def test_order_rejection(self):
blotter = Blotter()
# Reject a nonexistent order -> no order appears in new_order,
# no exceptions raised out
blotter.reject(56)
self.assertEqual(blotter.new_orders, [])
# Basic tests of open order behavior
open_order_id = blotter.order(24, 100, MarketOrder())
second_order_id = blotter.order(24, 50, MarketOrder())
self.assertEqual(len(blotter.open_orders[24]), 2)
open_order = blotter.open_orders[24][0]
self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
self.assertEqual(open_order.id, open_order_id)
self.assertIn(open_order, blotter.new_orders)
# Reject that order immediately (same bar, i.e. still in new_orders)
blotter.reject(open_order_id)
self.assertEqual(len(blotter.new_orders), 2)
self.assertEqual(len(blotter.open_orders[24]), 1)
still_open_order = blotter.new_orders[0]
self.assertEqual(still_open_order.id, second_order_id)
self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
rejected_order = blotter.new_orders[1]
self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
self.assertEqual(rejected_order.reason, '')
# Do it again, but reject it at a later time (after tradesimulation
# pulls it from new_orders)
blotter = Blotter()
new_open_id = blotter.order(24, 10, MarketOrder())
new_open_order = blotter.open_orders[24][0]
self.assertEqual(new_open_id, new_open_order.id)
# Pretend that the trade simulation did this.
blotter.new_orders = []
rejection_reason = "Not enough cash on hand."
blotter.reject(new_open_id, reason=rejection_reason)
rejected_order = blotter.new_orders[0]
self.assertEqual(rejected_order.id, new_open_id)
self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
self.assertEqual(rejected_order.reason, rejection_reason)
# You can't reject a filled order.
blotter = Blotter() # Reset for paranoia
blotter.current_dt = datetime.datetime.now()
filled_id = blotter.order(24, 100, MarketOrder())
aapl_trade = create_trade(24, 50.0, 400, datetime.datetime.now())
filled_order = None
for txn, updated_order in blotter.process_trade(aapl_trade):
filled_order = updated_order
self.assertEqual(filled_order.id, filled_id)
self.assertIn(filled_order, blotter.new_orders)
self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
self.assertNotIn(filled_order, blotter.open_orders[24])
blotter.reject(filled_id)
updated_order = blotter.orders[filled_id]
self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
def test_order_rejection(self):
blotter = Blotter()
# Reject a nonexistent order -> no order appears in new_order,
# no exceptions raised out
blotter.reject(56)
self.assertEqual(blotter.new_orders, [])
# Basic tests of open order behavior
open_order_id = blotter.order(24, 100, MarketOrder())
second_order_id = blotter.order(24, 50, MarketOrder())
self.assertEqual(len(blotter.open_orders[24]), 2)
open_order = blotter.open_orders[24][0]
self.assertEqual(open_order.status, ORDER_STATUS.OPEN)
self.assertEqual(open_order.id, open_order_id)
self.assertIn(open_order, blotter.new_orders)
# Reject that order immediately (same bar, i.e. still in new_orders)
blotter.reject(open_order_id)
self.assertEqual(len(blotter.new_orders), 2)
self.assertEqual(len(blotter.open_orders[24]), 1)
still_open_order = blotter.new_orders[0]
self.assertEqual(still_open_order.id, second_order_id)
self.assertEqual(still_open_order.status, ORDER_STATUS.OPEN)
rejected_order = blotter.new_orders[1]
self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
self.assertEqual(rejected_order.reason, '')
# Do it again, but reject it at a later time (after tradesimulation
# pulls it from new_orders)
blotter = Blotter()
new_open_id = blotter.order(24, 10, MarketOrder())
new_open_order = blotter.open_orders[24][0]
self.assertEqual(new_open_id, new_open_order.id)
# Pretend that the trade simulation did this.
blotter.new_orders = []
rejection_reason = "Not enough cash on hand."
blotter.reject(new_open_id, reason=rejection_reason)
rejected_order = blotter.new_orders[0]
self.assertEqual(rejected_order.id, new_open_id)
self.assertEqual(rejected_order.status, ORDER_STATUS.REJECTED)
self.assertEqual(rejected_order.reason, rejection_reason)
# You can't reject a filled order.
blotter = Blotter() # Reset for paranoia
blotter.current_dt = datetime.datetime.now()
filled_id = blotter.order(24, 100, MarketOrder())
aapl_trade = create_trade(24, 50.0, 400, datetime.datetime.now())
filled_order = None
for txn, updated_order in blotter.process_trade(aapl_trade):
filled_order = updated_order
self.assertEqual(filled_order.id, filled_id)
self.assertIn(filled_order, blotter.new_orders)
self.assertEqual(filled_order.status, ORDER_STATUS.FILLED)
self.assertNotIn(filled_order, blotter.open_orders[24])
blotter.reject(filled_id)
updated_order = blotter.orders[filled_id]
self.assertEqual(updated_order.status, ORDER_STATUS.FILLED)
def create_trade_history(
sid,
prices,
amounts,
interval,
sim_params,
trading_calendar,
source_id="test_factory",
):
trades = []
current = sim_params.first_open
oneday = timedelta(days=1)
use_midnight = interval >= oneday
for price, amount in zip(prices, amounts):
if use_midnight:
trade_dt = current.replace(hour=0, minute=0)
else:
trade_dt = current
trade = create_trade(sid, price, amount, trade_dt, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval, trading_calendar)
assert len(trades) == len(prices)
return trades
def test_order_hold(self):
"""
Held orders act almost identically to open orders, except for the
status indication. When a fill happens, the order should switch
status to OPEN/FILLED as necessary
"""
blotter = Blotter()
# Nothing happens on held of a non-existent order
blotter.hold(56)
self.assertEqual(blotter.new_orders, [])
open_id = blotter.order(24, 100, MarketOrder())
open_order = blotter.open_orders[24][0]
self.assertEqual(open_order.id, open_id)
blotter.hold(open_id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[24]), 1)
held_order = blotter.new_orders[0]
self.assertEqual(held_order.status, ORDER_STATUS.HELD)
self.assertEqual(held_order.reason, '')
blotter.cancel(held_order.id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[24]), 0)
cancelled_order = blotter.new_orders[0]
self.assertEqual(cancelled_order.id, held_order.id)
self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
for trade_amt in (100, 400):
# Verify that incoming fills will change the order status.
order_size = 100
expected_filled = trade_amt * 0.25
expected_open = order_size - expected_filled
expected_status = ORDER_STATUS.OPEN if expected_open else \
ORDER_STATUS.FILLED
blotter = Blotter()
blotter.current_dt = datetime.datetime.now()
open_id = blotter.order(24, order_size, MarketOrder())
open_order = blotter.open_orders[24][0]
self.assertEqual(open_id, open_order.id)
blotter.hold(open_id)
held_order = blotter.new_orders[0]
aapl_trade = create_trade(24, 50.0, trade_amt,
datetime.datetime.now())
filled_order = None
for txn, updated_order in blotter.process_trade(aapl_trade):
filled_order = updated_order
self.assertEqual(filled_order.id, held_order.id)
self.assertEqual(filled_order.status, expected_status)
self.assertEqual(filled_order.filled, expected_filled)
self.assertEqual(filled_order.open_amount, expected_open)
def test_order_hold(self):
"""
Held orders act almost identically to open orders, except for the
status indication. When a fill happens, the order should switch
status to OPEN/FILLED as necessary
"""
blotter = Blotter()
# Nothing happens on held of a non-existent order
blotter.hold(56)
self.assertEqual(blotter.new_orders, [])
open_id = blotter.order(24, 100, MarketOrder())
open_order = blotter.open_orders[24][0]
self.assertEqual(open_order.id, open_id)
blotter.hold(open_id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[24]), 1)
held_order = blotter.new_orders[0]
self.assertEqual(held_order.status, ORDER_STATUS.HELD)
self.assertEqual(held_order.reason, '')
blotter.cancel(held_order.id)
self.assertEqual(len(blotter.new_orders), 1)
self.assertEqual(len(blotter.open_orders[24]), 0)
cancelled_order = blotter.new_orders[0]
self.assertEqual(cancelled_order.id, held_order.id)
self.assertEqual(cancelled_order.status, ORDER_STATUS.CANCELLED)
for trade_amt in (100, 400):
# Verify that incoming fills will change the order status.
order_size = 100
expected_filled = trade_amt * 0.25
expected_open = order_size - expected_filled
expected_status = ORDER_STATUS.OPEN if expected_open else \
ORDER_STATUS.FILLED
blotter = Blotter()
blotter.current_dt = datetime.datetime.now()
open_id = blotter.order(24, order_size, MarketOrder())
open_order = blotter.open_orders[24][0]
self.assertEqual(open_id, open_order.id)
blotter.hold(open_id)
held_order = blotter.new_orders[0]
aapl_trade = create_trade(24, 50.0, trade_amt,
datetime.datetime.now())
filled_order = None
for txn, updated_order in blotter.process_trade(aapl_trade):
filled_order = updated_order
self.assertEqual(filled_order.id, held_order.id)
self.assertEqual(filled_order.status, expected_status)
self.assertEqual(filled_order.filled, expected_filled)
self.assertEqual(filled_order.open_amount, expected_open)
def create_trade_history(sid, prices, amounts, interval, sim_params,
source_id="test_factory"):
trades = []
current = sim_params.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval)
assert len(trades) == len(prices)
return trades
def create_trade_history(sid,
prices,
amounts,
interval,
sim_params,
source_id="test_factory"):
trades = []
current = sim_params.first_open
for price, amount in zip(prices, amounts):
trade = create_trade(sid, price, amount, current, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval)
assert len(trades) == len(prices)
return trades
def create_trade_history(sid, prices, amounts, interval, sim_params,
source_id="test_factory"):
trades = []
current = sim_params.first_open
oneday = timedelta(days=1)
use_midnight = interval >= oneday
for price, amount in zip(prices, amounts):
if use_midnight:
trade_dt = current.replace(hour=0, minute=0)
else:
trade_dt = current
trade = create_trade(sid, price, amount, trade_dt, source_id)
trades.append(trade)
current = get_next_trading_dt(current, interval)
assert len(trades) == len(prices)
return trades