def test_volume_limit(self, name, first_order_amount, second_order_amount,
first_order_fill_amount, second_order_fill_amount):
slippage_model = FixedBasisPointsSlippage(basis_points=5,
volume_limit=0.1)
open_orders = [
Order(dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=order_amount,
filled=0,
asset=self.ASSET133)
for order_amount in [first_order_amount, second_order_amount]
]
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute, )
orders_txns = list(
slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 2)
_, first_txn = orders_txns[0]
_, second_txn = orders_txns[1]
self.assertEquals(first_txn['amount'], first_order_fill_amount)
self.assertEquals(second_txn['amount'], second_order_fill_amount)
def test_volume_limit(self, name,
first_order_amount,
second_order_amount,
first_order_fill_amount,
second_order_fill_amount):
slippage_model = FixedBasisPointsSlippage(basis_points=5,
volume_limit=0.1)
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=order_amount,
filled=0,
asset=self.ASSET133
)
for order_amount in [first_order_amount, second_order_amount]
]
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute,
)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 2)
_, first_txn = orders_txns[0]
_, second_txn = orders_txns[1]
self.assertEquals(first_txn['amount'], first_order_fill_amount)
self.assertEquals(second_txn['amount'], second_order_fill_amount)
def test_fill_zero_shares(self):
slippage_model = FixedBasisPointsSlippage(basis_points=5,
volume_limit=0.1)
# since the volume limit for the bar is 20, the first order will be
# filled and there will be a transaction for it, and the second order
# will order zero shares so there should not be a transaction for it.
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=20,
filled=0,
asset=self.ASSET133,
)
] * 2
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute)
orders_txns = list(
slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
assert 1 == len(orders_txns)
# ordering zero shares should result in zero transactions
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=0,
filled=0,
asset=self.ASSET133,
)
]
orders_txns = list(
slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
assert 0 == len(orders_txns)
def test_fill_zero_shares(self):
slippage_model = FixedBasisPointsSlippage(basis_points=5,
volume_limit=0.1)
# since the volume limit for the bar is 20, the first order will be
# filled and there will be a transaction for it, and the second order
# will order zero shares so there should not be a transaction for it.
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=20,
filled=0,
asset=self.ASSET133
)
] * 2
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute
)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEqual(1, len(orders_txns))
# ordering zero shares should result in zero transactions
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=0,
filled=0,
asset=self.ASSET133
)
]
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEqual(0, len(orders_txns))
def test_fixed_bps_slippage(self,
name,
basis_points,
volume_limit,
order_amount,
expected_price,
expected_amount):
slippage_model = FixedBasisPointsSlippage(basis_points=basis_points,
volume_limit=volume_limit)
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=order_amount,
filled=0,
asset=self.ASSET133
)
]
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute
)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
expected_txn = {
'price': expected_price,
'dt': datetime.datetime(
2006, 1, 5, 14, 31, tzinfo=pytz.utc),
'amount': expected_amount,
'asset': self.ASSET133,
'commission': None,
'type': DATASOURCE_TYPE.TRANSACTION,
'order_id': open_orders[0].id
}
self.assertIsNotNone(txn)
self.assertEquals(expected_txn, txn.__dict__)
def test_fixed_bps_slippage(
self,
name,
basis_points,
volume_limit,
order_amount,
expected_price,
expected_amount,
):
slippage_model = FixedBasisPointsSlippage(basis_points=basis_points,
volume_limit=volume_limit)
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=order_amount,
filled=0,
asset=self.ASSET133,
)
]
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute)
orders_txns = list(
slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
assert len(orders_txns) == 1
_, txn = orders_txns[0]
expected_txn = {
"price": expected_price,
"dt": datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
"amount": expected_amount,
"asset": self.ASSET133,
"type": DATASOURCE_TYPE.TRANSACTION,
"order_id": open_orders[0].id,
}
assert txn is not None
assert expected_txn == txn.__dict__
def test_fixed_bps_slippage(self,
name,
basis_points,
volume_limit,
order_amount,
expected_price,
expected_amount):
slippage_model = FixedBasisPointsSlippage(basis_points=basis_points,
volume_limit=volume_limit)
open_orders = [
Order(
dt=datetime.datetime(2006, 1, 5, 14, 30, tzinfo=pytz.utc),
amount=order_amount,
filled=0,
asset=self.ASSET133
)
]
bar_data = self.create_bardata(
simulation_dt_func=lambda: self.first_minute
)
orders_txns = list(slippage_model.simulate(
bar_data,
self.ASSET133,
open_orders,
))
self.assertEquals(len(orders_txns), 1)
_, txn = orders_txns[0]
expected_txn = {
'price': expected_price,
'dt': datetime.datetime(2006, 1, 5, 14, 31, tzinfo=pytz.utc),
'amount': expected_amount,
'asset': self.ASSET133,
'type': DATASOURCE_TYPE.TRANSACTION,
'order_id': open_orders[0].id
}
self.assertIsNotNone(txn)
self.assertEquals(expected_txn, txn.__dict__)