def test_submit_order(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(),
)
# Act
self.exec_engine.execute(submit_order)
# Assert
self.assertIn(submit_order, self.exec_client.received_commands)
self.assertTrue(self.cache.order_exists(order.cl_ord_id))
def test_handle_position_opening_with_position_id_none(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_id = PositionId(
"O-19700101-000000-000-001-1") # Stubbed from order id
# Assert
self.assertTrue(self.cache.position_exists(expected_id))
self.assertTrue(self.cache.is_position_open(expected_id))
self.assertFalse(self.cache.is_position_closed(expected_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_id)))
self.assertTrue(expected_id in self.cache.position_ids())
self.assertTrue(expected_id not in self.cache.position_closed_ids(
strategy_id=strategy.id))
self.assertTrue(expected_id not in self.cache.position_closed_ids())
self.assertTrue(expected_id in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(expected_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_add_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId.py_null()
# Act
self.database.add_order(order, position_id)
# Assert
self.assertEqual(order, self.database.load_order(order.cl_ord_id))
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())
def test_multiple_strategy_positions_one_active_one_closed(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 = strategy1.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
order3 = 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(),
)
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.py_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, 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, 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, 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.assertTrue(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.assertTrue(position_id1 in self.cache.position_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_ids())
self.assertTrue(position_id2 in 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.assertTrue(position_id1 not in self.cache.position_open_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 in self.cache.position_open_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 not in self.cache.position_open_ids())
self.assertTrue(position_id2 in self.cache.position_open_ids())
self.assertTrue(position_id1 in self.cache.position_closed_ids(
strategy_id=strategy1.id))
self.assertTrue(position_id2 not in self.cache.position_closed_ids(
strategy_id=strategy2.id))
self.assertTrue(position_id1 in self.cache.position_closed_ids())
self.assertTrue(position_id2 not in 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
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.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
order2 = strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
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-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))
# # 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.assertTrue(self.cache.is_flat(strategy_id=strategy.id))
self.assertTrue(self.cache.is_flat())
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.assertTrue(position_id not in self.cache.position_open_ids(
strategy_id=strategy.id))
self.assertTrue(position_id not in 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())
