def trade_pre_cancel(contract=None, order: IBOrder = None) -> Trade:
contract = contract or IBTestStubs.contract_details("AAPL").contract
order = order or IBExecTestStubs.ib_order()
return Trade(
contract=contract,
order=order,
orderStatus=OrderStatus(
orderId=41,
status="PreSubmitted",
filled=0.0,
remaining=1.0,
avgFillPrice=0.0,
permId=189868420,
parentId=0,
lastFillPrice=0.0,
clientId=1,
whyHeld="",
mktCapPrice=0.0,
),
fills=[],
log=[
TradeLogEntry(
time=datetime.datetime(
2022, 3, 6, 2, 17, 18, 455087, tzinfo=datetime.timezone.utc
),
status="PendingCancel",
message="",
errorCode=0,
)
],
)
def fill_trade(trade: Trade, exec_id: int, date: pd.datetime,
price: float) -> Trade:
quantity = trade.order.totalQuantity
execution = Execution(execId=exec_id,
time=date,
acctNumber='',
exchange=trade.contract.exchange,
side=trade.order.action,
shares=quantity,
price=price,
permId=trade.order.permId,
orderId=trade.order.orderId,
cumQty=quantity,
avgPrice=price,
lastLiquidity=quantity)
commission = CommissionReport()
fill = Fill(time=date,
contract=trade.contract,
execution=execution,
commissionReport=commission)
trade.fills.append(fill)
trade.orderStatus = OrderStatus(status=OrderStatus.Filled,
filled=quantity,
remaining=0,
avgFillPrice=price,
lastFillPrice=price)
trade.log.append(TradeLogEntry(time=date,
status=trade.orderStatus,
message=f'Fill @{price}'))
return trade
def trade_pending_submit(contract=None, order: IBOrder = None) -> Trade:
contract = contract or IBTestStubs.contract_details("AAPL").contract
order = order or IBExecTestStubs.ib_order()
return Trade(
contract=contract,
order=order,
orderStatus=OrderStatus(
orderId=41,
status="PendingSubmit",
filled=0.0,
remaining=0.0,
avgFillPrice=0.0,
permId=0,
parentId=0,
lastFillPrice=0.0,
clientId=0,
whyHeld="",
mktCapPrice=0.0,
),
fills=[],
log=[
TradeLogEntry(
time=datetime.datetime(
2022, 3, 5, 3, 6, 23, 492613, tzinfo=datetime.timezone.utc
),
status="PendingSubmit",
message="",
errorCode=0,
),
],
)
def placeOrder(self, contract: Contract, order: Order) -> Trade:
orderId = order.orderId or next(self.id)
now = self.market.date
trade = self.market.get_trade(order)
if trade:
# this is a modification of an existing order
assert trade.orderStatus.status not in OrderStatus.DoneStates
logEntry = TradeLogEntry(now, trade.orderStatus.status, 'Modify')
trade.log.append(logEntry)
trade.modifyEvent.emit(trade)
self.orderModifyEvent.emit(trade)
else:
# this is a new order
assert order.totalQuantity != 0, 'Order quantity cannot be zero'
order.orderId = orderId
order.permId = orderId
if order.parentId:
# this is for bracket order implementation TODO
orderStatus = OrderStatus(status=OrderStatus.PreSubmitted,
remaining=order.totalQuantity)
log.error('Why the f**k are we here?')
else:
orderStatus = OrderStatus(status=OrderStatus.Submitted,
remaining=order.totalQuantity)
logEntry = TradeLogEntry(now, orderStatus, '')
trade = Trade(contract, order, orderStatus, [], [logEntry])
self.newOrderEvent.emit(trade)
self.market.append_trade(trade)
return trade
def test_cancel_order(self):
# Arrange
instrument = IBTestStubs.instrument("AAPL")
contract_details = IBTestStubs.contract_details("AAPL")
contract = contract_details.contract
order = IBTestStubs.create_order()
self.instrument_setup(instrument=instrument,
contract_details=contract_details)
self.exec_client._ib_insync_orders[
TestIdStubs.client_order_id()] = Trade(contract=contract,
order=order)
# Act
command = TestCommandStubs.cancel_order_command(
instrument_id=instrument.id)
with patch.object(self.exec_client._client, "cancelOrder") as mock:
self.exec_client.cancel_order(command=command)
# Assert
expected = {
"contract":
Contract(
secType="STK",
conId=265598,
symbol="AAPL",
exchange="SMART",
primaryExchange="NASDAQ",
currency="USD",
localSymbol="AAPL",
tradingClass="NMS",
),
"order":
LimitOrder(action="BUY", totalQuantity=100_000, lmtPrice=105.0),
}
def cancel_trade(self, trade: Trade) -> None:
log.debug(f'will cancel trade: {trade}')
now = self.date
if not trade.isDone():
newStatus = OrderStatus.Cancelled
logEntry = TradeLogEntry(now, newStatus, '')
trade.log.append(logEntry)
trade.orderStatus.status = newStatus
trade.cancelEvent.emit(trade)
trade.statusEvent.emit(trade)
trade.cancelledEvent.emit(trade)
log.debug(f'cancelled trade: {trade}')
log.debug(f'isDone: {trade.isDone()}')
def monitor(self, trade: Trade) -> bool:
c = 0
while c < 5:
c += 1
self._trader.ib.sleep(15)
if trade.isDone():
return True
else:
log.debug(f'{trade.contract.localSymbol} attempt {c} to amend '
f'{trade.order.orderType}')
trade.order.limitPrice = self.price(trade.order.action,
trade.contract)
self.trade(trade.contract, trade.order)
return False
def test_update_order(self):
# Arrange
instrument = IBTestStubs.instrument("AAPL")
contract_details = IBTestStubs.contract_details("AAPL")
contract = contract_details.contract
order = IBTestStubs.create_order()
self.instrument_setup(instrument=instrument,
contract_details=contract_details)
self.exec_client._ib_insync_orders[
TestIdStubs.client_order_id()] = Trade(contract=contract,
order=order)
# Act
command = TestCommandStubs.modify_order_command(
instrument_id=instrument.id,
price=Price.from_int(10),
quantity=Quantity.from_str("100"),
)
with patch.object(self.exec_client._client, "placeOrder") as mock:
self.exec_client.modify_order(command=command)
# Assert
expected = {
"contract":
Contract(
secType="STK",
conId=265598,
symbol="AAPL",
exchange="SMART",
primaryExchange="NASDAQ",
currency="USD",
localSymbol="AAPL",
tradingClass="NMS",
),
"order":
LimitOrder(action="BUY", totalQuantity=100, lmtPrice=10.0),
}
name, args, kwargs = mock.mock_calls[0]
# Can't directly compare kwargs for some reason?
assert kwargs["contract"] == expected["contract"]
assert kwargs["order"].action == expected["order"].action
assert kwargs["order"].totalQuantity == expected["order"].totalQuantity
assert kwargs["order"].lmtPrice == expected["order"].lmtPrice
def trade_canceled(contract=None, order: IBOrder = None) -> Trade:
contract = contract or IBTestStubs.contract_details("AAPL").contract
order = order or IBExecTestStubs.ib_order()
return Trade(
contract=contract,
order=order,
orderStatus=OrderStatus(
orderId=41,
status="Cancelled",
filled=0.0,
remaining=1.0,
avgFillPrice=0.0,
permId=189868420,
parentId=0,
lastFillPrice=0.0,
clientId=1,
whyHeld="",
mktCapPrice=0.0,
),
fills=[],
log=[
TradeLogEntry(
time=datetime.datetime(
2022, 3, 6, 2, 17, 18, 455087, tzinfo=datetime.timezone.utc
),
status="PendingCancel",
message="",
errorCode=0,
),
TradeLogEntry(
time=datetime.datetime(2022, 3, 6, 2, 23, 2, 847, tzinfo=datetime.timezone.utc),
status="Cancelled",
message="Error 10148, reqId 45: OrderId 45 that needs to be cancelled cannot be cancelled, state: PendingCancel.",
errorCode=10148,
),
],
)
async def wait_for_fill(self, trade: ibs.Trade):
while not trade.isDone():
await self.ib.updateEvent
# noinspection PyUnresolvedReferences
return trade.orderStatus.status == 'Filled'