def testValue(self):
o1 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o2 = Order(self.sym,
dir=Order.SELL,
type=Order.MARKET,
level=1.0000,
size=-10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
#mark = entry
self.aEq(self.pl.value(), 0)
p1.mark = 1.0001
self.aEq(round(self.pl.value()), 1)
p2.mark = 0.9998
self.aEq(round(self.pl.value()), 3)
p1.mark = 0.9999
self.aEq(round(self.pl.value()), 1)
p2.mark = 1.0001
self.aEq(round(self.pl.value()), -2)
def testSL(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 99994)
def testSymOpen(self):
o1 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o2 = Order("NOPE",
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o3 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o3, datetime.now())
self.aEq(self.pl.sym_open(self.sym), [p1, p3])
self.aEq(self.pl.sym_open("NOPE"), [p2])
self.aEq(self.pl.sym_open("PETE"), [])
self.aEq(self.pl.sym_open(None), [])
def testCloseAll(self):
o1 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o2 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o3 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o4 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o2, datetime.now())
p3 = self.pl.add(o2, datetime.now())
p4 = self.pl.add(o2, datetime.now())
self.pl.close_all()
self.aEq([], self.pl.open)
self.aEq([p1, p2, p3, p4], self.pl.closed)
def testMark(self):
o1 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
o2 = Order("NOPE",
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
p1 = self.pl.add(o1, datetime.now())
p2 = self.pl.add(o1, datetime.now())
p3 = self.pl.add(o2, datetime.now())
b1 = Bar(self.sym,
"20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
self.pl.mark(b1)
#mark should update p1 & p2 but not p3
self.aEq(p1.mark, b1.cl)
self.aEq(p2.mark, b1.cl)
self.aEq(p3.mark, o2.level)
def testOpenRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000)
def testGetFills(self):
o1 = Order(self.sym,
dir=Order.BUY,
type=Order.LIMIT,
level=0.9551,
size=1)
o2 = Order(symbol="NOPE",
dir=Order.BUY,
type=Order.LIMIT,
level=0.9551,
size=1)
b1 = Bar(self.sym,
"20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506")
b2 = Bar(self.sym,
"20010102-230000,EURUSD,0.9507,0.9560,0.9505,0.9506")
self.ob.add(o1)
self.ob.add(o2)
self.aEq([], self.ob.get_fills(b1))
self.aEq([o1], self.ob.get_fills(b2))
#market orders always get filled the next bar
#the "fill price" is really just the level set on the order ...
o3 = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=0.9551,
size=1)
self.ob.add(o3)
self.aEq([o3], self.ob.get_fills(b1))
def test_state(self): o1 = Order() for state in Order.StateList: o1.state = state self.aEq(o1.state, state) with self.aRaise(InvalidStateException): o1.state = -1
def test_state(self): o1 = Order() for state in Order.StateList: o1.state = state self.aEq(o1.state, state) with self.aRaise(InvalidStateException): o1.state = -1
def test_trigger(self): o1 = Order() o2 = Order() o1.trigger(o2) self.aEq(len(o1.triggers), 1) self.aIn(o2.id, o1.triggers) self.aEq(o2.trigger_parent, o1.id) self.aEq(o2.triggered(), True)
def testAddLink(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000, link=o1.id) p1 = self.pl.add(o1, datetime.now()) p2 = self.pl.add(o2, datetime.now()) self.aEq([p1], self.pl.closed) self.aEq([], self.pl.open)
def testNetSize(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=100) o2 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=1000) o3 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) for o in (o1, o2, o3): self.pl.add(o, datetime.now()) self.aEq(self.pl.net_size(), 11100)
def testAddTriggered(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) o2 = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=1.1000, size=-10000) o1.trigger(o2) p1 = self.pl.add(o1, datetime.now()) p2 = self.pl.add(o2, datetime.now()) self.aEq([p1], self.pl.closed) self.aEq([], self.pl.open)
def testAddMult(self): o1 = Order() o2 = Order() o3 = Order() self.ob.add(o1, o2, o3) self.aItEq([o1.id, o2.id, o3.id], self.ob.active) for o in (o1, o2, o3): self.aEq(o.state, Order.ACTIVE) self.aRaise(InvalidOrderException, self.ob.add, o1, o2, o3)
def testAddIter(self): tl = (Order(), Order(), Order()) self.ob.add(tl) self.aItEq([x.id for x in tl], self.ob.active) for o in tl: self.aEq(o.state, Order.ACTIVE) #test dupes are detected self.aRaise(InvalidOrderException, self.ob.add, tl[0]) self.aRaise(InvalidOrderException, self.ob.add, tl)
def test_cancels(self): o1 = Order() o2 = Order() o1.cancel(o2) #o2 should be in list of orders cancelled if o1 is filled self.aEq(len(o1.cancels), 1) self.aIn(o2.id, o1.cancels) #o2's cancel parent should be o1 self.aEq(o2.cancel_parent, o1.id)
def test_cancels(self): o1 = Order() o2 = Order() o1.cancel(o2) #o2 should be in list of orders cancelled if o1 is filled self.aEq(len(o1.cancels), 1) self.aIn(o2.id, o1.cancels) #o2's cancel parent should be o1 self.aEq(o2.cancel_parent, o1.id)
def testFillCancel(self): o1 = Order() o2 = Order() o1.cancel(o2) self.ob.add(o1, o2) self.aEq(self.ob.fill(o1), True) self.aEq(o2.state, Order.CANCELLED) self.aEq([o2.id], self.ob.cancelled)
def testFillCancel(self): o1 = Order() o2 = Order() o1.cancel(o2) self.ob.add(o1, o2) self.aEq(self.ob.fill(o1), True) self.aEq(o2.state, Order.CANCELLED) self.aEq([o2.id], self.ob.cancelled)
def testAddPending(self): o1 = Order() o2 = Order() #must still add o2 o1.trigger(o2) #triggered orders should be set to pending an added to pending queue self.ob.add(o1, o2) self.aEq(o1.state, Order.ACTIVE) self.aEq(o2.state, Order.PENDING) self.aIn(o2.id, self.ob.pending)
def testFillTrigger(self): o1 = Order() o2 = Order() o1.trigger(o2) self.ob.add(o1, o2) self.aEq(o2.state, Order.PENDING) self.aEq(self.ob.fill(o1), True) self.aEq(o2.state, Order.ACTIVE) self.aEq([o2.id], self.ob.active)
def testAddPending(self): o1 = Order() o2 = Order() #must still add o2 o1.trigger(o2) #triggered orders should be set to pending an added to pending queue self.ob.add(o1, o2) self.aEq(o1.state, Order.ACTIVE) self.aEq(o2.state, Order.PENDING) self.aIn(o2.id, self.ob.pending)
def testFillTrigger(self): o1 = Order() o2 = Order() o1.trigger(o2) self.ob.add(o1, o2) self.aEq(o2.state, Order.PENDING) self.aEq(self.ob.fill(o1), True) self.aEq(o2.state, Order.ACTIVE) self.aEq([o2.id], self.ob.active)
def test_trigger_iter(self): o1 = Order() o2 = Order() o3 = Order() o1.trigger(o2, o3) self.aEq(len(o1.triggers), 2) self.aIn(o2.id, o1.triggers) self.aIn(o3.id, o1.triggers) self.aEq(o2.trigger_parent, o1.id) self.aEq(o2.triggered(), True) self.aEq(o3.trigger_parent, o1.id) self.aEq(o3.triggered(), True)
def testCancelAll(self): o1 = Order() o2 = Order() o3 = Order() o4 = Order() o1.trigger(o2) o1.trigger(o3) self.ob.add(o1, o2, o3, o4) self.ob.cancel_all() self.aItEq([o1.id, o2.id, o3.id, o4.id], self.ob.cancelled)
def test_cancels_iter(self): o1 = Order() o2 = Order() o3 = Order() o1.cancel((o2, o3)) #o2 & o3 should be in list of orders cancelled if o1 is filled self.aEq(len(o1.cancels), 2) self.aIn(o2.id, o1.cancels) self.aIn(o3.id, o1.cancels) #o2's cancel parent should be o1 self.aEq(o2.cancel_parent, o1.id) #o3's cancel parent should be o1 self.aEq(o3.cancel_parent, o1.id)
def test_init(self): o = Order() #default order state self.aEq(o.state, Order.UNSUB) #no cancels, no triggers self.aEq(len(o.cancels), 0) self.aEq(len(o.triggers), 0)
def testOpenRewind(self): #in this case we have a sl/tp, and get a bar which triggers them both #when this happens, we cancel both the orders and unwind the original position #as if it never happened. If this is happening a lot you need lower time frame data #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9510,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 0) self.aEq(len(self.bt.poslist.rewinded), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 100000)
def testSL(self): #stop loss/take profit b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") #buy order at 9505 o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=0.9505, size=10000) #stop loss at 9499 sl = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) #take profit at 9510 tp = Order(self.sym, dir=Order.SELL, type=Order.LIMIT, level=0.9510, size=-10000) #stop loss hit cancels tp and vice versa Order.OCO(sl, tp) #when the order is filled it activates sl/tp o1.trigger(sl, tp) self.bt.book.add(o1, sl, tp) self.bt.next_bar(self.sym, b1) #the order should be filled self.aEq(len(self.bt.poslist.open), 1) self.aItEq([sl.id, tp.id], self.bt.book.active) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 0) self.aEq(len(self.bt.poslist.closed), 1) self.aEq(len(self.bt.book.active), 0) self.aEq(self.bt.equity, 99994)
def testAddEmpty(self):
o = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
p = self.pl.add(o, datetime.now())
self.aEq(self.pl.open, [p])
self.aEq(p.order_id, o.id)
def testRewind(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) p1 = self.pl.add(o1, datetime.now()) p2 = self.pl.rewind(o1.id) self.aEq(p1, p2) self.aEq([], self.pl.open) self.aEq([p1], self.pl.rewinded)
def testCancel(self): o1 = Order() o2 = Order() self.ob.add(o1, o2) self.ob.cancel(o1) #cancel by id self.ob.cancel(o2.id) self.aEq(o1.state, Order.CANCELLED) self.aEq(o2.state, Order.CANCELLED) self.aItEq([o1.id, o2.id], self.ob.cancelled) #cancel a non existent order returns false self.aEq(self.ob.cancel(None), False) self.aEq(self.ob.cancel(-1), False)
def testCancelTriggers(self): o1 = Order() o2 = Order() o3 = Order() o1.trigger(o2) o2.trigger(o3) self.ob.add(o1, o2, o3) #cancel o1 should cancel o2 as well and add both to the cancelled queue self.aEq(self.ob.cancel(o1), True) self.aEq(o1.state, Order.CANCELLED) self.aEq(o2.state, Order.CANCELLED) self.aEq(o3.state, Order.CANCELLED) self.aItEq([o1.id, o2.id, o3.id], self.ob.cancelled)
def testClose(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) p1 = self.pl.add(o1, datetime.now()) self.pl.close(p1) self.aEq([], self.pl.open) self.aEq([p1], self.pl.closed) self.aEq(p1.exit, o1.level) self.aEq(p1.exit, p1.mark)
def testCloseMark(self): o1 = Order(self.sym, dir=Order.BUY, type=Order.MARKET, level=1.0000, size=10000) p1 = self.pl.add(o1, datetime.now()) #close @ a specified mark level self.pl.close(p1, mark_level=2.0) self.aEq([], self.pl.open) self.aEq([p1], self.pl.closed) self.aEq(p1.exit, 2.0)
def testAddEmptyLevel(self):
o = Order(self.sym,
dir=Order.BUY,
type=Order.MARKET,
level=1.0000,
size=10000)
p = self.pl.add(o, datetime.now(), level=2.0)
self.aEq(p.entry, 2.0)
self.aEq(p.mark, 2.0)
self.aEq(self.pl.open, [p])
def test_trigger(self): o1 = Order() o2 = Order() o1.trigger(o2) self.aEq(len(o1.triggers), 1) self.aIn(o2.id, o1.triggers) self.aEq(o2.trigger_parent, o1.id) self.aEq(o2.triggered(), True)
def testFill(self): o1 = Order() self.ob.add(o1) self.aEq(self.ob.fill(o1), True) self.aEq(o1.state, Order.FILLED) self.aEq([o1.id], self.ob.filled) self.aEq(self.ob.fill(None), False) self.aEq(self.ob.fill(o1), False)
def test_size(self): o1 = Order() with self.aRaise(InvalidOrderException): o1.size = 100 o1 = Order(dir=Order.BUY, size=100) self.aEq(o1.size, 100) #buy orders can only be 0 or positive with self.aRaise(InvalidOrderException): o1.size = -100 #sell orders can only be 0 or negative o1.dir = Order.SELL o1.size = -100 self.aEq(o1.size, -100) with self.aRaise(InvalidOrderException): o1.size = 100
def testSellStop(self): b1 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9505,0.9506") b2 = Bar(self.sym, "20010102-230000,EURUSD,0.9507,0.9509,0.9499,0.9506") o1 = Order(self.sym, dir=Order.SELL, type=Order.STOP, level=0.9499, size=-10000) self.bt.book.add(o1) self.bt.next_bar(self.sym, b1) self.aEq(len(self.bt.poslist.open), 0) self.bt.next_bar(self.sym, b2) self.aEq(len(self.bt.poslist.open), 1)
def testAddSingle(self): o1 = Order() self.ob.add(o1) #adding an order should add it to the active queue of the book self.aEq(len(self.ob.active), 1) self.aIn(o1.id, self.ob.active) #and set its state to active self.aEq(o1.state, Order.ACTIVE) #test single dup self.aRaise(InvalidOrderException, self.ob.add, o1)
def test_trigger_iter(self): o1 = Order() o2 = Order() o3 = Order() o1.trigger(o2, o3) self.aEq(len(o1.triggers), 2) self.aIn(o2.id, o1.triggers) self.aIn(o3.id, o1.triggers) self.aEq(o2.trigger_parent, o1.id) self.aEq(o2.triggered(), True) self.aEq(o3.trigger_parent, o1.id) self.aEq(o3.triggered(), True)
def test_size(self): o1 = Order() with self.aRaise(InvalidOrderException): o1.size = 100 o1 = Order(dir=Order.BUY, size=100) self.aEq(o1.size, 100) #buy orders can only be 0 or positive with self.aRaise(InvalidOrderException): o1.size = -100 #sell orders can only be 0 or negative o1.dir = Order.SELL o1.size = -100 self.aEq(o1.size, -100) with self.aRaise(InvalidOrderException): o1.size = 100
def testCancelTriggers(self): o1 = Order() o2 = Order() o3 = Order() o1.trigger(o2) o2.trigger(o3) self.ob.add(o1, o2, o3) #cancel o1 should cancel o2 as well and add both to the cancelled queue self.aEq(self.ob.cancel(o1), True) self.aEq(o1.state, Order.CANCELLED) self.aEq(o2.state, Order.CANCELLED) self.aEq(o3.state, Order.CANCELLED) self.aItEq([o1.id, o2.id, o3.id], self.ob.cancelled)
def test_validate(self): #no order type set o1 = Order(dir=Order.BUY, size=100, level=100) self.aRaise(InvalidOrderException, Order.validate, o1, 100) #no level set o1 = Order(dir=Order.BUY, size=100, type=Order.LIMIT) self.aRaise(InvalidOrderException, Order.validate, o1, 100) #a buy limit must be lower than the mark o1 = Order(dir=Order.BUY, size=100, type=Order.LIMIT, level=100) self.aRaise(InvalidOrderException, Order.validate, o1, 99) #should not raise anything Order.validate(o1, 101) #a buy stop must be higher than the mark o1 = Order(dir=Order.BUY, size=100, type=Order.STOP, level=100) self.aRaise(InvalidOrderException, Order.validate, o1, 101) #should not raise anything Order.validate(o1, 99) #a sell limit must be higher than mark o1 = Order(dir=Order.SELL, size=-100, type=Order.LIMIT, level=100) self.aRaise(InvalidOrderException, Order.validate, o1, 101) #should not raise anything Order.validate(o1, 99) #a sell stop must be lower than mark o1 = Order(dir=Order.SELL, size=-100, type=Order.STOP, level=100) self.aRaise(InvalidOrderException, Order.validate, o1, 99) #should not raise anything Order.validate(o1, 101)