def setUp(self):
# Fixture Setup
clock = TestClock()
logger = TestLogger(clock)
self.trader_id = TraderId("TESTER", "000")
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
clock,
logger,
)
config = {
'host': 'localhost',
'port': 6379,
}
self.database = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config=config,
)
self.test_redis = redis.Redis(host="localhost", port=6379, db=0)
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
Raises
------
ValueError
If strategies is None or empty.
ValueError
If config is None or empty.
"""
PyCondition.not_none(strategies, "strategies")
PyCondition.not_none(config, "config")
PyCondition.not_empty(strategies, "strategies")
PyCondition.not_empty(config, "config")
# Extract configs
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_adapters = config.get("adapters", {})
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._clock = LiveClock(loop=self._loop)
self.created_time = self._clock.utc_now()
self._is_running = False
# Uncomment for debugging
# self._loop.set_debug(True)
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
self._logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(config_log.get("log_level_store")),
run_in_process=config_log.get("run_in_process", True), # Run logger in a separate process
log_thread=config_log.get("log_thread_id", False),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__, logger=self._logger)
self._log_header()
self._log.info("Building...")
self._setup_loop() # Requires the logger to be initialized
self.portfolio = Portfolio(
clock=self._clock,
logger=self._logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
config={"qsize": 10000},
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
}
)
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
config={"qsize": 10000},
)
self._exec_engine.load_cache()
self._setup_adapters(config_adapters, self._logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
portfolio=self.portfolio,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=self._logger,
)
self._check_residuals_delay = config_trader.get("check_residuals_delay", 5.0)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._log.info("state=INITIALIZED.")
self.time_to_initialize = self._clock.delta(self.created_time)
self._log.info(f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.")
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
"""
if strategies is None:
strategies = []
config_trader = config.get("trader", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_strategy = config.get("strategy", {})
config_data_clients = config.get("data_clients", {})
config_exec_clients = config.get("exec_clients", {})
self._clock = LiveClock()
self._uuid_factory = UUIDFactory()
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._loop.set_debug(False) # TODO: Development
self._is_running = False
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
logger = LiveLogger(
clock=self._clock,
name=self.trader_id.value,
level_console=LogLevelParser.from_str_py(
config_log.get("log_level_console")),
level_file=LogLevelParser.from_str_py(
config_log.get("log_level_file")),
level_store=LogLevelParser.from_str_py(
config_log.get("log_level_store")),
log_thread=config_log.get("log_thread_id", True),
log_to_file=config_log.get("log_to_file", False),
log_file_path=config_log.get("log_file_path", ""),
)
self._log = LoggerAdapter(component_name=self.__class__.__name__,
logger=logger)
self._log_header()
self._log.info("Building...")
self.portfolio = Portfolio(
clock=self._clock,
logger=logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
})
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=logger,
)
self._exec_engine.load_cache()
self._setup_data_clients(config_data_clients, logger)
self._setup_exec_clients(config_exec_clients, logger)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
clock=self._clock,
logger=logger,
)
self._check_residuals_delay = 2.0 # Hard coded delay (refactor)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
if self._load_strategy_state:
self.trader.load()
self._setup_loop()
self._log.info("state=INITIALIZED.")
def __init__(
self,
strategies: List[TradingStrategy],
config: Dict[str, object],
):
"""
Initialize a new instance of the TradingNode class.
Parameters
----------
strategies : list[TradingStrategy]
The list of strategies to run on the trading node.
config : dict[str, object]
The configuration for the trading node.
Raises
------
ValueError
If strategies is None or empty.
ValueError
If config is None or empty.
"""
PyCondition.not_none(strategies, "strategies")
PyCondition.not_none(config, "config")
PyCondition.not_empty(strategies, "strategies")
PyCondition.not_empty(config, "config")
self._config = config
# Extract configs
config_trader = config.get("trader", {})
config_system = config.get("system", {})
config_log = config.get("logging", {})
config_exec_db = config.get("exec_database", {})
config_risk = config.get("risk", {})
config_strategy = config.get("strategy", {})
# System config
self._connection_timeout = config_system.get("connection_timeout", 5.0)
self._disconnection_timeout = config_system.get(
"disconnection_timeout", 5.0)
self._check_residuals_delay = config_system.get(
"check_residuals_delay", 5.0)
self._load_strategy_state = config_strategy.get("load_state", True)
self._save_strategy_state = config_strategy.get("save_state", True)
# Setup loop
self._loop = asyncio.get_event_loop()
self._executor = concurrent.futures.ThreadPoolExecutor()
self._loop.set_default_executor(self._executor)
self._loop.set_debug(config_system.get("loop_debug", False))
# Components
self._clock = LiveClock(loop=self._loop)
self._uuid_factory = UUIDFactory()
self.system_id = self._uuid_factory.generate()
self.created_time = self._clock.utc_now()
self._is_running = False
# Setup identifiers
self.trader_id = TraderId(
name=config_trader["name"],
tag=config_trader["id_tag"],
)
# Setup logging
level_stdout = LogLevelParser.from_str_py(
config_log.get("level_stdout"))
self._logger = LiveLogger(
loop=self._loop,
clock=self._clock,
trader_id=self.trader_id,
system_id=self.system_id,
level_stdout=level_stdout,
)
self._log = LoggerAdapter(
component=self.__class__.__name__,
logger=self._logger,
)
self._log_header()
self._log.info("Building...")
if platform.system() != "Windows":
# Requires the logger to be initialized
# Windows does not support signal handling
# https://stackoverflow.com/questions/45987985/asyncio-loops-add-signal-handler-in-windows
self._setup_loop()
# Build platform
# ----------------------------------------------------------------------
self.portfolio = Portfolio(
clock=self._clock,
logger=self._logger,
)
self._data_engine = LiveDataEngine(
loop=self._loop,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
config={"qsize": 10000},
)
self.portfolio.register_cache(self._data_engine.cache)
self.analyzer = PerformanceAnalyzer()
if config_exec_db["type"] == "redis":
exec_db = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config={
"host": config_exec_db["host"],
"port": config_exec_db["port"],
},
)
else:
exec_db = BypassExecutionDatabase(
trader_id=self.trader_id,
logger=self._logger,
)
self._exec_engine = LiveExecutionEngine(
loop=self._loop,
database=exec_db,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
config={"qsize": 10000},
)
self._risk_engine = LiveRiskEngine(
loop=self._loop,
exec_engine=self._exec_engine,
portfolio=self.portfolio,
clock=self._clock,
logger=self._logger,
config=config_risk,
)
self._exec_engine.load_cache()
self._exec_engine.register_risk_engine(self._risk_engine)
self.trader = Trader(
trader_id=self.trader_id,
strategies=strategies,
portfolio=self.portfolio,
data_engine=self._data_engine,
exec_engine=self._exec_engine,
risk_engine=self._risk_engine,
clock=self._clock,
logger=self._logger,
)
if self._load_strategy_state:
self.trader.load()
self._builder = TradingNodeBuilder(
data_engine=self._data_engine,
exec_engine=self._exec_engine,
risk_engine=self._risk_engine,
clock=self._clock,
logger=self._logger,
log=self._log,
)
self._log.info("state=INITIALIZED.")
self.time_to_initialize = self._clock.delta(self.created_time)
self._log.info(
f"Initialized in {self.time_to_initialize.total_seconds():.3f}s.")
self._is_built = False
class RedisExecutionDatabaseTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.logger = Logger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.strategy = TradingStrategy(order_id_tag="001")
self.strategy.register_trader(self.trader_id, self.clock, self.logger)
config = {
"host": "localhost",
"port": 6379,
}
self.database = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=self.logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config=config,
)
self.test_redis = redis.Redis(host="localhost", port=6379, db=0)
def tearDown(self):
# Tests will start failing if redis is not flushed on tear down
self.test_redis.flushall() # Comment this line out to preserve data between tests
def test_add_account(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
# Act
self.database.add_account(account)
# Assert
self.assertEqual(account, self.database.load_account(account.id))
def test_add_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
# Act
self.database.add_order(order)
# Assert
self.assertEqual(order, self.database.load_order(order.client_order_id))
def test_add_position(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order)
position_id = PositionId("P-1")
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price("1.00000"),
)
position = Position(fill=fill)
# Act
self.database.add_position(position)
# Assert
self.assertEqual(position, self.database.load_position(position.id))
def test_update_account(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
self.database.add_account(account)
# Act
self.database.update_account(account)
# Assert
self.assertEqual(account, self.database.load_account(account.id))
def test_update_order_for_working_order(self):
# Arrange
order = self.strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
self.database.add_order(order)
order.apply(TestStubs.event_order_submitted(order))
self.database.update_order(order)
order.apply(TestStubs.event_order_accepted(order))
# Act
self.database.update_order(order)
# Assert
self.assertEqual(order, self.database.load_order(order.client_order_id))
def test_update_order_for_completed_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order)
order.apply(TestStubs.event_order_submitted(order))
self.database.update_order(order)
order.apply(TestStubs.event_order_accepted(order))
self.database.update_order(order)
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
last_px=Price("1.00001"),
)
order.apply(fill)
# Act
self.database.update_order(order)
# Assert
self.assertEqual(order, self.database.load_order(order.client_order_id))
def test_update_position_for_closed_position(self):
# Arrange
order1 = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId("P-1")
self.database.add_order(order1)
order1.apply(TestStubs.event_order_submitted(order1))
self.database.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.database.update_order(order1)
order1.apply(
TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price("1.00001"),
)
)
self.database.update_order(order1)
# Act
position = Position(fill=order1.last_event)
self.database.add_position(position)
order2 = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.SELL,
Quantity(100000),
)
self.database.add_order(order2)
order2.apply(TestStubs.event_order_submitted(order2))
self.database.update_order(order2)
order2.apply(TestStubs.event_order_accepted(order2))
self.database.update_order(order2)
filled = TestStubs.event_order_filled(
order2,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price("1.00001"),
)
order2.apply(filled)
self.database.update_order(order2)
position.apply(filled)
# Act
self.database.update_position(position)
# Assert
self.assertEqual(position, self.database.load_position(position.id))
def test_update_strategy(self):
# Arrange
strategy = MockStrategy(TestStubs.bartype_btcusdt_binance_100tick_last())
strategy.register_trader(self.trader_id, self.clock, self.logger)
# Act
self.database.update_strategy(strategy)
result = self.database.load_strategy(strategy.id)
# Assert
self.assertEqual({"UserState": b"1"}, result)
def test_load_account_when_no_account_in_database_returns_none(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
# Act
result = self.database.load_account(account.id)
# Assert
self.assertIsNone(result)
def test_load_account_when_account_in_database_returns_account(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
self.database.add_account(account)
# Act
result = self.database.load_account(account.id)
# Assert
self.assertEqual(account, result)
def test_load_order_when_no_order_in_database_returns_none(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
# Act
result = self.database.load_order(order.client_order_id)
# Assert
self.assertIsNone(result)
def test_load_order_when_market_order_in_database_returns_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order)
# Act
result = self.database.load_order(order.client_order_id)
# Assert
self.assertEqual(order, result)
def test_load_order_when_limit_order_in_database_returns_order(self):
# Arrange
order = self.strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
self.database.add_order(order)
# Act
result = self.database.load_order(order.client_order_id)
# Assert
self.assertEqual(order, result)
def test_load_order_when_stop_market_order_in_database_returns_order(self):
# Arrange
order = self.strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
self.database.add_order(order)
# Act
result = self.database.load_order(order.client_order_id)
# Assert
self.assertEqual(order, result)
def test_load_order_when_stop_limit_order_in_database_returns_order(self):
# Arrange
order = self.strategy.order_factory.stop_limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
price=Price("1.00000"),
trigger=Price("1.00010"),
)
self.database.add_order(order)
# Act
result = self.database.load_order(order.client_order_id)
# Assert
self.assertEqual(order, result)
self.assertEqual(order.price, result.price)
self.assertEqual(order.trigger, result.trigger)
def test_load_position_when_no_position_in_database_returns_none(self):
# Arrange
position_id = PositionId("P-1")
# Act
result = self.database.load_position(position_id)
# Assert
self.assertIsNone(result)
def test_load_order_when_position_in_database_returns_position(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order)
position_id = PositionId("P-1")
fill = TestStubs.event_order_filled(
order,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price("1.00000"),
)
position = Position(fill=fill)
self.database.add_position(position)
# Act
result = self.database.load_position(position_id)
# Assert
self.assertEqual(position, result)
def test_load_accounts_when_no_accounts_returns_empty_dict(self):
# Arrange
# Act
result = self.database.load_accounts()
# Assert
self.assertEqual({}, result)
def test_load_accounts_cache_when_one_account_in_database(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
self.database.add_account(account)
# Act
# Assert
self.assertEqual({account.id: account}, self.database.load_accounts())
def test_load_orders_cache_when_no_orders(self):
# Arrange
# Act
self.database.load_orders()
# Assert
self.assertEqual({}, self.database.load_orders())
def test_load_orders_cache_when_one_order_in_database(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order)
# Act
result = self.database.load_orders()
# Assert
self.assertEqual({order.client_order_id: order}, result)
def test_load_positions_cache_when_no_positions(self):
# Arrange
# Act
self.database.load_positions()
# Assert
self.assertEqual({}, self.database.load_positions())
def test_load_positions_cache_when_one_position_in_database(self):
# Arrange
order1 = self.strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
self.database.add_order(order1)
position_id = PositionId("P-1")
order1.apply(TestStubs.event_order_submitted(order1))
order1.apply(TestStubs.event_order_accepted(order1))
order1.apply(
TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=position_id,
last_px=Price("1.00001"),
)
)
position = Position(fill=order1.last_event)
self.database.add_position(position)
# Act
result = self.database.load_positions()
# Assert
self.assertEqual({position.id: position}, result)
def test_delete_strategy(self):
# Arrange
# Act
self.database.delete_strategy(self.strategy.id)
result = self.database.load_strategy(self.strategy.id)
# Assert
self.assertEqual({}, result)
def test_flush(self):
# Arrange
order1 = self.strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
)
self.database.add_order(order1)
position1_id = PositionId("P-1")
fill = TestStubs.event_order_filled(
order1,
instrument=AUDUSD_SIM,
position_id=position1_id,
last_px=Price("1.00000"),
)
position1 = Position(fill=fill)
self.database.update_order(order1)
self.database.add_position(position1)
order2 = self.strategy.order_factory.stop_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
self.database.add_order(order2)
order2.apply(TestStubs.event_order_submitted(order2))
order2.apply(TestStubs.event_order_accepted(order2))
self.database.update_order(order2)
# Act
self.database.flush()
# Assert
self.assertIsNone(self.database.load_order(order1.client_order_id))
self.assertIsNone(self.database.load_order(order2.client_order_id))
self.assertIsNone(self.database.load_position(position1.id))
class RedisExecutionDatabaseTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
clock = TestClock()
uuid_factory = TestUUIDFactory()
logger = TestLogger(clock)
self.trader_id = TraderId("TESTER", "000")
self.strategy = EmptyStrategy(order_id_tag="001")
self.strategy.register_trader(
TraderId("TESTER", "000"),
clock,
uuid_factory,
logger,
)
config = {
'host': 'localhost',
'port': 6379
}
self.database = RedisExecutionDatabase(
trader_id=self.trader_id,
logger=logger,
command_serializer=MsgPackCommandSerializer(),
event_serializer=MsgPackEventSerializer(),
config=config
)
self.test_redis = redis.Redis(host="localhost", port=6379, db=0)
def tearDown(self):
# Tests will start failing if redis is not flushed on tear down
self.test_redis.flushall() # Comment this line out to preserve data between tests
pass
def test_keys(self):
# Arrange
# Act
# Assert
self.assertEqual("Trader-TESTER-000", self.database.key_trader)
self.assertEqual("Trader-TESTER-000:Accounts:", self.database.key_accounts)
self.assertEqual("Trader-TESTER-000:Orders:", self.database.key_orders)
self.assertEqual("Trader-TESTER-000:Positions:", self.database.key_positions)
self.assertEqual("Trader-TESTER-000:Strategies:", self.database.key_strategies)
# TODO: AccountState not finalized (no serialization yet)
# def test_add_account(self):
# # Arrange
# event = TestStubs.account_event()
# account = Account(event)
#
# # Act
# self.database.add_account(account)
#
# # Assert
# self.assertEqual(account, self.database.load_account(account.id))
def test_add_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId.py_null()
# Act
self.database.add_order(order, position_id)
# Assert
self.assertEqual(order, self.database.load_order(order.cl_ord_id))
def test_add_position(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
order_filled = TestStubs.event_order_filled(order, position_id=position_id, fill_price=Price("1.00000"))
position = Position(order_filled)
# Act
self.database.add_position(position)
# Assert
self.assertEqual(position, self.database.load_position(position.id))
# TODO: Investigate why str is deserializing to a list
# def test_update_account(self):
# # Arrange
# event = TestStubs.account_event()
# account = Account(event)
# self.database.add_account(account)
#
# # Act
# self.database.update_account(account)
#
# # Assert
# self.assertEqual(account, self.database.load_account(account.id))
def test_update_order_for_working_order(self):
# Arrange
order = self.strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
order.apply(TestStubs.event_order_submitted(order))
self.database.update_order(order)
order.apply(TestStubs.event_order_accepted(order))
self.database.update_order(order)
# Act
order.apply(TestStubs.event_order_working(order))
self.database.update_order(order)
# Assert
self.assertEqual(order, self.database.load_order(order.cl_ord_id))
def test_update_order_for_completed_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
order.apply(TestStubs.event_order_submitted(order))
self.database.update_order(order)
order.apply(TestStubs.event_order_accepted(order))
self.database.update_order(order)
order.apply(TestStubs.event_order_filled(order, fill_price=Price("1.00001")))
# Act
self.database.update_order(order)
# Assert
self.assertEqual(order, self.database.load_order(order.cl_ord_id))
def test_update_position_for_closed_position(self):
# Arrange
order1 = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position_id = PositionId('P-1')
self.database.add_order(order1, position_id)
order1.apply(TestStubs.event_order_submitted(order1))
self.database.update_order(order1)
order1.apply(TestStubs.event_order_accepted(order1))
self.database.update_order(order1)
order1.apply(TestStubs.event_order_filled(order1, position_id=position_id, fill_price=Price("1.00001")))
self.database.update_order(order1)
# Act
position = Position(order1.last_event())
self.database.add_position(position)
order2 = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.SELL,
Quantity(100000))
self.database.add_order(order2, position_id)
order2.apply(TestStubs.event_order_submitted(order2))
self.database.update_order(order2)
order2.apply(TestStubs.event_order_accepted(order2))
self.database.update_order(order2)
filled = TestStubs.event_order_filled(order2, position_id=position_id, fill_price=Price("1.00001"))
order2.apply(filled)
self.database.update_order(order2)
position.apply(filled)
# Act
self.database.update_position(position)
# Assert
self.assertEqual(position, self.database.load_position(position.id))
def test_load_account_when_no_account_in_database_returns_none(self):
# Arrange
event = TestStubs.event_account_state()
account = Account(event)
# Act
result = self.database.load_account(account.id)
# Assert
self.assertIsNone(result)
# TODO: Investigate why str is deserializing to a list
# def test_load_account_when_account_in_database_returns_account(self):
# # Arrange
# event = TestStubs.account_event()
# account = Account(event)
# self.database.add_account(account)
#
# # Act
# result = self.database.load_account(account.id)
#
# # Assert
# self.assertEqual(account, result)
def test_load_order_when_no_order_in_database_returns_none(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
# Act
result = self.database.load_order(order.cl_ord_id)
# Assert
self.assertIsNone(result)
def test_load_order_when_order_in_database_returns_order(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
# Act
result = self.database.load_order(order.cl_ord_id)
# Assert
self.assertEqual(order, result)
def test_load_position_when_no_position_in_database_returns_none(self):
# Arrange
position_id = PositionId('P-1')
# Act
result = self.database.load_position(position_id)
# Assert
self.assertIsNone(result)
def test_load_order_when_position_in_database_returns_position(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
order_filled = TestStubs.event_order_filled(order, position_id=position_id, fill_price=Price("1.00000"))
position = Position(order_filled)
self.database.add_position(position)
# Act
result = self.database.load_position(position_id)
# Assert
self.assertEqual(position, result)
def test_load_accounts_when_no_accounts_returns_empty_dict(self):
# Arrange
# Act
result = self.database.load_accounts()
# Assert
self.assertEqual({}, result)
# TODO: Investigate why str is deserializing to a list
# def test_load_accounts_cache_when_one_account_in_database(self):
# # Arrange
# event = TestStubs.account_event()
# account = Account(event)
# self.database.add_account(account)
#
# # Act
#
# # Assert
# self.assertEqual(account, self.database.load_account(account.id))
def test_load_orders_cache_when_no_orders(self):
# Arrange
# Act
self.database.load_orders()
# Assert
self.assertEqual({}, self.database.load_orders())
def test_load_orders_cache_when_one_order_in_database(self):
# Arrange
order = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
)
position_id = PositionId('P-1')
self.database.add_order(order, position_id)
# Act
result = self.database.load_orders()
# Assert
self.assertEqual({order.cl_ord_id: order}, result)
def test_load_positions_cache_when_no_positions(self):
# Arrange
# Act
self.database.load_positions()
# Assert
self.assertEqual({}, self.database.load_positions())
def test_load_positions_cache_when_one_position_in_database(self):
# Arrange
order1 = self.strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"),
)
position_id = PositionId('P-1')
self.database.add_order(order1, position_id)
order1.apply(TestStubs.event_order_submitted(order1))
order1.apply(TestStubs.event_order_accepted(order1))
order1.apply(TestStubs.event_order_working(order1))
order1.apply(TestStubs.event_order_filled(order1, position_id=position_id, fill_price=Price("1.00001")))
position = Position(order1.last_event())
self.database.add_position(position)
# Act
result = self.database.load_positions()
# Assert
self.assertEqual({position.id: position}, result)
def test_can_delete_strategy(self):
# Arrange
# Act
self.database.delete_strategy(self.strategy.id)
result = self.database.load_strategy(self.strategy.id)
# Assert
self.assertEqual({}, result)
def test_can_flush(self):
# Arrange
order1 = self.strategy.order_factory.market(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000))
position1_id = PositionId('P-1')
self.database.add_order(order1, position1_id)
filled = TestStubs.event_order_filled(order1, position_id=position1_id, fill_price=Price("1.00000"))
position1 = Position(filled)
self.database.update_order(order1)
self.database.add_position(position1)
order2 = self.strategy.order_factory.stop(
AUDUSD_FXCM,
OrderSide.BUY,
Quantity(100000),
Price("1.00000"))
position2_id = PositionId('P-2')
self.database.add_order(order2, position2_id)
order2.apply(TestStubs.event_order_submitted(order2))
order2.apply(TestStubs.event_order_accepted(order2))
order2.apply(TestStubs.event_order_working(order2))
self.database.update_order(order2)
# Act
self.database.flush()
