From 1397a75d2cd9d1aeefa8918c3c440470f5590762 Mon Sep 17 00:00:00 2001 From: jaredgoldman Date: Sat, 25 Feb 2023 15:59:14 -0500 Subject: [PATCH] Add functionality and tests for executing mutliple orders --- tests/test_paper.py | 157 ++++++++++++++++++++++++-------------------- 1 file changed, 84 insertions(+), 73 deletions(-) diff --git a/tests/test_paper.py b/tests/test_paper.py index ded87b74..b5a74e40 100644 --- a/tests/test_paper.py +++ b/tests/test_paper.py @@ -11,6 +11,7 @@ from typing import ( Literal, ) from pathlib import Path +from operator import attrgetter import pytest import tractor @@ -60,7 +61,6 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir): oid = "" test_exec_mode = "live" test_account = "paper" - test_size = 1 (fqsn, symbol, broker) = get_fqsn("kraken", "xbtusdt") brokers = [broker] test_pp_account = "piker-paper" @@ -76,16 +76,19 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir): assert_entries: bool = False, assert_pps: bool = False, assert_zeroed_pps: bool = False, + assert_precision: bool = False, + executions: int = 1, + size: float = 0.01, ) -> None: - """Spawn a paper piper actor, place a trade and assert entries are present + """Start piker, place a trade and assert entries are present in both trade ledger and pps tomls. Then restart piker and ensure that pps from previous trade exists in the ems pps. Finally close the position and ensure that the position in pps.toml is closed. """ nonlocal oid - book: OrderBook nonlocal positions - + book: OrderBook + msg = () # Set up piker and EMS async with ( open_test_pikerd() as (_, _, _, services), @@ -99,56 +102,80 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir): ): # Send order to EMS if action: - oid = str(uuid4()) - order = Order( - exec_mode=test_exec_mode, - action=action, - oid=oid, - account=test_account, - size=test_size, - symbol=fqsn, - price=price, - brokers=brokers, - ) - # This is actually a syncronous call to push a message - # to the async ems clue - hence why we call trio.sleep afterwards - book.send(order) - - await trio.sleep(2) + for x in range(executions): + print(f"Sending {action} order num {x}") + oid = str(uuid4()) + order = Order( + exec_mode=test_exec_mode, + action=action, + oid=oid, + account=test_account, + size=size, + symbol=fqsn, + price=price, + brokers=brokers, + ) + # This is actually a syncronous call to push a message + # to the async ems clue - hence why we call trio.sleep afterwards + book.send(order) + async for msg in trades_stream: + msg = await trades_stream.receive() + try: + if msg["name"] == "position": + break + except (NameError, AttributeError): + pass + # Do nothing, message isn't a position + await trio.sleep(1) # Assert entries are made in both ledger and PPS - if assert_entries or assert_pps or assert_zeroed_pps: - _assert(assert_entries, assert_pps, assert_zeroed_pps, pps) + if assert_entries or assert_pps or assert_zeroed_pps or assert_precision: + _assert( + assert_entries, + assert_pps, + assert_zeroed_pps, + assert_precision, + pps, + msg, + ) # Close piker like a user would raise KeyboardInterrupt - def _assert(assert_entries: bool, assert_pps: bool, assert_zerod_pps, pps): + def _assert( + assert_entries, assert_pps, assert_zerod_pps, assert_precision, pps, msg + ): with ( open_trade_ledger(broker, test_account) as ledger, open_pps(broker, test_pp_account) as table, ): + # TODO: Assert between msg and pp, ledger and pp, ledger and message + # for proper values + print(f"assertion msg: {msg}") # assert that entires are have been written if assert_entries: - cleared_ledger_entry = ledger[oid] - assert list(ledger.keys())[-1] == oid - assert cleared_ledger_entry["size"] == test_size - assert cleared_ledger_entry["fqsn"] == fqsn + latest_ledger_entry = ledger[oid] + latest_position = pps[(broker, test_account)][-1] pp_price = table.conf[broker][test_pp_account][fqsn]["ppu"] + # assert most + assert list(ledger.keys())[-1] == oid + assert latest_ledger_entry["size"] == test_size + assert latest_ledger_entry["fqsn"] == fqsn + # Ensure the price-per-unit (breakeven) price is close to our clearing price - assert math.isclose(pp_price, cleared_ledger_entry["size"], rel_tol=1) + assert math.isclose(pp_price, latest_ledger_entry["size"], rel_tol=1) assert table.brokername == broker assert table.acctid == test_pp_account # assert that the last pps price is the same as the ledger price if assert_pps: - assert ( - pps[(broker, test_account)][-1]["avg_price"] == ledger[oid]["price"] - ) + latest_ledger_entry = ledger[oid] + latest_position = pps[(broker, test_account)][-1] + assert latest_position["avg_price"] == latest_ledger_entry["price"] if assert_zerod_pps: # assert that positions are present - assert not bool(table) + assert not bool(table.pps) # Close position and assert empty position in pps def _run_test_and_check(exception, fn): @@ -156,61 +183,45 @@ def test_paper_trade(open_test_pikerd: AsyncContextManager, delete_testing_dir): trio.run(fn) for exception in exc_info.value.exceptions: - assert isinstance(exception, KeyboardInterrupt) or isinstance( - exception, ContextCancelled + assert ( + isinstance(exception, KeyboardInterrupt) + or isinstance(exception, ContextCancelled) + or isinstance(exception, KeyError) ) - # Setablend and execute a trade and assert trade + # Enter a trade and assert entries are made in pps and ledger files _run_test_and_check( BaseExceptionGroup, partial(_async_main, action="buy", assert_entries=True), ) + # Open ems and assert existence of pps entries _run_test_and_check( BaseExceptionGroup, partial(_async_main, assert_pps=True), ) + # Sell position + _run_test_and_check( + BaseExceptionGroup, + partial(_async_main, action="sell", price=1), + ) + + # Ensure pps are zeroed + _run_test_and_check( + BaseExceptionGroup, + partial(_async_main, assert_zeroed_pps=True), + ) + + # Make 5 market limit buy orders + _run_test_and_check( + BaseExceptionGroup, partial(_async_main, action="buy", executions=5) + ) + + # Sell 5 slots at the same price, assert cleared positions _run_test_and_check( BaseExceptionGroup, partial( - _async_main, action="sell", price=1 + _async_main, action="sell", executions=5, price=1, assert_zeroed_pps=True ), ) - - _run_test_and_check( - BaseExceptionGroup, - partial( - _async_main, assert_zeroed_pps=True - ), - ) - - - -# def test_paper_client(open_test_pikerd: AsyncContextManager): -# async def _async_main( -# open_pikerd: AsyncContextManager, -# ): -# (fqsn, symbol, broker) = get_fqsn("kraken", "xbtusdt") -# async with ( -# open_pikerd() as (_, _, _, services), -# open_ems(fqsn, mode="paper") as ( -# book, -# trades_stream, -# pps, -# accounts, -# dialogs, -# ), -# ): -# # async with open_cached_client(broker) as client: -# # symbol_info = await client.symbol_info() -# # print(f'client: {symbol_info['XBTUSDT']}') -# with (open_pps(broker, "piker-paper") as table,): -# print(f"table: {table}") -# -# trio.run( -# partial( -# _async_main, -# open_pikerd=open_test_pikerd, -# ), -# )