async def test_sell_limit_order_trigger(sell_limit_order):
order_price = decimal_random_price(min_value=2)
sell_limit_order.update(
price=order_price,
quantity=decimal_random_quantity(max_value=DEFAULT_SYMBOL_QUANTITY),
symbol=DEFAULT_ORDER_SYMBOL,
order_type=TraderOrderType.SELL_LIMIT,
)
sell_limit_order.exchange_manager.is_backtesting = True # force update_order_status
await sell_limit_order.initialize()
sell_limit_order.exchange_manager.exchange_personal_data.orders_manager.upsert_order_instance(
sell_limit_order)
price_events_manager = sell_limit_order.exchange_manager.exchange_symbols_data.get_exchange_symbol_data(
DEFAULT_ORDER_SYMBOL).price_events_manager
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=decimal_random_price(
max_value=order_price - trading_constants.ONE),
timestamp=sell_limit_order.timestamp)
])
await wait_asyncio_next_cycle()
assert not sell_limit_order.is_filled()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=order_price,
timestamp=sell_limit_order.timestamp - 1)
])
await wait_asyncio_next_cycle()
assert not sell_limit_order.is_filled()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=order_price,
timestamp=sell_limit_order.timestamp)
])
await wait_asyncio_next_cycle()
assert sell_limit_order.is_filled()
async def test_handle_price(price_events_manager):
random_price_1 = decimal_random_price()
random_timestamp_1 = random_timestamp(min_value=2, max_value=1000)
price_event_1 = price_events_manager.add_event(
decimal.Decimal(str(random_price_1)), random_timestamp_1, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set:
price_events_manager.handle_price(trading_constants.ZERO,
random_timestamp())
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE),
timestamp=random_timestamp())
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE),
timestamp=random_timestamp())
price_events_manager.handle_price(
price=decimal_random_price(min_value=random_price_1),
timestamp=random_timestamp_1 - 1)
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
price_events_manager.handle_price(
price=decimal_random_price(min_value=random_price_1),
timestamp=random_timestamp_1 + 1)
price_event_1_set.assert_called_once()
async def test_refresh_simulated_trader_portfolio_from_order(backtesting_trader):
config, exchange_manager, trader = backtesting_trader
portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager
if os.getenv('CYTHON_IGNORE'):
return
order = BuyLimitOrder(trader)
await order.initialize()
with patch.object(portfolio_manager.portfolio, 'update_portfolio_available',
new=Mock()) as update_portfolio_available_mock:
update_portfolio_available_mock.assert_not_called()
portfolio_manager._refresh_simulated_trader_portfolio_from_order(order)
update_portfolio_available_mock.assert_called_once()
price = decimal_random_price()
order.update(
price=decimal_random_price(),
quantity=decimal_random_quantity(max_value=DEFAULT_MARKET_QUANTITY / price),
symbol="BTC/USDT"
)
await order.on_fill(force_fill=True)
assert order.is_filled()
with patch.object(portfolio_manager.portfolio, 'update_portfolio_from_filled_order',
new=Mock()) as update_portfolio_from_filled_order_mock:
update_portfolio_from_filled_order_mock.assert_not_called()
portfolio_manager._refresh_simulated_trader_portfolio_from_order(order)
update_portfolio_from_filled_order_mock.assert_called_once()
async def test_add_event(price_events_manager):
price_events_manager.add_event(decimal_random_price(), random_timestamp(),
True)
price_events_manager.add_event(decimal_random_price(), random_timestamp(),
False)
if not os.getenv('CYTHON_IGNORE'):
assert price_events_manager.events
assert len(price_events_manager.events) == 2
async def test_remove_event(price_events_manager):
event_1 = price_events_manager.add_event(decimal_random_price(),
random_timestamp(), True)
event_2 = price_events_manager.add_event(decimal_random_price(),
random_timestamp(), False)
if not os.getenv('CYTHON_IGNORE'):
assert price_events_manager.events
price_events_manager.remove_event(event_1)
assert event_1 not in price_events_manager.events
assert len(price_events_manager.events) == 1
price_events_manager.remove_event(Event())
assert len(price_events_manager.events) == 1
price_events_manager.remove_event(event_2)
assert event_2 not in price_events_manager.events
assert len(price_events_manager.events) == 0
async def test_sell_market_order_trigger(sell_market_order):
order_price = decimal_random_price()
sell_market_order.update(
price=order_price,
quantity=decimal_random_quantity(max_value=DEFAULT_SYMBOL_QUANTITY),
symbol=DEFAULT_ORDER_SYMBOL,
order_type=TraderOrderType.SELL_MARKET,
)
sell_market_order.exchange_manager.is_backtesting = True # force update_order_status
await sell_market_order.initialize()
assert sell_market_order.is_filled()
async def test_take_profit_limit_order_trigger(take_profit_limit_order):
order_price = decimal_random_price(min_value=2)
take_profit_limit_order.limit_price = order_price + decimal.Decimal(10)
take_profit_limit_order.update(
price=order_price,
quantity=decimal_random_quantity(
max_value=decimal.Decimal(DEFAULT_SYMBOL_QUANTITY / 10)),
symbol=DEFAULT_ORDER_SYMBOL,
order_type=TraderOrderType.TAKE_PROFIT_LIMIT,
)
take_profit_limit_order.exchange_manager.is_backtesting = True # force update_order_status
await take_profit_limit_order.initialize()
take_profit_limit_order.exchange_manager.exchange_personal_data.orders_manager.upsert_order_instance(
take_profit_limit_order)
price_events_manager = take_profit_limit_order.exchange_manager.exchange_symbols_data.get_exchange_symbol_data(
DEFAULT_ORDER_SYMBOL).price_events_manager
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(max_value=order_price -
trading_constants.ONE),
timestamp=take_profit_limit_order.timestamp)
])
await wait_asyncio_next_cycle()
assert not take_profit_limit_order.is_filled()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=order_price, timestamp=take_profit_limit_order.timestamp - 1)
])
await wait_asyncio_next_cycle()
assert not take_profit_limit_order.is_filled()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=order_price, timestamp=take_profit_limit_order.timestamp)
])
# wait for 2 cycles as secondary orders are created
await wait_asyncio_next_cycle()
await wait_asyncio_next_cycle()
assert take_profit_limit_order.is_filled()
async def test_limit_and_stop_loss(stop_loss_sell_order, sell_limit_order):
# fill both orders: limit first
limit_order_price = decimal_random_price()
quantity = decimal_random_quantity(max_value=DEFAULT_SYMBOL_QUANTITY)
sell_limit_order.update(
price=limit_order_price,
quantity=quantity,
symbol=DEFAULT_ORDER_SYMBOL,
order_type=TraderOrderType.SELL_LIMIT,
)
stop_order_price = decimal_random_price(max_value=limit_order_price - 1)
stop_loss_sell_order.update(price=stop_order_price,
quantity=quantity,
symbol=DEFAULT_ORDER_SYMBOL,
order_type=TraderOrderType.STOP_LOSS,
linked_to=sell_limit_order)
stop_loss_sell_order.linked_orders.append(sell_limit_order)
sell_limit_order.linked_orders.append(stop_loss_sell_order)
stop_loss_sell_order.exchange_manager.is_backtesting = True # force update_order_status
# initialize limit order first
await sell_limit_order.initialize()
await stop_loss_sell_order.initialize()
price_events_manager = stop_loss_sell_order.exchange_manager.exchange_symbols_data.get_exchange_symbol_data(
DEFAULT_ORDER_SYMBOL).price_events_manager
# stop loss sell order triggers when price is bellow or equal to its trigger price
# sell limit order triggers when price is above or equal to its trigger price
# here trigger both: limit is triggered first (initialized first): sell stop loss order should be
# cancelled and not filled even though its price has been hit
price_events_manager.handle_recent_trades([
random_recent_trade(
price=random_price(max_value=float(stop_order_price - 1)),
timestamp=sell_limit_order.timestamp),
random_recent_trade(
price=random_price(min_value=float(limit_order_price + 1)),
timestamp=stop_loss_sell_order.timestamp)
])
await wait_asyncio_next_cycle()
assert stop_loss_sell_order.is_cancelled()
assert sell_limit_order.is_filled()
async def test_get_mark_price(prices_manager):
# without a set price
with pytest.raises(asyncio.TimeoutError):
await prices_manager.get_mark_price(0.01)
assert not prices_manager.valid_price_received_event.is_set()
# set price
prices_manager.set_mark_price(decimal.Decimal(10),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# expired price
if not os.getenv('CYTHON_IGNORE'):
prices_manager.exchange_manager.backtesting.time_manager.current_timestamp = 66666666
with pytest.raises(asyncio.TimeoutError):
await prices_manager.get_mark_price(0.01)
assert not prices_manager.valid_price_received_event.is_set()
# reset price with this time
prices_manager.set_mark_price(decimal.Decimal(10),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# current time move within allowed range
if not os.getenv('CYTHON_IGNORE'):
prices_manager.exchange_manager.backtesting.time_manager.current_timestamp = 1
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(10)
assert prices_manager.valid_price_received_event.is_set()
# new value
prices_manager.set_mark_price(decimal.Decimal(42.0000172),
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == decimal.Decimal(
42.0000172)
assert prices_manager.valid_price_received_event.is_set()
# random value
random_mark_price = decimal_random_price()
prices_manager.set_mark_price(random_mark_price,
MarkPriceSources.EXCHANGE_MARK_PRICE.value)
assert await prices_manager.get_mark_price(0.01) == random_mark_price
assert prices_manager.valid_price_received_event.is_set()
async def test_handle_recent_trades_multiple_events(price_events_manager):
random_price_1 = decimal_random_price(min_value=decimal.Decimal(2))
random_price_2 = decimal_random_price(min_value=random_price_1)
random_timestamp_1 = random_timestamp(min_value=2, max_value=1000)
random_timestamp_2 = random_timestamp(min_value=random_timestamp_1 + 2,
max_value=5000)
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE))
])
with pytest.raises(AssertionError):
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(max_value=random_price_1 -
trading_constants.ONE),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2 - trading_constants.ONE,
timestamp=random_timestamp(min_value=random_timestamp_1,
max_value=random_timestamp_2))
])
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(price=decimal_random_price(
max_value=random_price_1 - trading_constants.ONE)),
decimal_random_recent_trade(price=random_price_2,
timestamp=random_timestamp_2)
])
price_event_2_set.assert_called_once()
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(max_value=random_price_1 -
trading_constants.ONE),
timestamp=random_timestamp(max_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2 + decimal.Decimal(10),
timestamp=random_timestamp(min_value=random_timestamp_2 + 1))
])
price_event_1_set.assert_called_once()
price_event_2_set.assert_called_once()
price_event_1 = price_events_manager.add_event(random_price_1,
random_timestamp_1, True)
price_event_2 = price_events_manager.add_event(random_price_2,
random_timestamp_2, True)
with patch.object(price_event_1, 'set', new=Mock()) as price_event_1_set, \
patch.object(price_event_2, 'set', new=Mock()) as price_event_2_set:
price_events_manager.handle_recent_trades([
decimal_random_recent_trade(
price=decimal_random_price(min_value=random_price_1,
max_value=random_price_2 -
trading_constants.ONE),
timestamp=random_timestamp(min_value=random_timestamp_1 - 1)),
decimal_random_recent_trade(
price=random_price_2,
timestamp=random_timestamp(max_value=random_timestamp_2 - 1))
])
price_event_1_set.assert_called_once()
with pytest.raises(AssertionError):
price_event_2_set.assert_called_once()
async def test_get_current_crypto_currencies_values(backtesting_trader):
config, exchange_manager, trader = backtesting_trader
portfolio_manager = exchange_manager.exchange_personal_data.portfolio_manager
portfolio_value_holder = portfolio_manager.portfolio_value_holder
assert portfolio_value_holder.get_current_crypto_currencies_values() == {
'BTC': constants.ONE,
'USDT': constants.ZERO
}
portfolio_manager.portfolio.update_portfolio_from_balance(
{
'BTC': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
},
'ETH': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
},
'XRP': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
},
'NANO': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
},
'XLM': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
},
'USDT': {
'available': decimal_random_quantity(),
'total': decimal_random_quantity()
}
}, exchange_manager)
portfolio_manager.handle_balance_updated()
assert portfolio_value_holder.get_current_crypto_currencies_values() == {
'BTC': constants.ONE,
'ETH': constants.ZERO,
'XRP': constants.ZERO,
'NANO': constants.ZERO,
'XLM': constants.ZERO,
'USDT': constants.ZERO
}
exchange_manager.client_symbols.append("XLM/BTC")
exchange_manager.client_symbols.append("XRP/BTC")
if not os.getenv('CYTHON_IGNORE'):
portfolio_value_holder.missing_currency_data_in_exchange.remove("XRP")
portfolio_manager.handle_mark_price_update("XRP/BTC",
decimal.Decimal("0.005"))
exchange_manager.client_symbols.append("NANO/BTC")
portfolio_value_holder.missing_currency_data_in_exchange.remove("NANO")
portfolio_manager.handle_mark_price_update("NANO/BTC",
decimal.Decimal("0.05"))
exchange_manager.client_symbols.append("BTC/USDT")
assert portfolio_value_holder.get_current_crypto_currencies_values(
) == {
'BTC': constants.ONE,
'ETH': constants.ZERO,
'XRP': decimal.Decimal("0.005"),
'NANO': decimal.Decimal("0.05"),
'XLM': constants.ZERO,
'USDT': constants.ZERO
}
xlm_btc_price = decimal_random_price(max_value=decimal.Decimal(0.05))
portfolio_value_holder.missing_currency_data_in_exchange.remove("XLM")
portfolio_manager.handle_mark_price_update("XLM/BTC", xlm_btc_price)
assert portfolio_value_holder.get_current_crypto_currencies_values(
) == {
'BTC': constants.ONE,
'ETH': constants.ZERO,
'XRP': decimal.Decimal("0.005"),
'NANO': decimal.Decimal("0.05"),
'XLM': xlm_btc_price,
'USDT': constants.ZERO
}
usdt_btc_price = decimal_random_price(
max_value=decimal.Decimal('0.01'))
portfolio_value_holder.missing_currency_data_in_exchange.remove("USDT")
portfolio_manager.handle_mark_price_update("BTC/USDT", usdt_btc_price)
assert portfolio_value_holder.get_current_crypto_currencies_values(
) == {
'BTC': constants.ONE,
'ETH': constants.ZERO,
'XRP': decimal.Decimal("0.005"),
'NANO': decimal.Decimal("0.05"),
'XLM': xlm_btc_price,
'USDT': constants.ONE / usdt_btc_price
}
eth_btc_price = decimal_random_price(max_value=constants.ONE)
exchange_manager.client_symbols.append("ETH/BTC")
portfolio_value_holder.missing_currency_data_in_exchange.remove("ETH")
portfolio_manager.handle_mark_price_update("ETH/BTC", eth_btc_price)
assert portfolio_value_holder.get_current_crypto_currencies_values(
) == {
'BTC': constants.ONE,
'ETH': decimal.Decimal(str(eth_btc_price)),
'XRP': decimal.Decimal("0.005"),
'NANO': decimal.Decimal("0.05"),
'XLM': xlm_btc_price,
'USDT': constants.ONE / usdt_btc_price
}
