def all_orders(self, asset=None, before=None, status='all'):
a1 = 'ASSET1'
a2 = 'ASSET2'
return {
'o01':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:40:00-0400'),
asset=a1,
amount=2,
id='o01',
),
'o02':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:45:00-0400'),
asset=a1,
amount=5,
id='o02',
),
'o03':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:45:00-0400'),
asset=a2,
amount=3,
id='o03',
),
}
def test_open_orders():
algo = get_algo('')
a1 = algo.symbol('ASSET1')
a2 = algo.symbol('ASSET2')
algo._backend.orders = {
'o01':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:40:00-0400'),
asset=a1,
amount=2,
id='o01',
),
'o02':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:45:00-0400'),
asset=a1,
amount=5,
id='o02',
),
'o03':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:45:00-0400'),
asset=a2,
amount=3,
id='o03',
),
'o04':
ZPOrder(
dt=pd.Timestamp('2018-10-31 09:45:00-0400'),
asset=a2,
amount=0,
id='o04',
),
}
orders = algo.get_open_orders()
assert len(orders[a1]) == 2
assert orders[a1][0].dt < orders[a1][1].dt
assert orders[a1][0].id == 'o01'
assert len(orders[a2]) == 1
orders = algo.get_open_orders(a1)
assert len(orders) == 2
assert orders[0].id == 'o01'
a0 = algo.symbol('ASSET0')
assert len(algo.get_open_orders(a0)) == 0
def order(self, asset, amount, style, quantopian_compatible=True):
if amount == 0:
return
limit_price = style.get_limit_price(amount > 0) or None
stop_price = style.get_stop_price(amount > 0) or None
self._order_seq += 1
zpOrder = ZPOrder(dt=self.get_last_traded_dt(asset),
asset=asset,
amount=amount,
limit=limit_price,
stop=stop_price,
id=self._order_seq)
self._orders[zpOrder.id] = zpOrder
return zpOrder
def order(self, asset, amount, style):
symbol = asset.symbol
qty = amount if amount > 0 else -amount
side = 'buy' if amount > 0 else 'sell'
order_type = 'market'
if isinstance(style, MarketOrder):
order_type = 'market'
elif isinstance(style, LimitOrder):
order_type = 'limit'
elif isinstance(style, StopOrder):
order_type = 'stop'
elif isinstance(style, StopLimitOrder):
order_type = 'stop_limit'
limit_price = style.get_limit_price(side == 'buy') or None
stop_price = style.get_stop_price(side == 'buy') or None
zp_order_id = self._new_order_id()
dt = pd.to_datetime('now', utc=True)
zp_order = ZPOrder(
dt=dt,
asset=asset,
amount=amount,
stop=stop_price,
limit=limit_price,
id=zp_order_id,
)
try:
order = self._api.submit_order(
symbol=symbol,
qty=qty,
side=side,
type=order_type,
time_in_force='day',
limit_price=limit_price,
stop_price=stop_price,
client_order_id=zp_order.id,
)
zp_order = self._order2zp(order)
return zp_order
except APIError as e:
log.warning('order is rejected {}'.format(e))
return None
def _order2zp(self, order):
zp_order = ZPOrder(
id=order.client_order_id,
asset=symbol_lookup(order.symbol),
amount=int(order.qty) if order.side == 'buy' else -int(order.qty),
stop=float(order.stop_price) if order.stop_price else None,
limit=float(order.limit_price) if order.limit_price else None,
dt=order.submitted_at,
commission=0,
)
zp_order._status = ZP_ORDER_STATUS.OPEN
if order.canceled_at:
zp_order._status = ZP_ORDER_STATUS.CANCELLED
if order.failed_at:
zp_order._status = ZP_ORDER_STATUS.REJECTED
if order.filled_at:
zp_order._status = ZP_ORDER_STATUS.FILLED
zp_order.filled = int(order.filled_qty)
return zp_order