def __init__(self, market: Market, trades: Dict[str, Tuple[str, float]]):
super().__init__(market)
self.trades = trades
self.tick_size = 5
self._order_filled_event_timestamps: List[float] = []
self._order_filled_events: List[OrderFilledEvent] = []
self._trade_logger: CompositeOrderBookTestStrategy.OrderFilledEventLogger = self.OrderFilledEventLogger(self)
market.add_listener(MarketEvent.OrderFilled, self._trade_logger)
self.start_printing = False
def simulate_limit_order_fill(market: Market, limit_order: LimitOrder, timestamp: float = 0):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
config: MarketConfig = market.config
trade_event: OrderBookTradeEvent = OrderBookTradeEvent(
trading_pair=limit_order.trading_pair,
timestamp=timestamp,
type=TradeType.BUY if limit_order.is_buy else TradeType.SELL,
price=limit_order.price,
amount=limit_order.quantity
)
market.get_order_book(limit_order.trading_pair).apply_trade(trade_event)
if limit_order.is_buy:
market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.BUY,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
TradeFee(Decimal(0.0))
))
market.trigger_event(MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency if config.buy_fees_asset is AssetType.BASE_CURRENCY else quote_currency,
base_currency_traded,
quote_currency_traded,
Decimal(0.0),
OrderType.LIMIT
))
else:
market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.SELL,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
TradeFee(Decimal(0.0))
))
market.trigger_event(MarketEvent.SellOrderCompleted, SellOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency if config.sell_fees_asset is AssetType.BASE_CURRENCY else quote_currency,
base_currency_traded,
quote_currency_traded,
Decimal(0.0),
OrderType.LIMIT
))
def simulate_limit_order_fill(market: Market, limit_order: LimitOrder):
quote_currency_traded: float = float(float(limit_order.price) * float(limit_order.quantity))
base_currency_traded: float = float(limit_order.quantity)
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
config: MarketConfig = market.config
if limit_order.is_buy:
market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.symbol,
TradeType.BUY,
OrderType.LIMIT,
float(limit_order.price),
float(limit_order.quantity),
TradeFee(0.0)
))
market.trigger_event(MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency if config.buy_fees_asset is AssetType.BASE_CURRENCY else quote_currency,
base_currency_traded,
quote_currency_traded,
0.0,
OrderType.LIMIT
))
else:
market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.symbol,
TradeType.SELL,
OrderType.LIMIT,
float(limit_order.price),
float(limit_order.quantity),
TradeFee(0.0)
))
market.trigger_event(MarketEvent.SellOrderCompleted, SellOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency if config.sell_fees_asset is AssetType.BASE_CURRENCY else quote_currency,
base_currency_traded,
quote_currency_traded,
0.0,
OrderType.LIMIT
))
def simulate_limit_order_fill(market: Market, limit_order: LimitOrder):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
config: MarketConfig = market.config
if limit_order.is_buy:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair, TradeType.BUY,
OrderType.LIMIT, limit_order.price,
limit_order.quantity, TradeFee(Decimal("0"))))
market.trigger_event(
MarketEvent.BuyOrderCompleted,
BuyOrderCompletedEvent(
market.current_timestamp, limit_order.client_order_id,
base_currency, quote_currency, base_currency
if config.buy_fees_asset is AssetType.BASE_CURRENCY else
quote_currency, base_currency_traded,
quote_currency_traded, Decimal("0"), OrderType.LIMIT))
else:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair, TradeType.SELL,
OrderType.LIMIT, limit_order.price,
limit_order.quantity, TradeFee(Decimal("0"))))
market.trigger_event(
MarketEvent.SellOrderCompleted,
SellOrderCompletedEvent(
market.current_timestamp, limit_order.client_order_id,
base_currency, quote_currency, base_currency
if config.sell_fees_asset is AssetType.BASE_CURRENCY else
quote_currency, base_currency_traded,
quote_currency_traded, Decimal("0"), OrderType.LIMIT))