def test_trader_counter() -> None:
stat = MagicMock()
exchange = MagicMock()
account = MagicMock()
account.exchange = exchange
trade_counter = TradeCounter(stat)
exchange.last_price.return_value = 20.
order1 = LimitOrder(account=account, order_id=gen_unique_id(), instrument=MagicMock(), quantity=100, price=10)
order2 = LimitOrder(account=account, order_id=gen_unique_id(), instrument=MagicMock(), quantity=200, price=20)
order3 = MarketOrder(account=account, order_id=gen_unique_id(), instrument=MagicMock(), quantity=100)
trade_counter.submit_order(order1)
trade_counter.submit_order(order2)
trade_counter.submit_order(order3)
assert len(trade_counter.open_orders()) == 3
trade_counter.cancel_order(order1.order_id)
with pytest.raises(NotImplementedError):
trade_counter.amend_order(order2.order_id, 100, 20)
assert len(trade_counter.open_orders()) == 2
trade_counter.match(utc_datetime(2018, 1, 1))
assert len(order2.trades) == 1
assert len(order3.trades) == 1
assert len(trade_counter.open_orders()) == 0
trades = []
trades.extend(order2.trades)
trades.extend(order3.trades)
trade_calls = [call(t) for t in trades]
account.deal.assert_has_calls(trade_calls)
def mock_httpinterface() -> Generator[MagicMock, None, None]:
m = MagicMock()
m.get_instrument_info = CoroutineMock(return_value=[{'lastPrice': 100}])
m.place_limit_order = CoroutineMock(return_value=gen_unique_id())
m.place_market_order = CoroutineMock(return_value=gen_unique_id())
resp = MagicMock()
resp.status = 200
m.amend_order = CoroutineMock(return_value=resp)
m.cancel_order = CoroutineMock(return_value=resp)
m.open_orders_http = CoroutineMock(return_value=[])
with open(get_resource_path('bitmex/active_instrument.json')) as f:
instruments = json.load(f)
m.active_instruments = CoroutineMock(return_value=instruments)
with open(get_resource_path('bitmex/kline_data.json')) as f:
klines = json.load(f)
m.get_kline = CoroutineMock(return_value=klines)
trades = json.loads("""[
{
"timestamp": "2019-03-02T02:38:58.304Z",
"symbol": "XBTUSD",
"side": "Sell",
"size": 1297,
"price": 3828.5,
"tickDirection": "ZeroMinusTick",
"trdMatchID": "8260edc2-26d6-e8b7-616a-1d5c21ffa37f",
"grossValue": 33877640,
"homeNotional": 0.3387764,
"foreignNotional": 1297
}]""")
m.get_recent_trades = CoroutineMock(return_value=trades)
yield m
def match(self, match_time: datetime.datetime) -> None:
close_order_ids = []
for order in self._open_orders.values():
if isinstance(order, MarketOrder):
trade = Trade(order, order.account.exchange.last_price(order.instrument),
order.quantity, gen_unique_id(), match_time)
elif isinstance(order, LimitOrder):
trade = Trade(order, order.price, order.quantity, gen_unique_id(), match_time)
else:
raise ImpossibleError("Unsupported order type {}".format(type(order)))
self.stat.collect_trade(trade)
logger.debug("Trade counter match a trade {}".format(trade))
order.deal(trade)
if order.remain_quantity == 0:
close_order_ids.append(order.order_id)
for order_id in close_order_ids:
self._open_orders.pop(order_id)
def test_base_order_to_dict() -> None:
instrument = MagicMock()
instrument.symbol = "XBTUSD"
order = BaseOrder(MagicMock(), gen_unique_id(), instrument, 100)
d_order = base_order_to_dict(order)
assert d_order == {
'order_id': order.order_id,
'quantity': 100,
'traded_quantity': 0,
'trades': [],
'symbol': "XBTUSD"
}
def tests_limit_order_to_dict() -> None:
instrument = MagicMock()
instrument.symbol = "XBTUSD"
order = LimitOrder(MagicMock(), gen_unique_id(), instrument, 100, price=10)
d_order = limit_order_to_dict(order)
assert d_order == {
'order_id': order.order_id,
'quantity': 100,
'traded_quantity': 0,
'trades': [],
'symbol': "XBTUSD",
'price': 10,
'order_type': 'limit'
}
async def place_market_order(self,
account: FutureAccount,
instrument: FutureInstrument,
quantity: float,
text: str = '') -> str:
if isinstance(instrument, FutureInstrument):
order = FutureMarketOrder(account=account,
instrument=instrument,
quantity=quantity,
order_id=gen_unique_id(),
submit_datetime=self.context.now,
text=text)
else:
raise NotImplementedError()
self._trade_counter.submit_order(order)
return order.order_id