def testBuyAndSellWithPartialFill2(self):
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 1, True)
elif bars.getDateTime() == datetime.datetime(2000, 1, 3):
self.pos.exitLimit(101)
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 5), 1, 101, 0.2)
barFeed.addTrade(datetime.datetime(2000, 1, 6), 1, 102, 5)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertFalse(strat.pos.isOpen())
self.assertEquals(strat.pos.getShares(), 0)
self.assertEquals(len(strat.posExecutionInfo), 2)
self.assertEquals(strat.pos.getEntryOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
self.assertEquals(strat.pos.getExitOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
def testBuyAndSellWithPartialFill1(self):
class Strategy(TestStrategy):
def __init__(self, cli, feed, brk):
TestStrategy.__init__(self, cli, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 1, True)
elif bars.getDateTime() == datetime.datetime(2000, 1, 3):
self.pos.exit(limitPrice=101)
cli = MockClient()
cli.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 0.1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 101, 10)
cli.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.2)
cli.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.2)
cli.addTrade(datetime.datetime(2000, 1, 5), 1, 101, 0.2)
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk)
strat.getDispatcher().addSubject(cli)
strat.run()
self.assertTrue(strat.pos.isOpen())
self.assertEqual(round(strat.pos.getShares(), 3), 0.1)
self.assertEqual(len(strat.posExecutionInfo), 1)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
def testRoundingBugWithTrades(self):
# Unless proper rounding is in place 0.01 - 0.00441376 - 0.00445547 - 0.00113077 == 6.50521303491e-19
# instead of 0.
class Strategy(TestStrategy):
def __init__(self, cli, feed, brk):
TestStrategy.__init__(self, cli, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 100, 0.01, True)
elif self.pos.entryFilled() and not self.pos.getExitOrder():
self.pos.exitLimit(100, True)
cli = MockClient()
cli.addTrade(datetime.datetime(2000, 1, 1), 1, 100, 1)
cli.addTrade(datetime.datetime(2000, 1, 2), 1, 100, 0.01)
cli.addTrade(datetime.datetime(2000, 1, 3), 1, 100, 0.00441376)
cli.addTrade(datetime.datetime(2000, 1, 4), 1, 100, 0.00445547)
cli.addTrade(datetime.datetime(2000, 1, 5), 1, 100, 0.00113077)
barFeed = barfeed.LiveTradeFeed(cli)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(cli, barFeed, brk)
strat.getDispatcher().addSubject(cli)
strat.run()
self.assertEqual(brk.getShares("BTC"), 0)
self.assertEqual(strat.pos.getEntryOrder().getAvgFillPrice(), 100)
self.assertEqual(strat.pos.getExitOrder().getAvgFillPrice(), 100)
self.assertEqual(strat.pos.getEntryOrder().getFilled(), 0.01)
self.assertEqual(strat.pos.getExitOrder().getFilled(), 0.01)
self.assertEqual(strat.pos.getEntryOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getExitOrder().getRemaining(), 0)
self.assertEqual(strat.pos.getEntryOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
self.assertEqual(strat.pos.getExitOrder().getSubmitDateTime().date(), wsclient.get_current_datetime().date())
self.assertFalse(strat.pos.isOpen())
self.assertEqual(len(strat.posExecutionInfo), 2)
self.assertEqual(strat.pos.getShares(), 0.0)
def testRoundingBugWithTrades(self):
# Unless proper rounding is in place 0.01 - 0.00441376 - 0.00445547 - 0.00113077 == 6.50521303491e-19
# instead of 0.
class Strategy(TestStrategy):
def __init__(self, feed, brk):
TestStrategy.__init__(self, feed, brk)
self.pos = None
def onBars(self, bars):
if self.pos is None:
self.pos = self.enterLongLimit("BTC", 1000, 0.01, True)
elif self.pos.entryFilled() and not self.pos.getExitOrder():
self.pos.exitLimit(1000, True)
barFeed = TestingLiveTradeFeed()
barFeed.addTrade(datetime.datetime(2000, 1, 1), 1, 1000, 1)
barFeed.addTrade(datetime.datetime(2000, 1, 2), 1, 1000, 0.01)
barFeed.addTrade(datetime.datetime(2000, 1, 3), 1, 1000, 0.00441376)
barFeed.addTrade(datetime.datetime(2000, 1, 4), 1, 1000, 0.00445547)
barFeed.addTrade(datetime.datetime(2000, 1, 5), 1, 1000, 0.00113077)
brk = broker.PaperTradingBroker(1000, barFeed)
strat = Strategy(barFeed, brk)
strat.run()
self.assertEquals(brk.getShares("BTC"), 0)
self.assertEquals(strat.pos.getEntryOrder().getAvgFillPrice(), 1000)
self.assertEquals(strat.pos.getExitOrder().getAvgFillPrice(), 1000)
self.assertEquals(strat.pos.getEntryOrder().getFilled(), 0.01)
self.assertEquals(strat.pos.getExitOrder().getFilled(), 0.01)
self.assertEquals(strat.pos.getEntryOrder().getRemaining(), 0)
self.assertEquals(strat.pos.getExitOrder().getRemaining(), 0)
self.assertEquals(strat.pos.getEntryOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
self.assertEquals(strat.pos.getExitOrder().getSubmitDateTime().date(),
wsclient.get_current_datetime().date())
self.assertFalse(strat.pos.isOpen())
self.assertEquals(len(strat.posExecutionInfo), 2)
self.assertEquals(strat.pos.getShares(), 0.0)
def getCurrentDateTime(self):
return wsclient.get_current_datetime()
def getCurrentDateTime(self):
return wsclient.get_current_datetime()