def test_historical_bar_market_order(self):
listeners = AsyncListeners()
with IQFeedHistoryProvider() as provider:
f = BarsFilter(ticker=["GOOG", "AAPL", "IBM"], interval_len=60, interval_type='s', max_bars=20)
data = provider.request_data(f, sync_timestamps=False).swaplevel(0, 1).sort_index()
dre = DataReplayEvents(listeners=listeners,
data_replay=DataReplay().add_source([data], 'data', historical_depth=5),
event_name='bar')
order_request_events = SyncListeners()
me = MockExchange(listeners=listeners,
order_requests_event_stream=order_request_events,
bar_event_stream=dre.event_filter_by_source('data'),
order_processor=StaticSlippageLoss(0.1),
commission_loss=PerShareCommissionLoss(0.1))
fulfilled_orders = me.fulfilled_orders_stream()
e1 = threading.Event()
fulfilled_orders += lambda x: e1.set() if x.symbol == 'GOOG' else None
e2 = threading.Event()
fulfilled_orders += lambda x: e2.set() if x.symbol == 'AAPL' else None
e3 = threading.Event()
fulfilled_orders += lambda x: e3.set() if x.symbol == 'IBM' else None
o1 = MarketOrder(Type.BUY, 'GOOG', 1)
order_request_events(o1)
o2 = MarketOrder(Type.BUY, 'AAPL', 3)
order_request_events(o2)
o3 = MarketOrder(Type.SELL, 'IBM', 1)
order_request_events(o3)
dre.start()
e1.wait()
e2.wait()
e3.wait()
self.assertEqual(o1.obtained_quantity, 1)
self.assertGreater(o1.cost, 0)
self.assertIsNotNone(o1.fulfill_time)
self.assertEqual(o2.obtained_quantity, 3)
self.assertGreater(o2.cost, 0)
self.assertIsNotNone(o2.fulfill_time)
self.assertEqual(o3.obtained_quantity, 1)
self.assertGreater(o3.cost, 0)
self.assertIsNotNone(o3.fulfill_time)
def test_bar_market_order(self):
listeners = AsyncListeners()
with IQFeedBarDataListener(interval_len=300, mkt_snapshot_depth=10, listeners=listeners) as bars:
order_request_events = SyncListeners()
me = MockExchange(listeners=listeners,
order_requests_event_stream=order_request_events,
bar_event_stream=bars.all_full_bars_event_stream(),
order_processor=StaticSlippageLoss(0.1),
commission_loss=PerShareCommissionLoss(0.1))
fulfilled_orders = me.fulfilled_orders_stream()
e1 = threading.Event()
fulfilled_orders += lambda x: e1.set() if x.symbol == 'GOOG' else None
e2 = threading.Event()
fulfilled_orders += lambda x: e2.set() if x.symbol == 'AAPL' else None
e3 = threading.Event()
fulfilled_orders += lambda x: e3.set() if x.symbol == 'IBM' else None
bars.watch_bars('GOOG')
bars.watch_bars('AAPL')
bars.watch_bars('IBM')
o1 = MarketOrder(Type.BUY, 'GOOG', 1)
order_request_events(o1)
o2 = MarketOrder(Type.BUY, 'AAPL', 3)
order_request_events(o2)
o3 = MarketOrder(Type.SELL, 'IBM', 1)
order_request_events(o3)
e1.wait()
e2.wait()
e3.wait()
self.assertEqual(o1.obtained_quantity, 1)
self.assertGreater(o1.cost, 0)
self.assertIsNotNone(o1.fulfill_time)
self.assertEqual(o2.obtained_quantity, 3)
self.assertGreater(o2.cost, 0)
self.assertIsNotNone(o2.fulfill_time)
self.assertEqual(o3.obtained_quantity, 1)
self.assertGreater(o3.cost, 0)
self.assertIsNotNone(o3.fulfill_time)
def test_stop_limit_order(self):
listeners = AsyncListeners()
with IQFeedLevel1Listener(listeners=listeners) as level_1:
order_request_events = SyncListeners()
me = MockExchange(listeners=listeners,
order_requests_event_stream=order_request_events,
tick_event_stream=level_1.all_level_1_filter(),
order_processor=StaticSlippageLoss(0.1),
commission_loss=PerShareCommissionLoss(0.1))
fulfilled_orders = me.fulfilled_orders_stream()
e1 = threading.Event()
fulfilled_orders += lambda x: e1.set() if x.symbol == 'GOOG' else None
e2 = threading.Event()
fulfilled_orders += lambda x: e2.set() if x.symbol == 'AAPL' else None
e3 = threading.Event()
fulfilled_orders += lambda x: e3.set() if x.symbol == 'IBM' else None
level_1.watch('GOOG')
level_1.watch('AAPL')
level_1.watch('IBM')
o1 = StopLimitOrder(Type.BUY, 'GOOG', 1, 99999, 1)
order_request_events(o1)
o2 = StopLimitOrder(Type.BUY, 'AAPL', 3, 99999, 1)
order_request_events(o2)
o3 = StopLimitOrder(Type.SELL, 'IBM', 1, 1, 99999)
order_request_events(o3)
e1.wait()
e2.wait()
e3.wait()
self.assertEqual(o1.obtained_quantity, 1)
self.assertGreater(o1.cost, 0)
self.assertIsNotNone(o1.fulfill_time)
self.assertEqual(o2.obtained_quantity, 3)
self.assertGreater(o2.cost, 0)
self.assertIsNotNone(o2.fulfill_time)
self.assertEqual(o3.obtained_quantity, 1)
self.assertGreater(o3.cost, 0)
self.assertIsNotNone(o3.fulfill_time)
def add_mock_exchange(listeners,
order_requests_stream,
bar_event_stream,
slippage_loss_ratio: float = None,
commission_per_share: float = None):
"""
Append mock exchange
:param listeners: listeners environment
:param order_requests_stream: event stream for order requests
:param bar_event_stream: event stream for bar data
:param slippage_loss_ratio: ratio for slippage loss
:param commission_per_share: broker tax per share
"""
return MockExchange(
listeners=listeners,
order_requests_event_stream=order_requests_stream,
bar_event_stream=bar_event_stream,
order_processor=StaticSlippageLoss(slippage_loss_ratio)
if slippage_loss_ratio is not None else None,
commission_loss=PerShareCommissionLoss(commission_per_share)
if commission_per_share is not None else None)
def test_historical_bar_mock_orders(self):
with IQFeedHistoryProvider() as provider:
listeners = AsyncListeners()
f = BarsFilter(ticker=["GOOG", "AAPL", "IBM"],
interval_len=60,
interval_type='s',
max_bars=5)
data = provider.request_data(f, sync_timestamps=False).swaplevel(
0, 1).sort_index()
dre = DataReplayEvents(listeners=listeners,
data_replay=DataReplay().add_source(
[data], 'data', historical_depth=5),
event_name='bar')
bars = dre.event_filter_by_source('data')
order_request_events = SyncListeners()
me = MockExchange(listeners=listeners,
order_requests_event_stream=order_request_events,
bar_event_stream=bars,
order_processor=StaticSlippageLoss(0.1),
commission_loss=PerShareCommissionLoss(0.1))
pm = PortfolioManager(
listeners=listeners,
initial_capital=10000,
bar_event_stream=bars,
fulfilled_orders_event_stream=me.fulfilled_orders_stream())
portfolio_updates = pm.portfolio_updates_stream()
o1 = StopLimitOrder(Type.BUY, 'GOOG', 1, 99999, 1)
o2 = StopLimitOrder(Type.BUY, 'AAPL', 3, 99999, 1)
o3 = StopLimitOrder(Type.BUY, 'IBM', 1, 99999, 1)
o4 = StopLimitOrder(Type.SELL, 'AAPL', 1, 1, 99999)
order_request_events(o1)
order_request_events(o2)
order_request_events(o3)
order_request_events(o4)
e1 = threading.Event()
portfolio_updates += lambda x: e1.set(
) if 'GOOG' in x.symbols else None
e2 = threading.Event()
portfolio_updates += lambda x: e2.set(
) if 'AAPL' in x.symbols else None
e3 = threading.Event()
portfolio_updates += lambda x: e3.set(
) if 'IBM' in x.symbols else None
dre.start()
e1.wait()
e2.wait()
e3.wait()
self.assertLess(pm.capital, pm.initial_capital)
self.assertTrue('GOOG' in pm.symbols)
self.assertTrue('AAPL' in pm.symbols)
self.assertTrue('IBM' in pm.symbols)
self.assertEqual(pm.quantity('GOOG'), 1)
self.assertEqual(pm.quantity('AAPL'), 2)
self.assertEqual(pm.quantity('IBM'), 1)
self.assertGreater(pm.value('GOOG'), 0)
self.assertGreater(pm.value('AAPL'), 0)
self.assertGreater(pm.value('IBM'), 0)
def test_mock_orders(self):
listeners = SyncListeners()
with IQFeedLevel1Listener(listeners=listeners) as level1:
order_request_events = SyncListeners()
me = MockExchange(listeners=listeners,
order_requests_event_stream=order_request_events,
tick_event_stream=level1.all_level_1_filter(),
order_processor=StaticSlippageLoss(0.1),
commission_loss=PerShareCommissionLoss(0.1))
pm = PortfolioManager(
listeners=listeners,
initial_capital=10000,
tick_event_stream=level1.all_level_1_filter(),
fulfilled_orders_event_stream=me.fulfilled_orders_stream())
e1 = threading.Event()
portfolio_updates = pm.portfolio_updates_stream()
portfolio_updates += lambda x: e1.set(
) if 'GOOG' in x.symbols else None
e2 = threading.Event()
portfolio_updates += lambda x: e2.set(
) if 'AAPL' in x.symbols else None
e3 = threading.Event()
portfolio_updates += lambda x: e3.set(
) if 'IBM' in x.symbols else None
o1 = StopLimitOrder(Type.BUY, 'GOOG', 1, 99999, 1)
order_request_events(o1)
o2 = StopLimitOrder(Type.BUY, 'AAPL', 3, 99999, 1)
order_request_events(o2)
o3 = StopLimitOrder(Type.BUY, 'IBM', 1, 99999, 1)
order_request_events(o3)
o4 = StopLimitOrder(Type.SELL, 'AAPL', 1, 1, 99999)
order_request_events(o4)
level1.watch('GOOG')
level1.watch('AAPL')
level1.watch('IBM')
e1.wait()
e2.wait()
e3.wait()
self.assertLess(pm.capital, pm.initial_capital)
self.assertTrue('GOOG' in pm.symbols)
self.assertTrue('AAPL' in pm.symbols)
self.assertTrue('IBM' in pm.symbols)
self.assertEqual(pm.quantity('GOOG'), 1)
self.assertEqual(pm.quantity('AAPL'), 2)
self.assertEqual(pm.quantity('IBM'), 1)
self.assertGreater(pm.value('GOOG'), 0)
self.assertGreater(pm.value('AAPL'), 0)
self.assertGreater(pm.value('IBM'), 0)