def test_submit_bracket_order_command_to_from_dict_and_str_repr(self):
# Arrange
uuid = self.uuid_factory.generate()
bracket = self.order_factory.bracket_market(
instrument_id=AUDUSD_SIM.id,
order_side=OrderSide.BUY,
quantity=Quantity.from_int(100000),
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00100"),
)
command = SubmitOrderList(
trader_id=TraderId("TRADER-001"),
strategy_id=StrategyId("S-001"),
order_list=bracket,
command_id=uuid,
ts_init=self.clock.timestamp_ns(),
)
# Act, Assert
assert SubmitOrderList.from_dict(
SubmitOrderList.to_dict(command)) == command
assert (
str(command) ==
"SubmitOrderList(instrument_id=AUD/USD.SIM, order_list=OrderList(id=1, instrument_id=AUD/USD.SIM, orders=[MarketOrder(BUY 100_000 AUD/USD.SIM MARKET GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-1, venue_order_id=None, tags=ENTRY), StopMarketOrder(SELL 100_000 AUD/USD.SIM STOP_MARKET @ 1.00000 GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-2, venue_order_id=None, tags=STOP_LOSS), LimitOrder(SELL 100_000 AUD/USD.SIM LIMIT @ 1.00100 GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-3, venue_order_id=None, tags=TAKE_PROFIT)]))" # noqa
)
assert (
repr(command) ==
f"SubmitOrderList(trader_id=TRADER-001, strategy_id=S-001, instrument_id=AUD/USD.SIM, order_list=OrderList(id=1, instrument_id=AUD/USD.SIM, orders=[MarketOrder(BUY 100_000 AUD/USD.SIM MARKET GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-1, venue_order_id=None, tags=ENTRY), StopMarketOrder(SELL 100_000 AUD/USD.SIM STOP_MARKET @ 1.00000 GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-2, venue_order_id=None, tags=STOP_LOSS), LimitOrder(SELL 100_000 AUD/USD.SIM LIMIT @ 1.00100 GTC, status=INITIALIZED, client_order_id=O-19700101-000000-000-001-3, venue_order_id=None, tags=TAKE_PROFIT)]), command_id={uuid}, ts_init=0)" # noqa
)
def test_serialize_and_deserialize_submit_order_list_commands(self, ):
# Arrange
bracket = self.order_factory.bracket_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
stop_loss=Price(0.99900, precision=5),
take_profit=Price(1.00010, precision=5),
)
command = SubmitOrderList(
trader_id=self.trader_id,
strategy_id=StrategyId("SCALPER-001"),
order_list=bracket,
command_id=UUID4(),
ts_init=0,
)
# Act
serialized = self.serializer.serialize(command)
deserialized = self.serializer.deserialize(serialized)
# Assert
assert deserialized == command
assert deserialized.list == bracket
print(b64encode(serialized))
print(command)
def test_submit_order_list_when_trading_halted_then_denies_orders(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,
)
entry = strategy.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
)
stop_loss = strategy.order_factory.stop_market( # <-- duplicate
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.00000"),
)
take_profit = strategy.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
Price.from_str("1.10000"),
)
bracket = OrderList(
list_id=OrderListId("1"),
orders=[entry, stop_loss, take_profit],
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
# Halt trading
self.risk_engine.set_trading_state(TradingState.HALTED)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.risk_engine.command_count == 1 # <-- command never reaches engine
def test_submit_bracket_order_with_duplicate_entry_id_then_denies(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,
)
bracket = strategy.order_factory.bracket_market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity.from_int(100000),
stop_loss=Price.from_str("1.00000"),
take_profit=Price.from_str("1.00010"),
)
submit_bracket = SubmitOrderList(
self.trader_id,
strategy.id,
bracket,
self.uuid_factory.generate(),
self.clock.timestamp_ns(),
)
self.risk_engine.execute(submit_bracket)
# Act
self.risk_engine.execute(submit_bracket)
# Assert
assert self.exec_engine.command_count == 1 # <-- command never reaches engine