def test_on_cancel(mock_exchange_class, cancel_listener):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "bitfinex"
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))
order.attach(cancel_listener)
assert not cancel_listener.listened
order.cancel()
assert cancel_listener.listened
def get_orders(self, action: int, portfolio: 'Portfolio') -> 'List[Order]':
if action == 0:
return []
(ep, (criteria, proportion, duration, side)) = self.actions[action]
instrument = side.instrument(ep.pair)
wallet = portfolio.get_wallet(ep.exchange.id, instrument=instrument)
balance = wallet.balance.as_float()
size = (balance * proportion)
size = min(balance, size)
quantity = (size * instrument).quantize()
if size < 10 ** -instrument.precision \
or size < self.min_order_pct * portfolio.net_worth \
or size < self.min_order_abs:
return []
order = Order(step=self.clock.step,
side=side,
trade_type=self._trade_type,
exchange_pair=ep,
price=ep.price,
quantity=quantity,
criteria=criteria,
end=self.clock.step + duration if duration else None,
portfolio=portfolio)
if self._order_listener is not None:
order.attach(self._order_listener)
return [order]
def test_on_complete(mock_trade_class, mock_exchange_class, complete_listener):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "bitfinex"
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))
order.attach(complete_listener)
order.execute()
trade = mock_trade_class.return_value
trade.size = Decimal(5197.00)
trade.quantity = trade.size * USD
trade.commission = 3.00 * USD
order.fill(trade)
assert not complete_listener.listened
order.complete()
assert complete_listener.listened
def test_detach(mock_exchange_class, mock_order_listener_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=5000.00 * USD,
portfolio=portfolio,
price=Decimal(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_on_fill(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 = "bitfinex"
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)
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
order.attach(broker)
order.execute()
broker.executed[order.id] = order
trade = mock_trade_class.return_value
trade.quantity = 5197.00 * USD
trade.commission = 3.00 * USD
trade.order_id = order.id
assert order.status == OrderStatus.OPEN
order.fill(trade)
assert order.status == OrderStatus.FILLED
assert order.remaining == 0
assert trade in broker.trades[order.id]
def test_complete_basic_order(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
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_complete = mock.Mock(return_value=None)
order.attach(listener)
order.execute()
trade = mock_trade_class.return_value
trade.size = Decimal(5197.00)
trade.quantity = 5197.00 * USD
trade.commission = 3.00 * USD
order.fill(trade)
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete()
assert order.status == OrderStatus.FILLED
listener.on_complete.assert_called_once_with(order)
assert not next_order
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_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 = "bitfinex"
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.add_order_spec(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_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 get_orders(self, action: int, portfolio: 'Portfolio') -> 'List[Order]':
# HOLD Action
if action == 0:
return []
#(ep, (criteria, proportion, duration, side)) = self.actions[action]
#ep = self.actions[action][0]
#(criteria, proportion, duration, side) = self.actions[action][1]
ep, side = self.actions[action]
# Empty Orders List
orders = []
# check different action
if (action != self.action):
# proportion of used balance
proportion = 1
duration = None
criteria = None
# get base/quote wallets
quote_wallet = portfolio.get_wallet(ep.exchange.id,
instrument=ep.pair.quote)
base_wallet = portfolio.get_wallet(ep.exchange.id,
instrument=ep.pair.base)
# get current price
price = ep.price
# create orders to close all already open-position
positions = quote_wallet.get_positions().values(
) # avoid RuntimeError: dictionary changed size during iteration, when remove position from dict.
for position in positions:
if position.is_open:
#close positions based on last opened orders
#quantity = Quantity(instrument=ep.pair.quote, size=position.quantity.size)
# adjut worth quantity - if sell-position already open
quantity = Quantity(instrument=ep.pair.quote,
size=position.get_worth_quantity())
position.is_locked = True
order = Order(path_id=position.id,
step=self.clock.step,
side=TradeSide.CLOSE,
trade_type=self._trade_type,
exchange_pair=ep,
price=ep.price,
quantity=quantity,
criteria=criteria,
end=self.clock.step +
duration if duration else None,
portfolio=portfolio)
# Transfer Funds from Quote Wallet to Base Wallet
transfer = Wallet.transfer(
source=quote_wallet,
target=base_wallet,
quantity=order.quantity,
commission=Quantity(instrument=ep.pair.quote, size=0),
exchange_pair=order.exchange_pair,
reason="CLOSE")
self.broker.submit(order)
self.broker.update()
if side != TradeSide.CLOSE:
# return money to base-wallets
instrument = side.instrument(ep.pair)
balance = base_wallet.balance.as_float()
size = (balance * proportion)
size = min(balance, size)
quantity = (size * instrument).quantize()
value = size * float(price)
if size < 10 ** -instrument.precision \
or value < self.min_order_pct*portfolio.net_worth:
return []
order = Order(step=self.clock.step,
side=side,
trade_type=self._trade_type,
exchange_pair=ep,
price=ep.price,
quantity=quantity,
criteria=criteria,
end=self.clock.step +
duration if duration else None,
portfolio=portfolio)
orders.append(order)
if self._order_listener is not None:
order.attach(self._order_listener)
# TODO: Check a way to check: check only when order is completed
self.action = action
return orders
