def test_update_portfolio_with_filled_orders(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
market_sell = SellMarketOrder(trader_inst)
market_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_MARKET],
"BTC/USD", 70, 3, 70)
last_prices = [{"price": 70}]
market_sell.last_prices = last_prices
market_sell.update_order_status()
# Test sell order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 100, 4.2, 100)
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 80, 4.2, 80)
limit_sell.add_linked_order(stop_loss)
stop_loss.add_linked_order(limit_sell)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 2, 50)
last_prices = []
for i in range(0, SIMULATOR_LAST_PRICES_TO_CHECK):
last_prices.insert(i, {})
last_prices[i]["price"] = random.uniform(49, 51)
limit_buy.last_prices = last_prices
limit_buy.update_order_status()
# update portfolio with creations
portfolio_inst.update_portfolio_available(market_sell, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(stop_loss, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 2.8
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when cancelling limit sell, market sell and stop orders
portfolio_inst.update_portfolio_available(stop_loss, False)
portfolio_inst.update_portfolio_available(limit_sell, False)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 7
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when filling limit buy
portfolio_inst.update_portfolio(limit_buy)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 9
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 12
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 900
# when filling market sell
portfolio_inst.update_portfolio(market_sell)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 9
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 1110
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 9
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 1110
self.stop(trader_inst)
def test_update_portfolio_with_filled_orders(self):
config, portfolio_inst, exchange_inst, trader_inst = self.init_default(
)
# force fees => should have consequences
exchange_inst.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_inst)
market_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_MARKET],
"BTC/USD", 70, 3, 70)
fill_market_order(market_sell, 70)
# Test sell order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD", 100, 4.2, 100)
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD", 80, 4.2, 80)
limit_sell.add_linked_order(stop_loss)
stop_loss.add_linked_order(limit_sell)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(
OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD", 50, 2, 50)
fill_limit_or_stop_order(limit_buy, 49, 51)
# update portfolio with creations
portfolio_inst.update_portfolio_available(market_sell, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(stop_loss, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 2.8
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when cancelling limit sell, market sell and stop orders
portfolio_inst.update_portfolio_available(stop_loss, False)
portfolio_inst.update_portfolio_available(limit_sell, False)
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.AVAILABLE) == 7
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
# when filling limit buy
portfolio_inst.update_portfolio(limit_buy)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 900
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 11.999
assert portfolio_inst.get_currency_portfolio("USD",
Portfolio.TOTAL) == 900
# when filling market sell
portfolio_inst.update_portfolio(market_sell)
assert portfolio_inst.get_currency_portfolio(
"BTC", Portfolio.AVAILABLE) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.AVAILABLE) == 1109.79
assert portfolio_inst.get_currency_portfolio("BTC",
Portfolio.TOTAL) == 8.999
assert portfolio_inst.get_currency_portfolio(
"USD", Portfolio.TOTAL) == 1109.79
def test_update_portfolio_with_filled_orders(self):
config, portfolio_inst, _, trader_inst = self.init_default()
# Test buy order
market_sell = SellMarketOrder(trader_inst)
market_sell.new(OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_MARKET],
"BTC/USD",
70,
3,
70)
last_prices = [{
"price": 70
}]
market_sell.last_prices = last_prices
market_sell.update_order_status()
# Test sell order
limit_sell = SellLimitOrder(trader_inst)
limit_sell.new(OrderConstants.TraderOrderTypeClasses[TraderOrderType.SELL_LIMIT],
"BTC/USD",
100,
4.2,
100)
# Test stop loss order
stop_loss = StopLossOrder(trader_inst)
stop_loss.new(OrderConstants.TraderOrderTypeClasses[TraderOrderType.STOP_LOSS],
"BTC/USD",
80,
4.2,
80)
limit_sell.add_linked_order(stop_loss)
stop_loss.add_linked_order(limit_sell)
# Test buy order
limit_buy = BuyLimitOrder(trader_inst)
limit_buy.new(OrderConstants.TraderOrderTypeClasses[TraderOrderType.BUY_LIMIT],
"BTC/USD",
50,
2,
50)
last_prices = []
for i in range(0, SIMULATOR_LAST_PRICES_TO_CHECK):
last_prices.insert(i, {})
last_prices[i]["price"] = random.uniform(49, 51)
limit_buy.last_prices = last_prices
limit_buy.update_order_status()
# update portfolio with creations
portfolio_inst.update_portfolio_available(market_sell, True)
portfolio_inst.update_portfolio_available(limit_sell, True)
portfolio_inst.update_portfolio_available(stop_loss, True)
portfolio_inst.update_portfolio_available(limit_buy, True)
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE) == 2.8
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.AVAILABLE) == 900
# when cancelling limit sell, market sell and stop orders
portfolio_inst.update_portfolio_available(stop_loss, False)
portfolio_inst.update_portfolio_available(limit_sell, False)
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE) == 7
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.AVAILABLE) == 900
# when filling limit buy
portfolio_inst.update_portfolio(limit_buy)
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE) == 9
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.AVAILABLE) == 900
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.TOTAL) == 12
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.TOTAL) == 900
# when filling market sell
portfolio_inst.update_portfolio(market_sell)
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.AVAILABLE) == 9
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.AVAILABLE) == 1110
assert portfolio_inst.get_currency_portfolio("BTC", Portfolio.TOTAL) == 9
assert portfolio_inst.get_currency_portfolio("USD", Portfolio.TOTAL) == 1110
self.stop(trader_inst)