def test_leave_qty(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(200, order.leave_qty())
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=200,
last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(0, order.leave_qty())
self.assertTrue(order.is_done())
self.assertEquals(OrdStatus.FILLED, order.status)
def test_exec_report(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
self.assertEqual(1000, order.leave_qty())
self.assertEqual(0, len(order.get_events(ExecutionReport)))
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
self.assertEqual(1, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertEqual(er1.ord_id, order.broker_ord_id)
self.assertEqual(800, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(800, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.PARTIALLY_FILLED, order.status)
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=200,
last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
self.assertEqual(2, len(order.get_events(ExecutionReport)))
self.assertTrue(er1 in order.get_events(ExecutionReport))
self.assertTrue(er2 in order.get_events(ExecutionReport))
self.assertEqual(er2.ord_id, order.broker_ord_id)
self.assertEqual(200, order.last_qty)
self.assertAlmostEqual(18.4, order.last_price)
self.assertEqual(1000, order.filled_qty)
self.assertAlmostEqual(18.4, order.avg_price)
self.assertEqual(OrdStatus.FILLED, order.status)
def test_position(self):
ord_req = NewOrderRequest(cl_id='test',
cl_ord_id=1,
portf_id="test",
broker_id="Dummy",
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
order1 = self.portfolio.send_order(ord_req)
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
self.app_context.order_mgr.on_exec_report(er1)
self.assertEqual(500, order1.last_qty)
self.assertEqual(18.4, order1.last_price)
self.assertEqual(500, order1.filled_qty)
self.assertEqual(18.4, order1.avg_price)
self.assertEqual(OrdStatus.PARTIALLY_FILLED, order1.status)
self.assertEquals(True,
self.portfolio.has_position(cl_id='test', inst_id=1))
self.assertEquals(False,
self.portfolio.has_position(cl_id='test', inst_id=2))
self.assertEquals(
False, self.portfolio.has_position(cl_id='dummy', inst_id=2))
def test_execution_report(self, name, serializer):
item = ExecutionReport(broker_id="IB", ord_id=1, cl_id=1, cl_ord_id=1, inst_id=3,
timestamp=datetime.datetime.now(),
er_id=None,
last_qty=10, last_price=10.8,
filled_qty=140, avg_price=21.2, commission=18,
status=OrdStatus.NEW)
SerializerTest.ser_deser(name, serializer, item)
def test_on_exec_report(self):
ord_req = NewOrderRequest(cl_id='test', cl_ord_id=1, portf_id="test", broker_id="Dummy", inst_id=1,
action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000, limit_price=18.5)
order1 = self.portfolio.send_order(ord_req)
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
self.app_context.order_mgr.on_exec_report(er1)
self.assertEqual(500, order1.last_qty)
self.assertEqual(18.4, order1.last_price)
self.assertEqual(500, order1.filled_qty)
self.assertEqual(18.4, order1.avg_price)
self.assertEqual(OrdStatus.PARTIALLY_FILLED, order1.status)
self.check_order(self.portfolio, [order1], {1: (1000, 500)})
expected_cash = 100000 - 500 * 18.4
expected_stock_value = 500 * 18.4
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.now('stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.now('total_equity'))
er2 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=2, inst_id=1, last_qty=500, last_price=18.2,
status=OrdStatus.FILLED)
self.app_context.order_mgr.on_exec_report(er2)
self.assertEqual(500, order1.last_qty)
self.assertEqual(18.2, order1.last_price)
self.assertEqual(1000, order1.filled_qty)
self.assertEqual(18.3, order1.avg_price)
self.assertEqual(OrdStatus.FILLED, order1.status)
self.check_order(self.portfolio, [order1], {1: (1000, 1000)})
expected_cash = 100000 - 500 * 18.4 - 500 * 18.2
expected_stock_value = 1000 * 18.2
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.now('stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.now('total_equity'))
def test_exec_report_with_exceed_qty(self):
order = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order.on_exec_report(er1)
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=200,
last_price=18.4,
status=OrdStatus.FILLED)
order.on_exec_report(er2)
er3 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=3,
inst_id=1,
last_qty=100,
last_price=18.4,
status=OrdStatus.FILLED)
with self.assertRaises(Exception) as ex:
order.on_exec_report(er3)
def test_execution_report(self, name, datastore):
persistable = ExecutionReport(broker_id="IB",
ord_id=1,
cl_id=1,
cl_ord_id=1,
inst_id=3,
timestamp=clock.now(),
er_id=None,
last_qty=10,
last_price=10.8,
filled_qty=140,
avg_price=21.2,
commission=18,
status=OrdStatus.NEW)
DataStoreTest.save_load(name, persistable, datastore,
datastore.save_exec_report, 'exec_reports')
def __send_exec_report(self, new_ord_req, last_price, last_qty, ord_status):
commission = self.commission.calc(new_ord_req, last_price, last_qty)
ord_id = self.clordid_ordid_map[new_ord_req.cl_id][new_ord_req.cl_ord_id]
exec_report = ExecutionReport(broker_id=Broker.Simulator,
ord_id=ord_id,
cl_id=new_ord_req.cl_id,
cl_ord_id=new_ord_req.cl_ord_id,
inst_id=new_ord_req.inst_id,
timestamp=self.clock.now(),
er_id=self.next_exec_id(),
last_qty=last_qty,
last_price=last_price,
status=ord_status,
commission=commission)
self.exec_handler.on_exec_report(exec_report)
def execDetails(self, reqId, contract, execution):
"""
int reqId, Contract contract, Execution execution
"""
new_ord_req = self.ord_req_reg.get_ord_req(ord_id=execution.orderId)
if new_ord_req:
self.execution_event_bus.on_next(ExecutionReport(
broker_id=self.ID,
ord_id=execution.orderId,
cl_id=new_ord_req.cl_id,
cl_ord_id=new_ord_req.cl_ord_id,
er_id=execution.execId,
timestamp=self.model_factory.convert_ib_datetime(execution.time),
inst_id=new_ord_req.inst_id,
last_qty=execution.shares,
last_price=execution.price,
filled_qty=execution.cumQty,
avg_price=execution.avgPrice
))
def test_on_market_date_update(self):
ord_req = NewOrderRequest(cl_id='test', cl_ord_id=1, portf_id="test", broker_id="Dummy", inst_id=1,
action=OrdAction.BUY, type=OrdType.LIMIT, qty=1000, limit_price=18.5,
timestamp=0)
order1 = self.portfolio.on_new_ord_req(ord_req)
er1 = ExecutionReport(cl_id='test', cl_ord_id=1, ord_id=1, er_id=1, inst_id=1, last_qty=500, last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED, timestamp=1)
self.app_context.order_mgr.on_exec_report(er1)
expected_cash = 100000 - 500 * 18.4
expected_stock_value = 500 * 18.4
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.get_by_idx(0, 'stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.get_by_idx(0, 'total_equity'))
self.portfolio.on_trade(Trade(inst_id=1, price=20, size=1000, timestamp=2))
expected_cash = 100000 - 500 * 18.4
expected_stock_value = 500 * 20
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.get_by_idx(1, 'stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.get_by_idx(1, 'total_equity'))
self.portfolio.on_bar(Bar(inst_id=1, close=16, adj_close=16, vol=1000, timestamp=3))
expected_cash = 100000 - 500 * 18.4
expected_stock_value = 500 * 16
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.get_by_idx(2, 'stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.get_by_idx(2, 'total_equity'))
self.portfolio.on_quote(Quote(inst_id=1, bid=16, ask=18, timestamp=4))
expected_cash = 100000 - 500 * 18.4
expected_stock_value = 500 * 17
expected_total_equity = expected_cash + expected_stock_value
self.assertEqual(expected_cash, self.portfolio.cash)
self.assertEqual(expected_stock_value, self.portfolio.performance_series.get_by_idx(3, 'stock_value'))
self.assertEqual(expected_total_equity, self.portfolio.performance_series.get_by_idx(3, 'total_equity'))
def test_fill_qty(self):
position = Position(1)
self.assertEquals(0, position.filled_qty())
order1 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5))
position.add_order(order1)
self.assertEquals(0, position.filled_qty())
er1 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=1,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order1.on_exec_report(er1)
position.add_position(er1.cl_id, er1.cl_ord_id, er1.last_qty)
self.assertEquals(500, position.filled_qty())
er2 = ExecutionReport(cl_id='test',
cl_ord_id=1,
ord_id=1,
er_id=2,
inst_id=1,
last_qty=500,
last_price=18.4,
status=OrdStatus.FILLED)
order1.on_exec_report(er2)
position.add_position(er2.cl_id, er2.cl_ord_id, er2.last_qty)
self.assertEquals(1000, position.filled_qty())
order2 = Order(
NewOrderRequest(cl_id='test',
cl_ord_id=2,
inst_id=1,
action=OrdAction.SELL,
type=OrdType.LIMIT,
qty=1200,
limit_price=18.5))
position.add_order(order2)
self.assertEquals(1000, position.filled_qty())
er3 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=3,
inst_id=1,
last_qty=800,
last_price=18.4,
status=OrdStatus.PARTIALLY_FILLED)
order2.on_exec_report(er3)
position.add_position(er3.cl_id, er3.cl_ord_id, er3.last_qty * -1)
self.assertEquals(200, position.filled_qty())
er4 = ExecutionReport(cl_id='test',
cl_ord_id=2,
ord_id=2,
er_id=4,
inst_id=1,
last_qty=400,
last_price=18.4,
status=OrdStatus.FILLED)
order2.on_exec_report(er4)
position.add_position(er4.cl_id, er4.cl_ord_id, er4.last_qty * -1)
self.assertEquals(-200, position.filled_qty())