Add functionality and tests for executing mutliple orders
parent
76736a5441
commit
15525c2b46
|
@ -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,
|
||||
# ),
|
||||
# )
|
||||
|
|
Loading…
Reference in New Issue