def test_can_flatten_all_positions(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
order2 = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
position_id1 = strategy.position_id_generator.generate()
position_id2 = strategy.position_id_generator.generate()
strategy.submit_order(order1, position_id1)
strategy.submit_order(order2, position_id2)
# Act
strategy.flatten_all_positions()
# Assert
self.assertEqual(order1, strategy.orders()[order1.id])
self.assertEqual(order2, strategy.orders()[order2.id])
self.assertEqual(OrderState.FILLED, strategy.orders()[order1.id].state)
self.assertEqual(OrderState.FILLED, strategy.orders()[order2.id].state)
self.assertEqual(MarketPosition.FLAT,
strategy.positions()[position_id1].market_position)
self.assertEqual(MarketPosition.FLAT,
strategy.positions()[position_id2].market_position)
self.assertTrue(strategy.positions()[position_id1].is_closed)
self.assertTrue(strategy.positions()[position_id2].is_closed)
self.assertTrue(position_id1 in strategy.positions_closed())
self.assertTrue(position_id2 in strategy.positions_closed())
self.assertTrue(strategy.is_flat())
def test_can_cancel_all_orders(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order1 = strategy.order_factory.stop(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.003, 3))
order2 = strategy.order_factory.stop(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.005, 3))
position_id = strategy.position_id_generator.generate()
strategy.submit_order(order1, position_id)
strategy.submit_order(order2, position_id)
# Act
strategy.cancel_all_orders()
# Assert
self.assertEqual(order1, strategy.orders()[order1.id])
self.assertEqual(order2, strategy.orders()[order2.id])
self.assertEqual(OrderState.CANCELLED,
strategy.orders()[order1.id].state)
self.assertEqual(OrderState.CANCELLED,
strategy.orders()[order2.id].state)
self.assertTrue(order1.id in strategy.orders_completed())
self.assertTrue(order2.id in strategy.orders_completed())
def test_strategy_can_submit_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.market(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000))
# Act
strategy.submit_order(order, strategy.position_id_generator.generate())
# Assert
self.assertEqual(order, strategy.orders()[order.id])
self.assertEqual(OrderState.FILLED, strategy.orders()[order.id].state)
self.assertTrue(order.id not in strategy.orders_working())
self.assertTrue(order.id in strategy.orders_completed())
self.assertTrue(strategy.order_exists(order.id))
self.assertFalse(strategy.is_order_working(order.id))
self.assertTrue(strategy.is_order_completed(order.id))
def test_can_modify_order(self):
# Arrange
strategy = TradingStrategy(order_id_tag='001')
self.exec_engine.register_strategy(strategy)
order = strategy.order_factory.limit(USDJPY_FXCM, OrderSide.BUY,
Quantity(100000),
Price(90.001, 3))
strategy.submit_order(order, strategy.position_id_generator.generate())
# Act
strategy.modify_order(order, Quantity(110000), Price(90.002, 3))
# Assert
self.assertEqual(order, strategy.orders()[order.id])
self.assertEqual(OrderState.WORKING, strategy.orders()[order.id].state)
self.assertEqual(Quantity(110000),
strategy.orders()[order.id].quantity)
self.assertEqual(Price(90.002, 3), strategy.orders()[order.id].price)
self.assertTrue(strategy.is_flat())
self.assertTrue(strategy.order_exists(order.id))
self.assertTrue(strategy.is_order_working(order.id))
self.assertFalse(strategy.is_order_completed(order.id))