def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
portfolio.register_cache(DataCache(self.logger))
database = BypassExecutionDatabase(trader_id=self.trader_id,
logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = ExecutionClient(
venue=self.venue,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def setup(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = Logger(self.clock)
self.trader_id = TestStubs.trader_id()
self.account_id = TestStubs.account_id()
self.msgbus = MessageBus(
trader_id=self.trader_id,
clock=self.clock,
logger=self.logger,
)
self.cache = TestStubs.cache()
self.portfolio = Portfolio(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.exec_engine = ExecutionEngine(
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = ExecutionClient(
client_id=ClientId(self.venue.value),
venue_type=VenueType.ECN,
account_id=TestStubs.account_id(),
account_type=AccountType.MARGIN,
base_currency=USD,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER-000"),
strategy_id=StrategyId("S-001"),
clock=TestClock(),
)
def test_venue_when_brokerage_multi_venue_returns_none(self):
# Arrange
client = ExecutionClient(
client_id=ClientId("IB"),
venue_type=VenueType.BROKERAGE_MULTI_VENUE,
account_id=AccountId("IB", "U1258001"),
account_type=AccountType.MARGIN,
base_currency=USD,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
# Act, Assert
assert client.venue is None
def test_venue_when_routing_venue_returns_none(self):
# Arrange
client = ExecutionClient(
client_id=ClientId("IB"),
venue=None, # Multi-venue
oms_type=OMSType.HEDGING,
account_type=AccountType.MARGIN,
base_currency=USD,
msgbus=self.msgbus,
cache=self.cache,
clock=self.clock,
logger=self.logger,
config={"routing": True},
)
# Act, Assert
assert client.venue is None
class ExecutionClientTests(unittest.TestCase):
def setUp(self):
# Fixture Setup
self.clock = TestClock()
self.uuid_factory = UUIDFactory()
self.logger = TestLogger(self.clock)
self.trader_id = TraderId("TESTER", "000")
self.account_id = TestStubs.account_id()
portfolio = Portfolio(
clock=self.clock,
logger=self.logger,
)
portfolio.register_cache(DataCache(self.logger))
database = BypassExecutionDatabase(trader_id=self.trader_id, logger=self.logger)
self.exec_engine = ExecutionEngine(
database=database,
portfolio=portfolio,
clock=self.clock,
logger=self.logger,
)
self.venue = Venue("SIM")
self.client = ExecutionClient(
venue=self.venue,
account_id=self.account_id,
engine=self.exec_engine,
clock=self.clock,
logger=self.logger,
)
self.order_factory = OrderFactory(
trader_id=TraderId("TESTER", "000"),
strategy_id=StrategyId("S", "001"),
clock=TestClock(),
)
def test_connect_when_not_implemented_raises_exception(self):
self.assertRaises(NotImplementedError, self.client.connect)
def test_disconnect_when_not_implemented_raises_exception(self):
self.assertRaises(NotImplementedError, self.client.disconnect)
def test_reset_when_not_implemented_raises_exception(self):
self.assertRaises(NotImplementedError, self.client.reset)
def test_dispose_when_not_implemented_raises_exception(self):
self.assertRaises(NotImplementedError, self.client.dispose)
def test_submit_order_raises_exception(self):
order = self.order_factory.limit(
AUDUSD_SIM.symbol,
OrderSide.SELL,
Quantity(100000),
Price("1.00000"),
)
command = SubmitOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "001"),
PositionId.null(),
order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.assertRaises(NotImplementedError, self.client.submit_order, command)
def test_submit_bracket_order_raises_not_implemented_error(self):
entry_order = self.order_factory.stop_market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
Price("0.99995"),
)
# Act
bracket_order = self.order_factory.bracket(
entry_order,
Price("0.99990"),
Price("1.00010"),
)
command = SubmitBracketOrder(
self.venue,
self.trader_id,
self.account_id,
StrategyId("SCALPER", "001"),
bracket_order,
self.uuid_factory.generate(),
self.clock.utc_now(),
)
self.assertRaises(NotImplementedError, self.client.submit_bracket_order, command)
def test_amend_order_raises_not_implemented_error(self):
# Arrange
# Act
command = AmendOrder(
self.venue,
self.trader_id,
self.account_id,
ClientOrderId("O-123456789"),
Quantity(120000),
Price("1.00000"),
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Assert
self.assertRaises(NotImplementedError, self.client.amend_order, command)
def test_cancel_order_raises_not_implemented_error(self):
# Arrange
# Act
command = CancelOrder(
self.venue,
self.trader_id,
self.account_id,
ClientOrderId("O-123456789"),
OrderId("001"),
self.uuid_factory.generate(),
self.clock.utc_now(),
)
# Assert
self.assertRaises(NotImplementedError, self.client.cancel_order, command)
def test_handle_event_sends_to_execution_engine(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.symbol,
OrderSide.BUY,
Quantity(100000),
)
fill = TestStubs.event_order_filled(
order,
AUDUSD_SIM,
PositionId("P-123456"),
StrategyId("S", "001"),
Price("1.00001"),
)
# Act
self.client._handle_event_py(fill) # Accessing protected method
# Assert
self.assertEqual(1, self.exec_engine.event_count)