def test_pack_and_unpack_trailing_stop_market_orders_with_expiration(self):
# Arrange
order = TrailingStopMarketOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
trigger_price=Price(1.00000, precision=5),
trigger_type=TriggerType.DEFAULT,
trailing_offset=Decimal("0.00010"),
offset_type=TrailingOffsetType.PRICE,
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH + timedelta(minutes=1),
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_trailing_stop_limit_orders_with_no_initial_prices(self):
# Arrange
order = TrailingStopLimitOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
price=None,
trigger_price=None,
trigger_type=TriggerType.MARK,
limit_offset=Decimal("50"),
trailing_offset=Decimal("50"),
offset_type=TrailingOffsetType.TICKS,
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH + timedelta(minutes=1),
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_order_initialized_event_to_from_dict_and_str_repr(self):
# Arrange
uuid = UUID4()
event = OrderInitialized(
trader_id=TraderId("TRADER-001"),
strategy_id=StrategyId("SCALPER-001"),
instrument_id=InstrumentId(Symbol("BTC/USDT"), Venue("BINANCE")),
client_order_id=ClientOrderId("O-2020872378423"),
order_side=OrderSide.BUY,
order_type=OrderType.LIMIT,
quantity=Quantity.from_str("0.561000"),
time_in_force=TimeInForce.DAY,
reduce_only=True,
options={"price": "15200.10"},
order_list_id=OrderListId("1"),
parent_order_id=None,
child_order_ids=[ClientOrderId("O-2020872378424")],
contingency=ContingencyType.OTO,
contingency_ids=[ClientOrderId("O-2020872378424")],
tags="ENTRY",
event_id=uuid,
ts_init=0,
)
# Act, Assert
assert OrderInitialized.from_dict(
OrderInitialized.to_dict(event)) == event
assert (
str(event) ==
f"OrderInitialized(instrument_id=BTC/USDT.BINANCE, client_order_id=O-2020872378423, side=BUY, type=LIMIT, quantity=0.561000, time_in_force=DAY, reduce_only=True, options={{'price': '15200.10'}}, order_list_id=1, parent_order_id=None, child_order_ids=['O-2020872378424'], contingency=OTO, contingency_ids=['O-2020872378424'], tags=ENTRY)" # noqa
)
assert (
repr(event) ==
f"OrderInitialized(trader_id=TRADER-001, strategy_id=SCALPER-001, instrument_id=BTC/USDT.BINANCE, client_order_id=O-2020872378423, side=BUY, type=LIMIT, quantity=0.561000, time_in_force=DAY, reduce_only=True, options={{'price': '15200.10'}}, order_list_id=1, parent_order_id=None, child_order_ids=['O-2020872378424'], contingency=OTO, contingency_ids=['O-2020872378424'], tags=ENTRY, event_id={uuid}, ts_init=0)" # noqa
)
def serialize_order_initialized(event: OrderInitialized):
caster = {
"quantity": float,
"price": float,
}
data = event.to_dict(event)
data.update(orjson.loads(data.pop("options", "{}"))) # noqa: P103
data = {
k: caster[k](v) if (k in caster and v is not None) else v
for k, v in data.items()
}
return data
def test_pack_and_unpack_market_orders(self):
# Arrange
order = self.order_factory.market(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_limit_orders(self):
# Arrange
order = self.order_factory.limit(
AUDUSD_SIM.id,
OrderSide.BUY,
Quantity(100000, precision=0),
Price(1.00000, precision=5),
TimeInForce.DAY,
display_qty=Quantity(50000, precision=0),
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_market_to_limit__orders(self):
# Arrange
order = MarketToLimitOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
time_in_force=TimeInForce.GTD, # <-- invalid
expire_time=UNIX_EPOCH + timedelta(minutes=1),
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_stop_market_orders_with_expire_time(self):
# Arrange
order = StopMarketOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH,
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_market_if_touched_orders(self):
# Arrange
order = MarketIfTouchedOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
trigger_price=Price(1.00000, precision=5),
trigger_type=TriggerType.DEFAULT,
time_in_force=TimeInForce.GTD,
expire_time=UNIX_EPOCH + timedelta(minutes=1),
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order
def test_pack_and_unpack_limit_if_touched_orders(self):
# Arrange
order = LimitIfTouchedOrder(
self.trader_id,
self.strategy_id,
AUDUSD_SIM.id,
ClientOrderId("O-123456"),
OrderSide.BUY,
Quantity(100000, precision=0),
price=Price(1.00000, precision=5),
trigger_price=Price(1.00010, precision=5),
trigger_type=TriggerType.BID_ASK,
time_in_force=TimeInForce.GTC,
expire_time=None,
init_id=UUID4(),
ts_init=0,
)
# Act
packed = OrderInitialized.to_dict(order.last_event)
unpacked = self.unpacker.unpack(packed)
# Assert
assert unpacked == order