def test_add_order_with_diff_inst(self):
position = Position(1)
order1 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
order2 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=2, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
position.add_order(order1)
with self.assertRaises(RuntimeError) as ex:
position.add_order(order2)
def test_add_order_with_diff_inst(self):
position = Position(1)
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=2,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
with self.assertRaises(RuntimeError) as ex:
position.add_order(order2)
def test_position(self, name, serializer):
item = Position(inst_id=1)
SerializerTest.ser_deser(name, serializer, item)
def test_add_order(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
self.assertEquals(0, len(position.all_orders()))
order1 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(1000, position.ordered_qty())
self.assertEquals(1, len(position.all_orders()))
order2 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(2000, position.ordered_qty())
self.assertEquals(2, len(position.all_orders()))
order3 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=3, inst_id=1, action=OrdAction.SELL, type=OrdType.LIMIT, qty=1200,
limit_price=18.5))
position.add_order(order3)
self.assertEquals(800, position.ordered_qty())
self.assertEquals(3, len(position.all_orders()))
def test_fill_qty(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
order1 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(0, position.filled_qty())
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order1.on_exec_report(er1)
position.add_position(er1.cl_id, er1.cl_ord_id, er1.last_qty)
self.assertEquals(500, position.filled_qty())
er2 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=2, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.FILLED)
order1.on_exec_report(er2)
position.add_position(er2.cl_id, er2.cl_ord_id, er2.last_qty)
self.assertEquals(1000, position.filled_qty())
order2 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.SELL, type=OrdType.LIMIT, qty=1200,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(1000, position.filled_qty())
er3 = ExecutionReport(cl_id='test', cl_ord_id=2, ord_id=2, er_id=3, inst_id=1, last_qty=800, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order2.on_exec_report(er3)
position.add_position(er3.cl_id, er3.cl_ord_id, er3.last_qty * -1)
self.assertEquals(200, position.filled_qty())
er4 = ExecutionReport(cl_id='test', cl_ord_id=2, ord_id=2, er_id=4, inst_id=1, last_qty=400, last_price=18.4,
status=OrdStatus.FILLED)
order2.on_exec_report(er4)
position.add_position(er4.cl_id, er4.cl_ord_id, er4.last_qty * -1)
self.assertEquals(-200, position.filled_qty())
def test_add_order(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
self.assertEquals(0, len(position.all_orders()))
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(1000, position.ordered_qty())
self.assertEquals(1, len(position.all_orders()))
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(2000, position.ordered_qty())
self.assertEquals(2, len(position.all_orders()))
order3 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=3,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1200,
limit_price=18.5))
position.add_order(order3)
self.assertEquals(800, position.ordered_qty())
self.assertEquals(3, len(position.all_orders()))
def test_fill_qty(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(0, position.filled_qty())
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order1.on_exec_report(er1)
position.add_position(er1.cl_id, er1.cl_ord_id, er1.last_qty)
self.assertEquals(500, position.filled_qty())
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.FILLED)
order1.on_exec_report(er2)
position.add_position(er2.cl_id, er2.cl_ord_id, er2.last_qty)
self.assertEquals(1000, position.filled_qty())
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1200,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(1000, position.filled_qty())
er3 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=3,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order2.on_exec_report(er3)
position.add_position(er3.cl_id, er3.cl_ord_id, er3.last_qty * -1)
self.assertEquals(200, position.filled_qty())
er4 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=4,
inst_id=1,
last_qty=400,
last_price=18.4,
status=OrdStatus.FILLED)
order2.on_exec_report(er4)
position.add_position(er4.cl_id, er4.cl_ord_id, er4.last_qty * -1)
self.assertEquals(-200, position.filled_qty())