def test_execute_command(self):
order = self.strategy.order_factory.market(
BTCUSDT_BINANCE.symbol,
OrderSide.BUY,
Quantity("1.00000000"),
)
command = SubmitOrder(
order.symbol.venue,
self.trader_id,
self.account_id,
self.strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
def execute_command():
self.exec_engine.execute(command)
PerformanceHarness.profile_function(execute_command, 10000, 1)
async def run_test():
# Arrange
self.risk_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.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.risk_engine.execute(submit_order)
await asyncio.sleep(0.1)
# Assert
assert self.risk_engine.qsize() == 0
assert self.risk_engine.command_count == 1
# Tear Down
self.risk_engine.stop()
def test_submit_order_when_block_all_orders_true_then_denies_order(self):
# 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.id,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.risk_engine.set_block_all_orders()
# Act
self.exec_engine.execute(submit_order)
# Assert
assert self.exec_client.calls == ['connect']
assert self.exec_engine.event_count == 1
def test_submit_order_when_not_connected_logs_and_does_not_send(self):
# Arrange
strategy = TradingStrategy("000")
order = self.order_factory.market(
ETHUSDT_BINANCE.id,
OrderSide.BUY,
Quantity.from_int(100),
)
command = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Act
self.exec_client.submit_order(command)
# Assert
assert order.state == OrderState.INITIALIZED
def test_can_submit_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
strategy.change_clock(self.clock)
self.exec_engine.register_strategy(strategy)
position_id = strategy.position_id_generator.generate()
order = strategy.order_factory.market(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000))
submit_order = SubmitOrder(self.trader_id, self.account_id,
strategy.id, position_id, order,
self.guid_factory.generate(),
self.clock.time_now())
# Act
self.exec_engine.execute_command(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.received_commands)
self.assertTrue(self.exec_db.order_exists(order.id))
self.assertEqual(position_id, self.exec_db.get_position_id(order.id))
def test_submit_order(self):
# 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(
self.venue,
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)
# Assert
self.assertIn(submit_order, self.exec_client.commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def submit_order_command():
return SubmitOrder(
client_id=BetfairTestStubs.instrument_id().venue.client_id,
trader_id=BetfairTestStubs.trader_id(),
account_id=BetfairTestStubs.account_id(),
strategy_id=BetfairTestStubs.strategy_id(),
position_id=BetfairTestStubs.position_id(),
order=LimitOrder(
client_order_id=ClientOrderId(
f"O-20210410-022422-001-001-{BetfairTestStubs.strategy_id().value}"
),
strategy_id=BetfairTestStubs.strategy_id(),
instrument_id=BetfairTestStubs.instrument_id(),
order_side=OrderSide.BUY,
quantity=Quantity(10),
price=Price(0.33, 5),
time_in_force=TimeInForce.GTC,
expire_time=None,
init_id=BetfairTestStubs.uuid(),
timestamp_ns=BetfairTestStubs.clock().timestamp_ns(),
),
command_id=BetfairTestStubs.uuid(),
timestamp_ns=BetfairTestStubs.clock().timestamp_ns(),
)
def test_handle_order_fill_event(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
submit_order = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order)
# Act
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
self.exec_engine.process(TestStubs.event_order_filled(order))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
# Assert
self.assertTrue(self.cache.position_exists(expected_position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertFalse(
self.exec_engine.cache.is_flat(strategy_id=strategy.id))
self.assertFalse(self.exec_engine.cache.is_flat())
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertTrue(expected_position_id in self.cache.position_ids())
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(
expected_position_id not in self.cache.position_closed_ids())
self.assertTrue(expected_position_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_position_id in self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
self.assertTrue(self.cache.position_exists_for_order(order.cl_ord_id))
def test_flip_position_on_opposite_filled_same_position_buy(self):
# 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)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.SIM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.SIM-1F")
# Assert
position_flipped = self.cache.position(position_id_flipped)
self.assertEqual(50000, position_flipped.relative_quantity)
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertIn(position_id, self.cache.position_ids())
self.assertIn(position_id,
self.cache.position_ids(strategy_id=strategy.id))
self.assertIn(position_id_flipped, self.cache.position_ids())
self.assertIn(position_id_flipped,
self.cache.position_ids(strategy_id=strategy.id))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
self.exec_engine.start()
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy1.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = strategy2.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id1 = PositionId('P-1')
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
position_id1,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order3 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.null(),
order3,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id2 = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id1))
self.exec_engine.execute(submit_order3)
self.exec_engine.process(TestStubs.event_order_submitted(order3))
self.exec_engine.process(TestStubs.event_order_accepted(order3))
self.exec_engine.process(
TestStubs.event_order_filled(order3, AUDUSD_SIM, position_id2))
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.cache.position_exists(position_id1))
self.assertTrue(self.cache.position_exists(position_id2))
self.assertIn(position_id1,
self.cache.position_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_ids())
self.assertIn(position_id2, self.cache.position_ids())
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, len(self.cache.positions_closed()))
self.assertEqual(2, len(self.cache.positions()))
self.assertNotIn(
position_id1,
self.cache.position_open_ids(strategy_id=strategy1.id))
self.assertIn(position_id2,
self.cache.position_open_ids(strategy_id=strategy2.id))
self.assertNotIn(position_id1, self.cache.position_open_ids())
self.assertIn(position_id2, self.cache.position_open_ids())
self.assertIn(position_id1,
self.cache.position_closed_ids(strategy_id=strategy1.id))
self.assertNotIn(
position_id2,
self.cache.position_closed_ids(strategy_id=strategy2.id))
self.assertIn(position_id1, self.cache.position_closed_ids())
self.assertNotIn(position_id2, self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_close_position_on_order_fill(self):
# 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)
order1 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM, position_id))
# # Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertFalse(self.cache.is_position_open(position_id))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertEqual(position_id, self.cache.position(position_id).id)
self.assertEqual(position_id,
self.cache.positions(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions()[0].id)
self.assertEqual(
0, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_open()))
self.assertEqual(
position_id,
self.cache.positions_closed(strategy_id=strategy.id)[0].id)
self.assertEqual(position_id, self.cache.positions_closed()[0].id)
self.assertNotIn(position_id,
self.cache.position_open_ids(strategy_id=strategy.id))
self.assertNotIn(position_id, self.cache.position_open_ids())
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(0, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())
def test_add_to_existing_position_on_order_fill(self):
# 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)
order1 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, AUDUSD_SIM))
expected_position_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id?
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
expected_position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, AUDUSD_SIM,
expected_position_id))
# Assert
self.assertTrue(
self.cache.position_exists(
TestStubs.event_order_filled(
order1,
AUDUSD_SIM,
).position_id))
self.assertTrue(self.cache.is_position_open(expected_position_id))
self.assertFalse(self.cache.is_position_closed(expected_position_id))
self.assertEqual(Position,
type(self.cache.position(expected_position_id)))
self.assertEqual(
0, len(self.cache.positions_closed(strategy_id=strategy.id)))
self.assertEqual(0, len(self.cache.positions_closed()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy.id)))
self.assertEqual(1, len(self.cache.positions_open()))
self.assertEqual(1, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
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
def test_multiple_strategy_positions_opened(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag="001")
strategy1.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
strategy2 = TradingStrategy(order_id_tag="002")
strategy2.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy2.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy1.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy2.id,
PositionId.py_null(),
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position1_id = PositionId('P-1')
position2_id = PositionId('P-2')
# Act
self.exec_engine.execute(submit_order1)
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position1_id))
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position2_id))
# Assert
self.assertTrue(self.cache.position_exists(position1_id))
self.assertTrue(self.cache.position_exists(position2_id))
self.assertTrue(self.cache.is_position_open(position1_id))
self.assertTrue(self.cache.is_position_open(position2_id))
self.assertFalse(self.cache.is_position_closed(position1_id))
self.assertFalse(self.cache.is_position_closed(position2_id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy1.id))
self.assertFalse(self.cache.is_flat(strategy_id=strategy2.id))
self.assertFalse(self.cache.is_flat())
self.assertEqual(Position, type(self.cache.position(position1_id)))
self.assertEqual(Position, type(self.cache.position(position2_id)))
self.assertTrue(position1_id in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_ids())
self.assertTrue(position2_id in self.cache.position_ids())
self.assertEqual(2, len(self.cache.position_open_ids()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertEqual(2, len(self.cache.positions_open()))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy1.id)))
self.assertEqual(
1, len(self.cache.positions_open(strategy_id=strategy2.id)))
self.assertTrue(position1_id in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id in self.cache.position_open_ids())
self.assertTrue(position2_id in self.cache.position_open_ids())
self.assertTrue(position1_id not in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position2_id not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position1_id not in self.cache.position_closed_ids())
self.assertTrue(position2_id not in self.cache.position_closed_ids())
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(2, self.cache.positions_open_count())
self.assertEqual(0, self.cache.positions_closed_count())
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.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
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_state=OrderState.PARTIALLY_FILLED,
filled_qty=Quantity.from_int(70000),
timestamp_ns=0,
)
trade1 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
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_filled_ns=0,
timestamp_ns=0,
)
trade2 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
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_filled_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.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
def test_multiple_strategy_positions_one_active_one_closed(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag='001')
strategy2 = TradingStrategy(order_id_tag='002')
position_id1 = strategy1.position_id_generator.generate()
position_id2 = strategy2.position_id_generator.generate()
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000),
Price(1.00000, 5))
order2 = strategy1.order_factory.stop(AUDUSD_FXCM, OrderSide.SELL,
Quantity(100000),
Price(1.00000, 5))
order3 = strategy2.order_factory.stop(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000),
Price(1.00000, 5))
submit_order1 = SubmitOrder(self.trader_id, self.account_id,
strategy1.id, position_id1, order1,
self.guid_factory.generate(),
self.clock.time_now())
submit_order2 = SubmitOrder(self.trader_id, self.account_id,
strategy1.id, position_id1, order2,
self.guid_factory.generate(),
self.clock.time_now())
submit_order3 = SubmitOrder(self.trader_id, self.account_id,
strategy2.id, position_id2, order3,
self.guid_factory.generate(),
self.clock.time_now())
order1_filled = TestStubs.event_order_filled(order1)
order2_filled = TestStubs.event_order_filled(order2)
order3_filled = OrderFilled(self.account_id, order3.id,
ExecutionId('E3'), PositionIdBroker('T3'),
AUDUSD_FXCM,
OrderSide.BUY, Quantity(100000),
Price(1.00000,
5), Currency.USD, UNIX_EPOCH,
GUID(uuid.uuid4()), UNIX_EPOCH)
# Act
self.exec_engine.execute_command(submit_order1)
self.exec_engine.execute_command(submit_order2)
self.exec_engine.execute_command(submit_order3)
self.exec_engine.handle_event(order1_filled)
self.exec_engine.handle_event(order2_filled)
self.exec_engine.handle_event(order3_filled)
# Assert
# Already tested .is_position_active and .is_position_closed above
self.assertTrue(self.exec_db.position_exists(position_id1))
self.assertTrue(self.exec_db.position_exists(position_id2))
self.assertTrue(self.exec_engine.is_strategy_flat(strategy1.id))
self.assertFalse(self.exec_engine.is_strategy_flat(strategy2.id))
self.assertFalse(self.exec_engine.is_flat())
self.assertTrue(
position_id1 in self.exec_db.get_positions(strategy1.id))
self.assertTrue(
position_id2 in self.exec_db.get_positions(strategy2.id))
self.assertTrue(position_id1 in self.exec_db.get_positions())
self.assertTrue(position_id2 in self.exec_db.get_positions())
self.assertEqual(0, len(self.exec_db.get_positions_open(strategy1.id)))
self.assertEqual(1, len(self.exec_db.get_positions_open(strategy2.id)))
self.assertEqual(1, len(self.exec_db.get_positions_open()))
self.assertEqual(1, len(self.exec_db.get_positions_closed()))
self.assertEqual(2, len(self.exec_db.get_positions()))
self.assertTrue(
position_id1 not in self.exec_db.get_positions_open(strategy1.id))
self.assertTrue(
position_id2 in self.exec_db.get_positions_open(strategy2.id))
self.assertTrue(position_id1 not in self.exec_db.get_positions_open())
self.assertTrue(position_id2 in self.exec_db.get_positions_open())
self.assertTrue(
position_id1 in self.exec_db.get_positions_closed(strategy1.id))
self.assertTrue(position_id2 not in self.exec_db.get_positions_closed(
strategy2.id))
self.assertTrue(position_id1 in self.exec_db.get_positions_closed())
self.assertTrue(
position_id2 not in self.exec_db.get_positions_closed())
self.assertEqual(2, self.exec_db.count_positions_total())
self.assertEqual(1, self.exec_db.count_positions_open())
self.assertEqual(1, self.exec_db.count_positions_closed())
def test_multiple_strategy_positions_opened(self):
# Arrange
strategy1 = TradingStrategy(order_id_tag='001')
strategy2 = TradingStrategy(order_id_tag='002')
position1_id = strategy1.position_id_generator.generate()
position2_id = strategy2.position_id_generator.generate()
self.exec_engine.register_strategy(strategy1)
self.exec_engine.register_strategy(strategy2)
order1 = strategy1.order_factory.stop(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000),
Price(1.00000, 5))
order2 = strategy2.order_factory.stop(AUDUSD_FXCM, OrderSide.BUY,
Quantity(100000),
Price(1.00000, 5))
submit_order1 = SubmitOrder(self.trader_id, self.account_id,
strategy1.id, position1_id, order1,
self.guid_factory.generate(),
self.clock.time_now())
submit_order2 = SubmitOrder(self.trader_id, self.account_id,
strategy2.id, position2_id, order2,
self.guid_factory.generate(),
self.clock.time_now())
order1_filled = TestStubs.event_order_filled(order1)
order2_filled = TestStubs.event_order_filled(order2)
# Act
self.exec_engine.execute_command(submit_order1)
self.exec_engine.execute_command(submit_order2)
self.exec_engine.handle_event(order1_filled)
self.exec_engine.handle_event(order2_filled)
# Assert
self.assertTrue(self.exec_db.position_exists(position1_id))
self.assertTrue(self.exec_db.position_exists(position2_id))
self.assertTrue(self.exec_db.is_position_open(position1_id))
self.assertTrue(self.exec_db.is_position_open(position2_id))
self.assertFalse(self.exec_db.is_position_closed(position1_id))
self.assertFalse(self.exec_db.is_position_closed(position2_id))
self.assertFalse(self.exec_engine.is_strategy_flat(strategy1.id))
self.assertFalse(self.exec_engine.is_strategy_flat(strategy2.id))
self.assertFalse(self.exec_engine.is_flat())
self.assertEqual(Position,
type(self.exec_db.get_position(position1_id)))
self.assertEqual(Position,
type(self.exec_db.get_position(position2_id)))
self.assertTrue(
position1_id in self.exec_db.get_positions(strategy1.id))
self.assertTrue(
position2_id in self.exec_db.get_positions(strategy2.id))
self.assertTrue(position1_id in self.exec_db.get_positions())
self.assertTrue(position2_id in self.exec_db.get_positions())
self.assertEqual(1, len(self.exec_db.get_positions_open(strategy1.id)))
self.assertEqual(1, len(self.exec_db.get_positions_open(strategy2.id)))
self.assertEqual(2, len(self.exec_db.get_positions_open()))
self.assertEqual(1, len(self.exec_db.get_positions_open(strategy1.id)))
self.assertEqual(1, len(self.exec_db.get_positions_open(strategy2.id)))
self.assertTrue(
position1_id in self.exec_db.get_positions_open(strategy1.id))
self.assertTrue(
position2_id in self.exec_db.get_positions_open(strategy2.id))
self.assertTrue(position1_id in self.exec_db.get_positions_open())
self.assertTrue(position2_id in self.exec_db.get_positions_open())
self.assertTrue(position1_id not in self.exec_db.get_positions_closed(
strategy1.id))
self.assertTrue(position2_id not in self.exec_db.get_positions_closed(
strategy2.id))
self.assertTrue(
position1_id not in self.exec_db.get_positions_closed())
self.assertTrue(
position2_id not in self.exec_db.get_positions_closed())
self.assertEqual(2, self.exec_db.count_positions_total())
self.assertEqual(2, self.exec_db.count_positions_open())
self.assertEqual(0, self.exec_db.count_positions_closed())
def test_flip_position_on_opposite_filled_same_position(self):
# Arrange
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
clock=self.clock,
uuid_factory=TestUUIDFactory(),
logger=self.logger,
)
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
order2 = strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(150000),
)
submit_order1 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
PositionId.py_null(),
order1,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
position_id = PositionId("P-000-AUD/USD.FXCM-1")
self.exec_engine.execute(submit_order1)
self.exec_engine.process(TestStubs.event_order_submitted(order1))
self.exec_engine.process(TestStubs.event_order_accepted(order1))
self.exec_engine.process(
TestStubs.event_order_filled(order1, position_id))
submit_order2 = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
strategy.id,
position_id,
order2,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Act
self.exec_engine.execute(submit_order2)
self.exec_engine.process(TestStubs.event_order_submitted(order2))
self.exec_engine.process(TestStubs.event_order_accepted(order2))
self.exec_engine.process(
TestStubs.event_order_filled(order2, position_id))
position_id_flipped = PositionId("P-000-AUD/USD.FXCM-1F")
order_id_flipped = ClientOrderId(order2.cl_ord_id.value + 'F')
# Assert
self.assertTrue(self.cache.position_exists(position_id))
self.assertTrue(self.cache.position_exists(position_id_flipped))
self.assertTrue(self.cache.is_position_closed(position_id))
self.assertTrue(self.cache.is_position_open(position_id_flipped))
self.assertFalse(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(position_id in self.cache.position_ids())
self.assertTrue(position_id in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(position_id_flipped in self.cache.position_ids())
self.assertTrue(position_id_flipped in self.cache.position_ids(
strategy_id=strategy.id))
self.assertTrue(order_id_flipped,
self.cache.position_exists_for_order(order_id_flipped))
self.assertEqual(2, self.cache.positions_total_count())
self.assertEqual(1, self.cache.positions_open_count())
self.assertEqual(1, self.cache.positions_closed_count())