async def test_cancel_open_orders_multi_symbol(self): config, exchange_manager, trader_inst = await self.init_default() orders_manager = exchange_manager.exchange_personal_data.orders_manager trades_manager = exchange_manager.exchange_personal_data.trades_manager # Test buy order market_buy = BuyMarketOrder(trader_inst) market_buy.update(order_type=TraderOrderType.BUY_MARKET, symbol="BTC/USDC", current_price=70, quantity=10, price=70) # Test buy order limit_sell = SellLimitOrder(trader_inst) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="NANO/USDT", current_price=70, quantity=10, price=70) # Test sell order market_sell = SellMarketOrder(trader_inst) market_sell.update(order_type=TraderOrderType.SELL_MARKET, symbol=self.DEFAULT_SYMBOL, current_price=70, quantity=10, price=70) # Test buy order limit_buy = BuyLimitOrder(trader_inst) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol=self.DEFAULT_SYMBOL, current_price=70, quantity=10, price=70) await trader_inst.create_order(market_buy) await trader_inst.create_order(market_sell) await trader_inst.create_order(limit_buy) await trader_inst.create_order(limit_sell) # market orders not in open orders as they are instantly filled assert market_buy not in orders_manager.get_open_orders() assert market_sell not in orders_manager.get_open_orders() assert limit_buy in orders_manager.get_open_orders() assert limit_sell in orders_manager.get_open_orders() assert len(trades_manager.trades) == 2 await trader_inst.cancel_open_orders(self.DEFAULT_SYMBOL) assert limit_buy not in orders_manager.get_open_orders() assert limit_sell in orders_manager.get_open_orders() # added cancelled orders as cancelled trades assert len(trades_manager.trades) == 3 await self.stop(exchange_manager)
async def test_cancel_open_orders_default_symbol(self): config, exchange_manager, trader_inst = await self.init_default() orders_manager = exchange_manager.exchange_personal_data.orders_manager trades_manager = exchange_manager.exchange_personal_data.trades_manager portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager initial_portfolio = copy.deepcopy( portfolio_manager.portfolio.portfolio) # Test buy order limit_buy_1 = BuyLimitOrder(trader_inst) limit_buy_1.update(order_type=TraderOrderType.BUY_LIMIT, symbol=self.DEFAULT_SYMBOL, current_price=70, quantity=10, price=70) # Test sell order limit_sell = SellLimitOrder(trader_inst) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol=self.DEFAULT_SYMBOL, current_price=70, quantity=10, price=70) # Test buy order limit_buy_2 = BuyLimitOrder(trader_inst) limit_buy_2.update(order_type=TraderOrderType.BUY_LIMIT, symbol=self.DEFAULT_SYMBOL, current_price=70, quantity=10, price=70) await trader_inst.create_order(limit_buy_1) await trader_inst.create_order(limit_sell) await trader_inst.create_order(limit_buy_2) assert limit_buy_1 in orders_manager.get_open_orders() assert limit_sell in orders_manager.get_open_orders() assert limit_buy_2 in orders_manager.get_open_orders() assert not trades_manager.trades await trader_inst.cancel_open_orders(self.DEFAULT_SYMBOL) assert limit_buy_1 not in orders_manager.get_open_orders() assert limit_sell not in orders_manager.get_open_orders() assert limit_buy_2 not in orders_manager.get_open_orders() # added cancelled orders as cancelled trades assert len(trades_manager.trades) == 3 assert all(trade.status is OrderStatus.CANCELED for trade in trades_manager.trades.values()) assert initial_portfolio == portfolio_manager.portfolio.portfolio await self.stop(exchange_manager)
async def test_close_filled_order(self): config, exchange_manager, trader_inst = await self.init_default() orders_manager = exchange_manager.exchange_personal_data.orders_manager trades_manager = exchange_manager.exchange_personal_data.trades_manager # Test buy order market_buy = BuyMarketOrder(trader_inst) market_buy.update(order_type=TraderOrderType.BUY_MARKET, symbol="BTC/USDC", current_price=70, quantity=10, price=70) # Test buy order limit_sell = SellLimitOrder(trader_inst) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="NANO/USDT", current_price=70, quantity=10, price=70) # Test stop loss order stop_loss = StopLossOrder(trader_inst) stop_loss.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=60, quantity=10, price=60) await trader_inst.create_order(market_buy) await trader_inst.create_order(stop_loss) await trader_inst.create_order(limit_sell) assert len(trades_manager.trades) == 1 await trader_inst.close_filled_order(limit_sell) # market orders not in open orders as they are instantly filled assert market_buy not in orders_manager.get_open_orders() assert limit_sell not in orders_manager.get_open_orders() assert stop_loss in orders_manager.get_open_orders() # added filled orders as filled trades assert len(trades_manager.trades) == 2 assert trades_manager.get_trade( market_buy.order_id).status is OrderStatus.FILLED # did not previously update order status therefore it stayed as open assert trades_manager.get_trade( limit_sell.order_id).status is OrderStatus.OPEN await self.stop(exchange_manager)
async def test_update_portfolio_with_stop_loss_buy_orders(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # Test buy order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=90, quantity=4, price=90) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=50, quantity=4, price=50) # Test stop loss order stop_loss = StopLossOrder(trader, side=TradeOrderSide.BUY) stop_loss.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=60, quantity=4, price=60) portfolio_manager.portfolio.update_portfolio_available(stop_loss, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) assert round(portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE), 1) == 6 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 800 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # cancel limits portfolio_manager.portfolio.update_portfolio_available(limit_buy, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell, False) await fill_limit_or_stop_order(stop_loss) # filling stop loss # typical stop loss behavior --> update available before update portfolio assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 14 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 760 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 14 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 760
async def test_update_portfolio_available(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # Test buy order market_buy = BuyMarketOrder(trader) market_buy.update(order_type=TraderOrderType.BUY_MARKET, symbol="BTC/USDT", current_price=70, quantity=10, price=70) # test buy order creation portfolio_manager.portfolio.update_portfolio_available(market_buy, True) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 300 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # test buy order canceled --> return to init state and the update_portfolio will sync TOTAL with AVAILABLE portfolio_manager.portfolio.update_portfolio_available(market_buy, False) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # Test sell order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=60, quantity=8, price=60) # test sell order creation portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 2 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # test sell order canceled --> return to init state and the update_portfolio will sync TOTAL with AVAILABLE portfolio_manager.portfolio.update_portfolio_available(limit_sell, False) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000
async def test_close_filled_order_with_linked_orders(self): config, exchange_manager, trader_inst = await self.init_default() orders_manager = exchange_manager.exchange_personal_data.orders_manager trades_manager = exchange_manager.exchange_personal_data.trades_manager # Test buy order market_buy = BuyMarketOrder(trader_inst) market_buy.update(order_type=TraderOrderType.BUY_MARKET, symbol="BTC/USDC", current_price=70, quantity=10, price=70) # Test buy order limit_sell = SellLimitOrder(trader_inst) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="NANO/USDT", current_price=70, quantity=10, price=70) # Test stop loss order stop_loss = StopLossOrder(trader_inst) stop_loss.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=60, quantity=10, price=60) stop_loss.linked_orders = [limit_sell] limit_sell.linked_orders = [stop_loss] await trader_inst.create_order(market_buy) await trader_inst.create_order(stop_loss) await trader_inst.create_order(limit_sell) assert len(trades_manager.trades) == 1 limit_sell.filled_price = limit_sell.origin_price limit_sell.status = OrderStatus.FILLED await trader_inst.close_filled_order(limit_sell) assert market_buy not in orders_manager.get_open_orders() assert stop_loss not in orders_manager.get_open_orders() assert limit_sell not in orders_manager.get_open_orders() # added filled orders as filled trades assert len(trades_manager.trades) == 3 assert trades_manager.get_trade( market_buy.order_id).status is OrderStatus.FILLED assert trades_manager.get_trade( limit_sell.order_id).status is OrderStatus.FILLED assert trades_manager.get_trade( stop_loss.order_id).status is OrderStatus.CANCELED with pytest.raises(KeyError): trades_manager.get_trade(f"{market_buy.order_id}1") await self.stop(exchange_manager)
async def test_reset_portfolio_available(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # Test buy order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=90, quantity=4, price=90) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) portfolio_manager.portfolio.reset_portfolio_available() assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # Test sell order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=90, quantity=4, price=90) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="VEN/BTC", current_price=0.5, quantity=4, price=0.5) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) # Test buy order btc_limit_buy = BuyLimitOrder(trader) btc_limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=10, quantity=50, price=10) portfolio_manager.portfolio.update_portfolio_available(btc_limit_buy, True) # Test buy order btc_limit_buy2 = BuyLimitOrder(trader) btc_limit_buy2.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=10, quantity=50, price=10) portfolio_manager.portfolio.update_portfolio_available(btc_limit_buy2, True) # reset equivalent of the ven buy order portfolio_manager.portfolio.reset_portfolio_available("BTC", 4 * 0.5) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 6 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 0 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # reset equivalent of the btc buy orders 1 and 2 portfolio_manager.portfolio.reset_portfolio_available("USDT") assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 6 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000
async def test_update_portfolio_with_multiple_filled_orders(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # Test buy order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=90, quantity=4, price=90) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=60, quantity=2, price=60) # Test buy order limit_buy_2 = BuyLimitOrder(trader) limit_buy_2.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=50, quantity=4, price=50) # Test buy order limit_buy_3 = BuyLimitOrder(trader) limit_buy_3.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=46, quantity=2, price=46) # Test buy order limit_buy_4 = BuyLimitOrder(trader) limit_buy_4.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=41, quantity=1.78, price=41) # Test buy order limit_buy_5 = BuyLimitOrder(trader) limit_buy_5.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=0.2122427, quantity=3.72448, price=0.2122427) # Test buy order limit_buy_6 = BuyLimitOrder(trader) limit_buy_6.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=430, quantity=1.05, price=430) # Test sell order limit_sell_2 = SellLimitOrder(trader) limit_sell_2.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=10, quantity=2, price=10) # Test stop loss order stop_loss_2 = StopLossOrder(trader) stop_loss_2.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=10, quantity=2, price=10) # Test sell order limit_sell_3 = SellLimitOrder(trader) limit_sell_3.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=20, quantity=1, price=20) # Test stop loss order stop_loss_3 = StopLossOrder(trader) stop_loss_3.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=20, quantity=1, price=20) # Test sell order limit_sell_4 = SellLimitOrder(trader) limit_sell_4.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=50, quantity=0.2, price=50) # Test stop loss order stop_loss_4 = StopLossOrder(trader, side=TradeOrderSide.BUY) stop_loss_4.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=45, quantity=0.2, price=45) # Test sell order limit_sell_5 = SellLimitOrder(trader) limit_sell_5.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=11, quantity=0.7, price=11) # Test stop loss order stop_loss_5 = StopLossOrder(trader) stop_loss_5.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=9, quantity=0.7, price=9) portfolio_manager.portfolio.update_portfolio_available(stop_loss_2, True) portfolio_manager.portfolio.update_portfolio_available(stop_loss_3, True) portfolio_manager.portfolio.update_portfolio_available(stop_loss_4, True) portfolio_manager.portfolio.update_portfolio_available(stop_loss_5, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_2, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_3, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_4, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_5, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_2, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_3, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_4, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_5, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_6, True) assert round(portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE), 1) == 2.1 assert round(portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE), 7) == 62.7295063 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # cancels portfolio_manager.portfolio.update_portfolio_available(stop_loss_3, False) portfolio_manager.portfolio.update_portfolio_available(stop_loss_5, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell_2, False) portfolio_manager.portfolio.update_portfolio_available(limit_buy, False) portfolio_manager.portfolio.update_portfolio_available(limit_buy_3, False) portfolio_manager.portfolio.update_portfolio_available(limit_buy_5, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell_4, False) # filling await fill_limit_or_stop_order(stop_loss_2) await fill_limit_or_stop_order(limit_sell) await fill_limit_or_stop_order(limit_sell_3) await fill_limit_or_stop_order(limit_buy_2) await fill_limit_or_stop_order(limit_sell_5) await fill_limit_or_stop_order(stop_loss_4) await fill_limit_or_stop_order(limit_buy_4) await fill_limit_or_stop_order(limit_buy_5) await fill_limit_or_stop_order(limit_buy_6) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 13.05448 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 674.22 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 13.05448 assert round(portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL), 7) == 673.4295063
async def test_update_portfolio_with_some_filled_orders(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # Test buy order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=90, quantity=4, price=90) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=60, quantity=2, price=60) # Test buy order limit_buy_2 = BuyLimitOrder(trader) limit_buy_2.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=50, quantity=4, price=50) # Test sell order limit_sell_2 = SellLimitOrder(trader) limit_sell_2.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=10, quantity=2, price=10) # Test stop loss order stop_loss_2 = StopLossOrder(trader) stop_loss_2.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=10, quantity=2, price=10) # Test sell order limit_sell_3 = SellLimitOrder(trader) limit_sell_3.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=20, quantity=1, price=20) # Test stop loss order stop_loss_3 = StopLossOrder(trader) stop_loss_3.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=20, quantity=1, price=20) portfolio_manager.portfolio.update_portfolio_available(stop_loss_2, True) portfolio_manager.portfolio.update_portfolio_available(stop_loss_3, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_2, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell_3, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy_2, True) assert round(portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE), 1) == 3 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 680 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # Test stop loss order stop_loss_4 = StopLossOrder(trader, side=TradeOrderSide.BUY) stop_loss_4.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=20, quantity=4, price=20) # Test stop loss order stop_loss_5 = StopLossOrder(trader, side=TradeOrderSide.BUY) stop_loss_5.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=200, quantity=4, price=20) portfolio_manager.portfolio.update_portfolio_available(stop_loss_5, True) # portfolio did not change as stop losses are not affecting available funds assert round(portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE), 1) == 3 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 680 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # cancels portfolio_manager.portfolio.update_portfolio_available(stop_loss_3, False) portfolio_manager.portfolio.update_portfolio_available(stop_loss_5, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell_2, False) portfolio_manager.portfolio.update_portfolio_available(limit_buy, False) # filling await fill_limit_or_stop_order(stop_loss_2) await fill_limit_or_stop_order(limit_sell) await fill_limit_or_stop_order(limit_sell_3) await fill_limit_or_stop_order(limit_buy_2) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 7 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1200 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 7 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1200 await fill_limit_or_stop_order(stop_loss_4) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 11 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1120 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 11 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1120
async def test_update_portfolio_with_cancelled_orders(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # force fees => shouldn't do anything exchange_manager.exchange.config[CONFIG_SIMULATOR][CONFIG_SIMULATOR_FEES] = { CONFIG_SIMULATOR_FEES_MAKER: 0.05, CONFIG_SIMULATOR_FEES_TAKER: 0.1 } # Test buy order market_sell = SellMarketOrder(trader) market_sell.update(order_type=TraderOrderType.SELL_MARKET, symbol="BTC/USDT", current_price=80, quantity=4.1, price=80) # Test sell order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=10, quantity=4.2, price=10) # Test stop loss order stop_loss = StopLossOrder(trader) stop_loss.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=80, quantity=3.6, price=80) portfolio_manager.portfolio.update_portfolio_available(stop_loss, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=50, quantity=4, price=50) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) portfolio_manager.portfolio.update_portfolio_available(market_sell, True) assert round(portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE), 1) == 1.7 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 800 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000 # with no filled orders portfolio_manager.portfolio.update_portfolio_available(stop_loss, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell, False) portfolio_manager.portfolio.update_portfolio_available(limit_buy, False) portfolio_manager.portfolio.update_portfolio_available(market_sell, False) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1000 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 10 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1000
async def test_update_portfolio_with_filled_orders(backtesting_trader): config, exchange_manager, trader = backtesting_trader portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager # force fees => should have consequences exchange_manager.exchange.config[CONFIG_SIMULATOR][CONFIG_SIMULATOR_FEES] = { CONFIG_SIMULATOR_FEES_MAKER: 0.05, CONFIG_SIMULATOR_FEES_TAKER: 0.1 } # Test buy order market_sell = SellMarketOrder(trader) market_sell.update(order_type=TraderOrderType.SELL_MARKET, symbol="BTC/USDT", current_price=70, quantity=3, price=70) # Test sell order limit_sell = SellLimitOrder(trader) limit_sell.update(order_type=TraderOrderType.SELL_LIMIT, symbol="BTC/USDT", current_price=100, quantity=4.2, price=100) # Test stop loss order stop_loss = StopLossOrder(trader) stop_loss.update(order_type=TraderOrderType.STOP_LOSS, symbol="BTC/USDT", current_price=80, quantity=4.2, price=80) limit_sell.add_linked_order(stop_loss) stop_loss.add_linked_order(limit_sell) # Test buy order limit_buy = BuyLimitOrder(trader) limit_buy.update(order_type=TraderOrderType.BUY_LIMIT, symbol="BTC/USDT", current_price=50, quantity=2, price=50) # update portfolio with creations portfolio_manager.portfolio.update_portfolio_available(market_sell, True) portfolio_manager.portfolio.update_portfolio_available(limit_sell, True) portfolio_manager.portfolio.update_portfolio_available(stop_loss, True) portfolio_manager.portfolio.update_portfolio_available(limit_buy, True) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 2.8 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 900 # when cancelling limit sell, market sell and stop orders portfolio_manager.portfolio.update_portfolio_available(stop_loss, False) portfolio_manager.portfolio.update_portfolio_available(limit_sell, False) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 7 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 900 # when filling limit buy await fill_limit_or_stop_order(limit_buy) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 8.999 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 900 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 11.999 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 900 # when filling market sell await fill_market_order(market_sell) assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_AVAILABLE) == 8.999 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_AVAILABLE) == 1109.79 assert portfolio_manager.portfolio.get_currency_portfolio("BTC", PORTFOLIO_TOTAL) == 8.999 assert portfolio_manager.portfolio.get_currency_portfolio("USDT", PORTFOLIO_TOTAL) == 1109.79