def test_blotter_eod_cancellation(self):
blotter = Blotter('minute',
self.env.asset_finder,
cancel_policy=EODCancel())
asset_24 = blotter.asset_finder.retrieve_asset(24)
# Make two orders for the same sid, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(asset_24, 100, MarketOrder())
blotter.order(asset_24, -100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 2)
order_ids = [order.id for order in blotter.open_orders[asset_24]]
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(DAY_END)
for order_id in order_ids:
order = blotter.orders[order_id]
self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
def initialize(context):
set_benchmark(symbol("SPY"))
set_cancel_policy(EODCancel())
# set_max_order_count(1)
# set_max_leverage(1.0)
context.longSpread = False
context.shortSpread = False
context.longStock = symbol('SH')
context.shortStock = symbol('SPY')
#
# schedule_function(fnTripleMovingAverageCrossover,
# date_rules.every_day(),
# time_rules.market_open(minutes = 20))
schedule_function(
handle_data,
date_rules.every_day(),
# time_rules.market_close(minutes = 45))
time_rules.market_open(minutes=45))
# schedule_function(fnLiquidatePositions,
# date_rules.every_day())
# time_rules.market_open(minutes = 1))
schedule_function(recordVars, date_rules.every_day())
def test_blotter_eod_cancellation(self):
blotter = SimulationBlotter(self.sim_params, cancel_policy=EODCancel())
# Make two orders for the same asset, so we can test that we are not
# mutating the orders list as we are cancelling orders
blotter.order(self.asset_24, 100, MarketOrder())
blotter.order(self.asset_24, -100, MarketOrder())
self.assertEqual(len(blotter.new_orders), 2)
order_ids = [order.id for order in blotter.open_orders[self.asset_24]]
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(BAR)
self.assertEqual(blotter.new_orders[0].status, ORDER_STATUS.OPEN)
self.assertEqual(blotter.new_orders[1].status, ORDER_STATUS.OPEN)
blotter.execute_cancel_policy(SESSION_END)
for order_id in order_ids:
order = blotter.orders[order_id]
self.assertEqual(order.status, ORDER_STATUS.CANCELLED)
def test_eod_cancel(self):
cancel_policy = EODCancel()
self.assertTrue(cancel_policy.should_cancel(DAY_END))
self.assertFalse(cancel_policy.should_cancel(BAR))
def test_eod_cancel(self):
cancel_policy = EODCancel()
self.assertTrue(cancel_policy.should_cancel(SESSION_END))
self.assertFalse(cancel_policy.should_cancel(BAR))
def test_eod_cancel():
cancel_policy = EODCancel()
assert cancel_policy.should_cancel(SESSION_END)
assert not cancel_policy.should_cancel(BAR)