order_fill(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(TestStubs.event_order_filled(order1))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
expected_position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, expected_position_id))
# Assert
self.assertTrue(
self.cache.position_exists(
TestStubs.event_order_filled(order1).position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.cache.is_flat())
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertEqual(
0, len(self.cache.positions_closed(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_closed()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id))
# # Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertFalse(self.cache.is_position_open(position_id))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(self.cache.is_flat())
self.assertEqual(position_id, self.cache.position(position_id).id)
self.assertEqual(position_id,
self.cache.positions(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions()[0].id)
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_open()))
self.assertEqual(
position_id,
self.cache.positions_closed(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions_closed()[0].id)
self.assertTrue(position_id not in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(position_id not in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(0, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_opened(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy2.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.py_null(),
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position1_id = PositionId('P-1')
position2_id = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position1_id))
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position2_id))
# Assert
self.assertTrue(self.cache.position_exists(position1_id))
self.assertTrue(self.cache.position_exists(position2_id))
self.assertTrue(self.cache.is_position_open(position1_id))
self.assertTrue(self.cache.is_position_open(position2_id))
self.assertFalse(self.cache.is_position_closed(position1_id))
self.assertFalse(self.cache.is_position_closed(position2_id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy1.id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id))
self.assertFalse(self.cache.is_flat())
self.assertEqual(Position, type(self.cache.position(position1_id)))
self.assertEqual(Position, type(self.cache.position(position2_id)))
self.assertTrue(position1_id in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_ids())
self.assertTrue(position2_id in self.cache.position_ids())
self.assertEqual(2, len(self.cache.position_open_ids()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(2, len(self.cache.positions_open()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertTrue(position1_id in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_open_ids())
self.assertTrue(position2_id in self.cache.position_open_ids())
self.assertTrue(position1_id not in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id not in self.cache.position_closed_ids())
self.assertTrue(position2_id not in self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(2, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = strategy2.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id1 = PositionId('P-1')
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
position_id1,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order3 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.py_null(),
order3,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id2 = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id1))
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id1))
self.exec_engine.execute(submit_order3)
self.exec_engine.process(TestStubs.event_order_submitted(order3))
self.exec_engine.process(TestStubs.event_order_accepted(order3))
self.exec_engine.process(
TestStubs.event_order_filled(order3, position_id2))
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.cache.position_exists(position_id1))
self.assertTrue(self.cache.position_exists(position_id2))
self.assertTrue(self.cache.is_flat(strategy_id=strategy1.id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id))
self.assertFalse(self.cache.is_flat())
self.assertTrue(position_id1 in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_ids())
self.assertTrue(position_id2 in self.cache.position_ids())
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, len(self.cache.positions_closed()))
self.assertEqual(2, len(self.cache.positions()))
self.assertTrue(position_id1 not in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 not in self.cache.position_open_ids())
self.assertTrue(position_id2 in self.cache.position_open_ids())
self.assertTrue(position_id1 in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_closed_ids())
self.assertTrue(position_id2 not in self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_flip_position_on_opposite_filled_same_position(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.FXCM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.FXCM-1F")
order_id_flipped = ClientOrderId(order2.cl_ord_id.value + 'F')
# Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertFalse(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(position_id in self.cache.position_ids())
self.assertTrue(position_id in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(position_id_flipped in self.cache.position_ids())
self.assertTrue(position_id_flipped in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(order_id_flipped,
self.cache.position_exists_for_order(order_id_flipped))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())