# you can disable managing position or orders by set to False needed properties
# supervisor.manage_position = False
# supervisor.manage_orders = False
# create Order objects
stop_loss = Order(order_type='Stop', stop_px=2000, qty=10, side='Sell')
tp1 = Order(order_type='Limit', price=15000, qty=6, side='Sell', passive=True)
tp2 = Order(order_type='Limit', price=20000, qty=4, side='Sell', hidden=True)
trailing_stop = Order(order_type='Stop', stop_px=3000, qty=10, side='Sell')
# attach some callbacks to stop-loss, note that events starts with "_"
# DO NOT USE stop_cycle() method in callbacks!!! It causes deadlock
stop_loss._on_reject = lambda: print('Rejected')
stop_loss._on_fill = lambda: print('We lost position(')
input('Enter to run cycle')
supervisor.run_cycle()
input('Enter to add orders to needed')
supervisor.add_order(stop_loss)
supervisor.add_order(tp1)
supervisor.add_order(tp2)
supervisor.add_trailing_order(trailing_stop, offset=10) # order will trail on 10% distance from current price
input('Enter to enter position')
supervisor.stop_cycle()
supervisor.enter_by_market_order(10)
supervisor.run_cycle()
input('Enter to exit cycle')
supervisor.exit_cycle()
class SupervisorEntryTests(unittest.TestCase):
def setUp(self) -> None:
self.exchange_mock = Mock()
self.exchange_mock.get_open_orders_ws.return_value = []
self.exchange_mock.get_position_size_ws.return_value = 0
self.supervisor = Supervisor(interface=self.exchange_mock)
def tearDown(self) -> None:
self.supervisor.exit_cycle()
def test_market_entry(self):
self.supervisor.enter_by_market_order(228)
self.exchange_mock.place_market_order.assert_called_once_with(qty=228)
def test_fb_entry_last_price(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.enter_fb_method(qty=228,
price_type='last',
max_retry=5,
timeout=3)
order = Order(order_type='Limit',
qty=228,
price=1000,
side='Buy',
passive=True)
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_entry_last_price_timedout(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'New'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.enter_fb_method(qty=228,
price_type='last',
max_retry=3,
timeout=1)
order = Order(order_type='Limit',
qty=228,
price=1000,
side='Buy',
passive=True)
expected_calls = [call(order)] * 3
self.exchange_mock.place_order.assert_has_calls(expected_calls)
self.exchange_mock.place_market_order.assert_called_once_with(qty=228)
def test_fb_entry_first_orderbook_price(self):
self.exchange_mock.get_first_orderbook_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.enter_fb_method(qty=228,
price_type='first_ob',
max_retry=5,
timeout=1)
order = Order(order_type='Limit',
qty=228,
price=1000,
side='Buy',
passive=True)
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_entry_third_orderbook_price(self):
self.exchange_mock.get_third_orderbook_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.enter_fb_method(qty=228,
price_type='third_ob',
max_retry=5,
timeout=1)
order = Order(order_type='Limit',
qty=228,
price=1000,
side='Buy',
passive=True)
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_entry_with_deviation(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.enter_fb_method(qty=228,
price_type='deviant',
max_retry=5,
timeout=1,
deviation=-10)
order = Order(order_type='Limit',
qty=228,
price=900,
side='Buy',
passive=True)
self.exchange_mock.place_order.assert_called_once_with(order)
class SupervisorEntryTests(unittest.TestCase):
def setUp(self) -> None:
self.exchange_mock = Mock()
self.exchange_mock.get_open_orders_ws.return_value = []
self.exchange_mock.get_position_size_ws.return_value = 0
self.supervisor = Supervisor(interface=self.exchange_mock)
def tearDown(self) -> None:
self.supervisor.exit_cycle()
def test_market_position_enter_while_running_cycle(self):
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_by_market_order(qty=20)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
# assert that Supervisor change position only once
self.exchange_mock.place_market_order.assert_called_once_with(qty=20)
def test_fb_last_position_enter_while_running_cycle(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_fb_method(qty=20,
price_type='last',
timeout=5,
max_retry=3)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
order = Order(order_type='Limit',
qty=20,
price=1000,
side='Buy',
passive=True)
# assert that Supervisor change position only once with limit order
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_first_ob_position_enter_while_running_cycle(self):
self.exchange_mock.get_first_orderbook_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_fb_method(qty=20,
price_type='first_ob',
timeout=5,
max_retry=3)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
order = Order(order_type='Limit',
qty=20,
price=1000,
side='Buy',
passive=True)
# assert that Supervisor change position only once with limit order
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_third_ob_position_enter_while_running_cycle(self):
self.exchange_mock.get_third_orderbook_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_fb_method(qty=20,
price_type='third_ob',
timeout=5,
max_retry=3)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
order = Order(order_type='Limit',
qty=20,
price=1000,
side='Buy',
passive=True)
# assert that Supervisor change position only once with limit order
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_positive_deviant_position_enter_while_running_cycle(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_fb_method(qty=20,
price_type='deviant',
timeout=5,
max_retry=3,
deviation=15)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
order = Order(order_type='Limit',
qty=20,
price=1150,
side='Buy',
passive=True)
# assert that Supervisor change position only once with limit order
self.exchange_mock.place_order.assert_called_once_with(order)
def test_fb_negative_deviant_position_enter_while_running_cycle(self):
self.exchange_mock.get_last_price_ws.return_value = 1000
self.exchange_mock.get_order_status_ws.return_value = 'Filled'
self.exchange_mock.conn.get_tick_size.return_value = 0.5
self.supervisor.run_cycle()
self.supervisor.stop_cycle()
self.supervisor.enter_fb_method(qty=20,
price_type='deviant',
timeout=5,
max_retry=3,
deviation=-15)
self.exchange_mock.get_position_size_ws.return_value = 20
self.supervisor.run_cycle()
sleep(1)
order = Order(order_type='Limit',
qty=20,
price=850,
side='Buy',
passive=True)
# assert that Supervisor change position only once with limit order
self.exchange_mock.place_order.assert_called_once_with(order)
