def serialize(event: PositionEvent):
data = {
k: v
for k, v in event.to_dict(event).items() if k not in ("order_fill", )
}
caster = {
"net_qty": float,
"quantity": float,
"peak_qty": float,
"avg_px_open": float,
"last_qty": float,
"last_px": float,
"avg_px_close": try_float,
"realized_points": try_float,
"realized_return": try_float,
}
values = {k: caster[k](v) if k in caster else v
for k, v in data.items()} # type: ignore
if "realized_pnl" in values:
realized = Money.from_str(values["realized_pnl"])
values["realized_pnl"] = realized.as_double()
if "unrealized_pnl" in values:
unrealized = Money.from_str(values["unrealized_pnl"])
values["unrealized_pnl"] = unrealized.as_double()
return values
def test_from_str_when_malformed_raises_value_error(self):
# Arrange
value = "@"
# Act, Assert
with pytest.raises(ValueError):
Money.from_str(value)
def _create_engine(
self,
config: BacktestEngineConfig,
venue_configs: List[BacktestVenueConfig],
data_configs: List[BacktestDataConfig],
):
# Build the backtest engine
engine = BacktestEngine(config=config)
# Add instruments
for config in data_configs:
if is_nautilus_class(config.data_type):
instruments = config.catalog().instruments(
instrument_ids=config.instrument_id, as_nautilus=True)
for instrument in instruments or []:
engine.add_instrument(instrument)
# Add venues
for config in venue_configs:
engine.add_venue(
venue=Venue(config.name),
venue_type=VenueType[config.venue_type],
oms_type=OMSType[config.oms_type],
account_type=AccountType[config.account_type],
base_currency=Currency.from_str(config.base_currency),
starting_balances=[
Money.from_str(m) for m in config.starting_balances
],
book_type=BookTypeParser.from_str_py(config.book_type),
)
return engine
def test_from_str_given_valid_strings_returns_expected_result(
self,
value,
expected,
):
# Arrange, Act
result = Money.from_str(value)
# Assert
assert result == expected
def _handle_execution_report(self, data: Dict[str, Any]):
execution_type: str = data["x"]
instrument_id: InstrumentId = self._get_cached_instrument_id(data["s"])
# Parse client order ID
client_order_id_str: str = data["c"]
if not client_order_id_str or not client_order_id_str.startswith("O"):
client_order_id_str = data["C"]
client_order_id = ClientOrderId(client_order_id_str)
# Fetch strategy ID
strategy_id: StrategyId = self._cache.strategy_id_for_order(client_order_id)
if strategy_id is None:
# TODO(cs): Implement external order handling
self._log.error(
f"Cannot handle trade report: strategy ID for {client_order_id} not found.",
)
return
venue_order_id = VenueOrderId(str(data["i"]))
ts_event: int = millis_to_nanos(data["E"])
if execution_type == "NEW":
self.generate_order_accepted(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
ts_event=ts_event,
)
elif execution_type in "TRADE":
instrument: Instrument = self._instrument_provider.find(instrument_id=instrument_id)
# Determine commission
commission_asset: str = data["N"]
commission_amount: str = data["n"]
if commission_asset is not None:
commission = Money.from_str(f"{commission_amount} {commission_asset}")
else:
# Binance typically charges commission as base asset or BNB
commission = Money(0, instrument.base_currency)
self.generate_order_filled(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
venue_position_id=None, # NETTING accounts
trade_id=TradeId(str(data["t"])), # Trade ID
order_side=OrderSideParser.from_str_py(data["S"]),
order_type=parse_order_type(data["o"]),
last_qty=Quantity.from_str(data["l"]),
last_px=Price.from_str(data["L"]),
quote_currency=instrument.quote_currency,
commission=commission,
liquidity_side=LiquiditySide.MAKER if data["m"] else LiquiditySide.TAKER,
ts_event=ts_event,
)
elif execution_type == "CANCELED" or execution_type == "EXPIRED":
self.generate_order_canceled(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
ts_event=ts_event,
)
def _handle_order_trade_update(self, msg: BinanceFuturesOrderUpdateMsg):
data: BinanceFuturesOrderData = msg.o
instrument_id: InstrumentId = self._get_cached_instrument_id(data.s)
client_order_id = ClientOrderId(data.c) if data.c != "" else None
venue_order_id = VenueOrderId(str(data.i))
ts_event = millis_to_nanos(msg.T)
# Fetch strategy ID
strategy_id: StrategyId = self._cache.strategy_id_for_order(
client_order_id)
if strategy_id is None:
if strategy_id is None:
self._generate_external_order_status(
instrument_id,
client_order_id,
venue_order_id,
msg.o,
ts_event,
)
return
if data.x == BinanceFuturesExecutionType.NEW:
self.generate_order_accepted(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
ts_event=ts_event,
)
elif data.x == BinanceFuturesExecutionType.TRADE:
instrument: Instrument = self._instrument_provider.find(
instrument_id=instrument_id)
# Determine commission
if data.N is not None:
commission = Money.from_str(f"{data.n} {data.N}")
else:
# Commission in margin collateral currency
commission = Money(0, instrument.quote_currency)
self.generate_order_filled(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
venue_position_id=PositionId(
f"{instrument_id}-{data.ps.value}"),
trade_id=TradeId(str(data.t)),
order_side=OrderSide.BUY
if data.S == BinanceOrderSide.BUY else OrderSide.SELL,
order_type=parse_order_type(data.o),
last_qty=Quantity.from_str(data.l),
last_px=Price.from_str(data.L),
quote_currency=instrument.quote_currency,
commission=commission,
liquidity_side=LiquiditySide.MAKER
if data.m else LiquiditySide.TAKER,
ts_event=ts_event,
)
elif data.x == BinanceFuturesExecutionType.CANCELED:
self.generate_order_canceled(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
ts_event=ts_event,
)
elif data.x == BinanceFuturesExecutionType.EXPIRED:
self.generate_order_expired(
strategy_id=strategy_id,
instrument_id=instrument_id,
client_order_id=client_order_id,
venue_order_id=venue_order_id,
ts_event=ts_event,
)
