async def generate_trades_list(
self,
venue_order_id: VenueOrderId,
symbol: Symbol,
since: datetime = None) -> List[ExecutionReport]:
filled = self.client().betting.list_cleared_orders(
bet_ids=[venue_order_id], )
if not filled["clearedOrders"]:
self._log.warn(f"Found no existing order for {venue_order_id}")
return []
fill = filled["clearedOrders"][0]
timestamp_ns = millis_to_nanos(
pd.Timestamp(fill["lastMatchedDate"]).timestamp())
return [
ExecutionReport(
client_order_id=self.
venue_order_id_to_client_order_id[venue_order_id],
venue_order_id=VenueOrderId(fill["betId"]),
execution_id=ExecutionId(fill["lastMatchedDate"]),
last_qty=Decimal(fill["sizeSettled"]),
last_px=Decimal(fill["priceMatched"]),
commission_amount=None, # Can be None
commission_currency=None, # Can be None
liquidity_side=LiquiditySide.NONE,
execution_ns=timestamp_ns,
timestamp_ns=timestamp_ns,
)
]
async def generate_trades_list(
self, venue_order_id: VenueOrderId, symbol: Symbol, since: datetime = None # type: ignore
) -> List[ExecutionReport]:
filled = self.client().betting.list_cleared_orders(
bet_ids=[venue_order_id],
)
if not filled["clearedOrders"]:
self._log.warn(f"Found no existing order for {venue_order_id}")
return []
fill = filled["clearedOrders"][0]
ts_event = int(pd.Timestamp(fill["lastMatchedDate"]).to_datetime64())
return [
ExecutionReport(
client_order_id=self.venue_order_id_to_client_order_id[venue_order_id],
venue_order_id=VenueOrderId(fill["betId"]),
venue_position_id=None, # Can be None
execution_id=ExecutionId(fill["lastMatchedDate"]),
last_qty=Quantity.from_str(str(fill["sizeSettled"])), # TODO: Incorrect precision?
last_px=Price.from_str(str(fill["priceMatched"])), # TODO: Incorrect precision?
commission=None, # Can be None
liquidity_side=LiquiditySide.NONE,
ts_event=ts_event,
ts_init=ts_event,
)
]
def test_instantiate_execution_report(self):
# Arrange, Act
report = ExecutionReport(
client_order_id=ClientOrderId("O-123456789"),
venue_order_id=VenueOrderId("1"),
venue_position_id=PositionId("1"),
execution_id=ExecutionId("1"),
last_qty=Quantity.from_int(100),
last_px=Price.from_str("100.50"),
commission=Money("4.50", USD),
liquidity_side=LiquiditySide.TAKER,
ts_event=0,
ts_init=0,
)
# Assert
assert (
str(report) ==
"ExecutionReport(client_order_id=O-123456789, venue_order_id=1, venue_position_id=1, id=1, last_qty=100, last_px=100.50, commission=4.50 USD, liquidity_side=TAKER, ts_event=0, ts_init=0)" # noqa
) # noqa
assert (
repr(report) ==
"ExecutionReport(client_order_id=O-123456789, venue_order_id=1, venue_position_id=1, id=1, last_qty=100, last_px=100.50, commission=4.50 USD, liquidity_side=TAKER, ts_event=0, ts_init=0)" # noqa
) # noqa
async def test_reconcile_state_when_filled_reconciles(self):
# Arrange
self.exec_engine.start()
strategy = TradingStrategy()
strategy.register(
trader_id=self.trader_id,
portfolio=self.portfolio,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
None,
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_status=OrderStatus.FILLED,
filled_qty=Quantity.from_int(100000),
ts_init=0,
)
trade1 = ExecutionReport(
execution_id=ExecutionId("1"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(5.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
trade2 = ExecutionReport(
execution_id=ExecutionId("2"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
venue_position_id=None,
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(2.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_event=0,
ts_init=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.1) # Allow processing time
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result
async def run_test():
# Arrange
self.engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER", "000"),
self.clock,
self.logger,
)
self.engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
submit_order = SubmitOrder(
AUDUSD_SIM.id,
self.trader_id,
self.account_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.engine.execute(submit_order)
self.engine.process(TestStubs.event_order_submitted(order))
self.engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.FILLED,
filled_qty=Quantity(100000),
timestamp_ns=0,
)
trade1 = ExecutionReport(
execution_id=ExecutionId("1"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(50000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("5.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
trade2 = ExecutionReport(
execution_id=ExecutionId("2"),
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
last_qty=Decimal(50000),
last_px=Decimal("1.00000"),
commission_amount=Decimal("2.0"),
commission_currency="USD",
liquidity_side=LiquiditySide.MAKER,
execution_ns=0,
timestamp_ns=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.01)
# Act
result = await self.engine.reconcile_state()
self.engine.stop()
# Assert
assert result
async def run_test():
# Arrange
self.exec_engine.start()
strategy = TradingStrategy(order_id_tag="001")
strategy.register_trader(
TraderId("TESTER-000"),
self.clock,
self.logger,
)
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
submit_order = SubmitOrder(
self.trader_id,
strategy.id,
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.exec_engine.execute(submit_order)
self.exec_engine.process(TestStubs.event_order_submitted(order))
self.exec_engine.process(TestStubs.event_order_accepted(order))
report = OrderStatusReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"), # <-- from stub event
order_state=OrderState.PARTIALLY_FILLED,
filled_qty=Quantity.from_int(70000),
timestamp_ns=0,
)
trade1 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
execution_id=ExecutionId("1"),
last_qty=Quantity.from_int(50000),
last_px=Price.from_str("1.00000"),
commission=Money(5.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_filled_ns=0,
timestamp_ns=0,
)
trade2 = ExecutionReport(
client_order_id=order.client_order_id,
venue_order_id=VenueOrderId("1"),
execution_id=ExecutionId("2"),
last_qty=Quantity.from_int(20000),
last_px=Price.from_str("1.00000"),
commission=Money(2.00, USD),
liquidity_side=LiquiditySide.MAKER,
ts_filled_ns=0,
timestamp_ns=0,
)
self.client.add_order_status_report(report)
self.client.add_trades_list(VenueOrderId("1"), [trade1, trade2])
await asyncio.sleep(0.01)
# Act
result = await self.exec_engine.reconcile_state(timeout_secs=10)
self.exec_engine.stop()
# Assert
assert result