def test_blotter_processes_splits(self):
blotter = Blotter('daily',
self.env.asset_finder,
slippage_func=FixedSlippage())
# set up two open limit orders with very low limit prices,
# one for sid 1 and one for sid 2
blotter.order(blotter.asset_finder.retrieve_asset(1), 100,
LimitOrder(10))
blotter.order(blotter.asset_finder.retrieve_asset(2), 100,
LimitOrder(10))
# send in a split for sid 2
blotter.process_splits([(2, 0.3333)])
for sid in [1, 2]:
order_lists = blotter.open_orders[sid]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
aapl_order = blotter.open_orders[1][0].to_dict()
fls_order = blotter.open_orders[2][0].to_dict()
# make sure the aapl order didn't change
self.assertEqual(100, aapl_order['amount'])
self.assertEqual(10, aapl_order['limit'])
self.assertEqual(1, aapl_order['sid'])
# make sure the fls order did change
# to 300 shares at 3.33
self.assertEqual(300, fls_order['amount'])
self.assertEqual(3.33, fls_order['limit'])
self.assertEqual(2, fls_order['sid'])
def test_blotter_processes_splits(self):
blotter = Blotter('daily', equity_slippage=FixedSlippage())
# set up two open limit orders with very low limit prices,
# one for sid 1 and one for sid 2
asset1 = self.asset_finder.retrieve_asset(1)
asset2 = self.asset_finder.retrieve_asset(2)
asset133 = self.asset_finder.retrieve_asset(133)
blotter.order(asset1, 100, LimitOrder(10))
blotter.order(asset2, 100, LimitOrder(10))
# send in splits for assets 133 and 2. We have no open orders for
# asset 133 so it should be ignored.
blotter.process_splits([(asset133, 0.5), (asset2, 0.3333)])
for asset in [asset1, asset2]:
order_lists = blotter.open_orders[asset]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
asset1_order = blotter.open_orders[1][0]
asset2_order = blotter.open_orders[2][0]
# make sure the asset1 order didn't change
self.assertEqual(100, asset1_order.amount)
self.assertEqual(10, asset1_order.limit)
self.assertEqual(1, asset1_order.asset)
# make sure the asset2 order did change
# to 300 shares at 3.33
self.assertEqual(300, asset2_order.amount)
self.assertEqual(3.33, asset2_order.limit)
self.assertEqual(2, asset2_order.asset)
def test_blotter_processes_splits(self):
blotter = Blotter("daily", self.env.asset_finder, slippage_func=FixedSlippage())
# set up two open limit orders with very low limit prices,
# one for sid 1 and one for sid 2
blotter.order(blotter.asset_finder.retrieve_asset(1), 100, LimitOrder(10))
blotter.order(blotter.asset_finder.retrieve_asset(2), 100, LimitOrder(10))
# send in a split for sid 2
blotter.process_splits([(2, 0.3333)])
for sid in [1, 2]:
order_lists = blotter.open_orders[sid]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
aapl_order = blotter.open_orders[1][0].to_dict()
fls_order = blotter.open_orders[2][0].to_dict()
# make sure the aapl order didn't change
self.assertEqual(100, aapl_order["amount"])
self.assertEqual(10, aapl_order["limit"])
self.assertEqual(1, aapl_order["sid"])
# make sure the fls order did change
# to 300 shares at 3.33
self.assertEqual(300, fls_order["amount"])
self.assertEqual(3.33, fls_order["limit"])
self.assertEqual(2, fls_order["sid"])
def test_blotter_processes_splits(self):
blotter = Blotter('daily', equity_slippage=FixedSlippage())
# set up two open limit orders with very low limit prices,
# one for sid 1 and one for sid 2
asset1 = self.asset_finder.retrieve_asset(1)
asset2 = self.asset_finder.retrieve_asset(2)
asset133 = self.asset_finder.retrieve_asset(133)
blotter.order(asset1, 100, LimitOrder(10))
blotter.order(asset2, 100, LimitOrder(10))
# send in splits for assets 133 and 2. We have no open orders for
# asset 133 so it should be ignored.
blotter.process_splits([(asset133, 0.5), (asset2, 0.3333)])
for asset in [asset1, asset2]:
order_lists = blotter.open_orders[asset]
self.assertIsNotNone(order_lists)
self.assertEqual(1, len(order_lists))
asset1_order = blotter.open_orders[1][0]
asset2_order = blotter.open_orders[2][0]
# make sure the asset1 order didn't change
self.assertEqual(100, asset1_order.amount)
self.assertEqual(10, asset1_order.limit)
self.assertEqual(1, asset1_order.asset)
# make sure the asset2 order did change
# to 300 shares at 3.33
self.assertEqual(300, asset2_order.amount)
self.assertEqual(3.33, asset2_order.limit)
self.assertEqual(2, asset2_order.asset)
