class TestLiveExecutionEngine:
def setup(self):
# Fixture Setup
self.loop = asyncio.get_event_loop()
self.loop.set_debug(True)
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TestStubs.trader_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S-001"),
clock=self.clock,
)
self.random_order_factory = OrderFactory(
trader_id=TraderId("RANDOM-042"),
strategy_id=StrategyId("S-042"),
clock=self.clock,
)
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = LiveDataEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = LiveRiskEngine(
loop=self.loop,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.instrument_provider = InstrumentProvider()
self.instrument_provider.add(AUDUSD_SIM)
self.instrument_provider.add(GBPUSD_SIM)
self.client = MockLiveExecutionClient(
loop=self.loop,
client_id=ClientId(SIM.value),
venue_type=VenueType.ECN,
account_id=TestStubs.account_id(),
account_type=AccountType.CASH,
base_currency=USD,
instrument_provider=self.instrument_provider,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestStubs.event_cash_account_state())
self.exec_engine.register_client(self.client)
self.cache.add_instrument(AUDUSD_SIM)
def teardown(self):
self.exec_engine.dispose()
@pytest.mark.asyncio
async def test_start_when_loop_not_running_logs(self):
# Arrange, Act
self.exec_engine.start()
# Assert
assert True # No exceptions raised
self.exec_engine.stop()
@pytest.mark.asyncio
async def test_message_qsize_at_max_blocks_on_put_command(self):
# Arrange
# Deregister test fixture ExecutionEngine from msgbus)
self.msgbus.deregister(endpoint="ExecEngine.execute",
handler=self.exec_engine.execute)
self.msgbus.deregister(endpoint="ExecEngine.process",
handler=self.exec_engine.process)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=LiveExecEngineConfig(qsize=1),
)
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 1
assert self.exec_engine.command_count == 0
@pytest.mark.asyncio
async def test_message_qsize_at_max_blocks_on_put_event(self):
# Arrange
# Deregister test fixture ExecutionEngine from msgbus)
self.msgbus.deregister(endpoint="ExecEngine.execute",
handler=self.exec_engine.execute)
self.msgbus.deregister(endpoint="ExecEngine.process",
handler=self.exec_engine.process)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=LiveExecEngineConfig(qsize=1),
)
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
event = TestStubs.event_order_submitted(order)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.process(event) # Add over max size
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 1
assert self.exec_engine.command_count == 0
@pytest.mark.asyncio
async def test_start(self):
# Arrange, Act
self.exec_engine.start()
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.is_running
# Tear Down
self.exec_engine.stop()
@pytest.mark.asyncio
async def test_kill_when_running_and_no_messages_on_queues(self):
# Arrange, Act
self.exec_engine.start()
await asyncio.sleep(0)
self.exec_engine.kill()
# Assert
assert self.exec_engine.is_stopped
@pytest.mark.asyncio
async def test_kill_when_not_running_with_messages_on_queue(self):
# Arrange, Act
self.exec_engine.kill()
# Assert
assert self.exec_engine.qsize() == 0
@pytest.mark.asyncio
async def test_execute_command_places_command_on_queue(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 0
assert self.exec_engine.command_count == 1
# Tear Down
self.exec_engine.stop()
@pytest.mark.asyncio
async def test_reconcile_state_with_no_active_orders(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Act
await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
await asyncio.sleep(0.1)
# Assert
assert True # No exceptions raised
@pytest.mark.asyncio
async def test_reconcile_state_when_report_agrees_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.ACCEPTED,
filled_qty=Quantity.zero(),
ts_init=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
@pytest.mark.asyncio
async def test_reconcile_state_when_canceled_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.CANCELED,
filled_qty=Quantity.zero(),
ts_init=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
@pytest.mark.asyncio
async def test_reconcile_state_when_expired_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.EXPIRED,
filled_qty=Quantity.zero(),
ts_init=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
@pytest.mark.skip(reason="reimplement reconciliation")
@pytest.mark.asyncio
async def test_reconcile_state_when_partially_filled_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.PARTIALLY_FILLED,
filled_qty=Quantity.from_int(70000),
ts_init=0,
)
trade1 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
execution_id=ExecutionId("1"),
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(5.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
trade2 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
execution_id=ExecutionId("2"),
last_qty=Quantity.from_int(20000),
last_px=Price.from_str("1.00000"),
commission=Money(2.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
@pytest.mark.skip(reason="reimplement reconciliation")
@pytest.mark.asyncio
async def test_reconcile_state_when_filled_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.FILLED,
filled_qty=Quantity.from_int(100000),
ts_init=0,
)
trade1 = ExecutionReport(
execution_id=ExecutionId("1"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(5.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
trade2 = ExecutionReport(
execution_id=ExecutionId("2"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(2.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
class LiveExecutionEngineTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=self.clock,
)
self.random_order_factory = OrderFactory(
trader_id=TraderId("RANDOM", "042"),
strategy_id=StrategyId("S", "042"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
self.database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def tearDown(self):
self.exec_engine.dispose()
self.loop.stop()
self.loop.close()
def test_start_when_loop_not_running_logs(self):
# Arrange
# Act
self.exec_engine.start()
# Assert
self.assertTrue(True) # No exceptions raised
self.exec_engine.stop()
def test_message_qsize_at_max_blocks_on_put_command(self):
# Arrange
self.exec_engine = LiveExecutionEngine(loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={"qsize": 1})
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
Venue("SIM"),
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.execute(submit_order)
# Assert
self.assertEqual(1, self.exec_engine.qsize())
self.assertEqual(0, self.exec_engine.command_count)
def test_message_qsize_at_max_blocks_on_put_event(self):
# Arrange
self.exec_engine = LiveExecutionEngine(loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={"qsize": 1})
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
Venue("SIM"),
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
event = TestStubs.event_order_submitted(order)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.process(event) # Add over max size
# Assert
self.assertEqual(1, self.exec_engine.qsize())
self.assertEqual(0, self.exec_engine.command_count)
def test_get_event_loop_returns_expected_loop(self):
# Arrange
# Act
loop = self.exec_engine.get_event_loop()
# Assert
self.assertEqual(self.loop, loop)
def test_start(self):
async def run_test():
# Arrange
# Act
self.exec_engine.start()
await asyncio.sleep(0.1)
# Assert
self.assertEqual(ComponentState.RUNNING, self.exec_engine.state)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
def test_kill_when_running_and_no_messages_on_queues(self):
async def run_test():
# Arrange
# Act
self.exec_engine.start()
await asyncio.sleep(0)
self.exec_engine.kill()
# Assert
self.assertEqual(ComponentState.STOPPED, self.exec_engine.state)
self.loop.run_until_complete(run_test())
def test_kill_when_not_running_with_messages_on_queue(self):
async def run_test():
# Arrange
# Act
self.exec_engine.kill()
# Assert
self.assertEqual(0, self.exec_engine.qsize())
self.loop.run_until_complete(run_test())
def test_execute_command_places_command_on_queue(self):
async def run_test():
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
Venue("SIM"),
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
self.assertEqual(0, self.exec_engine.qsize())
self.assertEqual(1, self.exec_engine.command_count)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
def test_handle_position_opening_with_position_id_none(self):
async def run_test():
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
event = TestStubs.event_order_submitted(order)
# Act
self.exec_engine.process(event)
await asyncio.sleep(0.1)
# Assert
self.assertEqual(0, self.exec_engine.qsize())
self.assertEqual(1, self.exec_engine.event_count)
# Tear Down
self.exec_engine.stop()
self.loop.run_until_complete(run_test())
class TestBetfairExecutionClient:
def setup(self):
# Fixture Setup
self.loop = asyncio.get_event_loop()
self.loop.set_debug(True)
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.trader_id = TestStubs.trader_id()
self.venue = BETFAIR_VENUE
self.account_id = AccountId(self.venue.value, "001")
# Setup logging
self.logger = LiveLogger(loop=self.loop,
clock=self.clock,
level_stdout=LogLevel.DEBUG)
self._log = LoggerAdapter("TestBetfairExecutionClient", self.logger)
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.cache.add_instrument(BetfairTestStubs.betting_instrument())
self.cache.add_account(
TestStubs.betting_account(account_id=self.account_id))
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.betfair_client: BetfairClient = BetfairTestStubs.betfair_client(
loop=self.loop, logger=self.logger)
assert self.betfair_client.session_token
self.instrument_provider = BetfairTestStubs.instrument_provider(
betfair_client=self.betfair_client)
self.client = BetfairExecutionClient(
loop=asyncio.get_event_loop(),
client=self.betfair_client,
account_id=self.account_id,
base_currency=GBP,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
instrument_provider=self.instrument_provider,
market_filter={},
)
self.exec_engine.register_client(self.client)
# Re-route exec engine messages through `handler`
self.messages = []
def handler(func):
def inner(x):
self.messages.append(x)
return func(x)
return inner
def listener(x):
print(x)
self.msgbus.subscribe("*", listener)
self.msgbus.deregister(endpoint="ExecEngine.execute",
handler=self.exec_engine.execute)
self.msgbus.register(endpoint="ExecEngine.execute",
handler=handler(self.exec_engine.execute))
self.msgbus.deregister(endpoint="ExecEngine.process",
handler=self.exec_engine.process)
self.msgbus.register(endpoint="ExecEngine.process",
handler=handler(self.exec_engine.process))
self.msgbus.deregister(endpoint="Portfolio.update_account",
handler=self.portfolio.update_account)
self.msgbus.register(endpoint="Portfolio.update_account",
handler=handler(self.portfolio.update_account))
def _prefill_venue_order_id_to_client_order_id(self, update):
order_ids = [
update["id"] for market in update.get("oc", [])
for order in market.get("orc", [])
for update in order.get("uo", [])
]
return {
VenueOrderId(oid): ClientOrderId(str(i + 1))
for i, oid in enumerate(order_ids)
}
async def _setup_account(self):
await self.client.connection_account_state()
def _setup_exec_client_and_cache(self, update):
"""
Called before processing a test streaming update - ensure all orders are in the cache in `update`.
"""
venue_order_ids = self._prefill_venue_order_id_to_client_order_id(
update)
venue_order_id_to_client_order_id = {}
for c_id, v_id in enumerate(venue_order_ids):
client_order_id = ClientOrderId(str(c_id))
venue_order_id = VenueOrderId(str(v_id))
self._log.debug(
f"Adding client_order_id=[{c_id}], venue_order_id=[{v_id}] ")
order = BetfairTestStubs.make_accepted_order(
venue_order_id=venue_order_id, client_order_id=client_order_id)
self._log.debug(f"created order: {order}")
venue_order_id_to_client_order_id[v_id] = order.client_order_id
cache_order = self.cache.order(
client_order_id=order.client_order_id)
self._log.debug(f"Cached order: {order}")
if cache_order is None:
self._log.debug("Adding order to cache")
self.cache.add_order(order, position_id=PositionId(v_id.value))
assert self.cache.order(
client_order_id).venue_order_id == venue_order_id
self.cache.update_order(order)
self.client.venue_order_id_to_client_order_id = venue_order_id_to_client_order_id
async def _account_state(self):
account_details = await self.betfair_client.get_account_details()
account_funds = await self.betfair_client.get_account_funds()
timestamp = self.clock.timestamp_ns()
account_state = betfair_account_to_account_state(
account_detail=account_details,
account_funds=account_funds,
event_id=self.uuid_factory.generate(),
ts_event=timestamp,
ts_init=timestamp,
)
return account_state
@pytest.mark.asyncio
async def test_submit_order_success(self):
# Arrange
command = BetfairTestStubs.submit_order_command()
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_place_order_success())
# Act
self.client.submit_order(command)
await asyncio.sleep(0)
# Assert
submitted, accepted = self.messages
assert isinstance(submitted, OrderSubmitted)
assert isinstance(accepted, OrderAccepted)
assert accepted.venue_order_id == VenueOrderId("228302937743")
@pytest.mark.asyncio
async def test_submit_order_error(self):
# Arrange
command = BetfairTestStubs.submit_order_command()
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_place_order_error())
# Act
self.client.submit_order(command)
await asyncio.sleep(0)
# Assert
submitted, rejected = self.messages
assert isinstance(submitted, OrderSubmitted)
assert isinstance(rejected, OrderRejected)
assert rejected.reason == "PERMISSION_DENIED: ERROR_IN_ORDER"
@pytest.mark.asyncio
async def test_modify_order_success(self):
# Arrange
venue_order_id = VenueOrderId("240808576108")
order = BetfairTestStubs.make_accepted_order(
venue_order_id=venue_order_id)
command = BetfairTestStubs.modify_order_command(
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=venue_order_id,
)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_replace_orders_success())
# Act
self.cache.add_order(order, PositionId("1"))
self.client.modify_order(command)
await asyncio.sleep(0)
# Assert
pending_update, updated = self.messages
assert isinstance(pending_update, OrderPendingUpdate)
assert isinstance(updated, OrderUpdated)
assert updated.price == Price.from_str("0.02000")
@pytest.mark.asyncio
async def test_modify_order_error_order_doesnt_exist(self):
# Arrange
venue_order_id = VenueOrderId("229435133092")
order = BetfairTestStubs.make_accepted_order(
venue_order_id=venue_order_id)
command = BetfairTestStubs.modify_order_command(
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=venue_order_id,
)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_replace_orders_success())
# Act
self.client.modify_order(command)
await asyncio.sleep(0)
# Assert
pending_update, rejected = self.messages
assert isinstance(pending_update, OrderPendingUpdate)
assert isinstance(rejected, OrderModifyRejected)
assert rejected.reason == "ORDER NOT IN CACHE"
@pytest.mark.asyncio
async def test_modify_order_error_no_venue_id(self):
# Arrange
order = BetfairTestStubs.make_submitted_order()
self.cache.add_order(order, position_id=BetfairTestStubs.position_id())
command = BetfairTestStubs.modify_order_command(
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id="",
)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_replace_orders_success())
# Act
self.client.modify_order(command)
await asyncio.sleep(0)
# Assert
pending_update, rejected = self.messages
assert isinstance(pending_update, OrderPendingUpdate)
assert isinstance(rejected, OrderModifyRejected)
assert rejected.reason == "ORDER MISSING VENUE_ORDER_ID"
@pytest.mark.asyncio
async def test_cancel_order_success(self):
# Arrange
order = BetfairTestStubs.make_submitted_order()
self.cache.add_order(order, position_id=BetfairTestStubs.position_id())
command = BetfairTestStubs.cancel_order_command(
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("240564968665"),
)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_cancel_orders_success())
# Act
self.client.cancel_order(command)
await asyncio.sleep(0)
# Assert
pending_cancel, cancelled = self.messages
assert isinstance(pending_cancel, OrderPendingCancel)
assert isinstance(cancelled, OrderCanceled)
@pytest.mark.asyncio
async def test_cancel_order_fail(self):
# Arrange
order = BetfairTestStubs.make_submitted_order()
self.cache.add_order(order, position_id=BetfairTestStubs.position_id())
command = BetfairTestStubs.cancel_order_command(
instrument_id=order.instrument_id,
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("228302937743"),
)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_cancel_orders_error())
# Act
self.client.cancel_order(command)
await asyncio.sleep(0)
# Assert
pending_cancel, cancelled = self.messages
assert isinstance(pending_cancel, OrderPendingCancel)
assert isinstance(cancelled, OrderCancelRejected)
@pytest.mark.asyncio
async def test_order_multiple_fills(self):
# Arrange
self.exec_engine.start()
client_order_id = ClientOrderId("1")
venue_order_id = VenueOrderId("246938411724")
submitted = BetfairTestStubs.make_submitted_order(
client_order_id=client_order_id, quantity=Quantity.from_int(20))
self.cache.add_order(submitted,
position_id=BetfairTestStubs.position_id())
self.client.venue_order_id_to_client_order_id[
venue_order_id] = client_order_id
# Act
for update in BetfairStreaming.ocm_multiple_fills():
await self.client._handle_order_stream_update(update)
await asyncio.sleep(0.1)
# Assert
result = [fill.last_qty for fill in self.messages]
expected = [
Quantity.from_str("16.1900"),
Quantity.from_str("0.77"),
Quantity.from_str("0.77"),
]
assert result == expected
@pytest.mark.asyncio
async def test_connection_account_state(self):
# Arrange, Act, Assert
await self.client.connection_account_state()
# Assert
assert self.cache.account(self.account_id)
@pytest.mark.asyncio
async def test_check_account_currency(self):
# Arrange, Act, Assert
await self.client.check_account_currency()
@pytest.mark.asyncio
async def test_order_stream_full_image(self):
# Arrange
update = BetfairStreaming.ocm_FULL_IMAGE()
await self._setup_account()
self._setup_exec_client_and_cache(update=update)
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 7
@pytest.mark.asyncio
async def test_order_stream_empty_image(self):
# Arrange
update = BetfairStreaming.ocm_EMPTY_IMAGE()
await self._setup_account()
self._setup_exec_client_and_cache(update=update)
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 1
@pytest.mark.asyncio
async def test_order_stream_new_full_image(self):
update = BetfairStreaming.ocm_NEW_FULL_IMAGE()
await self._setup_account()
self._setup_exec_client_and_cache(update=update)
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
assert len(self.messages) == 4
@pytest.mark.asyncio
async def test_order_stream_sub_image(self):
# Arrange
update = BetfairStreaming.ocm_SUB_IMAGE()
await self._setup_account()
self._setup_exec_client_and_cache(update=update)
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 1
@pytest.mark.asyncio
async def test_order_stream_update(self):
# Arrange
update = BetfairStreaming.ocm_UPDATE()
await self._setup_account()
self._setup_exec_client_and_cache(update=update)
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 2
@pytest.mark.asyncio
async def test_order_stream_filled(self):
# Arrange
update = BetfairStreaming.ocm_FILLED()
self._setup_exec_client_and_cache(update)
await self._setup_account()
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 2
assert isinstance(self.messages[1], OrderFilled)
assert self.messages[1].last_px == Price.from_str("0.9090909")
@pytest.mark.asyncio
async def test_order_stream_filled_multiple_prices(self):
# Arrange
await self._setup_account()
update1 = BetfairStreaming.generate_order_update(
price="1.50",
size=20,
side="B",
status="E",
sm=10,
avp="1.60",
)
self._setup_exec_client_and_cache(update1)
await self.client._handle_order_stream_update(update=update1)
await asyncio.sleep(0)
order = self.cache.order(client_order_id=ClientOrderId("0"))
event = self.messages[-1]
order.apply(event)
# Act
update2 = BetfairStreaming.generate_order_update(
price="1.50",
size=20,
side="B",
status="EC",
sm=20,
avp="1.55",
)
self._setup_exec_client_and_cache(update2)
await self.client._handle_order_stream_update(update=update2)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 3
assert isinstance(self.messages[1], OrderFilled)
assert isinstance(self.messages[2], OrderFilled)
assert self.messages[1].last_px == price_to_probability("1.60")
assert self.messages[2].last_px == price_to_probability("1.50")
@pytest.mark.asyncio
async def test_order_stream_mixed(self):
# Arrange
update = BetfairStreaming.ocm_MIXED()
self._setup_exec_client_and_cache(update)
await self._setup_account()
# Act
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
_, fill1, fill2, cancel = self.messages
assert isinstance(
fill1,
OrderFilled) and fill1.venue_order_id.value == "229430281341"
assert isinstance(
fill2,
OrderFilled) and fill2.venue_order_id.value == "229430281339"
assert isinstance(
cancel,
OrderCanceled) and cancel.venue_order_id.value == "229430281339"
@pytest.mark.asyncio
@pytest.mark.skip(reason="Not implemented")
async def test_generate_order_status_report(self):
# Betfair client login
orders = await self.betfair_client.list_current_orders()
for order in orders:
result = await self.client.generate_order_status_report(order=order
)
assert result
raise NotImplementedError()
@pytest.mark.asyncio
@pytest.mark.skip
async def test_generate_trades_list(self):
patch(
"betfairlightweight.endpoints.betting.Betting.list_cleared_orders",
return_value=BetfairDataProvider.list_cleared_orders(
order_id="226125004209"),
)
patch.object(
self.client,
"venue_order_id_to_client_order_id",
{"226125004209": ClientOrderId("1")},
)
result = await generate_trades_list(self=self.client,
venue_order_id="226125004209",
symbol=None,
since=None)
assert result
@pytest.mark.asyncio
async def test_duplicate_execution_id(self):
# Arrange
await self._setup_account()
for update in BetfairStreaming.ocm_DUPLICATE_EXECUTION():
self._setup_exec_client_and_cache(update)
# # Load submitted orders
# for client_order_id in (ClientOrderId('0'), ClientOrderId('1')):
# order = BetfairTestStubs.make_order(
# price=Price.from_str("0.5"), quantity=Quantity.from_int(10), client_order_id=client_order_id
# )
# command = BetfairTestStubs.submit_order_command(order=order)
# self.client.submit_order(command)
# await asyncio.sleep(0)
# Act
for update in BetfairStreaming.ocm_DUPLICATE_EXECUTION():
self._setup_exec_client_and_cache(update=update)
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
_, fill1, cancel, fill2, fill3 = self.messages
# First order example, partial fill followed by remainder canceled
assert isinstance(fill1, OrderFilled)
assert isinstance(cancel, OrderCanceled)
# Second order example, partial fill followed by remainder filled
assert (isinstance(fill2, OrderFilled) and fill2.execution_id.value
== "4721ad7594e7a4a4dffb1bacb0cb45ccdec0747a")
assert (isinstance(fill3, OrderFilled) and fill3.execution_id.value
== "8b3e65be779968a3fdf2d72731c848c5153e88cd")
@pytest.mark.asyncio
async def test_betfair_order_reduces_balance(self):
# Arrange
self.client.stream = MagicMock()
self.exec_engine.start()
await asyncio.sleep(1)
balance = self.cache.account_for_venue(self.venue).balances()[GBP]
order = BetfairTestStubs.make_order(price=Price.from_str("0.5"),
quantity=Quantity.from_int(10))
self.cache.add_order(order=order, position_id=None)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_place_order_success())
command = BetfairTestStubs.submit_order_command(order=order)
self.client.submit_order(command)
await asyncio.sleep(0.01)
# Act
balance_order = self.cache.account_for_venue(
BETFAIR_VENUE).balances()[GBP]
# Cancel the order, balance should return
command = BetfairTestStubs.cancel_order_command(
client_order_id=order.client_order_id,
venue_order_id=order.venue_order_id)
mock_betfair_request(self.betfair_client,
BetfairResponses.betting_cancel_orders_success())
self.client.cancel_order(command)
await asyncio.sleep(0.1)
balance_cancel = self.cache.account_for_venue(
BETFAIR_VENUE).balances()[GBP]
# Assert
assert balance.free == Money(1000.0, GBP)
assert balance_order.free == Money(990.0, GBP)
assert balance_cancel.free == Money(1000.0, GBP)
self.exec_engine.kill()
await asyncio.sleep(1)
@pytest.mark.asyncio
async def test_betfair_order_cancelled_no_timestamp(self):
update = BetfairStreaming.ocm_error_fill()
self._setup_exec_client_and_cache(update)
for upd in update["oc"][0]["orc"][0]["uo"]:
self.client._handle_stream_execution_complete_order_update(
update=upd)
await asyncio.sleep(1)
@pytest.mark.asyncio
@pytest.mark.parametrize(
"price,size,side,status,updates",
[
("1.50", "50", "B", "EC", [{
"sm": 50
}]),
("1.50", "50", "B", "E", [{
"sm": 10
}, {
"sm": 15
}]),
],
)
async def test_various_betfair_order_fill_scenarios(
self, price, size, side, status, updates):
# Arrange
update = BetfairStreaming.ocm_filled_different_price()
self._setup_exec_client_and_cache(update)
await self._setup_account()
# Act
for raw in updates:
update = BetfairStreaming.generate_order_update(price=price,
size=size,
side=side,
status=status,
**raw)
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
# Assert
assert len(self.messages) == 1 + len(updates)
for msg, raw in zip(self.messages[1:], updates):
assert isinstance(msg, OrderFilled)
assert msg.last_qty == raw["sm"]
@pytest.mark.asyncio
async def test_order_filled_avp_update(self):
# Arrange
update = BetfairStreaming.ocm_filled_different_price()
self._setup_exec_client_and_cache(update)
await self._setup_account()
# Act
update = BetfairStreaming.generate_order_update(price="1.50",
size=20,
side="B",
status="E",
avp="1.50",
sm=10)
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
update = BetfairStreaming.generate_order_update(price="1.30",
size=20,
side="B",
status="E",
avp="1.50",
sm=10)
await self.client._handle_order_stream_update(update=update)
await asyncio.sleep(0)
class TestLiveExecutionEngine:
def setup(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S", "001"),
clock=self.clock,
)
self.random_order_factory = OrderFactory(
trader_id=TraderId("RANDOM", "042"),
strategy_id=StrategyId("S", "042"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.analyzer = PerformanceAnalyzer()
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
self.database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.engine = LiveExecutionEngine(
loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.instrument_provider = InstrumentProvider()
self.instrument_provider.add(AUDUSD_SIM)
self.instrument_provider.add(GBPUSD_SIM)
self.client = MockLiveExecutionClient(
name=SIM.value,
account_id=self.account_id,
engine=self.engine,
instrument_provider=self.instrument_provider,
clock=self.clock,
logger=self.logger,
)
self.engine.register_client(self.client)
def teardown(self):
self.engine.dispose()
self.loop.stop()
self.loop.close()
def test_start_when_loop_not_running_logs(self):
# Arrange
# Act
self.engine.start()
# Assert
assert True # No exceptions raised
self.engine.stop()
def test_get_event_loop_returns_expected_loop(self):
# Arrange
# Act
loop = self.engine.get_event_loop()
# Assert
assert loop == self.loop
def test_message_qsize_at_max_blocks_on_put_command(self):
# Arrange
self.engine = LiveExecutionEngine(
loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={"qsize": 1},
)
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
order.instrument_id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.engine.execute(submit_order)
self.engine.execute(submit_order)
# Assert
assert self.engine.qsize() == 1
assert self.engine.command_count == 0
def test_message_qsize_at_max_blocks_on_put_event(self):
# Arrange
self.engine = LiveExecutionEngine(
loop=self.loop,
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={"qsize": 1},
)
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
order.instrument_id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
event = TestStubs.event_order_submitted(order)
# Act
self.engine.execute(submit_order)
self.engine.process(event) # Add over max size
# Assert
assert self.engine.qsize() == 1
assert self.engine.command_count == 0
def test_start(self):
async def run_test():
# Arrange
# Act
self.engine.start()
await asyncio.sleep(0.1)
# Assert
assert self.engine.state == ComponentState.RUNNING
# Tear Down
self.engine.stop()
self.loop.run_until_complete(run_test())
def test_kill_when_running_and_no_messages_on_queues(self):
async def run_test():
# Arrange
# Act
self.engine.start()
await asyncio.sleep(0)
self.engine.kill()
# Assert
assert self.engine.state == ComponentState.STOPPED
self.loop.run_until_complete(run_test())
def test_kill_when_not_running_with_messages_on_queue(self):
async def run_test():
# Arrange
# Act
self.engine.kill()
# Assert
assert self.engine.qsize() == 0
self.loop.run_until_complete(run_test())
def test_execute_command_places_command_on_queue(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
order.instrument_id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.engine.qsize() == 0
assert self.engine.command_count == 1
# Tear Down
self.engine.stop()
self.loop.run_until_complete(run_test())
def test_handle_position_opening_with_position_id_none(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
event = TestStubs.event_order_submitted(order)
# Act
self.engine.process(event)
await asyncio.sleep(0.1)
# Assert
assert self.engine.qsize() == 0
assert self.engine.event_count == 1
# Tear Down
self.engine.stop()
self.loop.run_until_complete(run_test())
def test_reconcile_state_with_no_active_orders(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
# Act
await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert True # No exceptions raised
self.loop.run_until_complete(run_test())
def test_reconcile_state_when_report_agrees_reconciles(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.ACCEPTED,
filled_qty=Quantity(0),
timestamp_ns=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
self.loop.run_until_complete(run_test())
def test_reconcile_state_when_cancelled_reconciles(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.CANCELLED,
filled_qty=Quantity(0),
timestamp_ns=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
self.loop.run_until_complete(run_test())
def test_reconcile_state_when_expired_reconciles(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.EXPIRED,
filled_qty=Quantity(0),
timestamp_ns=0,
)
self.client.add_order_status_report(report)
await asyncio.sleep(0.01)
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
self.loop.run_until_complete(run_test())
def test_reconcile_state_when_partially_filled_reconciles(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.PARTIALLY_FILLED,
filled_qty=Quantity(70000),
timestamp_ns=0,
)
trade1 = ExecutionReport(
execution_id=ExecutionId("1"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(50000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("5.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
trade2 = ExecutionReport(
execution_id=ExecutionId("2"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(20000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("2.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.01)
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
self.loop.run_until_complete(run_test())
def test_reconcile_state_when_filled_reconciles(self):
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.FILLED,
filled_qty=Quantity(100000),
timestamp_ns=0,
)
trade1 = ExecutionReport(
execution_id=ExecutionId("1"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(50000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("5.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
trade2 = ExecutionReport(
execution_id=ExecutionId("2"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(50000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("2.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.01)
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
self.loop.run_until_complete(run_test())
class TestLiveExecutionEngine:
def setup(self):
# Fixture Setup
self.loop = asyncio.get_event_loop()
self.loop.set_debug(True)
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TestIdStubs.trader_id()
self.order_factory = OrderFactory(
trader_id=self.trader_id,
strategy_id=StrategyId("S-001"),
clock=self.clock,
)
self.random_order_factory = OrderFactory(
trader_id=TraderId("RANDOM-042"),
strategy_id=StrategyId("S-042"),
clock=self.clock,
)
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestComponentStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.data_engine = LiveDataEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = LiveRiskEngine(
loop=self.loop,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.instrument_provider = InstrumentProvider(
venue=SIM,
logger=self.logger,
)
self.instrument_provider.add(AUDUSD_SIM)
self.instrument_provider.add(GBPUSD_SIM)
self.client = MockLiveExecutionClient(
loop=self.loop,
client_id=ClientId(SIM.value),
venue=SIM,
account_type=AccountType.CASH,
base_currency=USD,
instrument_provider=self.instrument_provider,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestEventStubs.cash_account_state())
self.exec_engine.register_client(self.client)
self.cache.add_instrument(AUDUSD_SIM)
def teardown(self):
self.exec_engine.dispose()
@pytest.mark.asyncio
async def test_start_when_loop_not_running_logs(self):
# Arrange, Act
self.exec_engine.start()
# Assert
assert True # No exceptions raised
self.exec_engine.stop()
@pytest.mark.asyncio
async def test_message_qsize_at_max_blocks_on_put_command(self):
# Arrange
# Deregister test fixture ExecutionEngine from msgbus)
self.msgbus.deregister(
endpoint="ExecEngine.execute",
handler=self.exec_engine.execute,
)
self.msgbus.deregister(
endpoint="ExecEngine.process",
handler=self.exec_engine.process,
)
self.msgbus.deregister(
endpoint="ExecEngine.reconcile_report",
handler=self.exec_engine.reconcile_report,
)
self.msgbus.deregister(
endpoint="ExecEngine.reconcile_mass_status",
handler=self.exec_engine.reconcile_mass_status,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=LiveExecEngineConfig(qsize=1),
)
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 1
assert self.exec_engine.command_count == 0
@pytest.mark.asyncio
async def test_message_qsize_at_max_blocks_on_put_event(self):
# Arrange
# Deregister test fixture ExecutionEngine from msgbus)
self.msgbus.deregister(
endpoint="ExecEngine.execute",
handler=self.exec_engine.execute,
)
self.msgbus.deregister(
endpoint="ExecEngine.process",
handler=self.exec_engine.process,
)
self.msgbus.deregister(
endpoint="ExecEngine.reconcile_report",
handler=self.exec_engine.reconcile_report,
)
self.msgbus.deregister(
endpoint="ExecEngine.reconcile_mass_status",
handler=self.exec_engine.reconcile_mass_status,
)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config=LiveExecEngineConfig(qsize=1),
)
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
event = TestEventStubs.order_submitted(order)
# Act
self.exec_engine.execute(submit_order)
self.exec_engine.process(event) # Add over max size
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 1
assert self.exec_engine.command_count == 0
@pytest.mark.asyncio
async def test_start(self):
# Arrange, Act
self.exec_engine.start()
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.is_running
# Tear Down
self.exec_engine.stop()
@pytest.mark.asyncio
async def test_kill_when_running_and_no_messages_on_queues(self):
# Arrange, Act
self.exec_engine.start()
await asyncio.sleep(0)
self.exec_engine.kill()
# Assert
assert self.exec_engine.is_stopped
@pytest.mark.asyncio
async def test_kill_when_not_running_with_messages_on_queue(self):
# Arrange, Act
self.exec_engine.kill()
# Assert
assert self.exec_engine.qsize() == 0
@pytest.mark.asyncio
async def test_execute_command_places_command_on_queue(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.exec_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.exec_engine.qsize() == 0
assert self.exec_engine.command_count == 1
# Tear Down
self.exec_engine.stop()
def test_handle_order_status_report(self):
# Arrange
order_report = OrderStatusReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456"),
order_list_id=OrderListId("1"),
venue_order_id=VenueOrderId("2"),
order_side=OrderSide.SELL,
order_type=OrderType.STOP_LIMIT,
contingency_type=ContingencyType.OCO,
time_in_force=TimeInForce.DAY,
expire_time=None,
order_status=OrderStatus.REJECTED,
price=Price.from_str("0.90090"),
trigger_price=Price.from_str("0.90100"),
trigger_type=TriggerType.DEFAULT,
limit_offset=None,
trailing_offset=Decimal("0.00010"),
offset_type=TrailingOffsetType.PRICE,
quantity=Quantity.from_int(1_000_000),
filled_qty=Quantity.from_int(0),
display_qty=None,
avg_px=None,
post_only=True,
reduce_only=False,
cancel_reason="SOME_REASON",
report_id=UUID4(),
ts_accepted=1_000_000,
ts_triggered=1_500_000,
ts_last=2_000_000,
ts_init=3_000_000,
)
# Act
self.exec_engine.reconcile_report(order_report)
# Assert
assert self.exec_engine.report_count == 1
def test_handle_trade_report(self):
# Arrange
trade_report = TradeReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_SIM.id,
client_order_id=ClientOrderId("O-123456789"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("2"),
trade_id=TradeId("3"),
order_side=OrderSide.BUY,
last_qty=Quantity.from_int(100),
last_px=Price.from_str("100.50"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
report_id=UUID4(),
ts_event=0,
ts_init=0,
)
# Act
self.exec_engine.reconcile_report(trade_report)
# Assert
assert self.exec_engine.report_count == 1
def test_handle_position_status_report(self):
# Arrange
position_report = PositionStatusReport(
account_id=AccountId("SIM", "001"),
instrument_id=AUDUSD_SIM.id,
venue_position_id=PositionId("1"),
position_side=PositionSide.LONG,
quantity=Quantity.from_int(1_000_000),
report_id=UUID4(),
ts_last=0,
ts_init=0,
)
# Act
self.exec_engine.reconcile_report(position_report)
# Assert
assert self.exec_engine.report_count == 1
def test_execution_mass_status(self):
# Arrange
mass_status = ExecutionMassStatus(
client_id=ClientId("SIM"),
account_id=TestIdStubs.account_id(),
venue=Venue("SIM"),
report_id=UUID4(),
ts_init=0,
)
# Act
self.exec_engine.reconcile_mass_status(mass_status)
# Assert
assert self.exec_engine.report_count == 1