def test_on_fill(mock_trade_class, mock_exchange_class, fill_listener): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(fill_listener) order.execute(exchange) trade = mock_trade_class.return_value trade.size = 3997.00 trade.commission = 3.00 * USD assert not fill_listener.listened order.fill(exchange, trade) assert fill_listener.listened
def test_on_complete(mock_trade_class, mock_exchange_class, complete_listener): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" exchange.name = "coinbase" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_name="coinbase", side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(complete_listener) order.execute(exchange) trade = mock_trade_class.return_value trade.size = 5217.00 trade.commission = 3.00 * USD order.fill(exchange, trade) assert not complete_listener.listened order.complete(exchange) assert complete_listener.listened
def get_order(self, action: int, exchange: 'Exchange', portfolio: 'Portfolio') -> Order: if action == 0: return None (side, pair, criteria, size) = self._actions[action] instrument = pair.base if side == TradeSide.BUY else pair.quote wallet = portfolio.get_wallet(exchange.id, instrument=instrument) price = exchange.quote_price(instrument) size = min(wallet.balance.size, (wallet.balance.size * size)) if size < 10**-instrument.precision: return None quantity = size * instrument order = Order(side=side, trade_type=self._trade_type, pair=pair, price=price, quantity=quantity, portfolio=portfolio, criteria=criteria) if self._order_listener is not None: order.attach(self._order_listener) return order
def test_on_complete(mock_trade_class, mock_exchange_class, complete_listener): exchange = mock_exchange_class.return_value exchange.options = ExchangeOptions() exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.clock = mock.Mock() exchange.clock.step = 0 exchange.quote_price = mock.Mock(return_value=Decimal(7000.00)) wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) order.attach(complete_listener) order.execute() trade = mock_trade_class.return_value trade.size = Decimal(5197.00) trade.quantity = trade.size * USD trade.commission = 3.00 * USD order.fill(trade) assert not complete_listener.listened order.complete() assert complete_listener.listened
def test_on_cancel(mock_exchange_class, cancel_listener): exchange = mock_exchange_class.return_value exchange.options = ExchangeOptions() exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.clock = mock.Mock() exchange.clock.step = 0 exchange.quote_price = mock.Mock(return_value=Decimal(7000.00)) wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) order.attach(cancel_listener) assert not cancel_listener.listened order.cancel() assert cancel_listener.listened
def test_fill(mock_order_listener_class, mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value listener.on_fill = mock.Mock(return_value=None) order.attach(listener) order.execute(exchange) trade = mock_trade_class.return_value trade.size = 3997.00 trade.commission = 3.00 * USD assert order.status == OrderStatus.OPEN order.fill(exchange, trade) assert order.status == OrderStatus.PARTIALLY_FILLED assert order.remaining_size == 1200.00 listener.on_fill.assert_called_once_with(order, exchange, trade)
def get_order(self, action: int, portfolio: 'Portfolio') -> Order: if action == 0: return None (exchange_pair, (criteria, proportion, duration, side)) = self.actions[action] instrument = side.instrument(exchange_pair.pair) wallet = portfolio.get_wallet(exchange_pair.exchange.id, instrument=instrument) balance = wallet.balance.as_float() size = (balance * proportion) size = min(balance, size) quantity = (size * instrument).quantize() if size < 10 ** -instrument.precision: return None order = Order(step=self.clock.step, side=side, trade_type=self._trade_type, exchange_pair=exchange_pair, price=exchange_pair.price, quantity=quantity, criteria=criteria, end=self.clock.step + duration if duration else None, portfolio=portfolio) if self._order_listener is not None: order.attach(self._order_listener) return order
def test_detach(mock_exchange_class, mock_order_listener_class): exchange = mock_exchange_class.return_value exchange.options = ExchangeOptions() exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.clock = mock.Mock() exchange.clock.step = 0 wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5000.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) listener = mock_order_listener_class.return_value order.attach(listener) assert len(order._listeners) == 1 assert listener in order._listeners order.detach(listener) assert len(order._listeners) == 0 assert listener not in order._listeners
def test_on_fill(mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" broker = Broker(exchange) wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(broker) order.execute(exchange) broker._executed[order.id] = order trade = mock_trade_class.return_value trade.size = 5197.00 trade.commission = 3.00 * USD trade.order_id = order.id assert order.status == OrderStatus.OPEN order.fill(exchange, trade) assert order.status == OrderStatus.FILLED assert order.remaining_size == 0 assert trade in broker.trades[order.id]
def get_order(self, action: int, portfolio: 'Portfolio') -> Order: if action == 0: return None ((exchange, pair), (criteria, prop, duration, side)) = self.actions[action] price = exchange.quote_price(pair) instrument = side.instrument(pair) wallet = portfolio.get_wallet(exchange.id, instrument=instrument) size = (wallet.balance.size * prop) size = min(wallet.balance.size, size) if size < 10**-instrument.precision: return None order = Order(step=self.clock.step, exchange_name=exchange.name, side=side, trade_type=self._trade_type, pair=pair, price=price, quantity=(size * instrument), criteria=criteria, end=self.clock.step + duration if duration else None, portfolio=portfolio) if self._order_listener is not None: order.attach(self._order_listener) return order
def test_execute(mock_order_listener_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value listener.on_execute = mock.Mock(return_value=None) order.attach(listener) assert order.status == OrderStatus.PENDING order.execute(exchange) assert order.status == OrderStatus.OPEN wallet_usd = portfolio.get_wallet(exchange.id, USD) wallet_btc = portfolio.get_wallet(exchange.id, BTC) assert wallet_usd.balance == 4800 * USD assert wallet_usd.locked_balance == 5200 * USD assert order.path_id in wallet_usd.locked.keys() assert wallet_btc.balance == 0 * BTC listener.on_execute.assert_called_once_with(order, exchange)
def get_order(self, action: int, portfolio: 'Portfolio') -> Order: if action == 0: return None ((exchange, pair), (side, criteria, size)) = self.actions[action] instrument = side.instrument(pair) wallet = portfolio.get_wallet(exchange.id, instrument=instrument) price = exchange.quote_price(pair) size = min(wallet.balance.size, (wallet.balance.size * size)) if size < 10**-instrument.precision: return None quantity = size * instrument order = Order(step=exchange.clock.step, side=side, trade_type=self._trade_type, pair=pair, price=price, quantity=quantity, portfolio=portfolio, criteria=criteria) if self._order_listener is not None: order.attach(self._order_listener) return order
def test_cancel(mock_order_listener_class, mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_name="coinbase", side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value listener.on_cancel = mock.Mock(return_value=None) order.attach(listener) order.execute(exchange) # Execute fake trade price = 7010.00 scale = order.price / price commission = 3.00 * USD trade = mock_trade_class.return_value trade.size = scale * order.size - commission.size trade.price = price trade.commission = commission base_wallet = portfolio.get_wallet(exchange.id, USD) quote_wallet = portfolio.get_wallet(exchange.id, BTC) base_size = trade.size + commission.size quote_size = (order.price / trade.price) * (trade.size / trade.price) base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id) quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id) order.fill(exchange, trade) assert order.status == OrderStatus.PARTIALLY_FILLED assert base_wallet.balance == 4800.00 * USD assert round(base_wallet.locked[order.path_id].size, 2) == 7.42 assert quote_wallet.balance == 0 * BTC assert round(quote_wallet.locked[order.path_id].size, 8) == 0.73925519 order.cancel() listener.on_cancel.assert_called_once_with(order) assert round(base_wallet.balance.size, 2) == 4807.42 assert order.path_id not in base_wallet.locked assert round(quote_wallet.balance.size, 8) == 0.73925519 assert order.path_id not in quote_wallet.locked
def test_attach(mock_portfolio_class, mock_order_listener_class): portfolio = mock_portfolio_class.return_value order = Order(side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5000.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value assert len(order._listeners) == 0 order.attach(listener) assert len(order._listeners) == 1 assert listener in order._listeners
def test_detach(mock_portfolio_class, mock_order_listener_class): portfolio = mock_portfolio_class.return_value order = Order(step=0, exchange_name="coinbase", side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5000.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value order.attach(listener) assert len(order._listeners) == 1 assert listener in order._listeners order.detach(listener) assert len(order._listeners) == 0 assert listener not in order._listeners
def get_order(self, action: int, exchange: 'Exchange', portfolio: 'Portfolio') -> Order: if action == 0: return None (pair, stop_loss, take_profit, size) = self._actions[action] base_instrument = pair.base if self._trade_side == TradeSide.BUY else pair.quote base_wallet = portfolio.get_wallet(exchange.id, instrument=base_instrument) price = exchange.quote_price(pair) size = min(base_wallet.balance.size, (base_wallet.balance.size * size)) if size < 10**-base_instrument.precision: return None buy_quantity = size * base_instrument order = Order(side=self._trade_side, trade_type=self._trade_type, pair=pair, price=price, quantity=buy_quantity, portfolio=portfolio) risk_criteria = StopLoss(direction='either', up_percent=take_profit, down_percent=stop_loss) risk_management = Recipe(side=TradeSide.SELL if self._trade_side == TradeSide.BUY else TradeSide.BUY, trade_type=TradeType.MARKET, pair=pair, criteria=risk_criteria) order.add_recipe(risk_management) if self._order_listener is not None: order.attach(self._order_listener) return order
def test_on_execute(mock_exchange_class, execute_listener): exchange = mock_exchange_class.return_value exchange.id = "fake_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(execute_listener) assert not execute_listener.listened order.execute(exchange) assert execute_listener.listened
def test_complete_basic_order(mock_order_listener_class, mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.options = ExchangeOptions() exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.clock = mock.Mock() exchange.clock.step = 0 wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) listener = mock_order_listener_class.return_value listener.on_complete = mock.Mock(return_value=None) order.attach(listener) order.execute() trade = mock_trade_class.return_value trade.size = Decimal(5197.00) trade.quantity = 5197.00 * USD trade.commission = 3.00 * USD order.fill(trade) assert order.status == OrderStatus.PARTIALLY_FILLED next_order = order.complete() assert order.status == OrderStatus.FILLED listener.on_complete.assert_called_once_with(order) assert not next_order
def test_on_fill(mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.options.max_trade_size = 1e6 exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.quote_price = lambda pair: Decimal(7000.00) broker = Broker() broker.exchanges = [exchange] wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(broker) order.execute() broker._executed[order.id] = order trade = mock_trade_class.return_value trade.quantity = 5197.00 * USD trade.commission = 3.00 * USD trade.order_id = order.id assert order.status == OrderStatus.OPEN order.fill(trade) assert order.status == OrderStatus.FILLED assert order.remaining == 0 assert trade in broker.trades[order.id]
def test_on_cancel(mock_exchange_class, cancel_listener): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" exchange.name = "coinbase" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_name="coinbase", side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) order.attach(cancel_listener) assert not cancel_listener.listened order.cancel() assert cancel_listener.listened
def test_complete_basic_order(mock_order_listener_class, mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_name="coinbase", side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) listener = mock_order_listener_class.return_value listener.on_complete = mock.Mock(return_value=None) order.attach(listener) order.execute(exchange) trade = mock_trade_class.return_value trade.size = 5217.00 trade.commission = 3.00 * USD order.fill(exchange, trade) assert order.status == OrderStatus.PARTIALLY_FILLED next_order = order.complete(exchange) assert order.status == OrderStatus.FILLED listener.on_complete.assert_called_once_with(order, exchange) assert not next_order
def test_cancel(mock_order_listener_class, mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.options = ExchangeOptions() exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.clock = mock.Mock() exchange.clock.step = 0 exchange.quote_price = mock.Mock(return_value=Decimal(7000.00)) wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) listener = mock_order_listener_class.return_value listener.on_cancel = mock.Mock(return_value=None) order.attach(listener) order.execute() # Execute fake trade price = Decimal(7010.00) scale = order.price / price commission = 3.00 * USD trade = mock_trade_class.return_value trade.size = Decimal(scale * order.size - commission.size) trade.quantity = trade.size * USD trade.price = price trade.commission = commission base_wallet = portfolio.get_wallet(exchange.id, USD) quote_wallet = portfolio.get_wallet(exchange.id, BTC) base_size = trade.size + commission.size quote_size = (order.price / trade.price) * (trade.size / trade.price) base_wallet.withdraw(quantity=Quantity(USD, size=base_size, path_id=order.path_id), reason="test") quote_wallet.deposit(quantity=Quantity(BTC, size=quote_size, path_id=order.path_id), reason="test") order.fill(trade) assert order.status == OrderStatus.PARTIALLY_FILLED assert base_wallet.balance == 4800.00 * USD assert float(round(base_wallet.locked[order.path_id].size, 2)) == 7.42 assert quote_wallet.balance == 0 * BTC assert float(round(quote_wallet.locked[order.path_id].size, 8)) == 0.73925519 order.cancel() listener.on_cancel.assert_called_once_with(order) assert float(round(base_wallet.balance.size, 2)) == 4807.42 assert order.path_id not in base_wallet.locked assert float(round(quote_wallet.balance.size, 8)) == 0.73925519 assert order.path_id not in quote_wallet.locked
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.id = "fake_exchange_id" broker = Broker(exchange) wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) side = TradeSide.BUY order = Order(step=0, side=TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, quantity=5200.00 * USD, portfolio=portfolio, price=7000.00) risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02) risk_management = OrderSpec( side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY, trade_type=TradeType.MARKET, pair=USD / BTC, criteria=risk_criteria) order += risk_management order.attach(broker) order.execute(exchange) broker._executed[order.id] = order # Execute fake trade price = 7000.00 scale = order.price / price commission = 3.00 * USD base_size = scale * order.size - commission.size trade = mock_trade_class.return_value trade.order_id = order.id trade.size = base_size trade.price = price trade.commission = commission base_wallet = portfolio.get_wallet(exchange.id, USD) quote_wallet = portfolio.get_wallet(exchange.id, BTC) base_size = trade.size + trade.commission.size quote_size = (order.price / trade.price) * (trade.size / trade.price) base_wallet -= Quantity(USD, size=base_size, path_id=order.path_id) quote_wallet += Quantity(BTC, size=quote_size, path_id=order.path_id) assert trade.order_id in broker.executed.keys() assert trade not in broker.trades assert broker.unexecuted == [] order.fill(exchange, trade) assert order.remaining_size == 0 assert trade in broker.trades[order.id] assert broker.unexecuted != []
def test_on_fill_with_complex_order(mock_trade_class, mock_exchange_class): exchange = mock_exchange_class.return_value exchange.options.max_trade_size = 1e6 exchange.id = "fake_exchange_id" exchange.name = "coinbase" exchange.quote_price = lambda pair: Decimal(7000.00) broker = Broker() broker.exchanges = [exchange] wallets = [Wallet(exchange, 10000 * USD), Wallet(exchange, 0 * BTC)] portfolio = Portfolio(USD, wallets) side = TradeSide.BUY order = Order(step=0, exchange_pair=ExchangePair(exchange, USD / BTC), side=TradeSide.BUY, trade_type=TradeType.MARKET, quantity=5200.00 * USD, portfolio=portfolio, price=Decimal(7000.00)) risk_criteria = Stop("down", 0.03) ^ Stop("up", 0.02) risk_management = OrderSpec( side=TradeSide.SELL if side == TradeSide.BUY else TradeSide.BUY, trade_type=TradeType.MARKET, exchange_pair=ExchangePair(exchange, USD / BTC), criteria=risk_criteria) order += risk_management order.attach(broker) order.execute() broker._executed[order.id] = order # Execute fake trade price = Decimal(7000.00) scale = order.price / price commission = 3.00 * USD base_size = scale * order.size - commission.size trade = mock_trade_class.return_value trade.order_id = order.id trade.size = base_size trade.quantity = base_size * USD trade.price = price trade.commission = commission base_wallet = portfolio.get_wallet(exchange.id, USD) quote_wallet = portfolio.get_wallet(exchange.id, BTC) base_size = trade.size + trade.commission.size quote_size = (order.price / trade.price) * (trade.size / trade.price) base_wallet.withdraw(quantity=Quantity(USD, size=base_size, path_id=order.path_id), reason="test") quote_wallet.deposit(quantity=Quantity(BTC, size=quote_size, path_id=order.path_id), reason="test") assert trade.order_id in broker.executed.keys() assert trade not in broker.trades assert broker.unexecuted == [] order.fill(trade) assert order.remaining == 0 assert trade in broker.trades[order.id] assert broker.unexecuted != []