def test_bar_processor(self):
config = SimConfig()
processor = BarProcessor()
order = ModelFactory.build_new_order_request(timestamp=0, cl_id='test', cl_ord_id="1", inst_id="1", action=Buy,
type=Limit,
qty=1000, limit_price=18.5)
bar = ModelFactory.build_bar(timestamp=0, inst_id="1", open=18, high=19, low=17, close=17.5, vol=1000)
self.assertEqual(17.5, processor.get_price(order, bar, config))
self.assertEqual(1000, processor.get_qty(order, bar, config))
config2 = SimConfig(fill_on_bar_mode=SimConfig.FillMode.NEXT_OPEN)
self.assertEqual(18, processor.get_price(order, bar, config2))
self.assertEqual(1000, processor.get_qty(order, bar, config2))
def test_bar_processor(self):
config = SimConfig()
processor = BarProcessor()
order = NewOrderRequest(cl_id='test',
cl_ord_id=1,
inst_id=1,
action=OrdAction.BUY,
type=OrdType.LIMIT,
qty=1000,
limit_price=18.5)
bar = Bar(open=18, high=19, low=17, close=17.5, vol=1000)
self.assertEqual(17.5, processor.get_price(order, bar, config))
self.assertEqual(1000, processor.get_qty(order, bar, config))
config2 = SimConfig(fill_on_bar_mode=SimConfig.FillMode.NEXT_OPEN)
self.assertEqual(18, processor.get_price(order, bar, config2))
self.assertEqual(1000, processor.get_qty(order, bar, config2))
