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_trailing_stop_order_handler(self): handler = TrailingStopOrderHandler(self.config) bar1 = Bar(inst_id=1, open=16, high=18, low=15, close=17, vol=1000) bar2 = Bar(inst_id=1, open=17, high=19, low=16, close=18, vol=1000) bar3 = Bar(inst_id=1, open=18, high=20, low=17, close=19, vol=1000) bar4 = Bar(inst_id=1, open=19, high=21, low=18, close=20, vol=1000) bar5 = Bar(inst_id=1, open=20, high=22, low=19, close=21, vol=1000) # BUY with bar order1 = NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.TRAILING_STOP, 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 = NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.BUY, type=OrdType.TRAILING_STOP, 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 = NewOrderRequest(cl_id='test', cl_ord_id=3, inst_id=1, action=OrdAction.SELL, type=OrdType.TRAILING_STOP, 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 = NewOrderRequest(cl_id='test', cl_ord_id=4, inst_id=1, action=OrdAction.SELL, type=OrdType.TRAILING_STOP, 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)
class DefaultFillStrategy(FillStrategy): def __init__(self, app_context=None, sim_config=None, slippage=None): self.app_context = app_context self.__sim_config = sim_config if sim_config else SimConfig() self.__slippage = slippage if slippage else NoSlippage() self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage) self.__limit_ord_handler = LimitOrderHandler(self.__sim_config) self.__stop_limit_ord_handler = StopLimitOrderHandler( self.__sim_config) self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage) self.__trailing_stop_ord_handler = TrailingStopOrderHandler( self.__sim_config, self.__slippage) def process_new_order(self, new_ord_req): fill_info = None config = self.__sim_config quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id) trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id) bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id) if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote: fill_info = self.process_w_market_data(new_ord_req, quote, True) elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade: fill_info = self.process_w_market_data(new_ord_req, trade, True) elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar: fill_info = self.process_w_market_data(new_ord_req, bar, True) return fill_info def process_w_market_data(self, new_ord_req, event, new_order=False): config = self.__sim_config if not event \ or (isinstance(event, Bar) and not config.fill_on_bar) \ or (isinstance(event, Trade) and not config.fill_on_trade) \ or (isinstance(event, Quote) and not config.fill_on_quote): return None if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process( new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process( new_ord_req, event, new_order) assert False def process_w_price_qty(self, new_ord_req, price, qty): if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process_w_price_qty( new_ord_req, price, qty) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process_w_price_qty( new_ord_req, price, qty) return None
class DefaultFillStrategy(FillStrategy): def __init__(self, app_context=None, sim_config=None, slippage=None): self.app_context = app_context self.__sim_config = sim_config if sim_config else SimConfig() self.__slippage = slippage if slippage else NoSlippage() self.__market_ord_handler = MarketOrderHandler(self.__sim_config, self.__slippage) self.__limit_ord_handler = LimitOrderHandler(self.__sim_config) self.__stop_limit_ord_handler = StopLimitOrderHandler(self.__sim_config) self.__stop_ord_handler = StopOrderHandler(self.__sim_config, self.__slippage) self.__trailing_stop_ord_handler = TrailingStopOrderHandler(self.__sim_config, self.__slippage) def process_new_order(self, new_ord_req): fill_info = None config = self.__sim_config quote = self.app_context.inst_data_mgr.get_quote(new_ord_req.inst_id) trade = self.app_context.inst_data_mgr.get_trade(new_ord_req.inst_id) bar = self.app_context.inst_data_mgr.get_bar(new_ord_req.inst_id) if not fill_info and config.fill_on_quote and config.fill_on_bar_mode == SimConfig.FillMode.LAST and quote: fill_info = self.process_w_market_data(new_ord_req, quote, True) elif not fill_info and config.fill_on_trade and config.fill_on_trade_mode == SimConfig.FillMode.LAST and trade: fill_info = self.process_w_market_data(new_ord_req, trade, True) elif not fill_info and config.fill_on_bar and config.fill_on_bar_mode == SimConfig.FillMode.LAST and bar: fill_info = self.process_w_market_data(new_ord_req, bar, True) return fill_info def process_w_market_data(self, new_ord_req, event, new_order=False): config = self.__sim_config if not event \ or (isinstance(event, Bar) and not config.fill_on_bar) \ or (isinstance(event, Trade) and not config.fill_on_trade) \ or (isinstance(event, Quote) and not config.fill_on_quote): return None if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process(new_ord_req, event, new_order) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process(new_ord_req, event, new_order) assert False def process_w_price_qty(self, new_ord_req, price, qty): if new_ord_req.type == OrdType.MARKET: return self.__market_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.LIMIT: return self.__limit_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP_LIMIT: return self.__stop_limit_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.STOP: return self.__stop_ord_handler.process_w_price_qty(new_ord_req, price, qty) elif new_ord_req.type == OrdType.TRAILING_STOP: return self.__trailing_stop_ord_handler.process_w_price_qty(new_ord_req, price, qty) return None