def test_partial_in_and_out_path1(self):
#1 market_order_request, 1 execution_request, 2 fills
#out
mor = MarketOrderRequestFactory.create(account=self.account1)
mor2 = MarketOrderRequestFactory.create(account=self.account2)
er = ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=100,
order=mor)
er2 = ExecutionRequestFactory.create(goal=self.goal2,
asset=self.ticker2,
volume=10,
order=mor2)
er3 = ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=50,
order=mor)
allocations = create_pre_trade_allocation()
create_orders()
account_profile = FAAccountProfile()
account_profile.append_share_allocation(
self.ticker1.symbol, allocations[self.ticker1.symbol])
profile = account_profile.get_profile()
send_pre_trade("IB", profile)
order1_ib = Order.objects.get(ticker=self.ticker1)
order1_ib.__class__ = IBOrder
order1_ib.m_faProfile = self.ticker1.symbol
send_order(order1_ib, True)
account_profile = FAAccountProfile()
account_profile.append_share_allocation(
self.ticker2.symbol, allocations[self.ticker2.symbol])
profile = account_profile.get_profile()
send_pre_trade("IB", profile)
order2_ib = Order.objects.get(ticker=self.ticker2)
order2_ib.__class__ = IBOrder
order2_ib.m_faProfile = self.ticker2.symbol
send_order(order2_ib, True)
orders = []
orders.append(order1_ib)
orders.append(order2_ib)
time.sleep(1 * 60)
distributions = update_orders(orders)
mark_order_as_complete(order1_ib)
mark_order_as_complete(order2_ib)
process_fills(distributions)
sum_volume = Execution.objects.filter(distributions__execution_request__goal=self.goal1)\
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 150)
sum_volume = Execution.objects.filter(distributions__execution_request__goal=self.goal2) \
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 10)
def test_full_in_and_out_path1(self):
#1 market_order_request, 1 execution_request, 2 fills
#out
mor = MarketOrderRequestFactory.create(account=self.account1)
mor2 = MarketOrderRequestFactory.create(account=self.account2)
er = ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=100,
order=mor)
er2 = ExecutionRequestFactory.create(goal=self.goal2,
asset=self.ticker2,
volume=10,
order=mor2)
er3 = ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=50,
order=mor)
create_orders()
#in
fill1_volume = 50
fill1_price = 10
fill2_volume = 10
fill2_price = 30
fill3_volume = 100
fill3_price = 15
order1_etna = Order.objects.get(ticker=self.ticker1)
order2_etna = Order.objects.get(ticker=self.ticker2)
send_order(order1_etna)
send_order(order2_etna)
#orders = []
#orders.append(order1_etna)
#orders.append(order2_etna)
#distributions = update_orders(orders)
mark_order_as_complete(order1_etna)
mark_order_as_complete(order2_etna)
FillFactory.create(volume=fill1_volume,
price=fill1_price,
order=order1_etna)
FillFactory.create(volume=fill2_volume,
price=fill2_price,
order=order2_etna)
FillFactory.create(volume=fill3_volume,
price=fill3_price,
order=order1_etna)
process_fills() #distributions)
sum_volume = Execution.objects.filter(distributions__execution_request__goal=self.goal1)\
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 150)
sum_volume = Execution.objects.filter(distributions__execution_request__goal=self.goal2) \
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 10)
def test_full_in_and_out_path3(self):
# test sale as well
mor1 = MarketOrderRequestFactory.create(account=self.account1)
ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=101,
order=mor1)
create_orders()
#in
fill1a_volume = 50
fill1a_price = 10
fill1b_volume = 50
fill1b_price = 15
order1_etna = Order.objects.get(ticker=self.ticker1)
send_order(order1_etna) #, True)
#orders = []
#orders.append(order1_etna)
#distributions = update_orders(orders)
mark_order_as_complete(order1_etna)
FillFactory.create(volume=fill1a_volume,
price=fill1a_price,
order=order1_etna)
FillFactory.create(volume=fill1b_volume,
price=fill1b_price,
order=order1_etna)
process_fills() #distributions)
order1 = Order.objects.get(ticker=self.ticker1)
self.assertTrue(
order1.fill_info == Order.FillInfo.PARTIALY_FILLED.value)
mor2 = MarketOrderRequestFactory.create(account=self.account1)
ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=-60,
order=mor2)
create_orders()
fill2_volume = -60
fill2_price = 10
order2_etna = Order.objects.get(ticker=self.ticker1,
Status=Order.StatusChoice.New.value)
send_order(order2_etna)
mark_order_as_complete(order2_etna)
FillFactory.create(volume=fill2_volume,
price=fill2_price,
order=order2_etna)
process_fills()
order2 = Order.objects.get(id=order2_etna.id)
self.assertTrue(order2.fill_info == Order.FillInfo.FILLED.value)
def execute(self, mor):
approve_mor(mor)
create_orders()
orders_etna = Order.objects.is_not_complete()
for order in orders_etna:
send_order(order)
mark_order_as_complete(order)
ticker = Ticker.objects.get(id=order.ticker.id)
price = ticker.daily_prices.order_by('-date').first().price
FillFactory.create(volume=order.FillQuantity,
price=price,
etna_order=order)
process_fills()
def test_full_in_and_out_path2(self):
# 3 market_order_requests from 3 accounts, for 2 tickers, fill for first ticker in 2 batches,
# 1 batch for second ticker (2 mors)
#out
mor1 = MarketOrderRequestFactory.create(account=self.account1)
ExecutionRequestFactory.create(goal=self.goal1,
asset=self.ticker1,
volume=100,
order=mor1)
mor2 = MarketOrderRequestFactory.create(account=self.account2)
ExecutionRequestFactory.create(goal=self.goal2,
asset=self.ticker2,
volume=25,
order=mor2)
mor3 = MarketOrderRequestFactory.create(account=self.account3)
ExecutionRequestFactory.create(goal=self.goal3,
asset=self.ticker2,
volume=25,
order=mor3)
create_orders()
#in
fill1a_volume = 50
fill1a_price = 10
fill1b_volume = 50
fill1b_price = 15
order1_etna = Order.objects.get(ticker=self.ticker1)
send_order(order1_etna) #, True)
#orders = []
#orders.append(order1_etna)
#distributions = update_orders(orders)
mark_order_as_complete(order1_etna)
FillFactory.create(volume=fill1a_volume,
price=fill1a_price,
order=order1_etna)
FillFactory.create(volume=fill1b_volume,
price=fill1b_price,
order=order1_etna)
process_fills() #distributions)
sum_volume = Execution.objects.filter(distributions__execution_request__goal=self.goal1)\
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 100)
fill2_3_volume = 50
fill2_3_price = 13
order2_3_etna = Order.objects.get(ticker=self.ticker2)
send_order(order2_3_etna)
mark_order_as_complete(order2_3_etna)
FillFactory.create(volume=fill2_3_volume,
price=fill2_3_price,
order=order2_3_etna)
process_fills()
sum_volume = Execution.objects.filter(distributions__execution_request__asset=self.ticker2)\
.aggregate(sum=Sum('volume'))
self.assertTrue(sum_volume['sum'] == 50)