def on_sell_signal(self) -> List[Dict]:
logging.debug("Long or short : {}".format(self.long_short))
orders = []
if self.long_short in (LongShort.LONG, LongShort.NO_POSITION):
last_price = self.prices.iloc[-1]["close"]
logging.debug(self.prices)
if self.test_mode:
# make sure order gets filled by adding a counter order
# to the order book if in test mode
quote = Quote(type="limit",
dealer_or_broker_id=DUMMY_CPTY,
symbol=self.symbol,
side="bid",
quantity=DEFAULT_QUANTITY,
price=last_price + INCREMENT)
orders.append(asdict(quote))
quote = Quote(type="limit",
dealer_or_broker_id=OUR_CPTY,
symbol=self.symbol,
side="ask",
quantity=DEFAULT_QUANTITY,
price=last_price)
orders.append(asdict(quote))
return orders
def setUp(self):
ask_quote = Quote(type='market', side='ask', quantity=40,
dealer_or_broker_id=111)
self.ask_order = MarketOrder(asdict(ask_quote))
bid_quote = Quote(type='market', side='bid', quantity=40,
dealer_or_broker_id=111)
self.bid_order = MarketOrder(asdict(bid_quote))
def test_big_crossing_limit_order(self):
""" order is bigger than available liquidity
"""
logging.debug('**** TestExample:test_big_crossing_limit_order')
self.assertEqual(len(self.order_book.bids), 4)
self.assertEqual(len(self.order_book.asks), 4)
big_crossing_limit_order = Quote(type='limit',
side='bid',
quantity=50,
price=102,
dealer_or_broker_id='EE')
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# 9 EE 102 50 | # noqa
# 5 AA 99 5 | 1 AA 101 5 # noqa
# 7 CC 99 5 | 3 CC 101 5 # noqa
# 6 BB 98 5 | 4 DD 101 5 # noqa
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
#
(trades, new_order_in_book) = \
self.order_book.match_order(asdict(big_crossing_limit_order))
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# 10 EE 102 35 |
# 5 AA 99 5 |
# 7 CC 99 5 |
# 6 BB 98 5 |
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
# EE AA 5 101
# EE CC 5 101
# EE DD 5 101
self.assertEqual(new_order_in_book['price'], 102)
self.assertEqual(new_order_in_book['trade_id'], 'EE')
self.assertEqual(new_order_in_book['type'], 'limit')
self.assertEqual(new_order_in_book['side'], 'bid')
self.assertEqual(new_order_in_book['quantity'], 35)
self.assertEqual(len(trades), 3)
trade = trades[0]
self.assertEqual(trade['buyer'], 'EE')
self.assertEqual(trade['seller'], 'AA')
self.assertEqual(trade['price'], 101)
self.assertEqual(trade['quantity'], 5)
self.assertEqual(len(self.order_book.bids), 5)
self.assertEqual(len(self.order_book.asks), 1)
def test_market_order(self):
""" test a marketorder
"""
logging.debug('**** TestExample:test_market_order')
self.assertEqual(len(self.order_book.bids), 4)
self.assertEqual(len(self.order_book.asks), 4)
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# |
# 5 AA 99 5 | 1 AA 101 5 # noqa
# 7 CC 99 5 | 3 CC 101 5 # noqa
# 6 BB 98 5 | 4 DD 101 5 # noqa
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
#
market_order = Quote(type='market',
side='ask',
quantity=40,
dealer_or_broker_id=111)
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# | 9 111 40 # noqa
# 5 AA 99 5 | 1 AA 101 5 # noqa
# 7 CC 99 5 | 3 CC 101 5 # noqa
# 6 BB 98 5 | 4 DD 101 5 # noqa
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
#
(trades, _) = self.order_book.match_order(asdict(market_order))
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# | 9 111 20 # noqa
# | 1 AA 101 5 # noqa
# | 3 CC 101 5 # noqa
# | 4 DD 101 5 # noqa
# | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
# AA 111 5 99
# CC 111 5 99
# BB 111 5 98
# DD 111 5 97
self.assertEqual(len(trades), 4)
self.assertEqual(len(self.order_book.bids), 0)
self.assertEqual(len(self.order_book.asks), 5)
def test_add_limit_order(self):
"""the testcase from myalgo.py
"""
logging.debug('**** TestAlgoSim:test_add_limit_order')
self.assertEqual(len(self.order_book.bids), 5)
self.assertEqual(len(self.order_book.asks), 4)
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# 10 ME 1.04 10000 |
# 1 AB 1.00 15000 | 6 JF 1.02 31000 # noqa
# 2 AB 1.00 15000 | 7 ML 1.04 5000 # noqa
# 3 CD 0.99 5000 | 8 SC 1.05 2000 # noqa
# 4 EF 0.98 3000 | 9 HS 1.09 2000 # noqa
# 5 ABC 0.97 12000 |
quote = Quote(type='limit',
side='bid',
quantity=10000,
price=1.04,
dealer_or_broker_id='ME')
(trades, order) = self.order_book.match_order(asdict(quote))
# orderbook
#
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# |
# 1 AB 1.00 15000 | 11 JF 1.02 21000 # noqa
# 2 AB 1.00 15000 | 7 ML 1.04 5000 # noqa
# 3 CD 0.99 5000 | 8 SC 1.05 2000 # noqa
# 4 EF 0.98 3000 | 9 HS 1.09 2000 # noqa
# 5 ABC 0.97 12000 |
#
# tape
#
# bought sold quantity price
# ME JF 10000 1.02
self.assertEqual(len(trades), 1)
trade = trades[0]
self.assertEqual(type(trade), Trade)
self.assertEqual(trade['buyer'], 'ME')
self.assertEqual(trade['seller'], 'JF')
self.assertEqual(trade['price'], 1.02)
self.assertEqual(trade['quantity'], 10000)
self.assertIsNone(order)
self.assertEqual(len(self.order_book.bids), 5)
self.assertEqual(len(self.order_book.asks), 4)
def test_crossing_limit_order(self):
""" this order will result in a trade
"""
logging.debug('**** TestExample:test_crossing_limit_order')
self.assertEqual(len(self.order_book.bids), 4)
self.assertEqual(len(self.order_book.asks), 4)
crossing_limit_order = Quote(type='limit',
side='bid',
quantity=2,
price=102,
dealer_or_broker_id='EE')
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# 9 EE 102 2 |
# 5 AA 99 5 | 1 AA 101 5 # noqa
# 7 CC 99 5 | 3 CC 101 5 # noqa
# 6 BB 98 5 | 4 DD 101 5 # noqa
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
#
(trades, new_order_in_book) = \
self.order_book.match_order(asdict(crossing_limit_order))
# orderbook
# BID ASK
# order id broker limit quantity | order id broker limit quantity # noqa
# |
# 5 AA 99 5 | 10 AA 101 3 # noqa
# 7 CC 99 5 | 3 CC 101 5 # noqa
# 6 BB 98 5 | 4 DD 101 5 # noqa
# 8 DD 97 5 | 2 BB 103 5 # noqa
# |
# tape
#
# bought sold quantity price
# EE AA 2 101
self.assertEqual(len(trades), 1)
self.assertIsNone(new_order_in_book)
trade = trades[0]
self.assertEqual(trade['price'], 101)
self.assertEqual(trade['quantity'], 2)
self.assertEqual(len(self.order_book.bids), 4)
self.assertEqual(len(self.order_book.asks), 4)