def test_submit(mock_order_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
broker = Broker()
broker.exchanges = [exchange]
order = mock_order_class.return_value
assert broker.unexecuted == []
broker.submit(order)
assert order in broker.unexecuted
def test_on_fill(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options.max_trade_size = 1e6
exchange.id = "fake_exchange_id"
exchange.name = "bitfinex"
exchange.quote_price = lambda pair: Decimal(7000.00)
broker = Broker()
broker.exchanges = [exchange]
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
order.attach(broker)
order.execute()
broker.executed[order.id] = order
trade = mock_trade_class.return_value
trade.quantity = 5197.00 * USD
trade.commission = 3.00 * USD
trade.order_id = order.id
assert order.status == OrderStatus.OPEN
order.fill(trade)
assert order.status == OrderStatus.FILLED
assert order.remaining == 0
assert trade in broker.trades[order.id]
def test_reset(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
broker = Broker()
broker.exchanges = [exchange]
broker._unexecuted = [78, 98, 100]
broker._executed = {'a': 1, 'b': 2}
broker._trades = {'a': 2, 'b': 3}
broker.reset()
assert broker.unexecuted == []
assert broker.executed == {}
assert broker.trades == {}
def test_cancel_executed_order(mock_order_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options.max_trade_size = 1e6
broker = Broker()
broker.exchanges = [exchange]
order = mock_order_class.return_value
order.cancel = mock.Mock(return_value=None)
broker.submit(order)
assert order in broker.unexecuted
order.status = OrderStatus.CANCELLED
with pytest.raises(Warning):
broker.cancel(order)
def test_cancel_unexecuted_order(mock_order_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
broker = Broker()
broker.exchanges = [exchange]
order = mock_order_class.return_value
order.cancel = mock.Mock(return_value=None)
order.status = OrderStatus.PENDING
broker.submit(order)
assert order in broker.unexecuted
broker.cancel(order)
assert order not in broker.unexecuted
order.cancel.assert_called_once_with()
def test_update_on_single_exchange_with_single_order(mock_order_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
broker = Broker()
broker.exchanges = [exchange]
order = mock_order_class.return_value
order.id = "fake_id"
order.start = 0
order.end = None
order.is_executable_on = mock.Mock(side_effect=[False, True])
order.attach = mock.Mock(return_value=None)
broker.submit(order)
# Test order does execute
broker.update()
assert order not in broker.unexecuted
assert order.id in broker.executed
order.attach.assert_called_once_with(broker)
def test_init(mock_exchange_class):
exchange = mock_exchange_class.return_value
broker = Broker()
broker.exchanges = [exchange]
assert broker
assert broker.exchanges == [exchange]
assert broker.unexecuted == []
assert broker.executed == {}
assert broker.trades == {}
exchanges = [
mock_exchange_class.return_value, mock_exchange_class.return_value,
mock_exchange_class.return_value
]
broker = Broker()
broker.exchanges = exchanges
assert broker
assert broker.exchanges == exchanges
assert broker.unexecuted == []
assert broker.executed == {}
assert broker.trades == {}
def __init__(self) -> None:
super().__init__()
self.portfolio: 'Portfolio' = None
self.broker: 'Broker' = Broker()
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options.max_trade_size = 1e6
exchange.id = "fake_exchange_id"
exchange.name = "bitfinex"
exchange.quote_price = lambda pair: Decimal(7000.00)
broker = Broker()
broker.exchanges = [exchange]
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=risk_criteria)
order.add_order_spec(risk_management)
order.attach(broker)
order.execute()
broker.executed[order.id] = order
# Execute fake trade
price = Decimal(7000.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.order_id = order.id
trade.size = base_size
trade.quantity = base_size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
assert trade.order_id in broker.executed.keys()
assert trade not in broker.trades
assert broker.unexecuted == []
order.fill(trade)
assert order.remaining == 0
assert trade in broker.trades[order.id]
assert broker.unexecuted != []
