def testPartialFill(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 2, 11)
self.assertEqual(order.getRemaining(), 11)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
order.addExecutionInfo(broker.OrderExecutionInfo(1, 8, 0, datetime.datetime.now()))
self.assertTrue(order.isPartiallyFilled())
self.assertEqual(order.getRemaining(), 3)
self.assertEqual(order.getFilled(), 8)
self.assertEqual(order.getAvgFillPrice(), 1)
self.assertEqual(order.getExecutionInfo().getQuantity(), 8)
self.assertEqual(order.getExecutionInfo().getPrice(), 1)
order.addExecutionInfo(broker.OrderExecutionInfo(1.5, 1, 0, datetime.datetime.now()))
self.assertTrue(order.isPartiallyFilled())
self.assertEqual(order.getRemaining(), 2)
self.assertEqual(order.getFilled(), 9)
self.assertEqual(round(order.getAvgFillPrice(), 4), round(1.055555556, 4))
self.assertEqual(order.getExecutionInfo().getQuantity(), 1)
self.assertEqual(order.getExecutionInfo().getPrice(), 1.5)
order.addExecutionInfo(broker.OrderExecutionInfo(1.123, 2, 0, datetime.datetime.now()))
self.assertTrue(order.isFilled())
self.assertEqual(order.getRemaining(), 0)
self.assertEqual(order.getFilled(), 11)
self.assertEqual(round(order.getAvgFillPrice(), 4), round(1.067818182, 4))
self.assertEqual(order.getExecutionInfo().getQuantity(), 2)
self.assertEqual(order.getExecutionInfo().getPrice(), 1.123)
def _onUserTrades(self, trades):
for trade in trades:
order = self.__activeOrders.get(trade.getOrderId())
if order is not None:
fee = trade.getFee()
fillPrice = trade.getBTCUSD()
btcAmount = trade.getBTC()
dateTime = trade.getDateTime()
# Update cash and shares.
self.refreshAccountBalance()
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
fillPrice, abs(btcAmount), fee, dateTime)
order.addExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
common.logger.info(
"Trade %d refered to order %d that is not active" %
(trade.getId(), trade.getOrderId()))
def commitOrderExecution(self, order, price, quantity, dateTime): if order.getAction() in [broker.Order.Action.BUY, broker.Order.Action.BUY_TO_COVER]: cost = price * quantity * -1 assert(cost < 0) sharesDelta = quantity elif order.getAction() in [broker.Order.Action.SELL, broker.Order.Action.SELL_SHORT]: cost = price * quantity assert(cost > 0) sharesDelta = quantity * -1 else: # Unknown action assert(False) ret = False commission = self.getCommission().calculate(order, price, quantity) cost -= commission resultingCash = self.getCash() + cost # Check that we're ok on cash after the commission. if resultingCash >= 0: # Commit the order execution. self.setCash(resultingCash) self.__shares[order.getInstrument()] = self.getShares(order.getInstrument()) + sharesDelta ret = True # Update the order. orderExecutionInfo = broker.OrderExecutionInfo(price, quantity, commission, dateTime) order.setExecuted(orderExecutionInfo) return ret
def commitOrderExecution(self, order, dateTime, fillInfo):
if order.getId() is not None:
self.__logger.debug('commitOrderExecution, order[%d] = %s' %
(order.getId(), str(order)))
price = fillInfo.getPrice()
quantity = fillInfo.getQuantity()
if order.isBuy():
cost = price * quantity * -1
assert (cost < 0)
sharesDelta = quantity
elif order.isSell():
cost = price * quantity
assert (cost > 0)
sharesDelta = quantity * -1
else: # Unknown action
assert (False)
commission = self.getCommission().calculate(order, price, quantity)
cost -= commission
resultingCash = self.getCash() + cost
# Check that we're ok on cash after the commission.
if resultingCash >= 0 or self.__allowNegativeCash:
# Update the order before updating internal state since addExecutionInfo may raise.
# addExecutionInfo should switch the order state.
orderExecutionInfo = broker.OrderExecutionInfo(
price, quantity, commission, dateTime)
order.addExecutionInfo(orderExecutionInfo)
# Commit the order execution.
self.__cash = resultingCash
updatedShares = order.getInstrumentTraits().roundQuantity(
self.getShares(order.getInstrument()) + sharesDelta)
if updatedShares == 0:
del self.__shares[order.getInstrument()]
else:
self.__shares[order.getInstrument()] = updatedShares
# Let the strategy know that the order was filled.
self.__fillStrategy.onOrderFilled(self, order)
# Notify the order update
if order.isFilled():
self._unregisterOrder(order)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.FILLED,
orderExecutionInfo))
elif order.isPartiallyFilled():
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.PARTIALLY_FILLED,
orderExecutionInfo))
else:
assert (False)
else:
self.__logger.debug(
'Not enough cash to fill %s order [%s] for %s share/s' %
(order.getInstrument(), order.getId(), order.getRemaining()))
def _onUserTrades(self, msg_dict):
order = self.__activeOrders.get(msg_dict['order_id'])
if order is not None:
commision = self.getInstrumentTraits().getCommission(msg_dict['instrument_id'])
fill_price = msg_dict['price']
volume = msg_dict['volume']
datetime = msg_dict['datetime']
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(fill_price, abs(volume), commision, datetime)
order.addExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(broker.OrderEvent(order, eventType, orderExecutionInfo))
self.__mongo.tradedb.trades.insert_one(msg_dict)
# Update cash and shares.
self.__api.qryAccount()
else:
logger.info("Trade %d refered to order %d that is not active" % (int(msg_dict['trade_id']), int(msg_dict['order_id'])))
def __getFilledMarketOrder(self, quantity, price):
order = backtesting.MarketOrder(broker.Order.Action.BUY,
BaseTestCase.TestInstrument, quantity,
False, broker.IntegerTraits())
order.setState(broker.Order.State.ACCEPTED)
order.addExecutionInfo(
broker.OrderExecutionInfo(price, quantity, 0,
datetime.datetime.now()))
return order
def testCompleteFillInvalidSize(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 1, 1)
with self.assertRaises(Exception):
order.addExecutionInfo(broker.OrderExecutionInfo(1, 1.001, 0, datetime.datetime.now()))
self.assertTrue(order.isAccepted())
self.assertEqual(order.getRemaining(), 1)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
def commitOrderExecution(self, order, dateTime, fillInfo):
instrument = order.getInstrument()
instrumentSymbol = instrument.symbol
priceCurrency = instrument.priceCurrency
# Calculate deltas.
price = fillInfo.getPrice()
quantity = fillInfo.getQuantity()
if order.isBuy():
cost = price * quantity * -1
assert (cost < 0)
baseDelta = quantity
else:
assert order.isSell()
cost = price * quantity
assert (cost > 0)
baseDelta = quantity * -1
# Update the cost with the commission.
commission = self.getCommission().calculate(order, price, quantity)
cost -= commission
baseBalanceFinal = self.getInstrumentTraits().round(
self.getBalance(instrumentSymbol) + baseDelta, instrumentSymbol)
quoteBalanceFinal = self.getInstrumentTraits().round(
self.getBalance(priceCurrency) + cost, priceCurrency)
if quoteBalanceFinal >= 0:
# Update the order before updating internal state since addExecutionInfo may raise.
# addExecutionInfo should switch the order state.
orderExecutionInfo = broker.OrderExecutionInfo(
price, quantity, commission, dateTime)
order.addExecutionInfo(orderExecutionInfo)
# Commit the order execution.
self._balances[priceCurrency] = quoteBalanceFinal
self._balances[instrumentSymbol] = baseBalanceFinal
# Let the strategy know that the order was filled.
self._fillStrategy.onOrderFilled(self, order)
# Notify the order update
if order.isFilled():
self._unregisterOrder(order)
eventType = broker.OrderEvent.Type.FILLED
else:
assert order.isPartiallyFilled(
), "Order was neither filled completely nor partially"
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
action = "buy" if order.isBuy() else "sell"
self._logger.debug("Not enough %s to %s %s %s [order %s]" %
(priceCurrency, action, order.getQuantity(),
instrumentSymbol, order.getId()))
def __getFilledMarketOrder(self, quantity, price):
order = backtesting.MarketOrder(
broker.Order.Action.BUY,
INSTRUMENT,
quantity,
False,
backtesting.DefaultInstrumentTraits()
)
order.setState(broker.Order.State.ACCEPTED)
order.addExecutionInfo(broker.OrderExecutionInfo(price, quantity, 0, datetime.datetime.now()))
return order
def testCompleteFill(self):
order = self.__buildAcceptedLimitOrder(broker.Order.Action.BUY, 1, 1)
self.assertEqual(order.getRemaining(), 1)
self.assertEqual(order.getFilled(), 0)
self.assertEqual(order.getAvgFillPrice(), None)
self.assertEqual(order.getExecutionInfo(), None)
order.addExecutionInfo(broker.OrderExecutionInfo(0.9, 1, 0, datetime.datetime.now()))
self.assertTrue(order.isFilled())
self.assertEqual(order.getRemaining(), 0)
self.assertEqual(order.getFilled(), 1)
self.assertEqual(order.getAvgFillPrice(), 0.9)
def commitOrderExecution(self, order, dateTime, fillInfo):
price = fillInfo.getPrice()
quantity = fillInfo.getQuantity()
if order.isBuy():
cost = price * quantity * -1
assert (cost < 0)
sharesDelta = quantity
elif order.isSell():
cost = price * quantity
assert (cost > 0)
sharesDelta = quantity * -1
else: # Unknown action
assert (False)
commission = self.getCommission().calculate(order, price, quantity)
cost -= commission
resultingCash = self.getCash() + cost
# Check that we're ok on cash after the commission.
if resultingCash >= 0 or self.__allowNegativeCash:
# Update the order before updating internal state since addExecutionInfo may raise.
# addExecutionInfo should switch the order state.
orderExecutionInfo = broker.OrderExecutionInfo(
price, quantity, commission, dateTime)
order.addExecutionInfo(orderExecutionInfo)
# Commit the order execution.
self.__cash = resultingCash
self.__shares[order.getInstrument()] = self.getShares(
order.getInstrument()) + sharesDelta
# Let the strategy know that the order was filled.
self.__fillStrategy.onOrderFilled(order)
# Notify the order update
if order.isFilled():
del self.__activeOrders[order.getId()]
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.FILLED,
orderExecutionInfo))
elif order.isPartiallyFilled():
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.PARTIALLY_FILLED,
orderExecutionInfo))
else:
assert (False)
else:
self.__logger.debug("Not enough money to fill order %s" % (order))
def __orderStatusHandler(self, msg):
order = self.__activeOrders.get(msg.orderId)
if order == None:
return
#watch out for dupes - don't submit state changes or events if they were already submitted
eventType = None
if msg.status == 'Filled' and order.getState(
) != broker.Order.State.FILLED:
eventType = broker.OrderEvent.Type.FILLED
self._unregisterOrder(order)
#order.setState(broker.Order.State.FILLED)
if msg.status == 'Submitted' and msg.filled > 0:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
#may already be partially filled
#if order.getState() != broker.Order.State.PARTIALLY_FILLED:
# order.setState(broker.Order.State.PARTIALLY_FILLED)
if msg.status == 'Cancelled' and order.getState(
) != broker.Order.State.CANCELED:
#self._unregisterOrder(order)
eventType = broker.OrderEvent.Type.CANCELED
#order.setState(broker.Order.State.CANCELED)
self._unregisterOrder(order)
order.switchState(broker.Order.State.CANCELED)
# Notify that the order was canceled.
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.CANCELED,
"User requested cancellation"))
orderExecutionInfo = None
if eventType == broker.OrderEvent.Type.FILLED or eventType == broker.OrderEvent.Type.PARTIALLY_FILLED:
orderExecutionInfo = broker.OrderExecutionInfo(
msg.avgFillPrice, abs(msg.filled), 0, datetime.datetime.now())
order.addExecutionInfo(orderExecutionInfo)
if order.isFilled():
#self._unregisterOrder(order)
self.notifyOrderEvent(
broker.OrderEvent(order, broker.OrderEvent.Type.FILLED,
orderExecutionInfo))
elif order.isPartiallyFilled():
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.PARTIALLY_FILLED,
orderExecutionInfo))
def _onUserTrades(self, trades):
ret = False
for trade in trades:
order = self.__activeOrders.get(trade.getOrderId())
if order is not None:
filled = order.getFilled()
avgPrice = order.getAvgFillPrice()
newQuantity = trade.getBTC() - filled
if order.isBuy():
newQuantity -= trade.getFee()
newQuantity = liveUtils.CoinRound(newQuantity)
if newQuantity == 0:
continue
ret = True
newFillPrice = trade.getBTCUSD()
if avgPrice is not None:
newFillPrice = (newFillPrice * trade.getBTC() -
order.getFilled() * avgPrice) / newQuantity
newFee = trade.getFee() - order.getCommissions()
newDateTime = trade.getDateTime()
logger.info('newTrade: price:%f btc:%f fee:%s time:%s' %
(newFillPrice, newQuantity, newFee, newDateTime))
# Update cash and shares.
self.refreshAccountBalance()
# Update the order.
orderExecutionInfo = broker.OrderExecutionInfo(
newFillPrice, abs(newQuantity), newFee, newDateTime)
order.addExecutionInfo(orderExecutionInfo)
if trade.isFilled():
order.setState(order.State.FILLED)
# order.updateExecutionInfo(orderExecutionInfo)
if not order.isActive():
self._unregisterOrder(order)
# Notify that the order was updated.
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
self.notifyOrderEvent(
broker.OrderEvent(order, eventType, orderExecutionInfo))
else:
logger.info("Trade refered to order %d that is not active" %
(trade.getOrderId()))
return ret
def _order_filled(self, trade, order):
fee = trade.get_fee()
# 获取成交价
fillPrice = float(trade.get_avg_price())
# 获取成交量
btcAmount = float(trade.get_amount_original())
# 获取交易时间
dateTime = trade.get_datetime()
exe_info = broker.OrderExecutionInfo(fillPrice, abs(btcAmount), fee,
dateTime)
order.addExecutionInfo(exe_info)
if order.isFilled():
eventType = broker.OrderEvent.Type.FILLED
else:
eventType = broker.OrderEvent.Type.PARTIALLY_FILLED
if not order.isActive():
self._unregisterOrder(order)
self.notifyOrderEvent(broker.OrderEvent(order, eventType, exe_info))
def onExecution(self, data):
order = self.__activeOrders.get(data.getId())
if order is not None:
self.onOrder(data)
if order.isSubmitted():
try:
order.switchState(broker.Order.State.ACCEPTED)
self.notifyOrderEvent(
broker.OrderEvent(order,
broker.OrderEvent.Type.ACCEPTED,
None))
except Exception as e:
common.logger.info('onExecution accept: ' + str(e))
fee = 0
fillPrice = data.getPrice()
btcAmount = data.getFilledQty()
dateTime = data.getDateTime()
old_state = order.getState()
# Update the order.
if btcAmount > 0 and (
order.getExecutionInfo() is None or order.getExecutionInfo().getDateTime() != dateTime) and 'Trade' in \
data.getData().get('execType', 'Trade'):
self.updateCash(order, fillPrice, btcAmount)
orderExecutionInfo = broker.OrderExecutionInfo(
fillPrice, btcAmount, fee, dateTime)
order.addExecutionInfo(orderExecutionInfo)
if data.getData()['ordStatus'] == 'New' and data.getFilledQty(
) == 0:
new_state = broker.Order.State.ACCEPTED
orderExecutionInfo = "New"
elif order.isFilled():
new_state = broker.Order.State.FILLED
elif order.getFilled() != 0:
new_state = broker.Order.State.PARTIALLY_FILLED
elif data.getData()['ordStatus'] in ['Canceled', 'Rejected'
] and order.getFilled() == 0:
new_state = broker.Order.State.CANCELED
orderExecutionInfo = data.getData()['text']
else:
common.logger.error('onExecution', data.getData()['ordStatus'])
try:
if new_state != order.getState():
order.switchState(new_state)
except Exception as e:
common.logger.info('onExecution switchstate: ' + str(e))
if old_state != order.getState():
try:
self.notifyOrderEvent(
broker.OrderEvent(order, new_state - 1,
orderExecutionInfo))
except Exception as e:
common.logger.error('onExecution notifyOrderEvent: ' +
str(e))
self.notifyOrderEvent(
broker.OrderEvent(order, new_state - 1,
orderExecutionInfo))
if not order.isActive() and order.getId() in self.__activeOrders:
self._unregisterOrder(order)
