def handle_data(self, data, ctx):
new_orders = []
quantity = .05
price = data.get('close', self.asset.symbol, ctx.exchange.id)
current_time = data.get('utc')
if random.random() > 0.5:
order = order_manager.build_limit_buy_order(
balance=ctx.record.portfolio.balance,
exchange=ctx.exchange,
asset=self.asset,
quantity=quantity,
price=price,
current_time=current_time)
new_orders.append(order)
elif ctx.record.balance.get(
self.asset.base)[BalanceType.FREE] > quantity:
order = order_manager.build_market_sell_order(
balance=ctx.record.portfolio.balance,
exchange=ctx.exchange,
asset=self.asset,
quantity=quantity,
current_time=current_time)
new_orders.append(order)
# Optionally cancel pending orders (LIVE trading)
#pending_orders = ctx.exchange.fetch_open_orders(asset)
cancel_ids = []
# Add Metrics and OHLCV to Record
self.update_metric('SMA', 5.0, ctx)
self.update_metric('RSI', 10.0, ctx)
self.update_ohlcv(data, ctx)
print(current_time)
self.log_all(new_orders, data, ctx, current_time)
return {'new_orders': new_orders, 'cancel_ids': cancel_ids}
def test_new_long_position_buy(self, portfolio, paperexchange, asset):
quantity = 1.0
price = 10000.0
time = paperexchange.data_provider.get_time()
print("START TIME = {}".format(time))
buy_order = build_limit_buy_order(portfolio.balance, paperexchange,
asset, quantity, price, time)
updated_orders = process_orders(paperexchange, portfolio.balance,
[buy_order])
# Pre portfolio update:
assert portfolio.cash == 20000
assert portfolio.total_value == 20000
latest_prices = {asset.symbol: 10000}
print("updated_order trade time {}".format(
updated_orders[0].trades[0].trade_time))
portfolio.update(time, updated_orders, latest_prices)
portfolio.update_performance(
time, time + paperexchange.data_provider.feed.timeframe.delta)
assert portfolio.cash == 10000
assert portfolio.positions_value == 10000
# cash + positions_value = total value
assert portfolio.total_value == 20000
assert portfolio.positions[0].cost_price == 10000
assert portfolio.positions[0].market_value == 10000
assert portfolio.perf.pnl == 0.0
def test_update_with_failed_order_buy(self, balance, paperexchange, asset):
# resetting the balance
balance = deepcopy(balance)
balance.update(coins.BTC, 10, 0.0)
# Setting quote funds to a Created order state
balance.update(coins.USDT, 9, 1)
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 10.0
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 10.0
quantity = 1.0
price = 1.0
start_time = paperexchange.data_provider.get_time()
order = build_limit_buy_order(balance, paperexchange, asset, quantity,
price, start_time)
# Updating the order status to failed
order.status = OrderStatus.FAILED
balance.update_with_failed_order(order)
# No change to BTC on a 0 trade failed order
assert balance.get(coins.BTC)[BalanceType.FREE] == 10.0
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 10.0
assert balance.get(coins.BTC)[BalanceType.USED] == 0.0
# Quote funds move back to Free from used
assert balance.get(coins.USDT)[BalanceType.FREE] == 10.0
assert balance.get(coins.USDT)[BalanceType.USED] == 0.0
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 10.0
def test_insufficient_balance(self, paperexchange, asset, balance):
quantity = 1.0
price = 11000.0
start_time = paperexchange.data_provider.get_time()
buy_order = om.build_limit_buy_order(balance, paperexchange, asset,
quantity, price, start_time)
assert buy_order.status == OrderStatus.FAILED
def test_get_created_order(self, paperexchange, asset, balance):
quantity = 1.0
price = 10000.0
start_time = paperexchange.data_provider.get_time()
order = om.build_limit_buy_order(balance, paperexchange, asset,
quantity, price, start_time)
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 20000
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 0.0
assert om.get_created_orders([order]) == [order]
def test_order_manager(self, paperexchange, asset, balance):
quantity = 1.0
price = 10000.0
start_time = paperexchange.data_provider.get_time()
buy_order = om.build_limit_buy_order(balance, paperexchange, asset,
quantity, price, start_time)
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 20000
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 0.0
updated_orders = om.process_orders(paperexchange, balance, [buy_order])
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 20000
assert balance.get(coins.USDT)[BalanceType.FREE] == 10000
assert balance.get(coins.USDT)[BalanceType.USED] == 10000
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 0.0
print("updated orders: ", updated_orders)
def test_existing_long_position_buy(self, portfolio, paperexchange, asset):
quantity = 1.0
price = 9000
time = paperexchange.data_provider.get_time()
buy_order = build_limit_buy_order(portfolio.balance, paperexchange,
asset, quantity, price, time)
updated_orders = process_orders(paperexchange, portfolio.balance,
[buy_order])
latest_prices = {asset.symbol: 9000}
portfolio.update(time, updated_orders, latest_prices)
portfolio.update_performance(
time, time + paperexchange.data_provider.feed.timeframe.delta)
assert portfolio.cash == 1000
assert portfolio.positions_value == 18000
# cash + positions_value == total_value
assert portfolio.total_value == 19000
assert portfolio.positions[0].cost_price == 9500
assert portfolio.positions[0].market_value == 18000
assert portfolio.positions[0].cost_value == 19000
# position.market_value - position.cost_value = pnl
assert portfolio.perf.pnl == -1000 # price went down
def test_update_with_created_order_buy(self, balance, paperexchange,
asset):
balance = deepcopy(balance)
balance.update(coins.BTC, 10, 0.0)
balance.update(coins.USDT, 10, 0.0)
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 10.0
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 10.0
quantity = 1.0
price = 1.0
start_time = paperexchange.data_provider.get_time()
order = build_limit_buy_order(balance, paperexchange, asset, quantity,
price, start_time)
balance.update_with_created_order(order)
# No change to BTC on created buy order
assert balance.get(coins.BTC)[BalanceType.FREE] == 10.0
assert balance.get(coins.BTC)[BalanceType.TOTAL] == 10.0
assert balance.get(coins.BTC)[BalanceType.USED] == 0.0
# 1 USDT FREE balance should move into USED
assert balance.get(coins.USDT)[BalanceType.FREE] == 9.0
assert balance.get(coins.USDT)[BalanceType.USED] == 1.0
assert balance.get(coins.USDT)[BalanceType.TOTAL] == 10.0
