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_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_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_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_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_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_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_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_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_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_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())
