def setUp(self):
self.__testTWS = TestEClientSocket(self)
self.__conn = Connection(eClientSocket=self.__testTWS, accountCode='DU123456')
# link back the ib connection to testTWS
self.__testTWS.setIBConnection(self.__conn)
self.__feed = LiveFeed(self.__conn)
self.__broker = Broker(self.__feed, self.__conn)
class IBBrokerTestCase(unittest.TestCase):
def setUp(self):
self.__testTWS = TestEClientSocket(self)
self.__conn = Connection(eClientSocket=self.__testTWS, accountCode='DU123456')
# link back the ib connection to testTWS
self.__testTWS.setIBConnection(self.__conn)
self.__feed = LiveFeed(self.__conn)
self.__broker = Broker(self.__feed, self.__conn)
def testFlatRateCommission(self):
# US API Directed Orders (example from IB Website):
# 100 Shares @ USD 25 Share Price = USD 1.30
# 700 Shares @ USD 25 Share Price = USD 8.10
comm = FlatRateCommission()
self.assertEqual(comm.calculate(order=None, price=25, quantity=100), 1.30)
self.assertEqual(comm.calculate(order=None, price=25, quantity=700), 8.10)
def testCash(self):
# Should return the predefined value from ib_testeclientsocket
cash = self.__broker.getCash()
self.assertEqual(cash, 28989.07)
# Setting the cash should not be possible
self.assertRaises(Exception, self.__broker.setCash, 420)
def __validateOrderEntry(self, instrument, orderId, orderType, action, auxPrice, lmtPrice, quantity,
goodTillCanceled):
self.assertEqual(instrument, self.__testTWS.orderContract.m_symbol)
self.assertEqual(orderId, self.__testTWS.orderId)
self.assertEqual(0, self.__testTWS.order.m_minQuantity)
self.assertEqual(quantity, self.__testTWS.order.m_totalQuantity)
self.assertEqual(auxPrice, self.__testTWS.order.m_auxPrice)
self.assertEqual(lmtPrice, self.__testTWS.order.m_lmtPrice)
if goodTillCanceled:
self.assertEqual('GTC', self.__testTWS.order.m_tif)
else:
self.assertEqual('DAY', self.__testTWS.order.m_tif)
self.assertEqual(orderType, self.__testTWS.order.m_orderType)
self.assertEqual(action, self.__testTWS.order.m_action)
def __validateOrderCancel(self):
self.assertEqual(None, self.__testTWS.order)
self.assertEqual(None, self.__testTWS.orderId)
self.assertEqual(None, self.__testTWS.orderContract)
def testMarketOrders(self):
instrument1 = 'XMX'
instrument2 = 'XMY'
quantity1 = 12
quantity2 = 22
for gtc in (True, False):
longMarketOrder = self.__broker.createMarketOrder(action=Order.Action.BUY,
instrument=instrument1,
quantity=quantity1, goodTillCanceled=gtc)
shortMarketOrder = self.__broker.createMarketOrder(action=Order.Action.SELL,
instrument=instrument2, quantity=quantity2,
goodTillCanceled=gtc)
# Issue the Order
orderIdLong = self.__broker.placeOrder(longMarketOrder)
self.__validateOrderEntry(instrument=instrument1, orderId=orderIdLong, orderType='MKT', action='BUY',
auxPrice=0, lmtPrice=0, quantity=quantity1, goodTillCanceled=gtc)
# Try to cancel it
self.__broker.cancelOrder(longMarketOrder)
self.__validateOrderCancel()
orderIdShort = self.__broker.placeOrder(shortMarketOrder)
self.__validateOrderEntry(instrument=instrument2, orderId=orderIdShort, orderType='MKT', action='SELL',
auxPrice=0, lmtPrice=0, quantity=quantity2, goodTillCanceled=gtc)
self.__broker.cancelOrder(shortMarketOrder)
self.__validateOrderCancel()
self.assertNotEqual(orderIdLong, orderIdShort)
def testLimitOrders(self):
instrument1 = 'XLX'
instrument2 = 'YLY'
quantity1 = 10
quantity2 = 9
price1 = 4.20
price2 = 5.20
for gtc in (True, False):
longLimitOrder = self.__broker.createLimitOrder(action=Order.Action.BUY,
instrument=instrument1, limitPrice=price1,
quantity=quantity1,
goodTillCanceled=gtc)
shortLimitOrder = self.__broker.createLimitOrder(action=Order.Action.SELL,
instrument=instrument2, limitPrice=price2,
quantity=quantity2,
goodTillCanceled=gtc)
# Issue the Order
orderIdLong = self.__broker.placeOrder(longLimitOrder)
self.__validateOrderEntry(instrument=instrument1, orderId=orderIdLong, orderType='LMT', action='BUY',
auxPrice=0, lmtPrice=price1, quantity=quantity1, goodTillCanceled=gtc)
# Try to cancel it
self.__broker.cancelOrder(longLimitOrder)
self.__validateOrderCancel()
orderIdShort = self.__broker.placeOrder(shortLimitOrder)
self.__validateOrderEntry(instrument=instrument2, orderId=orderIdShort, orderType='LMT', action='SELL',
auxPrice=0, lmtPrice=price2, quantity=quantity2, goodTillCanceled=gtc)
self.__broker.cancelOrder(shortLimitOrder)
self.__validateOrderCancel()
self.assertNotEqual(orderIdLong, orderIdShort)
def testStopOrders(self):
instrument1 = 'XSX'
instrument2 = 'YSY'
quantity1 = 54
quantity2 = 91
price1 = 511.4
price2 = 20
for gtc in (True, False):
longStopOrder = self.__broker.createStopOrder(action=Order.Action.BUY,
instrument=instrument1, stopPrice=price1,
quantity=quantity1, goodTillCanceled=gtc)
shortStopOrder = self.__broker.createStopOrder(action=Order.Action.SELL,
instrument=instrument2, stopPrice=price2,
quantity=quantity2, goodTillCanceled=gtc)
# Issue the Order
orderIdLong = self.__broker.placeOrder(longStopOrder)
self.__validateOrderEntry(instrument=instrument1, orderId=orderIdLong, orderType='STP', action='BUY',
auxPrice=price1, lmtPrice=0, quantity=quantity1, goodTillCanceled=gtc)
# Try to cancel it
self.__broker.cancelOrder(longStopOrder)
self.__validateOrderCancel()
orderIdShort = self.__broker.placeOrder(shortStopOrder)
self.__validateOrderEntry(instrument=instrument2, orderId=orderIdShort, orderType='STP', action='SELL',
auxPrice=price2, lmtPrice=0, quantity=quantity2, goodTillCanceled=gtc)
self.__broker.cancelOrder(shortStopOrder)
self.__validateOrderCancel()
self.assertNotEqual(orderIdLong, orderIdShort)
def testStopLimitOrders(self):
instrument1 = 'SLX'
instrument2 = 'SLY'
quantity1 = 7
quantity2 = 5
lmtPrice1 = 3.1415926535 # Long SL Order: stopPrice < lmtPrice
stopPrice1 = 3.1
lmtPrice2 = 1.61803399 # Short SL Order: lmtPrice < stopPrice
stopPrice2 = 1.6
for gtc in (True, False):
longStopLimitOrder = self.__broker.createStopLimitOrder(action=Order.Action.BUY,
instrument=instrument1,
limitPrice=lmtPrice1, stopPrice=stopPrice1,
quantity=quantity1, goodTillCanceled=gtc)
shortStopLimitOrder = self.__broker.createStopLimitOrder(action=Order.Action.SELL,
instrument=instrument2,
limitPrice=lmtPrice2, stopPrice=stopPrice2,
quantity=quantity2, goodTillCanceled=gtc)
# Issue the Order
orderIdLong = self.__broker.placeOrder(longStopLimitOrder)
self.__validateOrderEntry(instrument=instrument1, orderId=orderIdLong, orderType='STP LMT', action='BUY',
auxPrice=stopPrice1, lmtPrice=lmtPrice1, quantity=quantity1, goodTillCanceled=gtc)
# Try to cancel it
self.__broker.cancelOrder(longStopLimitOrder)
self.__validateOrderCancel()
orderIdShort = self.__broker.placeOrder(shortStopLimitOrder)
self.__validateOrderEntry(instrument=instrument2, orderId=orderIdShort, orderType='STP LMT', action='SELL',
auxPrice=stopPrice2, lmtPrice=lmtPrice2, quantity=quantity2, goodTillCanceled=gtc)
self.__broker.cancelOrder(shortStopLimitOrder)
self.__validateOrderCancel()
self.assertNotEqual(orderIdLong, orderIdShort)
