def test_transactions_not_created_for_incompl_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert not broker.transactions
assert len(broker.orders) == 1
assert broker.orders[order.id].open
ib_order_id = order.broker_order_id
ib_contract = self._create_contract(str(asset.symbol))
action, qty, order_type, limit_price, stop_price = \
'SELL', 4, 'STP LMT', 4.3, 2
ib_order = self._create_order(action, qty, order_type, limit_price,
stop_price)
ib_state = self._create_order_state('PreSubmitted')
broker._tws.openOrder(ib_order_id, ib_contract, ib_order, ib_state)
broker._tws.orderStatus(ib_order_id,
status='Cancelled',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=32,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
broker._tws.orderStatus(ib_order_id,
status='Inactive',
filled=0,
remaining=4,
avg_fill_price=0.0,
perm_id=4,
parent_id=4,
last_fill_price=0.0,
client_id=1111,
why_held='')
assert not broker.transactions
assert len(broker.orders) == 1
assert not broker.orders[order.id].open
def test_transactions_created_for_complete_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
broker._tws.orderStatus(order.broker_order_id,
'Filled',
filled=int(fabs(amount)),
remaining=0,
avg_fill_price=111,
perm_id=0,
parent_id=1,
last_fill_price=112,
client_id=1111,
why_held='')
contract = self._create_contract(str(asset.symbol))
(shares, cum_qty, price, avg_price, exec_time, exec_id) = \
(int(fabs(amount)), int(fabs(amount)), 12.3, 12.31,
pd.to_datetime('now', utc=True), order_count)
exec_detail = self._create_exec_detail(order.broker_order_id,
shares, cum_qty, price,
avg_price, exec_time,
exec_id)
broker._tws.execDetails(0, contract, exec_detail)
order_count += 1
assert len(broker.transactions) == order_count
transactions = [
tx for tx in broker.transactions.values()
if tx.order_id == order.id
]
assert len(transactions) == 1
assert broker.transactions[exec_id].asset == asset
assert broker.transactions[exec_id].amount == order.amount
assert (broker.transactions[exec_id].dt -
pd.to_datetime('now', utc=True) < pd.Timedelta('10s'))
assert broker.transactions[exec_id].price == price
assert broker.orders[order.id].commission == 0
def test_orders_updated_from_order_status(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
# orderStatus calls only work if a respective order has been created
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
ib_order_id = order.broker_order_id
status = 'Filled'
filled = 14
remaining = 9
avg_fill_price = 12.4
perm_id = 99
parent_id = 88
last_fill_price = 12.3
client_id = 1111
why_held = ''
broker._tws.orderStatus(ib_order_id, status, filled, remaining,
avg_fill_price, perm_id, parent_id,
last_fill_price, client_id, why_held)
assert len(broker.orders) == 1
zp_order = list(broker.orders.values())[-1]
assert zp_order.broker_order_id == ib_order_id
assert zp_order.status == ORDER_STATUS.FILLED
assert not zp_order.open
assert zp_order.asset == asset
assert zp_order.amount == amount
assert zp_order.limit == limit_price
assert zp_order.stop == stop_price
assert (zp_order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_new_order_appears_in_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
amount = -4
limit_price = 43.1
stop_price = 6
style = StopLimitOrder(limit_price=limit_price, stop_price=stop_price)
order = broker.order(asset, amount, style)
assert len(broker.orders) == 1
assert broker.orders[order.id] == order
assert order.open
assert order.asset == asset
assert order.amount == amount
assert order.limit == limit_price
assert order.stop == stop_price
assert (order.dt - pd.to_datetime('now', utc=True) <
pd.Timedelta('10s'))
def test_multiple_orders(self, symbol_lookup):
with patch('sharadar.live.brokers.ib_broker.TWSConnection.start'):
broker = IBBroker("localhost:9999:1111", account_id='TEST-123')
broker._tws.nextValidId(0)
asset = self.asset_finder.retrieve_asset(1)
symbol_lookup.return_value = asset
order_count = 0
for amount, order_style in [(-112,
StopLimitOrder(limit_price=9,
stop_price=1)),
(43, LimitOrder(limit_price=10)),
(-99, StopOrder(stop_price=8)),
(-32, MarketOrder())]:
order = broker.order(asset, amount, order_style)
order_count += 1
assert order_count == len(broker.orders)
assert broker.orders[order.id] == order
is_buy = amount > 0
assert order.stop == order_style.get_stop_price(is_buy)
assert order.limit == order_style.get_limit_price(is_buy)
