def create_order(self, order: 'Order') -> 'Order':
wallet_instrument = self.side.instrument(self.exchange_pair.pair)
exchange = order.exchange_pair.exchange
wallet = order.portfolio.get_wallet(exchange.id,
instrument=wallet_instrument)
quantity = wallet.locked.get(order.path_id, None)
if not quantity or quantity.size == 0:
return None
return Order(step=exchange.clock.step,
side=self.side,
trade_type=self.type,
exchange_pair=self.exchange_pair,
quantity=quantity,
portfolio=order.portfolio,
price=self.exchange_pair.price,
criteria=self.criteria,
end=order.end,
path_id=order.path_id)
def test_init(mock_portfolio_class):
portfolio = mock_portfolio_class.return_value
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5000 * USD,
price=7000,
portfolio=portfolio)
assert order
assert order.id
assert order.path_id
assert order.step == 0
assert order.quantity.instrument == USD
assert order.filled_size == 0
assert order.remaining_size == order.quantity
assert isinstance(order.pair, TradingPair)
assert order.pair.base == USD
assert order.pair.quote == BTC
def test_properties(mock_portfolio_class):
portfolio = mock_portfolio_class.return_value
order = Order(side=TradeSide.BUY,
trade_type=TradeType.LIMIT,
pair=USD / BTC,
quantity=5000.00 * USD,
portfolio=portfolio,
price=7000.00)
assert order
assert order.base_instrument == USD
assert order.quote_instrument == BTC
assert order.size == 5000.00 * USD
assert order.price == 7000.00
assert order.trades == []
assert order.is_buy
assert not order.is_sell
assert not order.is_market_order
assert order.is_limit_order
assert order.created_at == 0
def hidden_limit_order(step: int,
side: 'TradeSide',
pair: 'TradingPair',
price: float,
size: float,
portfolio: 'Portfolio',
ttl_in_seconds: int = None,
ttl_in_steps: int = None):
instrument = side.instrument(pair)
order = Order(step=step,
side=side,
trade_type=TradeType.MARKET,
pair=pair,
price=price,
quantity=(size * instrument),
ttl_in_seconds=ttl_in_seconds,
ttl_in_steps=ttl_in_steps,
portfolio=portfolio,
criteria=Limit(limit_price=price)
)
return order
def test_detach(mock_portfolio_class, mock_order_listener_class):
portfolio = mock_portfolio_class.return_value
order = Order(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5000.00 * USD,
portfolio=portfolio,
price=7000.00)
listener = mock_order_listener_class.return_value
order.attach(listener)
assert len(order._listeners) == 1
assert listener in order._listeners
order.detach(listener)
assert len(order._listeners) == 0
assert listener not in order._listeners
def test_fill(mock_order_listener_class,
mock_trade_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_name="coinbase",
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
listener = mock_order_listener_class.return_value
listener.on_fill = mock.Mock(return_value=None)
order.attach(listener)
order.execute(exchange)
trade = mock_trade_class.return_value
trade.size = 3997.00
trade.commission = 3.00 * USD
assert order.status == OrderStatus.OPEN
order.fill(exchange, trade)
assert order.status == OrderStatus.PARTIALLY_FILLED
assert order.remaining_size == 1200.00
listener.on_fill.assert_called_once_with(order, exchange, trade)
def test_on_fill(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
broker = Broker(exchange)
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
order.attach(broker)
order.execute(exchange)
broker._executed[order.id] = order
trade = mock_trade_class.return_value
trade.size = 5197.00
trade.commission = 3.00 * USD
trade.order_id = order.id
assert order.status == OrderStatus.OPEN
order.fill(exchange, trade)
assert order.status == OrderStatus.FILLED
assert order.remaining_size == 0
assert trade in broker.trades[order.id]
def test_update_on_single_exchange_with_multiple_orders(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
broker = Broker(exchange)
# Submit order 1
o1 = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
o1.is_executable_on = mock.MagicMock(side_effect=[False, True])
broker.submit(o1)
# Submit order 2
o2 = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=230.00 * USD,
portfolio=portfolio,
price=7300.00)
o2.is_executable_on = mock.MagicMock(side_effect=[True, False])
broker.submit(o2)
# No updates have been made yet
assert o1 in broker.unexecuted and o1 not in broker.executed
assert o2 in broker.unexecuted and o2 not in broker.executed
# First update
broker.update()
assert o1 in broker.unexecuted and o1.id not in broker.executed
assert o2 not in broker.unexecuted and o2.id in broker.executed
# Second update
broker.update()
assert o1 not in broker.unexecuted and o1.id in broker.executed
assert o2 not in broker.unexecuted and o2.id in broker.executed
def test_order_runs_through_broker():
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(base_instrument=USD, wallets=wallets)
exchange.reset()
portfolio.reset()
broker.reset()
base_wallet = portfolio.get_wallet(exchange.id, USD)
quantity = (1 / 10) * base_wallet.balance
order = Order(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=quantity,
portfolio=portfolio)
base_wallet -= quantity.size * order.pair.base
base_wallet += order.quantity
broker.submit(order)
broker.update()
portfolio.update()
def risk_managed_order(step: int, side: 'TradeSide', trade_type: 'TradeType',
pair: 'TradingPair', price: float, size: float,
down_percent: float, up_percent: float,
portfolio: 'Portfolio'):
order = Order(step=step,
side=side,
trade_type=trade_type,
pair=pair,
price=price,
quantity=(size * pair.base),
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order += risk_management
return order
def get_order(self, action: int, exchange: 'Exchange',
portfolio: 'Portfolio') -> Order:
if action == 0:
return None
(pair, stop_loss, take_profit, size) = self._actions[action]
base_instrument = pair.base if self._trade_side == TradeSide.BUY else pair.quote
base_wallet = portfolio.get_wallet(exchange.id,
instrument=base_instrument)
price = exchange.quote_price(pair)
size = min(base_wallet.balance.size, (base_wallet.balance.size * size))
if size < 10**-base_instrument.precision:
return None
buy_quantity = size * base_instrument
order = Order(side=self._trade_side,
trade_type=self._trade_type,
pair=pair,
price=price,
quantity=buy_quantity,
portfolio=portfolio)
risk_criteria = StopLoss(direction='either',
up_percent=take_profit,
down_percent=stop_loss)
risk_management = Recipe(side=TradeSide.SELL if self._trade_side
== TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order.add_recipe(risk_management)
if self._order_listener is not None:
order.attach(self._order_listener)
return order
def test_on_execute(mock_exchange_class,
execute_listener):
exchange = mock_exchange_class.return_value
exchange.id = "fake_id"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
order.attach(execute_listener)
assert not execute_listener.listened
order.execute(exchange)
assert execute_listener.listened
def test_on_cancel(mock_exchange_class, cancel_listener):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_name="coinbase",
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
order.attach(cancel_listener)
assert not cancel_listener.listened
order.cancel()
assert cancel_listener.listened
def test_execute(mock_order_listener_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
listener = mock_order_listener_class.return_value
listener.on_execute = mock.Mock(return_value=None)
order.attach(listener)
assert order.status == OrderStatus.PENDING
order.execute()
assert order.status == OrderStatus.OPEN
wallet_usd = portfolio.get_wallet(exchange.id, USD)
wallet_btc = portfolio.get_wallet(exchange.id, BTC)
assert wallet_usd.balance == 4800 * USD
assert wallet_usd.locked_balance == 5200 * USD
assert order.path_id in wallet_usd.locked.keys()
assert wallet_btc.balance == 0 * BTC
listener.on_execute.assert_called_once_with(order)
def test_is_executable_on(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
# Market order
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5000.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
exchange.quote_price = mock.Mock(return_value=Decimal(6800.00))
assert order.is_executable()
exchange.quote_price = mock.Mock(return_value=Decimal(7200.00))
assert order.is_executable()
# Limit order
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.LIMIT,
quantity=5000.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
exchange.quote_price = mock.Mock(return_value=Decimal(6800.00))
assert order.is_executable()
exchange.quote_price = mock.Mock(return_value=Decimal(7200.00))
assert order.is_executable()
# Stop Order
wallets = [Wallet(exchange, 0 * USD), Wallet(exchange, 2 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.SELL,
trade_type=TradeType.LIMIT,
quantity=1 * BTC,
portfolio=portfolio,
price=Decimal(7000.00),
criteria=Stop("down", 0.03))
exchange.quote_price = mock.Mock(return_value=Decimal(1 - 0.031) *
order.price)
assert order.is_executable()
exchange.quote_price = mock.Mock(return_value=Decimal(1 - 0.02) *
order.price)
assert not order.is_executable()
def test_cancel(mock_order_listener_class, mock_trade_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
listener = mock_order_listener_class.return_value
listener.on_cancel = mock.Mock(return_value=None)
order.attach(listener)
order.execute()
# Execute fake trade
price = Decimal(7010.00)
scale = order.price / price
commission = 3.00 * USD
trade = mock_trade_class.return_value
trade.size = Decimal(scale * order.size - commission.size)
trade.quantity = trade.size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
order.fill(trade)
assert order.status == OrderStatus.PARTIALLY_FILLED
assert base_wallet.balance == 4800.00 * USD
assert float(round(base_wallet.locked[order.path_id].size, 2)) == 7.42
assert quote_wallet.balance == 0 * BTC
assert float(round(quote_wallet.locked[order.path_id].size,
8)) == 0.73925519
order.cancel()
listener.on_cancel.assert_called_once_with(order)
assert float(round(base_wallet.balance.size, 2)) == 4807.42
assert order.path_id not in base_wallet.locked
assert float(round(quote_wallet.balance.size, 8)) == 0.73925519
assert order.path_id not in quote_wallet.locked
def test_complete_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=risk_criteria)
order += risk_management
order.execute()
# Execute fake trade
price = Decimal(7010.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.size = Decimal(base_size)
trade.quantity = base_size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
# Fill fake trade
order.fill(trade)
assert order.path_id in portfolio.get_wallet(exchange.id, USD).locked
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete()
assert order.status == OrderStatus.FILLED
assert next_order
assert next_order.path_id == order.path_id
assert next_order.size
assert next_order.status == OrderStatus.PENDING
assert next_order.side == TradeSide.SELL
assert next_order.exchange_pair == ExchangePair(exchange, USD / BTC)
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options.max_trade_size = 1e6
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.quote_price = lambda pair: Decimal(7000.00)
broker = Broker()
broker.exchanges = [exchange]
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=risk_criteria)
order += risk_management
order.attach(broker)
order.execute()
broker._executed[order.id] = order
# Execute fake trade
price = Decimal(7000.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.order_id = order.id
trade.size = base_size
trade.quantity = base_size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
assert trade.order_id in broker.executed.keys()
assert trade not in broker.trades
assert broker.unexecuted == []
order.fill(trade)
assert order.remaining == 0
assert trade in broker.trades[order.id]
assert broker.unexecuted != []
def test_is_executable_on(mock_portfolio_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
portfolio = mock_portfolio_class.return_value
# Market order
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD/BTC,
quantity=5000.00 * USD,
portfolio=portfolio,
price=7000.00)
exchange.quote_price = mock.Mock(return_value=6800.00)
assert order.is_executable_on(exchange)
exchange.quote_price = mock.Mock(return_value=7200.00)
assert order.is_executable_on(exchange)
# Limit order
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.LIMIT,
pair=USD/BTC,
quantity=5000.00 * USD,
portfolio=portfolio,
price=7000.00)
exchange.quote_price = mock.Mock(return_value=6800.00)
assert order.is_executable_on(exchange)
exchange.quote_price = mock.Mock(return_value=7200.00)
assert order.is_executable_on(exchange)
# Stop Order
order = Order(step=0,
side=TradeSide.SELL,
trade_type=TradeType.LIMIT,
pair=USD/BTC,
quantity=5000.00 * USD,
portfolio=portfolio,
price=7000.00,
criteria=Stop("down", 0.03))
exchange.quote_price = mock.Mock(return_value=(1 - 0.031)*order.price)
assert order.is_executable_on(exchange)
exchange.quote_price = mock.Mock(return_value=(1 - 0.02) * order.price)
assert not order.is_executable_on(exchange)
def test_complete_complex_order(mock_trade_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=risk_criteria)
order += risk_management
order.execute(exchange)
# Execute fake trade
price = 7010.00
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.size = base_size
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id)
quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id)
# Fill fake trade
order.fill(exchange, trade)
assert order.path_id in portfolio.get_wallet(exchange.id, USD).locked
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete(exchange)
assert order.status == OrderStatus.FILLED
assert next_order
assert next_order.path_id == order.path_id
assert next_order.size
assert next_order.status == OrderStatus.PENDING
assert next_order.side == TradeSide.SELL
assert next_order.pair == USD/BTC
def assert_execute_order(
current_price,
base_balance,
quote_balance,
order_side,
order_quantity,
order_price,
):
mock_clock = mock.Mock()
clock = mock_clock.return_value
clock.step = 3
base = base_balance.instrument
quote = quote_balance.instrument
current_price = Decimal(current_price).quantize(
Decimal(10)**-base.precision)
order_price = Decimal(order_price).quantize(Decimal(10)**-base.precision)
options = ExchangeOptions()
mock_exchange = mock.Mock()
exchange = mock_exchange.return_value
exchange.name = "coinbase"
exchange.options = options
exchange.quote_price = lambda pair: current_price
base_wallet = Wallet(exchange, base_balance)
quote_wallet = Wallet(exchange, quote_balance)
portfolio = Portfolio(USD, [base_wallet, quote_wallet])
order = Order(step=1,
side=order_side,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, base / quote),
quantity=order_quantity,
portfolio=portfolio,
price=order_price,
path_id="fake_id")
order.status = OrderStatus.OPEN
if order_side == TradeSide.BUY:
trade = execute_buy_order(
order,
base_wallet,
quote_wallet,
current_price=current_price,
options=options,
clock=clock,
)
base_balance = base_wallet.locked['fake_id'].size
quote_balance = quote_wallet.locked['fake_id'].size
expected_base_balance = order_quantity.size - (trade.size +
trade.commission.size)
expected_quote_balance = trade.size / current_price
expected_base_balance = expected_base_balance.quantize(
Decimal(10)**-base.precision)
expected_quote_balance = expected_quote_balance.quantize(
Decimal(10)**-quote.precision)
assert base_balance == expected_base_balance
assert quote_balance == expected_quote_balance
else:
trade = execute_sell_order(
order,
base_wallet,
quote_wallet,
current_price=current_price,
options=options,
clock=clock,
)
base_balance = base_wallet.locked['fake_id'].size
quote_balance = quote_wallet.locked['fake_id'].size
expected_base_balance = trade.size * current_price
expected_base_balance = expected_base_balance.quantize(
Decimal(10)**-base.precision)
assert base_balance == expected_base_balance
assert quote_balance == 0
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
broker = Broker(exchange)
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=risk_criteria)
order += risk_management
order.attach(broker)
order.execute(exchange)
broker._executed[order.id] = order
# Execute fake trade
price = 7000.00
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.order_id = order.id
trade.size = base_size
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id)
quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id)
assert trade.order_id in broker.executed.keys()
assert trade not in broker.trades
assert broker.unexecuted == []
order.fill(exchange, trade)
assert order.remaining_size == 0
assert trade in broker.trades[order.id]
assert broker.unexecuted != []
