def test_market_record4(self):
OMS = OrderManagementSystem(10.0, 9.99, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "sell", 1200, 9.99])
a = OMS.strategy_record.active_order == {9.99: [200, 'sell']}
b = OMS.strategy_record.position == -1000
c = OMS.strategy_record.filled_order == [['sell', 9.99, 1000]]
assert a
assert b
assert c
def test_market_record3(self):
OMS = OrderManagementSystem(10.0, 9.99, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "buy", 1200, 10.0])
a = OMS.strategy_record.active_order == {10.0: [200, 'buy']}
b = OMS.strategy_record.position == 1000
c = OMS.strategy_record.filled_order == [['buy', 10.0, 1000]]
OMS.receive(["ZIagent", "market", "sell", 200, 9.7])
d = OMS.strategy_record.active_order == {}
e = OMS.strategy_record.position == 1200
f = OMS.strategy_record.filled_order == [['buy', 10.0, 1000],
['buy', 10.0, 200]]
assert a
assert b
assert c
assert d
assert e
assert f
def test_limit_record(self):
OMS = OrderManagementSystem(10.0, 9.98, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "limit", "sell", 2300, 9.7])
a = OMS.strategy_record.filled_order == [['sell', 9.98, 1000],
['sell', 9.97, 1000],
['sell', 9.96, 300]]
d = OMS.strategy_record.position == -2300
OMS.receive(["strategy", "limit", "sell", 2300, 10.7])
b = OMS.strategy_record.active_order[10.7] == [2300, 'sell']
OMS.receive(["strategy", "cancel", "sell", 2300, 10.7])
c = OMS.strategy_record.active_order == {}
e = OMS.strategy_record.position == -2300
assert a
assert b
assert c
assert d
assert e
def test_market_record(self):
OMS = OrderManagementSystem(10.0, 9.98, 0.01, 5, 9.7)
OMS.record("strategy")
OMS.receive(["strategy", "market", "buy", 2300, 9.7])
OMS.receive(["ZIagent", "market", "buy", 2300, 9.7])
a = OMS.strategy_record.filled_order == [['buy', 10.00, 1000],
['buy', 10.01, 1000],
['buy', 10.02, 300]]
d = OMS.strategy_record.position == 2300
OMS.receive(["strategy", "market", "sell", 1300, 10.7])
OMS.receive(["ZIagent", "limit", "buy", 2300, 9.7])
OMS.receive(["ZIagent", "cancel", "buy", 2300, 9.97])
b = OMS.strategy_record.active_order == {}
c = OMS.strategy_record.filled_order == [['buy', 10.00, 1000],
['buy', 10.01, 1000],
['buy', 10.02, 300],
['sell', 9.98, 1000],
['sell', 9.97, 300]]
e = OMS.strategy_record.position == 1000
assert a
assert b
assert c
assert d
assert e