def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.guid_factory = TestGuidFactory()
logger = TestLogger()
self.trader_id = TraderId('TESTER', '000')
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
id_tag_trader=self.trader_id.order_id_tag,
id_tag_strategy=IdTag('001'),
clock=self.clock)
self.portfolio = Portfolio(currency=Currency.USD,
clock=self.clock,
guid_factory=self.guid_factory,
logger=logger)
self.analyzer = PerformanceAnalyzer()
self.exec_db = InMemoryExecutionDatabase(trader_id=self.trader_id,
logger=logger)
self.exec_engine = ExecutionEngine(trader_id=self.trader_id,
account_id=self.account_id,
database=self.exec_db,
portfolio=self.portfolio,
clock=self.clock,
guid_factory=self.guid_factory,
logger=logger)
self.exec_engine.handle_event(TestStubs.account_event())
self.exec_client = MockExecutionClient(self.exec_engine, logger)
self.exec_engine.register_client(self.exec_client)
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(
clock=self.clock,
level_stdout=LogLevel.DEBUG,
)
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
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.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = RiskEngine(
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
client_id=ClientId(self.venue.value),
venue_type=VenueType.ECN,
account_id=self.account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestStubs.event_margin_account_state())
self.exec_engine.register_client(self.exec_client)
# Prepare data
self.cache.add_instrument(AUDUSD_SIM)
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 setUp(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock, bypass_logging=True)
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("BINANCE", "001")
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)
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
database=database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
venue=Venue("BINANCE"),
account_id=self.account_id,
exec_engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(
self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TraderId("TESTER-000")
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
self.portfolio = Portfolio(
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
portfolio=self.portfolio,
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
cache=TestStubs.cache(),
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_client = MockExecutionClient(
client_id=ClientId(self.venue.value),
venue_type=VenueType.ECN,
account_id=self.account_id,
account_type=AccountType.MARGIN,
base_currency=USD,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_risk_engine(self.risk_engine)
self.exec_engine.register_client(self.exec_client)
# Prepare data
self.exec_engine.cache.add_instrument(AUDUSD_SIM)
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = TestUUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.order_factory = OrderFactory(
strategy_id=StrategyId("S", "001"),
id_tag_trader=self.trader_id.tag,
id_tag_strategy=IdTag("001"),
clock=self.clock,
)
self.portfolio = Portfolio(
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.analyzer = PerformanceAnalyzer()
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=self.portfolio,
clock=self.clock,
uuid_factory=self.uuid_factory,
logger=self.logger,
)
self.cache = self.exec_engine.cache
self.exec_engine.process(TestStubs.event_account_state())
self.venue = Venue("FXCM")
self.exec_client = MockExecutionClient(
self.venue,
self.account_id,
self.exec_engine,
self.logger,
)
self.exec_engine.register_client(self.exec_client)
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
self.venue = Venue("SIM")
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.portfolio.register_cache(DataCache(self.logger))
self.database = MockExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=self.database,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.exec_client = MockExecutionClient(
ClientId(self.venue.value),
self.account_id,
self.exec_engine,
self.clock,
self.logger,
)
self.risk_engine = RiskEngine(
exec_engine=self.exec_engine,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_engine.register_client(self.exec_client)
self.exec_engine.register_risk_engine(self.risk_engine)
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.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.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.exec_client = MockExecutionClient(
client_id=ClientId("SIM"),
venue_type=VenueType.ECN,
account_id=TestStubs.account_id(),
account_type=AccountType.MARGIN,
base_currency=USD,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_client(self.exec_client)
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.cache = TestStubs.cache()
self.portfolio = Portfolio(
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = LiveRiskEngine(
loop=self.loop,
exec_engine=self.exec_engine,
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config={},
)
self.exec_client = MockExecutionClient(
client_id=ClientId("SIM"),
venue_type=VenueType.ECN,
account_id=TestStubs.account_id(),
account_type=AccountType.MARGIN,
base_currency=USD,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_client(self.exec_client)
self.exec_engine.register_risk_engine(self.risk_engine)
def setup(self):
# Fixture Setup
self.clock = LiveClock()
self.uuid_factory = UUIDFactory()
self.trader_id = TraderId("TESTER-000")
self.logger = Logger(self.clock, bypass_logging=True)
self.account_id = AccountId(BINANCE.value, "001")
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Fresh isolated loop testing pattern
self.loop = asyncio.new_event_loop()
asyncio.set_event_loop(self.loop)
self.exec_engine = LiveExecutionEngine(
loop=self.loop,
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.risk_engine = LiveRiskEngine(
loop=self.loop,
exec_engine=self.exec_engine,
portfolio=self.portfolio,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
exec_client = MockExecutionClient(
client_id=ClientId("BINANCE"),
venue_type=VenueType.EXCHANGE,
account_id=self.account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_risk_engine(self.risk_engine)
self.exec_engine.register_client(exec_client)
self.exec_engine.process(TestStubs.event_account_state(
self.account_id))
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(self.strategy)
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, bypass=True)
self.trader_id = TestStubs.trader_id()
self.account_id = AccountId(BINANCE.value, "001")
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.exec_client = MockExecutionClient(
client_id=ClientId("BINANCE"),
venue_type=VenueType.EXCHANGE,
account_id=self.account_id,
account_type=AccountType.CASH,
base_currency=None, # Multi-currency account
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.portfolio.update_account(TestStubs.event_margin_account_state())
self.exec_engine.register_client(self.exec_client)
self.strategy = TradingStrategy()
self.strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)