def send_order(self, new_ord_req):
if new_ord_req.id() in self.order_dict:
raise Exception(
"ClientOrderId has been used!! cl_id = %s, cl_ord_id = %s" %
(new_ord_req.cl_id, new_ord_req.cl_ord_id))
# persist
if hasattr(
self, "store"
) and self.store and self.persist_mode != PersistenceMode.RealTime:
self.store.save_new_order_req(new_ord_req)
order = Order(new_ord_req)
self.order_dict[order.id()] = order
if order.broker_id:
broker = self.app_context.provider_mgr.get(order.broker_id)
if broker:
broker.on_new_ord_req(new_ord_req)
else:
logger.warn(
"broker [%s] not found for order cl_id [%s] cl_ord_id [%s]"
% (order.broker_id, order.cl_id, order.cl_ord_id))
# persist
self._save_order(order)
return order
def test_update_status_with_diff_cl_ord_id(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="3",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
self.assertEquals(New, order.status())
status_update = ModelFactory.build_order_status_update(
timestamp=0,
broker_id="TestBroker",
broker_event_id="3",
broker_ord_id="3",
cl_id='TestClient',
cl_ord_id="ERROR",
status=Submitted)
with self.assertRaises(Exception) as ex:
order.on_ord_upd(status_update)
def test_leave_qty(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(200, order.leave_qty())
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=200,
last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(0, order.leave_qty())
self.assertTrue(order.is_done())
self.assertEquals(OrdStatus.FILLED, order.status)
def test_exec_report_with_diff_ord_id(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
er1 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="ERROR",
inst_id="HSI@SEHK",
last_qty=800,
last_price=18.4,
status=PartiallyFilled)
with self.assertRaises(Exception) as ex:
order.on_exec_report(er1)
def test_update_status_with_diff_cl_ord_id(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertEquals(OrdStatus.NEW, order.status)
status_update = OrderStatusUpdate(cl_id='test', cl_ord_id=2, ord_id=2, inst_id=1, status=OrdStatus.SUBMITTED)
with self.assertRaises(Exception) as ex:
order.on_ord_upd(status_update)
def test_is_active(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertTrue(order.is_active())
def test_exec_report_with_diff_ord_id(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
er1 = ExecutionReport(cl_id='test', cl_ord_id=2, ord_id=2, er_id=1, inst_id=1, last_qty=800, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
with self.assertRaises(Exception) as ex:
order.on_exec_report(er1)
def test_on_ord_upd(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertEquals(OrdStatus.NEW, order.status)
status_update = OrderStatusUpdate(cl_id='test', cl_ord_id=1, ord_id=1, inst_id=1, status=OrdStatus.SUBMITTED)
order.on_ord_upd(status_update)
self.assertEqual(status_update.ord_id, order.broker_ord_id)
self.assertEquals(OrdStatus.SUBMITTED, order.status)
def test_exec_report_with_exceed_qty(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
self.assertEqual(1000, order.leave_qty())
self.assertEqual(0, len(order.get_events(ExecutionReport)))
er1 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=800,
last_price=18.4,
status=PartiallyFilled)
order.on_exec_report(er1)
er2 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="2",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=200,
last_price=18.4,
status=Filled)
order.on_exec_report(er2)
er3 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="3",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=100,
last_price=18.4,
status=Filled)
with self.assertRaises(Exception) as ex:
order.on_exec_report(er3)
def test_is_buy(self):
nos = ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="TestClientOrder",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)
order = Order(ModelFactory.build_order_state_from_nos(nos))
self.assertTrue(order.is_buy())
self.assertFalse(order.is_sell())
def test_is_active(self):
order1 = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
self.assertTrue(order1.is_active())
def test_order(self, name, serializer):
nos = NewOrderRequest(timestamp=None, cl_id=None, cl_ord_id=None, portf_id=None, broker_id=None, inst_id=None,
action=None, type=None,
qty=0, limit_price=0,
stop_price=0, tif=TIF.DAY, oca_tag=None, params=None)
item = Order(nos=nos)
SerializerTest.ser_deser(name, serializer, item)
def test_add_order(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
self.assertEquals(0, len(position.all_orders()))
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(1000, position.ordered_qty())
self.assertEquals(1, len(position.all_orders()))
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(2000, position.ordered_qty())
self.assertEquals(2, len(position.all_orders()))
order3 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=3,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1200,
limit_price=18.5))
position.add_order(order3)
self.assertEquals(800, position.ordered_qty())
self.assertEquals(3, len(position.all_orders()))
def test_update_status_with_diff_cl_ord_id(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEquals(OrdStatus.NEW, order.status)
status_update = OrderStatusUpdate(cl_id='test',
cl_ord_id=2,
ord_id=2,
inst_id=1,
status=OrdStatus.SUBMITTED)
with self.assertRaises(Exception) as ex:
order.on_ord_upd(status_update)
def test_on_ord_upd(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEquals(OrdStatus.NEW, order.status)
status_update = OrderStatusUpdate(cl_id='test',
cl_ord_id=1,
ord_id=1,
inst_id=1,
status=OrdStatus.SUBMITTED)
order.on_ord_upd(status_update)
self.assertEqual(status_update.ord_id, order.broker_ord_id)
self.assertEquals(OrdStatus.SUBMITTED, order.status)
def test_leave_qty(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=800, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(200, order.leave_qty())
er2 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=2, inst_id=1, last_qty=200, last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(0, order.leave_qty())
self.assertTrue(order.is_done())
self.assertEquals(OrdStatus.FILLED, order.status)
def test_exec_report_with_diff_ord_id(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
er1 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
with self.assertRaises(Exception) as ex:
order.on_exec_report(er1)
def test_on_ord_upd(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="3",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
status_update = ModelFactory.build_order_status_update(
timestamp=0,
broker_id="TestBroker",
broker_event_id="3",
broker_ord_id="3",
cl_id='TestClient',
cl_ord_id="3",
status=Submitted)
order.on_ord_upd(status_update)
self.assertEqual(status_update.broker_ord_id, order.broker_ord_id())
self.assertEquals(Submitted, order.status())
def test_fill_qty(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
order1 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(0, position.filled_qty())
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order1.on_exec_report(er1)
position.add_position(er1.cl_id, er1.cl_ord_id, er1.last_qty)
self.assertEquals(500, position.filled_qty())
er2 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=2, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.FILLED)
order1.on_exec_report(er2)
position.add_position(er2.cl_id, er2.cl_ord_id, er2.last_qty)
self.assertEquals(1000, position.filled_qty())
order2 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.SELL, type=OrdType.LIMIT, qty=1200,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(1000, position.filled_qty())
er3 = ExecutionReport(cl_id='test', cl_ord_id=2, ord_id=2, er_id=3, inst_id=1, last_qty=800, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order2.on_exec_report(er3)
position.add_position(er3.cl_id, er3.cl_ord_id, er3.last_qty * -1)
self.assertEquals(200, position.filled_qty())
er4 = ExecutionReport(cl_id='test', cl_ord_id=2, ord_id=2, er_id=4, inst_id=1, last_qty=400, last_price=18.4,
status=OrdStatus.FILLED)
order2.on_exec_report(er4)
position.add_position(er4.cl_id, er4.cl_ord_id, er4.last_qty * -1)
self.assertEquals(-200, position.filled_qty())
def test_add_order_with_diff_inst(self):
position = Position(1)
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=2,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
with self.assertRaises(RuntimeError) as ex:
position.add_order(order2)
def send_order(self, new_ord_req):
if new_ord_req.id() in self.order_dict:
raise Exception(
"ClientOrderId has been used!! cl_id = %s, cl_ord_id = %s" % (new_ord_req.cl_id, new_ord_req.cl_ord_id))
# persist
if hasattr(self, "store") and self.store and self.persist_mode != PersistenceMode.RealTime:
self.store.save_new_order_req(new_ord_req)
order = Order(new_ord_req)
self.order_dict[order.id()] = order
if order.broker_id:
broker = self.app_context.provider_mgr.get(order.broker_id)
if broker:
broker.on_new_ord_req(new_ord_req)
else:
logger.warn("broker [%s] not found for order cl_id [%s] cl_ord_id [%s]" % (
order.broker_id, order.cl_id, order.cl_ord_id))
# persist
self._save_order(order)
return order
def test_is_sell(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.SELL, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertFalse(order.is_buy())
self.assertTrue(order.is_sell())
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.SSHORT, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertFalse(order.is_buy())
self.assertTrue(order.is_sell())
def test_order(self, name, datastore):
nos = NewOrderRequest(timestamp=None,
cl_id=None,
cl_ord_id=None,
portf_id=None,
broker_id=None,
inst_id=None,
action=None,
type=None,
qty=0,
limit_price=0,
stop_price=0,
tif=TIF.DAY,
oca_tag=None,
params=None)
persistable = Order(nos=nos)
DataStoreTest.save_load(name, persistable, datastore,
datastore.save_order, 'orders')
def test_is_sell(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertFalse(order.is_buy())
self.assertTrue(order.is_sell())
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.SSHORT,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertFalse(order.is_buy())
self.assertTrue(order.is_sell())
def test_exec_report(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
self.assertEqual(0, len(order.get_events(ExecutionReport)))
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=800, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(1, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertEqual(er1.ord_id, order.broker_ord_id)
self.assertEqual(800, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(800, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.PARTIALLY_FILLED, order.status)
er2 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=2, inst_id=1, last_qty=200, last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(2, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertTrue(er2 in order.get_events(ExecutionReport))
self.assertEqual(er2.ord_id, order.broker_ord_id)
self.assertEqual(200, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(1000, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.FILLED, order.status)
def test_is_done(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertFalse(order.is_done())
status_update1 = OrderStatusUpdate(cl_id='test', cl_ord_id=1, ord_id=1, inst_id=1, status=OrdStatus.REJECTED)
order.on_ord_upd(status_update1)
self.assertTrue(order.is_done())
order2 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=2, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
status_update2 = OrderStatusUpdate(cl_id='test', cl_ord_id=2, ord_id=2, inst_id=1, status=OrdStatus.CANCELLED)
order2.on_ord_upd(status_update2)
self.assertTrue(order2.is_done())
order3 = Order(
NewOrderRequest(cl_id='test', cl_ord_id=3, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
status_update3 = OrderStatusUpdate(cl_id='test', cl_ord_id=3, ord_id=3, inst_id=1, status=OrdStatus.FILLED)
order3.on_ord_upd(status_update3)
self.assertTrue(order3.is_done())
def test_is_active(self):
order = Order(
NewOrderRequest(cl_id='test', cl_ord_id=1, inst_id=1, action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000,
limit_price=18.5))
self.assertTrue(order.is_active())
def test_exec_report(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
self.assertEqual(0, len(order.get_events(ExecutionReport)))
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(1, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertEqual(er1.ord_id, order.broker_ord_id)
self.assertEqual(800, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(800, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.PARTIALLY_FILLED, order.status)
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=200,
last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(2, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertTrue(er2 in order.get_events(ExecutionReport))
self.assertEqual(er2.ord_id, order.broker_ord_id)
self.assertEqual(200, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(1000, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.FILLED, order.status)
def test_fill_qty(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(0, position.filled_qty())
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order1.on_exec_report(er1)
position.add_position(er1.cl_id, er1.cl_ord_id, er1.last_qty)
self.assertEquals(500, position.filled_qty())
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.FILLED)
order1.on_exec_report(er2)
position.add_position(er2.cl_id, er2.cl_ord_id, er2.last_qty)
self.assertEquals(1000, position.filled_qty())
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1200,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(1000, position.filled_qty())
er3 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=3,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order2.on_exec_report(er3)
position.add_position(er3.cl_id, er3.cl_ord_id, er3.last_qty * -1)
self.assertEquals(200, position.filled_qty())
er4 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=4,
inst_id=1,
last_qty=400,
last_price=18.4,
status=OrdStatus.FILLED)
order2.on_exec_report(er4)
position.add_position(er4.cl_id, er4.cl_ord_id, er4.last_qty * -1)
self.assertEquals(-200, position.filled_qty())
def test_is_done(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertFalse(order.is_done())
status_update1 = OrderStatusUpdate(cl_id='test',
cl_ord_id=1,
ord_id=1,
inst_id=1,
status=OrdStatus.REJECTED)
order.on_ord_upd(status_update1)
self.assertTrue(order.is_done())
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
status_update2 = OrderStatusUpdate(cl_id='test',
cl_ord_id=2,
ord_id=2,
inst_id=1,
status=OrdStatus.CANCELLED)
order2.on_ord_upd(status_update2)
self.assertTrue(order2.is_done())
order3 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=3,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
status_update3 = OrderStatusUpdate(cl_id='test',
cl_ord_id=3,
ord_id=3,
inst_id=1,
status=OrdStatus.FILLED)
order3.on_ord_upd(status_update3)
self.assertTrue(order3.is_done())
def test_leave_qty(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
self.assertEqual(1000, order.leave_qty())
er1 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=800,
last_price=18.4,
status=PartiallyFilled)
order.on_exec_report(er1)
self.assertEqual(200, order.leave_qty())
er2 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="2",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=200,
last_price=18.4,
status=Filled)
order.on_exec_report(er2)
self.assertEqual(0, order.leave_qty())
self.assertTrue(order.is_done())
self.assertEquals(Filled, order.status())
def test_exec_report(self):
order = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
self.assertEqual(1000, order.leave_qty())
self.assertEqual(0, len(order.get_events(ExecutionReport)))
er1 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=800,
last_price=18.4,
status=PartiallyFilled)
order.on_exec_report(er1)
self.assertEqual(1, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertEqual(er1.broker_ord_id, order.broker_ord_id())
self.assertEqual(800, order.last_qty())
self.assertAlmostEqual(18.4, order.last_price())
self.assertEqual(800, order.filled_qty())
self.assertAlmostEqual(18.4, order.avg_price())
self.assertEqual(PartiallyFilled, order.status())
er2 = ModelFactory.build_execution_report(timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
inst_id="HSI@SEHK",
last_qty=200,
last_price=18.4,
status=Filled)
order.on_exec_report(er2)
self.assertEqual(2, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertTrue(er2 in order.get_events(ExecutionReport))
self.assertEqual(er2.broker_ord_id, order.broker_ord_id())
self.assertEqual(200, order.last_qty())
self.assertAlmostEqual(18.4, order.last_price())
self.assertEqual(1000, order.filled_qty())
self.assertAlmostEqual(18.4, order.avg_price())
self.assertEqual(Filled, order.status())
def test_is_done(self):
order1 = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="1",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
status_update1 = ModelFactory.build_order_status_update(
timestamp=0,
broker_id="TestBroker",
broker_event_id="1",
broker_ord_id="1",
cl_id='TestClient',
cl_ord_id="1",
status=Rejected)
order1.on_ord_upd(status_update1)
self.assertTrue(order1.is_done())
order2 = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="2",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
status_update2 = ModelFactory.build_order_status_update(
timestamp=0,
broker_id="TestBroker",
broker_event_id="2",
broker_ord_id="2",
cl_id='TestClient',
cl_ord_id="2",
status=Cancelled)
order2.on_ord_upd(status_update2)
self.assertTrue(order1.is_done())
order3 = Order(
ModelFactory.build_order_state_from_nos(
ModelFactory.build_new_order_request(timestamp=0,
cl_id='TestClient',
cl_ord_id="3",
portf_id="TestPortf",
broker_id="TestBroker",
inst_id="HSI@SEHK",
action=Buy,
type=Limit,
qty=1000,
limit_price=18.5)))
status_update3 = ModelFactory.build_order_status_update(
timestamp=0,
broker_id="TestBroker",
broker_event_id="3",
broker_ord_id="3",
cl_id='TestClient',
cl_ord_id="3",
status=Filled)
order3.on_ord_upd(status_update3)
self.assertTrue(order3.is_done())
