def test_future_account_order_margin_multiple_instruments(
exchange: MagicMock, future_instrument: FutureInstrument,
future_instrument2: FutureInstrument) -> None:
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
untraded_order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=10)
untraded_order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument2,
quantity=-90,
price=11)
untraded_order3 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=9)
open_orders.extend([untraded_order3, untraded_order1, untraded_order2])
assert account.order_margin == 66.385
def test_future_account_position_margin(
exchange: MagicMock, future_instrument: FutureInstrument,
future_instrument2: FutureInstrument) -> None:
# test the position margin of the account when the account have two different positions
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=11)
order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument2,
quantity=-200,
price=18)
trade1 = Trade(order=order1,
exec_price=11,
exec_quantity=100,
trade_id=random_string(6))
trade2 = Trade(order=order2,
exec_price=18,
exec_quantity=-200,
trade_id=random_string(6))
account.deal(trade1)
account.deal(trade2)
assert account.position_margin == pytest.approx(74.0)
position1 = account.positions[future_instrument]
position1.set_leverage(4)
assert account.position_margin == pytest.approx(271.5)
def test_future_accoutn_order_margin_leverage(
exchange: MagicMock, future_instrument: FutureInstrument) -> None:
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=11)
open_orders.append(order1)
assert account.order_margin == 60.5
trade1 = Trade(order=order1,
exec_price=11,
exec_quantity=100,
trade_id=random_string(6))
account.deal(trade1)
open_orders.remove(order1)
position = account.positions[future_instrument]
position.set_leverage(5)
untraded_order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=5)
untraded_order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-200,
price=20)
open_orders.extend([untraded_order1, untraded_order2])
assert account.order_margin == pytest.approx(410)
def test_future_account_order_margin_two_direction(
exchange: MagicMock, future_instrument: FutureInstrument) -> None:
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
untraded_order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=5)
untraded_order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=20)
open_orders.extend([untraded_order1, untraded_order2])
assert account.order_margin == 110.0
untraded_order3 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=5)
open_orders.append(untraded_order3)
assert account.order_margin == 110.0
untraded_order4 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=16)
open_orders.append(untraded_order4)
assert account.order_margin == 143
open_orders.clear()
async def place_limit_order(self,
account: FutureAccount,
instrument: FutureInstrument,
price: float,
quantity: float,
text: str = '') -> str:
if isinstance(instrument, FutureInstrument):
order = FutureLimitOrder(account=account,
instrument=instrument,
price=price,
quantity=quantity,
order_id=gen_unique_id(),
submit_datetime=self.context.now,
text=text)
else:
raise NotImplementedError()
self._trade_counter.submit_order(order)
return order.order_id
def test_future_account_deal(exchange: MagicMock,
future_instrument: FutureInstrument) -> None:
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
assert account.position_margin == 0
assert account.order_margin == 0
assert account.unrealised_pnl == 0
assert account.wallet_balance == 10000
assert account.margin_balance == 10000
assert account.available_balance == 10000
assert account.total_capital == 10000
# open a position
order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=11)
open_orders.append(order1)
assert account.order_margin == 60.5
trade1 = Trade(order=order1,
exec_price=11,
exec_quantity=100,
trade_id=random_string(6))
account.deal(trade1)
open_orders.remove(order1)
assert account.wallet_balance == 9997.25
assert account.position_margin == pytest.approx(52.50, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == -102.5
assert account.margin_balance == 9894.75
assert account.available_balance == 9842.25
assert account.total_capital == 9894.75
# more on a position
order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=200,
price=10.5)
open_orders.append(order2)
assert account.order_margin == 115.5
trade2 = Trade(order=order2,
exec_price=10.5,
exec_quantity=200,
trade_id=random_string(6))
account.deal(trade2)
open_orders.remove(order2)
assert account.wallet_balance == 9992.0
assert account.position_margin == pytest.approx(157.50, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == -207.5
assert account.margin_balance == 9784.5
assert account.available_balance == 9627.0
assert account.total_capital == 9784.5
# close part
order3 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=10)
open_orders.append(order3)
assert account.order_margin == 0
trade3 = Trade(order=order3,
exec_price=10,
exec_quantity=-100,
trade_id=random_string(6))
account.deal(trade3)
open_orders.remove(order3)
assert account.wallet_balance == pytest.approx(9922.8333, 0.0001)
assert account.position_margin == pytest.approx(105, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == pytest.approx(-138.3333, 0.0001)
assert account.margin_balance == pytest.approx(9784.5000, 0.0001)
assert account.available_balance == pytest.approx(9679.5000, 0.0001)
assert account.total_capital == pytest.approx(9784.5000, 0.0001)
# close and open
order4 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-300,
price=11)
open_orders.append(order4)
assert account.order_margin == 60.5
trade4 = Trade(order=order4,
exec_price=11,
exec_quantity=-300,
trade_id=random_string(6))
account.deal(trade4)
open_orders.remove(order4)
assert account.wallet_balance == pytest.approx(9981.2513, 0.0001)
assert account.position_margin == pytest.approx(52.5, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == pytest.approx(97.5, 0.0001)
assert account.margin_balance == pytest.approx(10078.7513, 0.0001)
assert account.available_balance == pytest.approx(10026.2513, 0.0001)
assert account.total_capital == pytest.approx(10078.7513, 0.0001)
# get more
order5 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=10.5)
open_orders.append(order5)
assert account.order_margin == 57.75
trade5 = Trade(order=order5,
exec_price=10.5,
exec_quantity=-100,
trade_id=random_string(6))
account.deal(trade5)
open_orders.remove(order5)
assert account.wallet_balance == pytest.approx(9978.6263, 0.0001)
assert account.position_margin == pytest.approx(105, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == pytest.approx(145.0, 0.0001)
assert account.margin_balance == pytest.approx(10123.6263, 0.0001)
assert account.available_balance == pytest.approx(10018.6263, 0.0001)
assert account.total_capital == pytest.approx(10123.6263, 0.0001)
# close and open
order6 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=300,
price=10.5)
open_orders.append(order6)
assert account.order_margin == 57.75
trade6 = Trade(order=order6,
exec_price=10.5,
exec_quantity=300,
trade_id=random_string(6))
account.deal(trade6)
open_orders.remove(order6)
assert account.wallet_balance == pytest.approx(10020.7513, 0.0001)
assert account.position_margin == pytest.approx(52.5, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == pytest.approx(-52.5, 0.0001)
assert account.margin_balance == pytest.approx(9968.2513, 0.0001)
assert account.available_balance == pytest.approx(9915.7513, 0.0001)
assert account.total_capital == pytest.approx(9968.2513, 0.0001)
# close
order7 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=9)
open_orders.append(order7)
assert account.order_margin == 0
trade7 = Trade(order=order7,
exec_price=9,
exec_quantity=-100,
trade_id=random_string(6))
account.deal(trade7)
open_orders.remove(order7)
assert account.wallet_balance == pytest.approx(9868.5013, 0.0001)
assert account.position_margin == 0
assert account.order_margin == 0
assert account.unrealised_pnl == 0
assert account.margin_balance == pytest.approx(9868.5013, 0.0001)
assert account.available_balance == pytest.approx(9868.5013, 0.0001)
assert account.total_capital == pytest.approx(9868.5013, 0.0001)
# close
order8 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-150,
price=11)
open_orders.append(order8)
assert account.order_margin == 90.75
trade8 = Trade(order=order8,
exec_price=11,
exec_quantity=-150,
trade_id=random_string(6))
account.deal(trade8)
open_orders.remove(order8)
assert account.wallet_balance == pytest.approx(9864.3763, 0.0001)
assert account.position_margin == pytest.approx(78.7500, 0.0001)
assert account.order_margin == 0
assert account.unrealised_pnl == pytest.approx(146.25, 0.0001)
assert account.margin_balance == pytest.approx(10010.6263, 0.0001)
assert account.available_balance == pytest.approx(9931.8763, 0.0001)
assert account.total_capital == pytest.approx(10010.6263, 0.0001)
order9 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=150,
price=11)
open_orders.append(order9)
assert account.order_margin == 0
trade9 = Trade(order=order9,
exec_price=11,
exec_quantity=150,
trade_id=random_string(6))
account.deal(trade9)
open_orders.remove(order9)
assert account.wallet_balance == pytest.approx(9860.2513, 0.0001)
assert account.position_margin == 0
assert account.order_margin == 0
assert account.unrealised_pnl == 0
assert account.margin_balance == pytest.approx(9860.2513, 0.0001)
assert account.available_balance == pytest.approx(9860.2513, 0.0001)
assert account.total_capital == pytest.approx(9860.2513, 0.0001)
def test_future_account_order_margin_short_position(
exchange: MagicMock, future_instrument: FutureInstrument) -> None:
open_orders: List[FutureLimitOrder] = []
exchange.get_open_orders = MagicMock(return_value=open_orders)
exchange.last_price = MagicMock(return_value=10)
account = FutureAccount(exchange=exchange,
position_cls=FuturePosition,
wallet_balance=10000)
order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=11)
open_orders.append(order1)
assert account.order_margin == 60.5
trade1 = Trade(order=order1,
exec_price=11,
exec_quantity=-100,
trade_id=random_string(6))
account.deal(trade1)
open_orders.remove(order1)
untraded_order1 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=9)
untraded_order2 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-90,
price=11)
open_orders.extend([untraded_order1, untraded_order2])
assert account.order_margin == 54.45
untraded_order3 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=12)
open_orders.append(untraded_order3)
assert account.order_margin == 66.0
untraded_order4 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=-100,
price=10)
open_orders.append(untraded_order4)
assert account.order_margin == 109.45
untraded_order5 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=50,
price=19)
open_orders.append(untraded_order5)
assert account.order_margin == 118.25
trade2 = Trade(untraded_order2,
exec_price=11,
exec_quantity=-30,
trade_id=random_string(6))
untraded_order2.deal(trade2)
assert account.order_margin == 98.45
untraded_order6 = FutureLimitOrder(order_id=random_string(6),
account=account,
instrument=future_instrument,
quantity=100,
price=20)
open_orders.append(untraded_order6)
assert account.order_margin == 208.45
def test_order_pickle(future_instrument: FutureInstrument,
future_account: FutureAccount) -> None:
order_id1 = random_string(6)
order1 = FutureMarketOrder(order_id=order_id1,
account=future_account,
instrument=future_instrument,
quantity=100,
submit_datetime=utc_datetime(2018, 1, 1),
text='22')
p_order = pickle.dumps(order1)
unp_order = pickle.loads(p_order)
assert unp_order.quantity == 100
assert unp_order.traded_quantity == 0
assert unp_order.account.exchange.name == 'exchange_test'
assert unp_order.order_id == order_id1
assert unp_order.instrument.symbol == future_instrument.symbol
assert unp_order.side == SIDE.BUY
assert unp_order.remain_quantity == 100
assert isinstance(unp_order, FutureMarketOrder)
assert unp_order.direction == DIRECTION.LONG
assert unp_order.submit_datetime == utc_datetime(2018, 1, 1)
assert unp_order.text == '22'
order_id2 = random_string(6)
order2 = FutureLimitOrder(order_id=order_id2,
account=future_account,
instrument=future_instrument,
quantity=100,
price=11,
submit_datetime=utc_datetime(2018, 1, 1),
text='random')
p_order2 = pickle.dumps(order2)
unp_order2 = pickle.loads(p_order2)
assert unp_order2.quantity == 100
assert unp_order2.traded_quantity == 0
assert unp_order2.account.exchange.name == 'exchange_test'
assert unp_order2.order_id == order_id2
assert unp_order2.instrument.symbol == future_instrument.symbol
assert unp_order2.side == SIDE.BUY
assert unp_order2.remain_quantity == 100
assert isinstance(unp_order2, FutureLimitOrder)
assert unp_order2.direction == DIRECTION.LONG
assert unp_order2.submit_datetime == utc_datetime(2018, 1, 1)
assert unp_order2.text == 'random'
order_id3 = random_string(6)
order3 = StopLimitOrder(order_id=order_id3,
account=future_account,
instrument=future_instrument,
quantity=100,
stop_price=11,
submit_datetime=utc_datetime(2018, 1, 1),
text='random2')
p_order3 = pickle.dumps(order3)
unp_order3 = pickle.loads(p_order3)
assert unp_order3.quantity == 100
assert unp_order3.traded_quantity == 0
assert unp_order3.account.exchange.name == 'exchange_test'
assert unp_order3.order_id == order_id3
assert unp_order3.instrument.symbol == future_instrument.symbol
assert unp_order3.side == SIDE.BUY
assert unp_order3.remain_quantity == 100
assert isinstance(unp_order3, StopLimitOrder)
assert unp_order3.stop_price == 11
assert unp_order3.submit_datetime == utc_datetime(2018, 1, 1)
assert unp_order3.text == 'random2'
order_id4 = random_string(6)
order4 = StopMarketOrder(order_id=order_id4,
account=future_account,
instrument=future_instrument,
quantity=100,
stop_price=11,
submit_datetime=utc_datetime(2018, 1, 1),
text='random4')
p_order4 = pickle.dumps(order4)
unp_order4 = pickle.loads(p_order4)
assert unp_order4.quantity == 100
assert unp_order4.traded_quantity == 0
assert unp_order4.account.exchange.name == 'exchange_test'
assert unp_order4.order_id == order_id4
assert unp_order4.instrument.symbol == future_instrument.symbol
assert unp_order4.side == SIDE.BUY
assert unp_order4.remain_quantity == 100
assert isinstance(unp_order4, StopMarketOrder)
assert unp_order4.stop_price == 11
assert unp_order4.submit_datetime == utc_datetime(2018, 1, 1)
assert unp_order4.text == 'random4'
def test_future_limit_order(future_instrument: FutureInstrument,
future_account: FutureAccount) -> None:
order1 = FutureLimitOrder(order_id=random_string(6),
account=future_account,
instrument=future_instrument,
quantity=100,
price=11,
submit_datetime=utc_datetime(2018, 1, 1),
text='random')
assert order1.price == 11
assert order1.quantity == 100
assert order1.traded_quantity == 0
assert order1.side == SIDE.BUY
assert order1.order_value == 1100
assert order1.order_status == ORDER_STATUS.NOT_TRADED
assert order1.remain_quantity == 100
assert order1.remain_value == 1100
assert order1.direction == DIRECTION.LONG
assert order1.text == 'random'
trade1 = Trade(order=order1,
exec_price=11,
exec_quantity=50,
trade_id=random_string(6),
trade_datetime=utc_datetime(2018, 1, 1, 0, 1))
order1.deal(trade1)
assert order1.traded_quantity == 50
assert order1.order_status == ORDER_STATUS.PARTLY_TRADED
assert order1.remain_quantity == 50
assert order1.order_value == 1100
assert order1.remain_value == 550
with pytest.raises(AssertionError):
order1.deal(trade1)
trade2 = Trade(order=order1,
exec_price=11,
exec_quantity=50,
trade_id=random_string(6),
trade_datetime=utc_datetime(2018, 1, 1, 0, 1))
order1.deal(trade2)
assert order1.traded_quantity == 100
assert order1.remain_quantity == 0
assert order1.order_status == ORDER_STATUS.FULL_TRADED
assert order1.remain_value == 0
assert trade1 in order1.trades
assert trade2 in order1.trades
order2 = FutureLimitOrder(order_id=random_string(6),
account=future_account,
instrument=future_instrument,
quantity=-100,
price=13,
submit_datetime=utc_datetime(2018, 1, 1),
text='random2')
assert order2.price == 13
assert order2.quantity == -100
assert order2.traded_quantity == 0
assert order2.side == SIDE.SELL
assert order2.order_value == 1300
assert order2.order_status == ORDER_STATUS.NOT_TRADED
assert order2.remain_quantity == -100
assert order2.remain_value == 1300
assert order2.direction == DIRECTION.SHORT
assert order2.text == 'random2'
trade3 = Trade(order=order2,
exec_price=13,
exec_quantity=-50,
trade_id=random_string(6),
trade_datetime=utc_datetime(2018, 1, 1, 0, 1))
order2.deal(trade3)
assert order2.traded_quantity == -50
assert order2.order_status == ORDER_STATUS.PARTLY_TRADED
assert order2.remain_quantity == -50
assert order2.order_value == 1300
assert order2.remain_value == 650
with pytest.raises(AssertionError):
order2.deal(trade3)
trade4 = Trade(order=order2,
exec_price=13,
exec_quantity=-50,
trade_id=random_string(6),
trade_datetime=utc_datetime(2018, 1, 1, 0, 1))
order2.deal(trade4)
assert order2.traded_quantity == -100
assert order2.order_status == ORDER_STATUS.FULL_TRADED
assert order2.remain_quantity == 0
assert order2.order_value == 1300
assert order2.remain_value == 0