class SimulatedExchangeTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={'use_previous_close': False}, # To correctly reproduce historical data bars
)
self.data_engine.cache.add_instrument(AUDUSD_SIM)
self.data_engine.cache.add_instrument(USDJPY_SIM)
self.portfolio.register_cache(self.data_engine.cache)
self.analyzer = PerformanceAnalyzer()
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("SIM", "001")
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
database=exec_db,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.exchange = SimulatedExchange(
venue=SIM,
oms_type=OMSType.HEDGING,
generate_position_ids=False, # Will force execution engine to generate ids
is_frozen_account=False,
starting_balances=[Money(1_000_000, USD)],
instruments=[AUDUSD_SIM, USDJPY_SIM],
modules=[],
fill_model=FillModel(),
exec_cache=self.exec_engine.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(self.exec_client)
self.exchange.register_client(self.exec_client)
self.strategy = MockStrategy(bar_type=TestStubs.bartype_usdjpy_1min_bid())
self.strategy.register_trader(
self.trader_id,
self.clock,
self.logger,
)
self.data_engine.register_strategy(self.strategy)
self.exec_engine.register_strategy(self.strategy)
self.data_engine.start()
self.exec_engine.start()
self.strategy.start()
def test_repr(self):
# Arrange
# Act
# Assert
self.assertEqual("SimulatedExchange(SIM)", repr(self.exchange))
def test_check_residuals(self):
# Arrange
# Act
self.exchange.check_residuals()
# Assert
self.assertTrue(True) # No exceptions raised
def test_check_residuals_with_working_and_oco_orders(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry1 = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("90.000"),
)
entry2 = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("89.900"),
)
bracket1 = self.strategy.order_factory.bracket(
entry_order=entry1,
stop_loss=Price("89.900"),
take_profit=Price("91.000"),
)
bracket2 = self.strategy.order_factory.bracket(
entry_order=entry2,
stop_loss=Price("89.800"),
)
self.strategy.submit_bracket_order(bracket1)
self.strategy.submit_bracket_order(bracket2)
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("89.998"),
Price("89.999"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Act
self.exchange.check_residuals()
# Assert
self.assertEqual(3, len(self.exchange.get_working_orders()))
self.assertIn(bracket1.stop_loss, self.exchange.get_working_orders().values())
self.assertIn(bracket1.take_profit, self.exchange.get_working_orders().values())
self.assertIn(entry2, self.exchange.get_working_orders().values())
def test_get_working_orders_when_no_orders_returns_empty_dict(self):
# Arrange
# Act
orders = self.exchange.get_working_orders()
self.assertEqual({}, orders)
def test_submit_order_with_no_market_rejects_order(self):
# Arrange
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("80.000"),
)
# Act
self.strategy.submit_order(order)
# Assert
self.assertEqual(2, self.strategy.object_storer.count)
self.assertTrue(isinstance(self.strategy.object_storer.get_store()[1], OrderRejected))
def test_submit_order_with_invalid_price_gets_rejected(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.exchange.process_tick(tick)
self.portfolio.update_tick(tick)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("80.000"),
)
# Act
self.strategy.submit_order(order)
# Assert
self.assertEqual(OrderState.REJECTED, order.state)
def test_submit_market_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
# Create order
order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act
self.strategy.submit_order(order)
# Assert
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Decimal("90.003"), order.avg_price)
def test_submit_limit_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("80.000"),
)
# Act
self.strategy.submit_order(order)
# Assert
self.assertEqual(1, len(self.exchange.get_working_orders()))
self.assertIn(order.cl_ord_id, self.exchange.get_working_orders())
def test_submit_bracket_market_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry_order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
bracket_order = self.strategy.order_factory.bracket(
entry_order,
Price("80.000"),
)
# Act
self.strategy.submit_bracket_order(bracket_order)
# Assert
self.assertEqual(OrderState.FILLED, entry_order.state)
def test_submit_bracket_stop_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry_order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.710"),
)
bracket_order = self.strategy.order_factory.bracket(
entry_order,
Price("86.000"),
Price("97.000"),
)
# Act
self.strategy.submit_bracket_order(bracket_order)
# Assert
self.assertEqual(1, len(self.exchange.get_working_orders()))
self.assertIn(entry_order.cl_ord_id, self.exchange.get_working_orders())
def test_cancel_stop_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.711"),
)
self.strategy.submit_order(order)
# Act
self.strategy.cancel_order(order)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
def test_cancel_stop_order_when_order_does_not_exist_generates_cancel_reject(self):
# Arrange
command = CancelOrder(
venue=SIM,
trader_id=self.trader_id,
account_id=self.account_id,
cl_ord_id=ClientOrderId("O-123456"),
order_id=OrderId("001"),
command_id=self.uuid_factory.generate(),
command_timestamp=UNIX_EPOCH,
)
# Act
self.exchange.handle_cancel_order(command)
# Assert
self.assertEqual(2, self.exec_engine.event_count)
def test_modify_stop_order_when_order_does_not_exist(self):
# Arrange
command = AmendOrder(
venue=SIM,
trader_id=self.trader_id,
account_id=self.account_id,
cl_ord_id=ClientOrderId("O-123456"),
quantity=Quantity(100000),
price=Price("1.00000"),
command_id=self.uuid_factory.generate(),
command_timestamp=UNIX_EPOCH,
)
# Act
self.exchange.handle_amend_order(command)
# Assert
self.assertEqual(2, self.exec_engine.event_count)
def test_modify_stop_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.711"),
)
self.strategy.submit_order(order)
# Act
self.strategy.amend_order(order, order.quantity, Price("96.714"))
# Assert
self.assertEqual(1, len(self.exchange.get_working_orders()))
self.assertEqual(Price("96.714"), order.price)
def test_expire_order(self):
# Arrange
# Prepare market
tick1 = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.711"),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH + timedelta(minutes=1),
)
self.strategy.submit_order(order)
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("96.709"),
Price("96.710"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH + timedelta(minutes=1),
)
# Act
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
def test_modify_bracket_order_working_stop_loss(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry_order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
bracket_order = self.strategy.order_factory.bracket(
entry_order,
stop_loss=Price("85.000"),
)
self.strategy.submit_bracket_order(bracket_order)
# Act
self.strategy.amend_order(bracket_order.stop_loss, bracket_order.entry.quantity, Price("85.100"))
# Assert
self.assertEqual(Price("85.100"), bracket_order.stop_loss.price)
def test_submit_market_order_with_slippage_fill_model_slips_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
fill_model = FillModel(
prob_fill_at_limit=0.0,
prob_fill_at_stop=1.0,
prob_slippage=1.0,
random_seed=None,
)
self.exchange.set_fill_model(fill_model)
order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act
self.strategy.submit_order(order)
# Assert
self.assertEqual(Decimal("90.004"), order.avg_price)
def test_order_fills_gets_commissioned(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
top_up_order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
reduce_order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(50000),
)
# Act
self.strategy.submit_order(order)
position_id = PositionId("P-19700101-000000-000-001-1") # Generated by platform
self.strategy.submit_order(top_up_order, position_id)
self.strategy.submit_order(reduce_order, position_id)
account_event1 = self.strategy.object_storer.get_store()[2]
account_event2 = self.strategy.object_storer.get_store()[6]
account_event3 = self.strategy.object_storer.get_store()[10]
account = self.exec_engine.cache.account_for_venue(Venue("SIM"))
# Assert
self.assertEqual(Money(180.01, JPY), account_event1.commission)
self.assertEqual(Money(180.01, JPY), account_event2.commission)
self.assertEqual(Money(90.00, JPY), account_event3.commission)
self.assertTrue(Money(999995.00, USD), account.balance())
def test_process_quote_tick_fills_buy_stop_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("96.711"),
)
self.strategy.submit_order(order)
# Act
tick2 = QuoteTick(
AUDUSD_SIM.symbol, # Different market
Price("80.010"),
Price("80.011"),
Quantity(200000),
Quantity(200000),
UNIX_EPOCH,
)
tick3 = QuoteTick(
USDJPY_SIM.symbol,
Price("96.710"),
Price("96.712"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
self.exchange.process_tick(tick3)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Price("96.711"), order.avg_price)
def test_process_quote_tick_fills_buy_limit_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("90.001"),
)
self.strategy.submit_order(order)
# Act
tick2 = QuoteTick(
AUDUSD_SIM.symbol, # Different market
Price("80.010"),
Price("80.011"),
Quantity(200000),
Quantity(200000),
UNIX_EPOCH,
)
tick3 = QuoteTick(
USDJPY_SIM.symbol,
Price("89.998"),
Price("89.999"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
self.exchange.process_tick(tick3)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Price("90.001"), order.avg_price)
def test_process_quote_tick_fills_sell_stop_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.stop_market(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("90.000"),
)
self.strategy.submit_order(order)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("89.997"),
Price("89.999"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Price("90.000"), order.avg_price)
def test_process_quote_tick_fills_sell_limit_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("90.100"),
)
self.strategy.submit_order(order)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("90.101"),
Price("90.102"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
self.assertEqual(OrderState.FILLED, order.state)
self.assertEqual(Price("90.100"), order.avg_price)
def test_process_quote_tick_fills_buy_limit_entry_with_bracket(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("90.000"),
)
bracket = self.strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("89.900"),
)
self.strategy.submit_bracket_order(bracket)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("89.998"),
Price("89.999"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(1, len(self.exchange.get_working_orders()))
self.assertIn(bracket.stop_loss, self.exchange.get_working_orders().values())
def test_process_quote_tick_fills_sell_limit_entry_with_bracket(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("91.100"),
)
bracket = self.strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("91.200"),
take_profit=Price("90.000"),
)
self.strategy.submit_bracket_order(bracket)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("91.101"),
Price("91.102"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
# Assert
self.assertEqual(2, len(self.exchange.get_working_orders())) # SL and TP
self.assertIn(bracket.stop_loss, self.exchange.get_working_orders().values())
self.assertIn(bracket.take_profit, self.exchange.get_working_orders().values())
def test_process_trade_tick_fills_buy_limit_entry_with_bracket(self):
# Arrange
# Prepare market
tick1 = TradeTick(
AUDUSD_SIM.symbol,
Price("1.00000"),
Quantity(100000),
OrderSide.SELL,
TradeMatchId("123456789"),
UNIX_EPOCH,
)
tick2 = TradeTick(
AUDUSD_SIM.symbol,
Price("1.00001"),
Quantity(100000),
OrderSide.BUY,
TradeMatchId("123456790"),
UNIX_EPOCH,
)
self.data_engine.process(tick1)
self.data_engine.process(tick2)
self.exchange.process_tick(tick1)
self.exchange.process_tick(tick2)
entry = self.strategy.order_factory.limit(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("0.99900"),
)
bracket = self.strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("0.99800"),
take_profit=Price("1.100"),
)
self.strategy.submit_bracket_order(bracket)
# Act
tick3 = TradeTick(
AUDUSD_SIM.symbol,
Price("0.99899"),
Quantity(100000),
OrderSide.BUY, # Lowers ask price
TradeMatchId("123456789"),
UNIX_EPOCH,
)
self.exchange.process_tick(tick3)
# Assert
self.assertEqual(2, len(self.exchange.get_working_orders())) # SL and TP only
self.assertIn(bracket.stop_loss, self.exchange.get_working_orders().values())
self.assertIn(bracket.take_profit, self.exchange.get_working_orders().values())
def test_filling_oco_sell_cancels_other_order(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
entry = self.strategy.order_factory.limit(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("91.100"),
)
bracket = self.strategy.order_factory.bracket(
entry_order=entry,
stop_loss=Price("91.200"),
take_profit=Price("90.000"),
)
self.strategy.submit_bracket_order(bracket)
# Act
tick2 = QuoteTick(
USDJPY_SIM.symbol,
Price("91.101"),
Price("91.102"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
tick3 = QuoteTick(
USDJPY_SIM.symbol,
Price("91.201"),
Price("91.203"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(tick2)
self.exchange.process_tick(tick3)
# Assert
self.assertEqual(0, len(self.exchange.get_working_orders()))
def test_realized_pnl_contains_commission(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act
self.strategy.submit_order(order)
position = self.exec_engine.cache.positions_open()[0]
# Assert
self.assertEqual(Money(-180.01, JPY), position.realized_pnl)
self.assertEqual(Money(180.01, JPY), position.commission)
self.assertEqual([Money(180.01, JPY)], position.commissions())
def test_unrealized_pnl(self):
# Arrange
# Prepare market
tick = TestStubs.quote_tick_3decimal(USDJPY_SIM.symbol)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
order_open = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act 1
self.strategy.submit_order(order_open)
reduce_quote = QuoteTick(
USDJPY_SIM.symbol,
Price("100.003"),
Price("100.003"),
Quantity(100000),
Quantity(100000),
UNIX_EPOCH,
)
self.exchange.process_tick(reduce_quote)
self.portfolio.update_tick(reduce_quote)
order_reduce = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(50000),
)
position_id = PositionId("P-19700101-000000-000-001-1") # Generated by platform
# Act 2
self.strategy.submit_order(order_reduce, position_id)
# Assert
position = self.exec_engine.cache.positions_open()[0]
self.assertEqual(Money(500000.00, JPY), position.unrealized_pnl(Price("100.003")))
def test_position_flipped_when_reduce_order_exceeds_original_quantity(self):
# Arrange
# Prepare market
open_quote = QuoteTick(
USDJPY_SIM.symbol,
Price("90.002"),
Price("90.003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.data_engine.process(open_quote)
self.exchange.process_tick(open_quote)
order_open = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
# Act 1
self.strategy.submit_order(order_open)
reduce_quote = QuoteTick(
USDJPY_SIM.symbol,
Price("100.003"),
Price("100.003"),
Quantity(1),
Quantity(1),
UNIX_EPOCH,
)
self.exchange.process_tick(reduce_quote)
self.portfolio.update_tick(reduce_quote)
order_reduce = self.strategy.order_factory.market(
USDJPY_SIM.symbol,
OrderSide.SELL,
Quantity(150000),
)
# Act 2
self.strategy.submit_order(order_reduce, PositionId("P-19700101-000000-000-001-1")) # Generated by platform
# Assert
print(self.exec_engine.cache.positions())
position_open = self.exec_engine.cache.positions_open()[0]
position_closed = self.exec_engine.cache.positions_closed()[0]
self.assertEqual(PositionSide.SHORT, position_open.side)
self.assertEqual(Quantity(50000), position_open.quantity)
self.assertEqual(Money(999619.98, JPY), position_closed.realized_pnl)
self.assertEqual([Money(380.02, JPY)], position_closed.commissions())
class TestSimulatedExchangeContingencyAdvancedOrders:
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(
clock=self.clock,
level_stdout=LogLevel.INFO,
)
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
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 = DataEngine(
msgbus=self.msgbus,
clock=self.clock,
cache=self.cache,
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.exchange = SimulatedExchange(
venue=FTX,
venue_type=VenueType.EXCHANGE,
oms_type=OMSType.NETTING,
account_type=AccountType.MARGIN,
base_currency=None, # Multi-asset wallet
starting_balances=[Money(200, ETH),
Money(1_000_000, USD)],
default_leverage=Decimal(100),
leverages={},
is_frozen_account=False,
instruments=[ETHUSD_FTX],
modules=[],
fill_model=FillModel(),
cache=self.cache,
clock=self.clock,
logger=self.logger,
latency_model=LatencyModel(0),
)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=AccountId("FTX", "001"),
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Wire up components
self.exec_engine.register_client(self.exec_client)
self.exchange.register_client(self.exec_client)
self.cache.add_instrument(ETHUSD_FTX)
# Create mock strategy
self.strategy = MockStrategy(
bar_type=TestStubs.bartype_usdjpy_1min_bid())
self.strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Start components
self.exchange.reset()
self.data_engine.start()
self.exec_engine.start()
self.strategy.start()
def test_submit_bracket_market_buy_accepts_sl_and_tp(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_market(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.ACCEPTED
assert bracket.orders[2].status == OrderStatus.ACCEPTED
def test_submit_bracket_market_sell_accepts_sl_and_tp(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_market(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.SELL,
quantity=ETHUSD_FTX.make_qty(10.000),
stop_loss=ETHUSD_FTX.make_price(3150.0),
take_profit=ETHUSD_FTX.make_price(3050.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.ACCEPTED
assert bracket.orders[2].status == OrderStatus.ACCEPTED
def test_submit_bracket_limit_buy_has_sl_tp_pending(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3090.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
#
# # Assert
assert bracket.orders[0].status == OrderStatus.ACCEPTED
assert bracket.orders[1].status == OrderStatus.SUBMITTED
assert bracket.orders[2].status == OrderStatus.SUBMITTED
def test_submit_bracket_limit_sell_has_sl_tp_pending(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.SELL,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3150.0),
take_profit=ETHUSD_FTX.make_price(3050.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
#
# # Assert
assert bracket.orders[0].status == OrderStatus.ACCEPTED
assert bracket.orders[1].status == OrderStatus.SUBMITTED
assert bracket.orders[2].status == OrderStatus.SUBMITTED
def test_submit_bracket_limit_buy_fills_then_triggers_sl_and_tp(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.ACCEPTED
assert bracket.orders[2].status == OrderStatus.ACCEPTED
assert len(self.exchange.get_working_orders()) == 2
assert bracket.orders[1] in self.exchange.get_working_orders()
assert bracket.orders[2] in self.exchange.get_working_orders()
def test_submit_bracket_limit_sell_fills_then_triggers_sl_and_tp(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.SELL,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3050.0),
stop_loss=ETHUSD_FTX.make_price(3150.0),
take_profit=ETHUSD_FTX.make_price(3000.0),
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.ACCEPTED
assert bracket.orders[2].status == OrderStatus.ACCEPTED
assert len(self.exchange.get_working_orders()) == 2
assert bracket.orders[1] in self.exchange.get_working_orders()
assert bracket.orders[2] in self.exchange.get_working_orders()
def test_reject_bracket_entry_then_rejects_sl_and_tp(self):
# Arrange: Prepare market
tick = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick)
self.exchange.process_tick(tick)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.SELL,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3050.0), # <-- in the market
stop_loss=ETHUSD_FTX.make_price(3150.0),
take_profit=ETHUSD_FTX.make_price(3000.0),
post_only=True, # <-- will reject placed into the market
)
# Act
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Assert
assert bracket.orders[0].status == OrderStatus.REJECTED
assert bracket.orders[1].status == OrderStatus.REJECTED
assert bracket.orders[2].status == OrderStatus.REJECTED
assert len(self.exchange.get_working_orders()) == 0
assert bracket.orders[1] not in self.exchange.get_working_orders()
assert bracket.orders[2] not in self.exchange.get_working_orders()
def test_filling_bracket_sl_cancels_tp_order(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
tick2 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3150.0),
ask=ETHUSD_FTX.make_price(3151.0),
bid_size=ETHUSD_FTX.make_qty(10.000),
ask_size=ETHUSD_FTX.make_qty(10.000),
ts_event=0,
ts_init=0,
)
# Act
self.exchange.process_tick(tick2)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.CANCELED
assert bracket.orders[2].status == OrderStatus.FILLED
assert len(self.exchange.get_working_orders()) == 0
assert len(self.exchange.cache.positions_open()) == 0
def test_filling_bracket_tp_cancels_sl_order(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Act
tick2 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3150.0),
ask=ETHUSD_FTX.make_price(3151.0),
bid_size=ETHUSD_FTX.make_qty(10.000),
ask_size=ETHUSD_FTX.make_qty(10.000),
ts_event=0,
ts_init=0,
)
self.exchange.process_tick(tick2)
# Assert
assert bracket.orders[0].status == OrderStatus.FILLED
assert bracket.orders[1].status == OrderStatus.CANCELED
assert bracket.orders[2].status == OrderStatus.FILLED
assert len(self.exchange.get_working_orders()) == 0
assert len(self.exchange.cache.positions_open()) == 0
def test_partial_fill_bracket_tp_updates_sl_order(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
en = bracket.orders[0]
sl = bracket.orders[1]
tp = bracket.orders[2]
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Act
tick2 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3150.0),
ask=ETHUSD_FTX.make_price(3151.0),
bid_size=ETHUSD_FTX.make_qty(5.000),
ask_size=ETHUSD_FTX.make_qty(5.1000),
ts_event=0,
ts_init=0,
)
self.exchange.process_tick(tick2)
# Assert
assert en.status == OrderStatus.FILLED
assert sl.status == OrderStatus.ACCEPTED
assert tp.status == OrderStatus.PARTIALLY_FILLED
assert sl.quantity == Quantity.from_int(5)
assert tp.leaves_qty == Quantity.from_int(5)
assert tp.quantity == Quantity.from_int(10)
assert len(self.exchange.get_working_orders()) == 2
assert len(self.exchange.cache.positions_open()) == 1
def test_modifying_bracket_tp_updates_sl_order(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_limit(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
entry=ETHUSD_FTX.make_price(3100.0),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
en = bracket.orders[0]
sl = bracket.orders[1]
tp = bracket.orders[2]
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Act
self.strategy.modify_order(
order=sl,
quantity=Quantity.from_int(5),
price=sl.price,
)
self.exchange.process(0)
# Assert
assert en.status == OrderStatus.FILLED
assert sl.status == OrderStatus.ACCEPTED
assert tp.status == OrderStatus.ACCEPTED
assert sl.quantity == Quantity.from_int(5)
assert tp.quantity == Quantity.from_int(5)
assert len(self.exchange.get_working_orders()) == 2
assert len(self.exchange.cache.positions_open()) == 1
def test_closing_position_cancels_bracket_ocos(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_market(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
en = bracket.orders[0]
sl = bracket.orders[1]
tp = bracket.orders[2]
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Act
self.strategy.flatten_position(
self.strategy.cache.position(en.position_id))
self.exchange.process(0)
# Assert
assert en.status == OrderStatus.FILLED
assert sl.status == OrderStatus.CANCELED
assert tp.status == OrderStatus.CANCELED
assert len(self.exchange.get_working_orders()) == 0
assert len(self.exchange.cache.positions_open()) == 0
def test_partially_filling_position_updates_bracket_ocos(self):
# Arrange: Prepare market
tick1 = QuoteTick(
instrument_id=ETHUSD_FTX.id,
bid=ETHUSD_FTX.make_price(3090.2),
ask=ETHUSD_FTX.make_price(3090.5),
bid_size=ETHUSD_FTX.make_qty(15.100),
ask_size=ETHUSD_FTX.make_qty(15.100),
ts_event=0,
ts_init=0,
)
self.data_engine.process(tick1)
self.exchange.process_tick(tick1)
bracket = self.strategy.order_factory.bracket_market(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.BUY,
quantity=ETHUSD_FTX.make_qty(10.000),
stop_loss=ETHUSD_FTX.make_price(3050.0),
take_profit=ETHUSD_FTX.make_price(3150.0),
)
en = bracket.orders[0]
sl = bracket.orders[1]
tp = bracket.orders[2]
self.strategy.submit_order_list(bracket)
self.exchange.process(0)
# Act
reduce_order = self.strategy.order_factory.market(
instrument_id=ETHUSD_FTX.id,
order_side=OrderSide.SELL,
quantity=ETHUSD_FTX.make_qty(5.000),
)
self.strategy.submit_order(
reduce_order,
position_id=self.cache.position_for_order(en.client_order_id).id,
)
self.exchange.process(0)
# Assert
assert en.status == OrderStatus.FILLED
assert sl.status == OrderStatus.ACCEPTED
assert tp.status == OrderStatus.ACCEPTED
assert sl.quantity == ETHUSD_FTX.make_qty(5.000)
assert tp.quantity == ETHUSD_FTX.make_qty(5.000)
assert len(self.exchange.get_working_orders()) == 2
assert len(self.exchange.cache.positions_open()) == 1
class BitmexExchangeTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.strategies = [MockStrategy(TestStubs.bartype_btcusdt_binance_1min_bid())]
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
self.data_engine = DataEngine(
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
config={'use_previous_close': False}, # To correctly reproduce historical data bars
)
self.data_engine.cache.add_instrument(XBTUSD_BITMEX)
self.portfolio.register_cache(self.data_engine.cache)
self.analyzer = PerformanceAnalyzer()
self.trader_id = TraderId("TESTER", "000")
self.account_id = AccountId("BITMEX", "001")
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
database=exec_db,
portfolio=self.portfolio,
clock=self.clock,
logger=self.logger,
)
self.exchange = SimulatedExchange(
venue=Venue("BITMEX"),
oms_type=OMSType.HEDGING,
generate_position_ids=True,
is_frozen_account=False,
starting_balances=[Money(1_000_000, USD)],
exec_cache=self.exec_engine.cache,
instruments=[XBTUSD_BITMEX],
modules=[],
fill_model=FillModel(),
clock=self.clock,
logger=self.logger,
)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.exec_engine.register_client(self.exec_client)
self.exchange.register_client(self.exec_client)
self.strategy = MockStrategy(bar_type=TestStubs.bartype_btcusdt_binance_1min_bid())
self.strategy.register_trader(
self.trader_id,
self.clock,
self.logger,
)
self.data_engine.register_strategy(self.strategy)
self.exec_engine.register_strategy(self.strategy)
self.data_engine.start()
self.exec_engine.start()
self.strategy.start()
def test_commission_maker_taker_order(self):
# Arrange
# Prepare market
quote1 = QuoteTick(
XBTUSD_BITMEX.symbol,
Price("11493.70"),
Price("11493.75"),
Quantity(1500000),
Quantity(1500000),
UNIX_EPOCH,
)
self.data_engine.process(quote1)
self.exchange.process_tick(quote1)
order_market = self.strategy.order_factory.market(
XBTUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100000),
)
order_limit = self.strategy.order_factory.limit(
XBTUSD_BITMEX.symbol,
OrderSide.BUY,
Quantity(100000),
Price("11493.65"),
)
# Act
self.strategy.submit_order(order_market)
self.strategy.submit_order(order_limit)
quote2 = QuoteTick(
XBTUSD_BITMEX.symbol,
Price("11493.60"),
Price("11493.64"),
Quantity(1500000),
Quantity(1500000),
UNIX_EPOCH,
)
self.exchange.process_tick(quote2) # Fill the limit order
self.portfolio.update_tick(quote2)
# Assert
self.assertEqual(LiquiditySide.TAKER, self.strategy.object_storer.get_store()[2].liquidity_side)
self.assertEqual(LiquiditySide.MAKER, self.strategy.object_storer.get_store()[6].liquidity_side)
self.assertEqual(Money("0.00652529", BTC), self.strategy.object_storer.get_store()[2].commission)
self.assertEqual(Money("-0.00217511", BTC), self.strategy.object_storer.get_store()[6].commission)
class TestL2OrderBookExchange:
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.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 = DataEngine(
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.exchange = SimulatedExchange(
venue=SIM,
venue_type=VenueType.ECN,
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
starting_balances=[Money(1_000_000, USD)],
default_leverage=Decimal(50),
leverages={},
is_frozen_account=False,
instruments=[USDJPY_SIM],
modules=[],
fill_model=FillModel(),
cache=self.cache,
clock=self.clock,
logger=self.logger,
book_type=BookType.L2_MBP,
latency_model=LatencyModel(0),
)
self.exec_client = BacktestExecClient(
exchange=self.exchange,
account_id=self.account_id,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
# Prepare components
self.cache.add_instrument(USDJPY_SIM)
self.cache.add_order_book(
OrderBook.create(
instrument=USDJPY_SIM,
book_type=BookType.L2_MBP,
))
self.exec_engine.register_client(self.exec_client)
self.exchange.register_client(self.exec_client)
self.strategy = MockStrategy(
bar_type=TestStubs.bartype_usdjpy_1min_bid())
self.strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exchange.reset()
self.data_engine.start()
self.exec_engine.start()
self.strategy.start()
def test_submit_limit_order_aggressive_multiple_levels(self):
# Arrange: Prepare market
self.cache.add_instrument(USDJPY_SIM)
quote = QuoteTick(
instrument_id=USDJPY_SIM.id,
bid=Price.from_str("110.000"),
ask=Price.from_str("110.010"),
bid_size=Quantity.from_int(1500000),
ask_size=Quantity.from_int(1500000),
ts_event=0,
ts_init=0,
)
self.data_engine.process(quote)
snapshot = TestStubs.order_book_snapshot(
instrument_id=USDJPY_SIM.id,
bid_volume=1000,
ask_volume=1000,
)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
# Create order
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.BUY,
quantity=Quantity.from_int(2000),
price=Price.from_int(20),
post_only=False,
)
# Act
self.strategy.submit_order(order)
self.exchange.process(0)
# Assert
assert order.status == OrderStatus.FILLED
assert order.filled_qty == Decimal("2000.0") # No slippage
assert order.avg_px == Decimal("15.33333333333333333333333333")
assert self.exchange.get_account().balance_total(USD) == Money(
999999.96, USD)
def test_aggressive_partial_fill(self):
# Arrange: Prepare market
self.cache.add_instrument(USDJPY_SIM)
quote = QuoteTick(
instrument_id=USDJPY_SIM.id,
bid=Price.from_str("110.000"),
ask=Price.from_str("110.010"),
bid_size=Quantity.from_int(1500000),
ask_size=Quantity.from_int(1500000),
ts_event=0,
ts_init=0,
)
self.data_engine.process(quote)
snapshot = TestStubs.order_book_snapshot(
instrument_id=USDJPY_SIM.id,
bid_volume=1000,
ask_volume=1000,
)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
# Act
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.BUY,
quantity=Quantity.from_int(7000),
price=Price.from_int(20),
post_only=False,
)
self.strategy.submit_order(order)
self.exchange.process(0)
# Assert
assert order.status == OrderStatus.PARTIALLY_FILLED
assert order.filled_qty == Quantity.from_str("6000.0") # No slippage
assert order.avg_px == Decimal("15.93333333333333333333333333")
assert self.exchange.get_account().balance_total(USD) == Money(
999999.88, USD)
def test_passive_post_only_insert(self):
# Arrange: Prepare market
self.cache.add_instrument(USDJPY_SIM)
# Market is 10 @ 15
snapshot = TestStubs.order_book_snapshot(instrument_id=USDJPY_SIM.id,
bid_volume=1000,
ask_volume=1000)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
# Act
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.SELL,
quantity=Quantity.from_int(2000),
price=Price.from_str("14"),
post_only=True,
)
self.strategy.submit_order(order)
self.exchange.process(0)
# Assert
assert order.status == OrderStatus.ACCEPTED
# TODO - Need to discuss how we are going to support passive quotes trading now
@pytest.mark.skip
def test_passive_partial_fill(self):
# Arrange: Prepare market
self.cache.add_instrument(USDJPY_SIM)
# Market is 10 @ 15
snapshot = TestStubs.order_book_snapshot(instrument_id=USDJPY_SIM.id,
bid_volume=1000,
ask_volume=1000)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.SELL,
quantity=Quantity.from_int(1000),
price=Price.from_str("14"),
post_only=False,
)
self.strategy.submit_order(order)
# Act
tick = TestStubs.quote_tick_3decimal(
instrument_id=USDJPY_SIM.id,
bid=Price.from_str("15"),
bid_volume=Quantity.from_int(1000),
ask=Price.from_str("16"),
ask_volume=Quantity.from_int(1000),
)
# New tick will be in cross with our order
self.exchange.process_tick(tick)
# Assert
assert order.status == OrderStatus.PARTIALLY_FILLED
assert order.filled_qty == Quantity.from_str("1000.0")
assert order.avg_px == Decimal("15.0")
# TODO - Need to discuss how we are going to support passive quotes trading now
@pytest.mark.skip
def test_passive_fill_on_trade_tick(self):
# Arrange: Prepare market
# Market is 10 @ 15
snapshot = TestStubs.order_book_snapshot(instrument_id=USDJPY_SIM.id,
bid_volume=1000,
ask_volume=1000)
self.data_engine.process(snapshot)
self.exchange.process_order_book(snapshot)
order = self.strategy.order_factory.limit(
instrument_id=USDJPY_SIM.id,
order_side=OrderSide.SELL,
quantity=Quantity.from_int(2000),
price=Price.from_str("14"),
post_only=False,
)
self.strategy.submit_order(order)
# Act
tick1 = TradeTick(
instrument_id=USDJPY_SIM.id,
price=Price.from_str("14.0"),
size=Quantity.from_int(1000),
aggressor_side=AggressorSide.SELL,
trade_id="123456789",
ts_event=0,
ts_init=0,
)
self.exchange.process_tick(tick1)
# Assert
assert order.status == OrderStatus.PARTIALLY_FILLED
assert order.filled_qty == Quantity.from_int(1000.0) # No slippage
assert order.avg_px == Decimal("14.0")