def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees_third_token(
self):
fc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=fc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
maker_fixed_fees=[TokenAmount(fc_token, Decimal("1"))])
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset, fc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("20"))
exchange.set_balance(
fc_token, Decimal("1.2")
) # 0.2 less than required; will result in 50% order reduction
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(fc_token,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(fc_token, adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(fc_token, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
if limit_order.is_buy:
market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded)
else:
market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.BUY if limit_order.is_buy else TradeType.SELL,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal("0"))
))
event_type = MarketEvent.BuyOrderCompleted if limit_order.is_buy else MarketEvent.SellOrderCompleted
event_class = BuyOrderCompletedEvent if limit_order.is_buy else SellOrderCompletedEvent
market.trigger_event(event_type, event_class(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT
))
def simulate_limit_order_fill(market: MockPaperExchange, limit_order: LimitOrder, timestamp: float = 0):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
trade_event: OrderBookTradeEvent = OrderBookTradeEvent(
trading_pair=limit_order.trading_pair,
timestamp=timestamp,
type=TradeType.BUY if limit_order.is_buy else TradeType.SELL,
price=limit_order.price,
amount=limit_order.quantity
)
market.get_order_book(limit_order.trading_pair).apply_trade(trade_event)
if limit_order.is_buy:
market.set_balance(quote_currency, market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.BUY,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0.0))
))
market.trigger_event(MarketEvent.BuyOrderCompleted, BuyOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT
))
else:
market.set_balance(quote_currency, market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(base_currency, market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(MarketEvent.OrderFilled, OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.SELL,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0.0))
))
market.trigger_event(MarketEvent.SellOrderCompleted, SellOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT
))
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.1"),
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("12"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_third_token(
self):
fee_asset = "FEE"
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(fee_asset, Decimal("11"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("100"))
exchange.set_balance(fee_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertTrue(adjusted_candidate.is_zero_order)
class BudgetCheckerTest(unittest.TestCase):
def setUp(self) -> None:
super().setUp()
self.base_asset = "COINALPHA"
self.quote_asset = "HBOT"
self.trading_pair = f"{self.base_asset}-{self.quote_asset}"
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.02"))
self.exchange = MockPaperExchange(
client_config_map=ClientConfigAdapter(ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
self.budget_checker: BudgetChecker = self.exchange.budget_checker
def test_populate_collateral_fields_buy_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_taker_buy_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=False,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_buy_order_percent_fee_from_returns(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
buy_percent_fee_deducted_from_returns=True,
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertEqual(self.base_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.1"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("9.90"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_sell_order(self):
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = self.budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.base_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertEqual(self.quote_asset,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.quote_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("19.8"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_percent_fees_in_third_token(self):
pfc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=pfc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset,
pfc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_collateral.amount)
self.assertEqual(pfc_token,
populated_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.4"),
populated_candidate.percent_fee_value.amount)
self.assertEqual(0, len(populated_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_populate_collateral_fields_fixed_fees_in_quote_token(self):
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
taker_fixed_fees=[TokenAmount(self.base_asset, Decimal("2"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
populated_candidate = budget_checker.populate_collateral_entries(
order_candidate)
self.assertEqual(self.quote_asset,
populated_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
populated_candidate.order_collateral.amount)
self.assertIsNone(populated_candidate.percent_fee_collateral)
self.assertIsNone(populated_candidate.percent_fee_value)
self.assertEqual(1, len(populated_candidate.fixed_fee_collaterals))
fixed_fee_collateral = populated_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
populated_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
populated_candidate.potential_returns.amount)
def test_adjust_candidate_sufficient_funds(self):
self.exchange.set_balance(self.quote_asset, Decimal("100"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("20"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_all_or_none(self):
self.exchange.set_balance(self.quote_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=True)
self.assertEqual(0, adjusted_candidate.amount)
self.assertIsNone(adjusted_candidate.order_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_value)
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertIsNone(adjusted_candidate.potential_returns)
def test_adjust_candidate_buy_insufficient_funds_partial_adjustment_allowed(
self):
q_params = QuantizationParams(
trading_pair=self.trading_pair,
price_precision=8,
price_decimals=2,
order_size_precision=8,
order_size_decimals=2,
)
self.exchange.set_quantization_param(q_params)
self.exchange.set_balance(self.quote_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=False)
# order amount quantized to two decimal places
self.assertEqual(Decimal("4.95"), adjusted_candidate.amount) # 5 * .99
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(
Decimal("9.9"),
adjusted_candidate.order_collateral.amount) # 4.95 * 2
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(
Decimal("0.099"),
adjusted_candidate.percent_fee_collateral.amount) # 9.9 * 0.01
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(
Decimal("0.099"),
adjusted_candidate.percent_fee_value.amount) # 9.9 * 0.01
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("4.95"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_sell_insufficient_funds_partial_adjustment_allowed(
self):
self.exchange.set_balance(self.base_asset, Decimal("5"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = self.budget_checker.adjust_candidate(
order_candidate, all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.order_collateral.amount)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(
Decimal("0.1"),
adjusted_candidate.percent_fee_value.amount) # 10 * 0.01
self.assertEqual(0, len(adjusted_candidate.fixed_fee_collaterals))
self.assertEqual(self.quote_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(
Decimal("9.9"),
adjusted_candidate.potential_returns.amount) # 10 * 0.99
def test_adjust_candidate_insufficient_funds_for_flat_fees_same_token(
self):
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("11"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertIsNone(adjusted_candidate.percent_fee_collateral)
self.assertIsNone(adjusted_candidate.percent_fee_value)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_third_token(
self):
fee_asset = "FEE"
trade_fee_schema = TradeFeeSchema(
maker_fixed_fees=[TokenAmount(fee_asset, Decimal("11"))], )
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("100"))
exchange.set_balance(fee_asset, Decimal("10"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertTrue(adjusted_candidate.is_zero_order)
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees(
self):
trade_fee_schema = TradeFeeSchema(
maker_percent_fee_decimal=Decimal("0.1"),
maker_fixed_fees=[TokenAmount(self.quote_asset, Decimal("1"))],
)
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("12"))
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("1"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(self.quote_asset, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_insufficient_funds_for_flat_fees_and_percent_fees_third_token(
self):
fc_token = "PFC"
trade_fee_schema = TradeFeeSchema(
percent_fee_token=fc_token,
maker_percent_fee_decimal=Decimal("0.01"),
taker_percent_fee_decimal=Decimal("0.01"),
maker_fixed_fees=[TokenAmount(fc_token, Decimal("1"))])
exchange = MockPaperExchange(client_config_map=ClientConfigAdapter(
ClientConfigMap()),
trade_fee_schema=trade_fee_schema)
pfc_quote_pair = combine_to_hb_trading_pair(self.quote_asset, fc_token)
exchange.set_balanced_order_book( # the quote to pfc price will be 1:2
trading_pair=pfc_quote_pair,
mid_price=1.5,
min_price=1,
max_price=2,
price_step_size=1,
volume_step_size=1,
)
budget_checker: BudgetChecker = exchange.budget_checker
exchange.set_balance(self.quote_asset, Decimal("20"))
exchange.set_balance(
fc_token, Decimal("1.2")
) # 0.2 less than required; will result in 50% order reduction
order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.BUY,
amount=Decimal("10"),
price=Decimal("2"),
)
adjusted_candidate = budget_checker.adjust_candidate(order_candidate,
all_or_none=False)
self.assertEqual(Decimal("5"), adjusted_candidate.amount)
self.assertEqual(self.quote_asset,
adjusted_candidate.order_collateral.token)
self.assertEqual(Decimal("10"),
adjusted_candidate.order_collateral.amount)
self.assertEqual(fc_token,
adjusted_candidate.percent_fee_collateral.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_collateral.amount)
self.assertEqual(fc_token, adjusted_candidate.percent_fee_value.token)
self.assertEqual(Decimal("0.2"),
adjusted_candidate.percent_fee_value.amount)
self.assertEqual(1, len(adjusted_candidate.fixed_fee_collaterals))
fixed_fee_collateral = adjusted_candidate.fixed_fee_collaterals[0]
self.assertEqual(fc_token, fixed_fee_collateral.token)
self.assertEqual(Decimal("1"), fixed_fee_collateral.amount)
self.assertEqual(self.base_asset,
adjusted_candidate.potential_returns.token)
self.assertEqual(Decimal("5"),
adjusted_candidate.potential_returns.amount)
def test_adjust_candidate_and_lock_available_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
first_order_candidate, all_or_none=False)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
third_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
third_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
third_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("3"), second_adjusted_candidate.amount)
self.assertEqual(Decimal("3"),
second_adjusted_candidate.order_collateral.amount)
self.assertEqual(Decimal("0"), third_adjusted_candidate.amount)
self.assertIsNone(third_adjusted_candidate.order_collateral)
def test_reset_locked_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
first_order_candidate, all_or_none=False)
self.budget_checker.reset_locked_collateral()
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("5"), second_adjusted_candidate.amount)
def test_adjust_candidates(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
third_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
first_adjusted_candidate, second_adjusted_candidate, third_adjusted_candidate = (
self.budget_checker.adjust_candidates([
first_order_candidate, second_order_candidate,
third_order_candidate
],
all_or_none=False))
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("3"), second_adjusted_candidate.amount)
self.assertEqual(Decimal("3"),
second_adjusted_candidate.order_collateral.amount)
self.assertEqual(Decimal("0"), third_adjusted_candidate.amount)
self.assertIsNone(third_adjusted_candidate.order_collateral)
def test_adjust_candidates_resets_locked_collateral(self):
self.exchange.set_balance(self.base_asset, Decimal("10"))
first_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("7"),
price=Decimal("2"),
)
first_adjusted_candidate, = self.budget_checker.adjust_candidates(
[first_order_candidate], all_or_none=False)
second_order_candidate = OrderCandidate(
trading_pair=self.trading_pair,
is_maker=True,
order_type=OrderType.LIMIT,
order_side=TradeType.SELL,
amount=Decimal("5"),
price=Decimal("2"),
)
second_adjusted_candidate = self.budget_checker.adjust_candidate_and_lock_available_collateral(
second_order_candidate, all_or_none=False)
self.assertEqual(Decimal("7"), first_adjusted_candidate.amount)
self.assertEqual(Decimal("5"), second_adjusted_candidate.amount)
def simulate_limit_order_fill(market: MockPaperExchange,
limit_order: LimitOrder):
quote_currency_traded: Decimal = limit_order.price * limit_order.quantity
base_currency_traded: Decimal = limit_order.quantity
quote_currency: str = limit_order.quote_currency
base_currency: str = limit_order.base_currency
if limit_order.is_buy:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) - quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) + base_currency_traded)
market.trigger_event(
MarketEvent.BuyOrderCreated,
BuyOrderCreatedEvent(market.current_timestamp, OrderType.LIMIT,
limit_order.trading_pair,
limit_order.quantity, limit_order.price,
limit_order.client_order_id,
limit_order.creation_timestamp * 1e-6))
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.BUY,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0)),
),
)
market.trigger_event(
MarketEvent.BuyOrderCompleted,
BuyOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT,
),
)
else:
market.set_balance(
quote_currency,
market.get_balance(quote_currency) + quote_currency_traded)
market.set_balance(
base_currency,
market.get_balance(base_currency) - base_currency_traded)
market.trigger_event(
MarketEvent.BuyOrderCreated,
SellOrderCreatedEvent(
market.current_timestamp,
OrderType.LIMIT,
limit_order.trading_pair,
limit_order.quantity,
limit_order.price,
limit_order.client_order_id,
limit_order.creation_timestamp * 1e-6,
))
market.trigger_event(
MarketEvent.OrderFilled,
OrderFilledEvent(
market.current_timestamp,
limit_order.client_order_id,
limit_order.trading_pair,
TradeType.SELL,
OrderType.LIMIT,
limit_order.price,
limit_order.quantity,
AddedToCostTradeFee(Decimal(0)),
),
)
market.trigger_event(
MarketEvent.SellOrderCompleted,
SellOrderCompletedEvent(
market.current_timestamp,
limit_order.client_order_id,
base_currency,
quote_currency,
base_currency_traded,
quote_currency_traded,
OrderType.LIMIT,
),
)