def test_fill_or_kill_taker_limit(self):
data = Order(volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=2.0,
price=4.5,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.FILL_OR_KILL,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.0, 1.0],
Side.SELL: [5.5, 1.0]
}
def test_all_or_none_market(self):
data = Order(volume=1.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.MARKET,
flag=Order.Flags.ALL_OR_NONE,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 0.5],
Side.SELL: [5.5, 1.0]
}
def test_immediate_or_cancel_taker_limit(self):
data = Order(volume=2.0,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=2.0,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
flag=Order.Flags.IMMEDIATE_OR_CANCEL,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [5.5, 1.0]
}
async def newOrder(self, order: Order):
if self._trading_type == TradingType.LIVE:
raise NotImplementedError("Live OE not available for CSV")
order.id = str(self._order_id)
self._order_id += 1
self._queued_orders.append(order)
return order
async def newOrder(self, order: Order):
'''submit a new order to the exchange. should set the given order's `id` field to exchange-assigned id
For MarketData-only, can just return None
'''
if self._trading_type == TradingType.LIVE:
raise NotImplementedError("Live OE not available for IEX")
order.id = self._order_id
self._order_id += 1
self._queued_orders.append(order)
return order
def _seed(ob, instrument, flag=OrderFlag.NONE):
x = .5
while x < 10.0:
side = Side.BUY if x <= 5 else Side.SELL
order = Order(volume=1.0,
price=x,
side=side,
instrument=instrument,
exchange=ExchangeType(""),
order_type=OrderType.LIMIT,
flag=flag)
order.id = "1"
ob.add(order)
x += .5
def test_fill_or_kill_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.FILL_OR_KILL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.0, 0.5]
}
data = Order(volume=1.5,
price=4.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [3.5, 1.0],
Side.SELL: [4.0, 0.5]
}
def test_immediate_or_cancel_maker(self):
self.ob = OrderBook(_INSTRUMENT)
_seed(self.ob, _INSTRUMENT, Order.Flags.IMMEDIATE_OR_CANCEL)
assert self.ob.topOfBook() == {
Side.BUY: [5.0, 1.0],
Side.SELL: [5.5, 1.0]
}
data = Order(volume=0.5,
price=5.0,
side=Order.Sides.SELL,
order_type=Order.Types.LIMIT,
instrument=_INSTRUMENT)
data.id = "1"
print(self.ob)
self.ob.add(data)
print(self.ob.topOfBook())
assert self.ob.topOfBook() == {
Side.BUY: [4.5, 1.0],
Side.SELL: [5.5, 1.0]
}
async def newOrder(self, order: AATOrder) -> bool:
"""submit a new order to the exchange. should set the given order's `id` field to exchange-assigned id
For MarketData-only, can just return None
"""
# ignore if already finished
if order.id and order.id in self._finished_orders:
return False
# construct IB contract and order
ibcontract, iborder = _constructContractAndOrder(order)
_temp_id = str(self._api.nextOrderId)
# send to IB
id = self._api.placeOrder(ibcontract, iborder)
# update order id
order.id = id
self._orders[order.id] = order
# get result from IB
return await self._consume_order_received(_temp_id)
async def newOrder(self, order: AATOrder) -> bool:
"""submit a new order to the exchange. should set the given order's `id` field to exchange-assigned id
For MarketData-only, can just return None
"""
# construct IB contract and order
ibcontract, iborder = _constructContractAndOrder(order)
# send to IB
id = self._api.placeOrder(ibcontract, iborder)
# update order id
order.id = id
self._orders[order.id] = order
# set event for later trigerring
self._order_received_map[id] = asyncio.Event()
await self._order_received_map[id] # type: ignore
res = self._order_received_res[id]
del self._order_received_map[id]
del self._order_received_res[id]
return res
async def newOrder(self, order: Order) -> bool:
order.id = str(self._id)
self._id += 1
self._client_order = order
return True
async def newOrder(self, order: Order):
order.id = self._id
self._id += 1
self._client_order = order
return order
