def test_init():
side = TradeSide.BUY
trade_type = TradeType.MARKET
pair = USD/BTC
# Create order specification without criteria
order_spec = OrderSpec(
side=side,
trade_type=trade_type,
pair=pair
)
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.pair == pair
assert not order_spec.criteria
# Create order specification with criteria
order_spec = OrderSpec(
side=side,
trade_type=trade_type,
pair=pair,
criteria=lambda order, exchange: True
)
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.pair == pair
assert order_spec.criteria
def test_init(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
side = TradeSide.BUY
trade_type = TradeType.MARKET
# Create order specification without criteria
order_spec = OrderSpec(side=side,
trade_type=trade_type,
exchange_pair=ExchangePair(exchange, USD / BTC))
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.exchange_pair == ExchangePair(exchange, USD / BTC)
assert not order_spec.criteria
# Create order specification with criteria
order_spec = OrderSpec(side=side,
trade_type=trade_type,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=lambda order, exchange: True)
assert order_spec.id
assert order_spec.side == side
assert order_spec.type == trade_type
assert order_spec.exchange_pair == ExchangePair(exchange, USD / BTC)
assert order_spec.criteria
def risk_managed_order(step: int,
side: 'TradeSide',
trade_type: 'TradeType',
pair: 'TradingPair',
price: float,
size: float,
down_percent: float,
up_percent: float,
portfolio: 'Portfolio',
ttl_in_seconds: int = None,
ttl_in_steps: int = None):
instrument = pair.base if side == TradeSide.BUY else pair.quote
order = Order(step=step,
side=side,
trade_type=trade_type,
pair=pair,
price=price,
ttl_in_seconds=ttl_in_seconds,
ttl_in_steps=ttl_in_steps,
quantity=(size * instrument),
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order += risk_management
return order
def risk_managed_order(step: int,
side: 'TradeSide',
trade_type: 'TradeType',
pair: 'TradingPair',
price: float,
size: float,
down_percent: float,
up_percent: float,
portfolio: 'Portfolio',
start: int = None,
end: int = None):
instrument = side.instrument(pair)
order = Order(step=step,
side=side,
trade_type=trade_type,
pair=pair,
price=price,
start=start,
end=end,
quantity=(size * instrument),
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order += risk_management
return order
def risk_managed_order(side: 'TradeSide',
trade_type: 'TradeType',
pair: 'TradingPair',
price: float,
size: float,
down_percent: float,
up_percent: float,
portfolio: 'Portfolio'):
order = Order(side=side,
trade_type=trade_type,
pair=pair,
price=price,
quantity=(size * pair.base),
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=pair,
criteria=risk_criteria)
order += risk_management
return order
def risk_managed_order(step: int,
side: 'TradeSide',
trade_type: 'TradeType',
exchange_pair: 'ExchangePair',
price: float,
quantity: 'Quantity',
down_percent: float,
up_percent: float,
portfolio: 'Portfolio',
start: int = None,
end: int = None):
order = Order(step=step,
side=side,
trade_type=trade_type,
exchange_pair=exchange_pair,
price=price,
start=start,
end=end,
quantity=quantity,
portfolio=portfolio)
risk_criteria = Stop("down", down_percent) ^ Stop("up", up_percent)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=exchange_pair,
criteria=risk_criteria)
order += risk_management
return order
def test_to_dict(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC))
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"exchange_pair": order_spec.exchange_pair,
"criteria": order_spec.criteria
}
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=lambda order, exchange: True)
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"exchange_pair": order_spec.exchange_pair,
"criteria": order_spec.criteria
}
def test_to_dict():
order_spec = OrderSpec(
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC
)
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"pair": order_spec.pair,
"criteria": order_spec.criteria
}
order_spec = OrderSpec(
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=lambda order, exchange: True
)
d = order_spec.to_dict()
assert d == {
"id": order_spec.id,
"type": order_spec.type,
"pair": order_spec.pair,
"criteria": order_spec.criteria
}
def test_str():
order_spec = OrderSpec(
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC
)
pattern = re.compile("<[A-Z][a-zA-Z]*:\\s(\\w+=.*,\\s)*(\\w+=.*)>")
string = str(order_spec)
assert string
assert string == pattern.fullmatch(string).string
def test_create_from_sell_order(mock_order_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 2 * BTC)]
portfolio = Portfolio(USD, wallets)
order = mock_order_class.return_value
order.portfolio = portfolio
order.exchange_pair = ExchangePair(exchange, USD / BTC)
order.path_id = "fake_path_id"
order.price = 7000.00
wallet_usd = portfolio.get_wallet(exchange.id, USD)
wallet_usd.lock(quantity=1000 * USD, order=order, reason="test")
assert float(wallet_usd.balance.size) == 9000
assert float(wallet_usd.locked[order.path_id].size) == 1000
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC))
next_order = order_spec.create_order(order)
assert next_order
assert next_order.side == TradeSide.BUY
assert next_order.type == TradeType.MARKET
assert next_order.exchange_pair == ExchangePair(exchange, USD / BTC)
assert next_order.path_id == order.path_id
assert next_order.quantity.path_id == order.path_id
assert next_order.quantity.instrument == USD
def test_create_from_buy_order(mock_order_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_id"
wallets = [Wallet(exchange, 10000.00*USD), Wallet(exchange, 2*BTC)]
portfolio = Portfolio(USD, wallets)
order = mock_order_class.return_value
order.portfolio = portfolio
order.path_id = "fake_path_id"
order.price = 7000.00
wallet_btc = portfolio.get_wallet(exchange.id, BTC)
wallet_btc -= 0.4*BTC
wallet_btc += Quantity(BTC, 0.4, path_id=order.path_id)
assert wallet_btc.balance == 1.6 * BTC
assert wallet_btc.locked[order.path_id].size == 0.4 * BTC
order_spec = OrderSpec(
side=TradeSide.SELL,
trade_type=TradeType.MARKET,
pair=USD/BTC
)
next_order = order_spec.create_order(order, exchange)
assert next_order
assert next_order.side == TradeSide.SELL
assert next_order.type == TradeType.MARKET
assert next_order.pair == USD/BTC
assert next_order.path_id == order.path_id
assert next_order.quantity.path_id == order.path_id
assert next_order.quantity.instrument == BTC
def test_create_from_sell_order(mock_order_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_id"
wallets = [Wallet(exchange, 10000.00*USD), Wallet(exchange, 2*BTC)]
portfolio = Portfolio(USD, wallets)
order = mock_order_class.return_value
order.portfolio = portfolio
order.path_id = "fake_path_id"
order.price = 7000.00
wallet_usd = portfolio.get_wallet(exchange.id, USD)
wallet_usd -= 1000*USD
wallet_usd += Quantity(USD, 1000, path_id=order.path_id)
assert wallet_usd.balance == 9000 * USD
assert wallet_usd.locked[order.path_id].size == 1000 * USD
order_spec = OrderSpec(
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD/BTC
)
next_order = order_spec.create_order(order, exchange)
assert next_order
assert next_order.side == TradeSide.BUY
assert next_order.type == TradeType.MARKET
assert next_order.pair == USD/BTC
assert next_order.path_id == order.path_id
assert next_order.quantity.path_id == order.path_id
assert next_order.quantity.instrument == USD
def test_str(mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
order_spec = OrderSpec(side=TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC))
pattern = re.compile("<[A-Z][a-zA-Z]*:\\s(\\w+=.*,\\s)*(\\w+=.*)>")
string = str(order_spec)
assert string
assert string == pattern.fullmatch(string).string
def test_complete_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options = ExchangeOptions()
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.clock = mock.Mock()
exchange.clock.step = 0
exchange.quote_price = mock.Mock(return_value=Decimal(7000.00))
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=risk_criteria)
order += risk_management
order.execute()
# Execute fake trade
price = Decimal(7010.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.size = Decimal(base_size)
trade.quantity = base_size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
# Fill fake trade
order.fill(trade)
assert order.path_id in portfolio.get_wallet(exchange.id, USD).locked
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete()
assert order.status == OrderStatus.FILLED
assert next_order
assert next_order.path_id == order.path_id
assert next_order.size
assert next_order.status == OrderStatus.PENDING
assert next_order.side == TradeSide.SELL
assert next_order.exchange_pair == ExchangePair(exchange, USD / BTC)
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.options.max_trade_size = 1e6
exchange.id = "fake_exchange_id"
exchange.name = "coinbase"
exchange.quote_price = lambda pair: Decimal(7000.00)
broker = Broker()
broker.exchanges = [exchange]
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
exchange_pair=ExchangePair(exchange, USD / BTC),
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
quantity=5200.00 * USD,
portfolio=portfolio,
price=Decimal(7000.00))
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
exchange_pair=ExchangePair(exchange, USD / BTC),
criteria=risk_criteria)
order += risk_management
order.attach(broker)
order.execute()
broker._executed[order.id] = order
# Execute fake trade
price = Decimal(7000.00)
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.order_id = order.id
trade.size = base_size
trade.quantity = base_size * USD
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet.withdraw(quantity=Quantity(USD,
size=base_size,
path_id=order.path_id),
reason="test")
quote_wallet.deposit(quantity=Quantity(BTC,
size=quote_size,
path_id=order.path_id),
reason="test")
assert trade.order_id in broker.executed.keys()
assert trade not in broker.trades
assert broker.unexecuted == []
order.fill(trade)
assert order.remaining == 0
assert trade in broker.trades[order.id]
assert broker.unexecuted != []
def test_complete_complex_order(mock_trade_class,
mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=risk_criteria)
order += risk_management
order.execute(exchange)
# Execute fake trade
price = 7010.00
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.size = base_size
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id)
quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id)
# Fill fake trade
order.fill(exchange, trade)
assert order.path_id in portfolio.get_wallet(exchange.id, USD).locked
assert order.status == OrderStatus.PARTIALLY_FILLED
next_order = order.complete(exchange)
assert order.status == OrderStatus.FILLED
assert next_order
assert next_order.path_id == order.path_id
assert next_order.size
assert next_order.status == OrderStatus.PENDING
assert next_order.side == TradeSide.SELL
assert next_order.pair == USD/BTC
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class):
exchange = mock_exchange_class.return_value
exchange.id = "fake_exchange_id"
broker = Broker(exchange)
wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)]
portfolio = Portfolio(USD, wallets)
side = TradeSide.BUY
order = Order(step=0,
side=TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
quantity=5200.00 * USD,
portfolio=portfolio,
price=7000.00)
risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02)
risk_management = OrderSpec(
side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY,
trade_type=TradeType.MARKET,
pair=USD / BTC,
criteria=risk_criteria)
order += risk_management
order.attach(broker)
order.execute(exchange)
broker._executed[order.id] = order
# Execute fake trade
price = 7000.00
scale = order.price / price
commission = 3.00 * USD
base_size = scale * order.size - commission.size
trade = mock_trade_class.return_value
trade.order_id = order.id
trade.size = base_size
trade.price = price
trade.commission = commission
base_wallet = portfolio.get_wallet(exchange.id, USD)
quote_wallet = portfolio.get_wallet(exchange.id, BTC)
base_size = trade.size + trade.commission.size
quote_size = (order.price / trade.price) * (trade.size / trade.price)
base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id)
quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id)
assert trade.order_id in broker.executed.keys()
assert trade not in broker.trades
assert broker.unexecuted == []
order.fill(exchange, trade)
assert order.remaining_size == 0
assert trade in broker.trades[order.id]
assert broker.unexecuted != []