def test_five(self):
instruments = MarketFinder.findEmptyInstruments(**self.testDefaults.instruments[0])
instrument = instruments[0]
# ***********************************************************
logger.step("Create a sell order")
# ***********************************************************
# while True:
# for tif in self.tifs:
tif = 2
qty = 0.0005
order1 = Order(instrument=instrument, acct=self.traderMM.accounts[0], time_in_force=tif, side=2)
order1.order_qty = float(qty)
order1.price = 82
self.traderA.sendOrder(order1)
# ***********************************************************
logger.step("Create a buy order to cross the sell")
# ***********************************************************
qty = 0.0003
order2 = Order(instrument=instrument, acct=self.traderMM.accounts[0], time_in_force=tif, side=1)
order2.order_qty = float(qty)
order2.price = 81
self.traderA.sendOrder(order2)
# ***********************************************************
logger.step("Delete the remaining partially-filled sell order")
# ***********************************************************
self.traderA.deleteOrder(order1)
time.sleep(0.85)
def test_order_add_delete(self):
instruments = MarketFinder.findEmptyInstruments(**self.testDefaults.instruments[0])
instrument = instruments[0]
q = 1
while q in range(0, 2):
# ***********************************************************
logger.step("Submit one order one each side of the market")
# ***********************************************************
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0])
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D")
order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], side=2)
order2.order_qty = self.ord_qty
order2.price = instrument.getPrice("D+1")
self.traderA.sendOrder(order1)
self.traderA.sendOrder(order2)
# ***********************************************************
logger.step("Delete the orders")
# ***********************************************************
self.traderA.deleteOrder(order1)
self.traderA.deleteOrder(order2)
self.traderA.removeOrderFromDeletedRejectedList(order1)
self.traderA.removeOrderFromDeletedRejectedList(order2)
q += 1
time.sleep(0.1)
if q == 2:
time.sleep(5000)
def test_two(self):
prod_ids = ["LUA", "LUZ", "LUC", "LUP", "LUN", "LUS"]
for prod_id in prod_ids:
instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': prod_id, 'producttype': 'FUT',
'market': self.market})[0]
# ***********************************************************
logger.step("Submit a buy order")
# ***********************************************************
# while True:
for tif in self.tifs:
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif)
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D-1")
order2 = copy.copy(order1)
randqty = random.randint(0, 1)
pricey = instrument.getPrice("D+1")
order2.price = pricey
order2.order_qty = self.fill_qty[randqty]
order2.side = 1
if tif in [7, 17]:
offset = 0
while offset in range(0, 2):
order1.expire_date = self.dateWithOffset(offset)
order2.expire_date = self.dateWithOffset(offset)
self.traderA.sendOrderWithoutWait(order1)
offset += 1
self.traderA.sendOrderWithoutWait(order2)
else:
self.traderA.sendOrderWithoutWait(order1)
self.traderA.sendOrderWithoutWait(order2)
def test_limit_change_to_market(self):
# instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'NK225M', 'producttype': 'FUT',
# 'market': 'OSE',
# 'instrument_id': '3544559326216540277', 'price': '22530'})[0]
# instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'GASO', 'producttype': 'FUT',
# 'market': 'TOCOM',
# 'instrument_id': '17895660851143781838', 'price': '60000'})[0]
# instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'CN', 'producttype': 'FUT',
# 'market': 'SGX',
# 'instrument_id': '16041635781975133655', 'price': '12000'})[0]
# instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'CUS', 'producttype': 'FUT',
# 'market': 'HKEX',
# 'instrument_id': '368358492244337758', 'price': '6.5'})[0]
instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'USDC/USDT', 'producttype': 'CUR',
'market': 'CoinFLEX',
'instrument_id': '18250187121216406085', 'price': '10'})[0]
# ***********************************************************
# logger.step("Trigger Circuit Breaker")
# # ***********************************************************
# tif = 1
# order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], price=80000, time_in_force=tif)
# order3 = Order(instrument=instrument, acct=self.traderA.accounts[0], price=80000, time_in_force=tif, side=2, order_qty=9)
# self.traderA.sendOrder(order2)
# self.traderA.sendOrder(order3)
# ***********************************************************
logger.step("Submit a buy limit ioc order")
# ***********************************************************
# while True:
tif = 2
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif)
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D-2")
limit_ioc = self.traderA.sendOrder(order1)
# ***********************************************************
logger.step("Change the buy limit order to a market order")
# ***********************************************************
order1.ord_type = 1
# order1.price = None
self.traderA.changeOrder(order1)
def test_create_lots_of_orders(self):
instruments = MarketFinder.findEmptyInstruments(**self.testDefaults.instruments[0])
instrument = instruments[0]
# ***********************************************************
logger.step("Submit a buy order")
# ***********************************************************
q = 1
while q in range(0, 400):
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0])
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D")
self.traderA.sendOrderWithoutWait(order1)
q += 1
time.sleep(0.15)
def test_create_orders_at_all_prices(self):
instruments = MarketFinder.findEmptyInstruments(**self.testDefaults.instruments[0])
instrument = instruments[0]
aaa = 1
while aaa <= 30:
# ***********************************************************
logger.step("Submit a buy order")
# ***********************************************************
target_number_of_orders = 100 / instrument.ticksize
order_count = 1
order_price = instrument.getPrice("D")
while order_count in range(0, int(target_number_of_orders) + 1):
order_price = instrument.tickDown(order_price, 1)
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0])
order1.order_qty = self.ord_qty
order1.price = order_price
self.traderA.sendOrder(order1)
order_count += 1
aaa += 1
def test_four(self):
# list_of_instrument_ids = ["6144993593498678090", "6268349978426710672"]
#
# for instrument_id in list_of_instrument_ids:
instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'NK225', 'producttype': 'FUT',
'market': 'OSE',
'instrument_id': '16464418280204365135', 'price': '19600'})[0]
# ***********************************************************
logger.step("Submit a buy order")
# ***********************************************************
# while True:
tif = 1
parties = [{"party_id": "0", "party_role": 90}, {"party_id": "CRZ", "party_role": 6}, {"party_id": "MAU", "party_role": 88}]
for q in range(0, 1):
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif)
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D")
order1.updateParties(parties)
self.traderA.sendOrder(order1)
q += 1
def test_setup_pnl_orders(self):
for instr in self.instrs:
product = self.instrs[instr][0]
instrument_id = self.instrs[instr][1]
price = self.instrs[instr][2]
print "product, instrument_id, price =", product, instrument_id, price
instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': product, 'producttype': 'FUT',
'market': 'HKEX',
'instrument_id': instrument_id, 'price': price})[0]
# ***********************************************************
logger.step("Submit a {0} buy order".format(instr))
# ***********************************************************
for tif in self.tifs:
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif)
order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif, side=2)
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D")
order2.order_qty = self.ord_qty
order2.price = instrument.getPrice("D+1")
if tif in [7, 17]:
offset = 0
while offset in range(0, 2):
order1.expire_date = self.dateWithOffset(offset)
self.traderA.sendOrder(order1)
order2.expire_date = self.dateWithOffset(offset)
self.traderA.sendOrder(order2)
offset += 1
else:
self.traderA.sendOrder(order1)
self.traderA.sendOrder(order2)
def test_three(self):
list_of_instrument_ids = ["7284629404662656959", "6735905620185754973"]
for instrument_id in list_of_instrument_ids:
instrument = MarketFinder.findEmptyInstruments(**{'count': '1', 'product': 'NK', 'producttype': 'MLEG',
'market': 'SGX',
'instrument_id': instrument_id, 'price': '10'})[0]
# ***********************************************************
logger.step("Submit a buy order")
# ***********************************************************
# while True:
for tif in self.tifs:
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tif)
order1.order_qty = self.ord_qty
order1.price = instrument.getPrice("D-1")
order2 = copy.copy(order1)
randqty = random.randint(0, 1)
pricey = instrument.getPrice("D+1")
order2.price = pricey
order2.order_qty = self.fill_qty[randqty]
order2.side = 1
if tif in [7, 17]:
offset = 0
while offset in range(0, 2):
order1.expire_date = self.dateWithOffset(offset)
order2.expire_date = self.dateWithOffset(offset)
self.traderA.sendOrderWithoutWait(order1)
offset += 1
self.traderA.sendOrderWithoutWait(order2)
else:
self.traderA.sendOrderWithoutWait(order1)
self.traderA.sendOrderWithoutWait(order2)
def test_instrument_states(self):
testtimes ={"07:00:0": "ONLINE",
"08:00:0": "M_PRE_OPEN_NO_J-NET",
"08:20:0": "M_PRE_OPEN",
"08:44:0": "M_PRE_OPEN_NCP",
"08:45:0": "M_ZARABA",
"08:53:0": "TEST",
"09:00:0": "M_ZARABA",
"11:00:0": "A_ZARABA_E",
"11:02:0": "A_ZARABA_E",
"11:02:3": "A_ZARABA_E",
"11:07:0": "A_ZARABA_E",
"11:10:0": "A_ZARABA_E",
"11:30:0": "A_ZARABA_E",
"11:35:0": "A_ZARABA_E",
"11:35:3": "A_ZARABA_E",
"11:40:0": "A_ZARABA_E",
"12:05:0": "A_ZARABA_E",
"12:30:0": "A_ZARABA_E",
"15:00:0": "A_ZARABA_E",
"15:02:0": "A_ZARABA_E",
"15:02:3": "A_ZARABA_E",
"15:07:0": "A_ZARABA_E",
"15:07:3": "A_ZARABA_E",
"15:10:0": "A_PRE_CLOSE",
"15:12:3": "A_PRE_CLOSE",
"15:15:0": "A_AUCTION_CLOSING",
"15:15:3": "A_AUCTION_CLOSING2",
"15:18:0": "A_AUCTION_CLOSING2",
"15:20:0": "A_AUCTION_END",
"15:20:3": "A_CALC_SP",
"15:23:0": "A_CALC_SP",
"15:25:0": "A_COLLECT_TRADE",
"15:30:0": "A_COLLECT_TRADE",
"15:38:0": "A_CALC_SP",
"15:41:0": "A_COLLECT_TRADE",
"16:00:0": "J-NET_END",
"16:03:0": "DAY_END",
"16:13:0": "Order_Remove",
"16:15:0": "N_PRE_OPEN",
"16:29:0": "N_PRE_OPEN_NCP",
"16:30:0": "N_ZARABA",
"18:55:0": "N_ZARABA",
"18:59:0": "N_ZARABA",
"19:00:0": "N_ZARABA",
"19:00:3": "N_ZARABA",
"19:05:0": "N_ZARABA",
"05:25:0": "N_PRE_CLOSE",
"05:29:0": "N_PRE_CLOSE_NCP",
"05:30:0": "N_AUCTION_CLOSING",
"05:30:3": "N_AUCTION_CLOSING2",
"05:35:0": "N_AUCTION_END",
"05:40:0": "N_CLOSE",
"05:45:0": "CLOSE",
"06:00:0": "OFFLINE"}
instruments = MarketFinder.findEmptyInstruments(**self.testDefaults.instruments[0])
instrument = instruments[0]
while True:
timenow = []
for elem in time.localtime()[3:5]:
timenow.append(str("%02d" % elem))
sec = list(str(time.localtime()[5]))[0]
seconds = "0" if time.localtime()[5] < 10 else sec
timenow.append(seconds)
check_testtime = ":".join(timenow)
if check_testtime in testtimes:
try:
# ***********************************************************
logger.step("Order Add")
# ***********************************************************
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], order_qty=10)
order1.price = instrument.getPrice("D")
self.traderA.sendOrder(order1, verifyBookie=False)
except:
pass
try:
# ***********************************************************
logger.step("Order Modify Prc, Qty Increase")
# ***********************************************************
order1.price = instrument.tickUp(order1.price, 2)
order1.order_qty = 15
self.traderA.changeOrder(order1, verifyBookie=False)
except:
pass
try:
# ***********************************************************
logger.step("Order Modify Prc, Qty Decrease")
# ***********************************************************
order1.price = instrument.tickDown(order1.price, 2)
order1.order_qty = 10
self.traderA.changeOrder(order1, verifyBookie=False)
except:
pass
try:
# ***********************************************************
logger.step("Order Cancel")
# ***********************************************************
self.traderA.deleteOrder(order1)
except:
pass
# ***********************************************************
logger.step("Order Match")
# ***********************************************************
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0])
order1.order_qty = 1
order1.price = instrument.getPrice("D")
order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], side=2)
order2.order_qty = 1
order2.price = instrument.getPrice("D")
self.traderA.sendOrderWithoutWait(order1)
self.traderA.sendOrderWithoutWait(order2)
time_list = []
for elem in time.localtime()[:6]:
time_list.append(str(elem))
time.sleep(2)
im = pyscreenshot.grab((1, 10, 1080, 1280))
im.save(r"/Users/cmaurer/instrument_states_test/" + "-".join(time_list) + "_" + testtimes[check_testtime] + ".png")
else:
time.sleep(2)
def test_orders_on_all_markets(self):
target_prods = {'ASX': ['BB', 'IR'],
'B3': ['DAP', 'OC1'],
'CFE': ['VX', 'VXT'],
'Eurex': ['FGBL', 'FGBM'],
'Euronext': ['jFCE', ],
'ICE': ['BRN', 'EC'],
'ICE_L': ['I', 'L'],
'IDEM': ['FIB', 'MINI', 'MIBO', 'FCAP', 'PRY', 'ISP', 'US'],
'LSE': ['TLKOD', 'OSX', 'OSEBX', 'FI100', 'OBOSX'],
'MEFF': ['A3M', 'FIE', 'FIEM'],
'TFX': ['EY', ],
'TFEX': ['GF10', 'GF50', 'BANK']}
number_of_instruments_per_product = 1
market_ids_url = self.base_url + "/api/1/systemdata?type=market"
market_ids = self.parse_pds_output(market_ids_url)
all_markets = [market_ids[m_id]['n'] for m_id in range(len(market_ids))]
for mkt in all_markets:
tiffy = 2 if mkt =="CoinFLEX" else 1
if mkt in ("Coinbase", ):
self.product_types = {"203": "CUR", }
elif mkt in ("KCG", "NFI"):
self.product_types = {"77": "BOND", }
else:
self.product_types = {"34": "FUT", }
prod_list = target_prods[mkt] if mkt in target_prods else []
if "_DEV" not in mkt and "_Dev" not in mkt:
self.market = mkt
for product_type in self.product_types:
if len(prod_list) > 0:
products_url = self.base_url + "/api/1/productsearch?query=" + prod_list[0] + "&marketIds=" + self.get_market_id(self.market) + "&productTypeIds=" + product_type
else:
products_url = self.base_url + "/api/1/products?marketIds=" + self.get_market_id(self.market) + "&productTypeIds=" + product_type
print products_url
products = self.parse_pds_output(products_url)
prod_type = self.product_types[product_type]
for product in products:
prod_url = self.base_url + "/api/1/products/" + str(product["i"]) + "?slim=false"
prod = self.parse_pds_output(prod_url)
instr_list_url = self.base_url + "/api/1/instruments?productIds=" + str(prod["i"])
instrument_list = self.parse_pds_output(instr_list_url)
instr_counter = 0
for instrument_object in instrument_list:
if instr_counter != 0:
if prod_type == "FUT":
pricey = 300 if self.market in ("SGX", "NDAQ_EU") else 98
elif prod_type == "OPT":
pricey = 35
else:
pricey = 85
try:
# instrument = MarketFinder.findEmptyInstruments(**{'count': '1',
# 'producttype': prod_type,
# 'market': self.market,
# 'product': prod['s']})[0]
instrument = MarketFinder.findEmptyInstruments(**{'count': '1',
'producttype': prod_type,
'market': self.market,
'instrument_id': str(instrument_object["i"]),
'price': str(pricey)})[0]
initialTradeData = self.traderA.getTradeData(instrument)
order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tiffy)
order1.order_qty = self.ord_qty
if "203" in self.product_types:
order1.time_in_force = 2
order1.price = instrument.getPrice("D") if initialTradeData["settle"] is None or int(initialTradeData["settle"]) == 0 else initialTradeData["settle"]
order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=tiffy)
order2.order_qty = self.ord_qty
order2.side = 2
order2.price = instrument.getPrice("D") if initialTradeData["settle"] is None or int(initialTradeData["settle"]) == 0 else initialTradeData["settle"]
self.traderA.sendOrderWithoutWait(order1)
# self.traderA.sendOrderWithoutWait(order2)
except:
pass
if instr_counter == number_of_instruments_per_product:
break
else:
instr_counter += 1
break
def test_orders_on_all_instruments(self):
number_of_instruments_per_product = 1
for product_type in self.product_types:
products_url = self.base_url + "/api/1/products?marketIds=" + self.get_market_id(self.market) + "&productTypeIds=" + product_type
print products_url
products = self.parse_pds_output(products_url)
prod_type = self.product_types[product_type]
for product in products:
prod_url = self.base_url + "/api/1/products/" + str(product["i"]) + "?slim=false"
prod = self.parse_pds_output(prod_url)
instr_list_url = self.base_url + "/api/1/instruments?productIds=" + str(prod["i"])
instrument_list = self.parse_pds_output(instr_list_url)
instr_counter = 1000
for instrument_object in instrument_list:
# ins = {}
# ins["instrumentId"] = instrument_object["i"]
# ins["marketId"] = instrument_object["m"]
# ins["securityType"] = instrument_object["pt"]
# # self.instrument = ins
# initialTradeData = self.traderA.getTradeData(ins)
if self.market == "KRX":
if any(prod in instrument_object["a"] for prod in ["K2I", "K2F"]):
if prod_type == "FUT":
pricey = 286
elif prod_type == "OPT":
pricey = 33
else:
pricey = -25
elif "MKI" in instrument_object["a"]:
if prod_type == "FUT":
pricey = 275
elif prod_type == "OPT":
pricey = 33
else:
pricey = -2
elif "KQI" in instrument_object["a"]:
if prod_type == "FUT":
pricey = 1170
elif prod_type == "OPT":
pricey = 33
else:
pricey = -25
elif "XI3" in instrument_object["a"]:
if prod_type == "FUT":
pricey = 1400
elif prod_type == "OPT":
pricey = 33
else:
pricey = -25
else:
if prod_type == "FUT":
pricey = 1118
elif prod_type == "OPT":
pricey = 32
else:
# pricey = -25 # KRX
pricey = -5
else:
if prod_type == "FUT":
pricey = 300
elif prod_type == "OPT":
pricey = 35
else:
pricey = 85
try:
instrument = MarketFinder.findEmptyInstruments(**{'count': '1',
'producttype': prod_type,
'market': self.market,
'instrument_id': str(instrument_object["i"]),
'price': str(pricey)})[0]
initialTradeData = self.traderA.getTradeData(instrument)
print instrument
# order1 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=1)
# order1.order_qty = self.ord_qty
# order1.price = instrument.getPrice("D") if initialTradeData["settle"] is None else initialTradeData["settle"]
#
# order2 = Order(instrument=instrument, acct=self.traderA.accounts[0], time_in_force=1)
# order2.order_qty = self.ord_qty
# order2.side = 2
# order2.price = instrument.getPrice("D") if initialTradeData["settle"] is None else initialTradeData["settle"]
#
# self.traderA.sendOrderWithoutWait(order1)
# # self.traderA.sendOrderWithoutWait(order2)
except:
pass
if instr_counter == number_of_instruments_per_product:
break
else:
instr_counter += 1