def sample_time_series(self):
ds = ModelFactory.build_time_series(series_id="HSI.BAR.86400",
desc="HSI",
keys=["high", "low", "close"],
inputs='HSI.BAR.1',
input_keys=['close', 'open'],
default_output_key="close",
missing_value_replace=0)
ModelFactory.add_time_series_item(ds,
timestamp=0,
data={
"high": 350.00,
"low": 200.45,
"close": 250.1
})
ModelFactory.add_time_series_item(ds,
timestamp=1,
data={
"high": 1350.00,
"low": 1200.45,
"close": 1250.1
})
return ds
def get_series(self,
key,
create_if_missing=True,
cls=DataSeries,
desc=None,
missing_value=np.nan):
if type(key) == str:
if key not in self.__series_dict:
self.__series_dict[key] = cls(
time_series=ModelFactory.build_time_series(
series_id=key,
series_cls=get_full_cls_name(cls),
desc=desc,
missing_value_replace=missing_value))
return self.__series_dict[key]
raise AssertionError()
def sample_order_replace_request(self):
req = ModelFactory.build_order_replace_request(0,
"BuyLowSellHigh",
"1",
"2",
type=Limit,
qty=4954.1,
limit_price=123.2,
stop_price=123.2,
tif=DAY,
oca_tag="23",
params={
"testparam1": "1",
"testparam2": "2"
})
return req
def __init__(self, time_series: TimeSeries = None, series_id: str = None):
self.data_list = []
self.time_list = []
self.data_time_dict = {}
self.last_item = None
self.subject = Subject()
self.time_series = time_series if time_series else ModelFactory.build_time_series(
series_id=series_id)
self.name = self.time_series.series_id
if hasattr(time_series, 'items') and time_series.items:
for item in time_series.items:
self.add(timestamp=item.timestamp,
data=dict(item.data),
init=True)
def sample_execution_report(self):
event = ModelFactory.build_execution_report(
1,
"IB",
"event_123",
broker_ord_id="broker_1234",
cl_id="BuyLowSellHigh",
cl_ord_id="clOrdId_1",
inst_id="HSI@SEHK",
last_qty=100.1,
last_price=21.1,
commission=0.8,
filled_qty=1231.0,
avg_price=123.1,
status=New)
return event
def sample_bar(self):
bar = ModelFactory.build_bar("HSI@SEHK",
Bar.Time,
86400,
provider_id='IB',
timestamp=12312,
utc_time=12312,
begin_time=12300,
open=123,
high=300,
low=30,
close=156,
vol=500,
adj_close=324,
open_interest=123)
return bar
def __send_exec_report(self, new_ord_req, last_price, last_qty, ord_status):
commission = self.commission.calc(new_ord_req, last_price, last_qty)
ord_id = self.clordid_ordid_map[new_ord_req.cl_id][new_ord_req.cl_ord_id]
exec_report = ModelFactory.build_execution_report(
timestamp=self.clock.now(),
broker_id=Broker.Simulator,
broker_event_id=self.next_event_id(),
broker_ord_id=ord_id,
cl_id=new_ord_req.cl_id,
cl_ord_id=new_ord_req.cl_ord_id,
inst_id=new_ord_req.inst_id,
last_qty=last_qty,
last_price=last_price,
status=ord_status,
commission=commission)
self.exec_handler.on_exec_report(exec_report)
def build_subscription_requests(feed_id, instruments, subscription_types, from_date=None, to_date=None):
reqs = []
for instrument in instruments:
for subscription_type in subscription_types:
attrs = subscription_type.split(".")
md_type = get_subscription_type(attrs[0])
md_provider_id = attrs[1]
bar_type = get_bar_type(attrs[2]) if md_type == MarketDataSubscriptionRequest.Bar else None
bar_size = get_bar_size(attrs[3]) if md_type == MarketDataSubscriptionRequest.Bar else None
reqs.append(ModelFactory.build_market_data_subscription_request(type=md_type,
inst_id=instrument.inst_id,
feed_id=feed_id,
md_provider_id=md_provider_id,
bar_type=bar_type,
bar_size=bar_size,
from_date=from_date,
to_date=to_date))
return reqs
def sample_new_order_request(self):
req = ModelFactory.build_new_order_request(0,
"BuyLowSellHigh",
"1",
portf_id="TestPortf",
broker_id="Simulator",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=4954.1,
limit_price=123.2,
stop_price=123.2,
tif=DAY,
oca_tag="23",
params={
"testparam1": "1",
"testparam2": "2"
})
return req
class PlotTest(TestCase):
values = [44.34, 44.09, 44.15, 43.61, 44.33, 44.83, 45.10, 45.42,
45.84, 46.08, 45.89, 46.03, 45.61, 46.28, 46.28, 46.00]
factory = ModelFactory()
def __create_plot(self):
series = DataSeries(time_series=TimeSeries())
t = 20170101
for idx, value in enumerate(self.values):
ts = datestr_to_unixtimemillis(t)
series.add(timestamp=ts, data={"value": value})
t = t + 1
values = series.get_series(["value"])
plot = TimeSeriesPlot(values)
return plot
def test_plot(self):
plot = self.__create_plot()
self.assertIsNotNone(plot)
def load_inst_from_row(data_store, row):
alt_symbols = {}
if 'alt_symbols' in row and row['alt_symbols']:
for item in row['alt_symbols'].split(";"):
kv = item.split("=")
alt_symbols[kv[0]] = kv[1]
inst = ModelFactory.build_instrument(symbol=row['symbol'],
type=row['type'],
primary_exch_id=row['exch_id'],
ccy_id=row['ccy_id'],
name=row['name'],
sector=row['sector'],
industry=row['industry'],
margin=row['margin'],
alt_symbols=alt_symbols,
underlying_ids=row['und_inst_id'],
option_type=row['put_call'],
strike=row['strike'],
exp_date=row['expiry_date'],
multiplier=row['factor'])
data_store.save_instrument(inst)
def __init__(self,
time_series=None,
inputs=None,
input_keys=None,
desc=None,
keys: List[str] = None,
default_output_key: str = 'value',
**kwargs):
if not time_series:
series_id = build_series_id(self.__class__.__name__, inputs,
input_keys, **kwargs)
time_series = ModelFactory.build_time_series(
series_id=series_id,
series_cls=get_full_cls_name(self),
desc=desc,
inputs=inputs,
input_keys=input_keys,
keys=keys,
default_output_key=default_output_key,
**kwargs)
super(Indicator, self).__init__(time_series=time_series)
self.calculate = True
self.__raw_inputs = self._convert_raw_input(inputs=inputs)
def add(self, timestamp, value):
self.append_row(timestamp, value)
self.subject.on_next(
ModelFactory.build_time_series_update_event(source=self.series_id, timestamp=timestamp,
data={self.col_id: value}))
def test_trailing_stop_order_handler(self):
handler = TrailingStopOrderHandler(self.config)
bar1 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=16, high=18, low=15, close=17, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=17, high=19, low=16, close=18, vol=1000)
bar3 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=18, high=20, low=17, close=19, vol=1000)
bar4 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=19, high=21, low=18, close=20, vol=1000)
bar5 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=20, high=22, low=19, close=21, vol=1000)
# BUY with bar
order1 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=TrailingStop,
qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
fill_info = handler.process(order1, bar2)
self.assertEquals(21, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar3)
self.assertEquals(21, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar1)
self.assertEquals(20, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order1, bar3)
self.assertEquals(20, handler.trailing_stop_exec_price(order1.cl_id, order1.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# BUY
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1", action=Buy,
type=TrailingStop,
qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
fill_info = handler.process_w_price_qty(order2, 16, 1000)
self.assertEquals(21, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 17, 1000)
self.assertEquals(21, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 15, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 19, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order2, 20, 1000)
self.assertEquals(20, handler.trailing_stop_exec_price(order2.cl_id, order2.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL with bar
order3 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="3", inst_id="1",
action=Sell,
type=TrailingStop, qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
fill_info = handler.process(order3, bar4)
self.assertEquals(16, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar3)
self.assertEquals(16, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar5)
self.assertEquals(17, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order3, bar3)
self.assertEquals(17, handler.trailing_stop_exec_price(order3.cl_id, order3.cl_ord_id))
self.assertEquals(17, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL
order4 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="4", inst_id="1",
action=Sell,
type=TrailingStop, qty=1000,
stop_price=5)
self.assertEquals(0, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
fill_info = handler.process_w_price_qty(order4, 21, 1000)
self.assertEquals(16, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 20, 1000)
self.assertEquals(16, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 22, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 18, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order4, 17, 1000)
self.assertEquals(17, handler.trailing_stop_exec_price(order4.cl_id, order4.cl_ord_id))
self.assertEquals(17, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
def test_simulation_clock_current_date_time_with_trade(self):
timestamp = ClockTest.ts + 10
trade = ModelFactory.build_trade(inst_id="test", timestamp=timestamp)
self.simluation_clock.on_trade(trade)
self.assertEquals(timestamp, self.simluation_clock.now())
def load_exch_from_row(data_store, row):
exch = ModelFactory.build_exchange(exch_id=row['exch_id'],
name=row['name'])
data_store.save_exchange(exch)
def test_StopLimit_order_handler(self):
handler = StopLimitOrderHandler(self.config)
bar1 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=20, high=21, low=19, close=20.5, vol=1000)
bar2 = ModelFactory.build_bar(timestamp=0, inst_id="1", open=16, high=18, low=15, close=17, vol=1000)
# BUY
order1 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=StopLimit,
qty=1000,
limit_price=18,
stop_price=18.5)
fill_info = handler.process_w_price_qty(order1, 18, 1000)
self.assertFalse(handler.stop_limit_ready(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order1, 19, 1000)
self.assertTrue(handler.stop_limit_ready(order1.cl_id, order1.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order1, 18, 1000)
self.assertTrue(handler.stop_limit_ready(order1.cl_id, order1.cl_ord_id))
self.assertEquals(18, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# BUY with bar
order2 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="2", inst_id="1", action=Buy,
type=StopLimit,
qty=1000,
limit_price=18,
stop_price=18.5)
fill_info = handler.process(order2, bar2)
self.assertFalse(handler.stop_limit_ready(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order2, bar1)
self.assertTrue(handler.stop_limit_ready(order2.cl_id, order2.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order2, bar2)
self.assertTrue(handler.stop_limit_ready(order2.cl_id, order2.cl_ord_id))
self.assertEquals(18, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL
order3 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="3", inst_id="1",
action=Sell, type=StopLimit,
qty=1000,
limit_price=20,
stop_price=18.5)
fill_info = handler.process_w_price_qty(order3, 19, 1000)
self.assertFalse(handler.stop_limit_ready(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order3, 18, 1000)
self.assertTrue(handler.stop_limit_ready(order3.cl_id, order3.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process_w_price_qty(order3, 20, 1000)
self.assertTrue(handler.stop_limit_ready(order3.cl_id, order3.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
# SELL with bar
order4 = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="4", inst_id="1",
action=Sell, type=StopLimit,
qty=1000,
limit_price=20,
stop_price=18.5)
fill_info = handler.process(order4, bar1)
self.assertFalse(handler.stop_limit_ready(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order4, bar2)
self.assertTrue(handler.stop_limit_ready(order4.cl_id, order4.cl_ord_id))
self.assertEquals(None, fill_info)
fill_info = handler.process(order4, bar1)
self.assertTrue(handler.stop_limit_ready(order4.cl_id, order4.cl_ord_id))
self.assertEquals(20, fill_info.fill_price)
self.assertEquals(1000, fill_info.fill_qty)
def sample_country(self):
country = ModelFactory.build_country('US', 'United States of America',
'US_holiday')
return country
def load_ccy_from_row(data_store, row):
ccy = ModelFactory.build_currency(ccy_id=row['ccy_id'], name=row['name'])
data_store.save_currency(ccy)
def sample_strategy_state(self):
strategy = ModelFactory.build_strategy_state("BLSH", "test")
self.add_sample_position(strategy)
return strategy
def sample_portfolio_state(self):
portfolio = ModelFactory.build_portfolio_state("test_portf", cash=1000)
self.add_sample_position(portfolio)
return portfolio
def on_acc_upd(self, account_update: AccountUpdate) -> None:
for update_value in account_update.values.values():
ModelFactory.update_account_value(
self.state.values[update_value.key], update_value.key,
update_value.ccy_values)
def sample_sequence(self):
seq = ModelFactory.build_sequence("test_seq", 999)
return seq
def sample_exchange(self):
exchange = ModelFactory.build_exchange(
'SEHK', 'The Stock Exchange of Hong Kong Limited', 'HK', 'HKEX',
'HK_Holiday')
return exchange
def __remove_order(self, new_ord_req):
if new_ord_req.inst_id in self.ord_req_map:
ord_reqs = self.ord_req_map[new_ord_req.inst_id]
cl_ord_id = ModelFactory.build_cl_ord_id(new_ord_req.cl_id, new_ord_req.cl_ord_id)
if cl_ord_id in ord_reqs:
del ord_reqs[cl_ord_id]
def sample_timezone(self):
timezone = ModelFactory.build_timezone("Venezuela Standard Time")
return timezone
def add(self, timestamp, data: Dict):
self.time_list.append(timestamp)
for col_id, value in data.items():
self.col_dict[col_id].add(timestamp=timestamp, value=value)
self.subject.on_next(
ModelFactory.build_time_series_update_event(source=self.df_id, timestamp=timestamp, data=data))
def add_sample_order_position(self, position):
ModelFactory.add_order_position(position, "BLSH", "O1", 100, 20)
ModelFactory.add_order_position(position, "BLSH", "O2", 100, 50)
def __init__(self, stg_id: str, stg_cls: str, state: StrategyState = None):
self.stg_id = stg_id
self.state = state if state else ModelFactory.build_strategy_state(
stg_id=stg_id, stg_cls=stg_cls)
self.store = None
super().__init__(self.state)
def sample_currency(self):
currency = ModelFactory.build_currency('HKD', 'Hong Kong Doller')
return currency