def test_init(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
side = TradeSide.BUY
trade_type = TradeType.MARKET
# Create order specification without criteria
order_spec = OrderSpec(side=side,
trade_type=trade_type,
exchange_pair=ExchangePair(exchange, USD / BTC))
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.exchange_pair == ExchangePair(exchange, USD / BTC)
assert not order_spec.criteria
# Create order specification with criteria
order_spec = OrderSpec(side=side,
trade_type=trade_type,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=lambda order, exchange: True)
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.exchange_pair == ExchangePair(exchange, USD / BTC)
assert order_spec.criteria
def test_create_from_buy_order(mock_order_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "bitfinex"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 2 * BTC)]
portfolio = Portfolio(USD, wallets)
order = mock_order_class.return_value
order.portfolio = portfolio
order.exchange_pair = ExchangePair(exchange, USD / BTC)
order.path_id = "fake_path_id"
order.price = Decimal(7000.00)
wallet_btc = portfolio.get_wallet(exchange.id, BTC)
wallet_btc.lock(
quantity=0.4 * BTC,
order=order,
reason="test"
)
assert float(wallet_btc.balance.size) == 1.6
assert float(wallet_btc.locked[order.path_id].size) == 0.4
order_spec = OrderSpec(
side=TradeSide.SELL,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC)
)
next_order = order_spec.create_order(order)
assert next_order
assert next_order.side == TradeSide.SELL
assert next_order.type == TradeType.MARKET
assert next_order.exchange_pair == ExchangePair(exchange, USD / BTC)
assert next_order.path_id == order.path_id
assert next_order.quantity.path_id == order.path_id
assert next_order.quantity.instrument == BTC
def test_to_dict(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC))
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"exchange_pair": order_spec.exchange_pair,
"criteria": order_spec.criteria
}
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=lambda order, exchange: True)
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"exchange_pair": order_spec.exchange_pair,
"criteria": order_spec.criteria
}
def test_str(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC))
pattern = re.compile("<[A-Z][a-zA-Z]*:\\s(\\w+=.*,\\s)*(\\w+=.*)>")
string = str(order_spec)
assert string
assert string == pattern.fullmatch(string).string
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 != []
def proportion_order(portfolio: 'Portfolio', source: 'Wallet',
target: 'Wallet', proportion: float) -> 'Order':
"""Creates an order that sends a proportion of funds from one wallet to
another.
Parameters
----------
portfolio : `Portfolio`
The portfolio that contains both wallets.
source : `Wallet`
The source wallet for the funds.
target : `Wallet`
The target wallet for the funds.
proportion : float
The proportion of funds to send.
"""
assert 0.0 < proportion <= 1.0
exchange = source.exchange
base_params = {
'step': portfolio.clock.step,
'portfolio': portfolio,
'trade_type': TradeType.MARKET,
'start': portfolio.clock.step,
'end': portfolio.clock.step + 1
}
pair = None
is_source_base = (source.instrument == portfolio.base_instrument)
is_target_base = (target.instrument == portfolio.base_instrument)
if is_source_base or is_target_base:
if is_source_base:
pair = source.instrument / target.instrument
else:
pair = target.instrument / source.instrument
exchange_pair = ExchangePair(exchange, pair)
balance = source.balance.as_float()
size = min(balance * proportion, balance)
quantity = (size * source.instrument).quantize()
params = {
**base_params, 'side':
TradeSide.BUY if is_source_base else TradeSide.SELL,
'exchange_pair': exchange_pair,
'price': exchange_pair.price,
'quantity': quantity
}
return Order(**params)
pair = portfolio.base_instrument / source.instrument
exchange_pair = ExchangePair(exchange, pair)
balance = source.balance.as_float()
size = min(balance * proportion, balance)
quantity = (size * source.instrument).quantize()
params = {
**base_params, 'side': TradeSide.SELL,
'exchange_pair': exchange_pair,
'price': exchange_pair.price,
'quantity': quantity
}
order = Order(**params)
pair = portfolio.base_instrument / target.instrument
order.add_order_spec(
OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, pair),
criteria=None))
return order
def risk_managed_order(side: "TradeSide",
trade_type: "TradeType",
exchange_pair: "ExchangePair",
price: float,
quantity: "Quantity",
down_percent: float,
up_percent: float,
portfolio: "Portfolio",
start: int = None,
end: int = None):
"""Create a stop order that manages for percentages above and below the
entry price of the order.
Parameters
----------
side : `TradeSide`
The side of the order.
trade_type : `TradeType`
The type of trade to make when going in.
exchange_pair : `ExchangePair`
The exchange pair to perform the order for.
price : float
The current price.
down_percent: float
The percentage the price is allowed to drop before exiting.
up_percent : float
The percentage the price is allowed to rise before exiting.
quantity : `Quantity`
The quantity of the order.
portfolio : `Portfolio`
The portfolio being used in the order.
start : int, optional
The start time of the order.
end : int, optional
The end time of the order.
Returns
-------
`Order`
A stop order controlling for the percentages above and below the entry
price.
"""
side = TradeSide(side)
instrument = side.instrument(exchange_pair.pair)
order = Order(step=portfolio.clock.step,
side=side,
trade_type=TradeType(trade_type),
exchange_pair=exchange_pair,
price=price,
start=start,
end=end,
quantity=quantity,
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
criteria=risk_criteria)
order.add_order_spec(risk_management)
return order
def test_complete_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
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.execute()
# Execute fake trade
price = Decimal(7010.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.size = Decimal(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")
# Fill fake trade
order.fill(trade)
assert order.path_id in portfolio.get_wallet(exchange.id, USD).locked
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete()
assert order.status == OrderStatus.FILLED
assert next_order
assert next_order.path_id == order.path_id
assert next_order.size
assert next_order.status == OrderStatus.PENDING
assert next_order.side == TradeSide.SELL
assert next_order.exchange_pair == ExchangePair(exchange, USD / BTC)